mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
12ffbf5047
- _process modified so that we do not sell if we would buy afterwards - execute_sell modified so that that min_roi_reached is not executed if we would buy afterwards Veuillez saisir le message de validation pour vos modifications. Les lignes
478 lines
17 KiB
Python
Executable File
478 lines
17 KiB
Python
Executable File
#!/usr/bin/env python3
|
|
import copy
|
|
import json
|
|
import logging
|
|
import sys
|
|
import time
|
|
import traceback
|
|
from datetime import datetime
|
|
from typing import Dict, List, Optional
|
|
|
|
import arrow
|
|
import requests
|
|
from cachetools import cached, TTLCache
|
|
|
|
from freqtrade import (DependencyException, OperationalException, __version__,
|
|
exchange, persistence, rpc)
|
|
from freqtrade.analyze import get_signal
|
|
from freqtrade.fiat_convert import CryptoToFiatConverter
|
|
from freqtrade.misc import (State, get_state, load_config, parse_args,
|
|
throttle, update_state)
|
|
from freqtrade.persistence import Trade
|
|
|
|
logger = logging.getLogger('freqtrade')
|
|
|
|
_CONF = {}
|
|
|
|
|
|
def refresh_whitelist(whitelist: List[str]) -> List[str]:
|
|
"""
|
|
Check wallet health and remove pair from whitelist if necessary
|
|
:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to trade
|
|
:return: the list of pairs the user wants to trade without the one unavailable or black_listed
|
|
"""
|
|
sanitized_whitelist = whitelist
|
|
health = exchange.get_wallet_health()
|
|
known_pairs = set()
|
|
for status in health:
|
|
pair = '{}_{}'.format(_CONF['stake_currency'], status['Currency'])
|
|
# pair is not int the generated dynamic market, or in the blacklist ... ignore it
|
|
if pair not in whitelist or pair in _CONF['exchange'].get('pair_blacklist', []):
|
|
continue
|
|
# else the pair is valid
|
|
known_pairs.add(pair)
|
|
# Market is not active
|
|
if not status['IsActive']:
|
|
sanitized_whitelist.remove(pair)
|
|
logger.info(
|
|
'Ignoring %s from whitelist (reason: %s).',
|
|
pair, status.get('Notice') or 'wallet is not active'
|
|
)
|
|
|
|
# We need to remove pairs that are unknown
|
|
final_list = [x for x in sanitized_whitelist if x in known_pairs]
|
|
return final_list
|
|
|
|
|
|
def _process(nb_assets: Optional[int] = 0) -> bool:
|
|
"""
|
|
Queries the persistence layer for open trades and handles them,
|
|
otherwise a new trade is created.
|
|
:param: nb_assets: the maximum number of pairs to be traded at the same time
|
|
:return: True if a trade has been created or closed, False otherwise
|
|
"""
|
|
state_changed = False
|
|
try:
|
|
# Refresh whitelist based on wallet maintenance
|
|
sanitized_list = refresh_whitelist(
|
|
gen_pair_whitelist(
|
|
_CONF['stake_currency']
|
|
) if nb_assets else _CONF['exchange']['pair_whitelist']
|
|
)
|
|
|
|
# Keep only the subsets of pairs wanted (up to nb_assets)
|
|
final_list = sanitized_list[:nb_assets] if nb_assets else sanitized_list
|
|
_CONF['exchange']['pair_whitelist'] = final_list
|
|
|
|
# Query trades from persistence layer
|
|
trades = Trade.query.filter(Trade.is_open.is_(True)).all()
|
|
if len(trades) < _CONF['max_open_trades']:
|
|
try:
|
|
# Create entity and execute trade
|
|
state_changed = create_trade(float(_CONF['stake_amount']))
|
|
if not state_changed:
|
|
logger.info(
|
|
'Checked all whitelisted currencies. '
|
|
'Found no suitable entry positions for buying. Will keep looking ...'
|
|
)
|
|
except DependencyException as exception:
|
|
logger.warning('Unable to create trade: %s', exception)
|
|
|
|
for trade in trades:
|
|
# Get order details for actual price per unit
|
|
if trade.open_order_id:
|
|
# Update trade with order values
|
|
logger.info('Got open order for %s', trade)
|
|
trade.update(exchange.get_order(trade.open_order_id))
|
|
|
|
if trade.is_open and trade.open_order_id is None:
|
|
# Check if we can sell our current pair
|
|
state_changed = handle_trade(trade) or state_changed
|
|
|
|
if 'unfilledtimeout' in _CONF:
|
|
# Check and handle any timed out open orders
|
|
check_handle_timedout(_CONF['unfilledtimeout'])
|
|
|
|
Trade.session.flush()
|
|
except (requests.exceptions.RequestException, json.JSONDecodeError) as error:
|
|
logger.warning(
|
|
'Got %s in _process(), retrying in 30 seconds...',
|
|
error
|
|
)
|
|
time.sleep(30)
|
|
except OperationalException:
|
|
rpc.send_msg('*Status:* Got OperationalException:\n```\n{traceback}```{hint}'.format(
|
|
traceback=traceback.format_exc(),
|
|
hint='Issue `/start` if you think it is safe to restart.'
|
|
))
|
|
logger.exception('Got OperationalException. Stopping trader ...')
|
|
update_state(State.STOPPED)
|
|
return state_changed
|
|
|
|
|
|
def check_handle_timedout(timeoutvalue: int) -> None:
|
|
"""
|
|
Check if any orders are timed out and cancel if neccessary
|
|
:param timeoutvalue: Number of minutes until order is considered timed out
|
|
:return: None
|
|
"""
|
|
timeoutthreashold = arrow.utcnow().shift(minutes=-timeoutvalue).datetime
|
|
|
|
for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
|
|
order = exchange.get_order(trade.open_order_id)
|
|
ordertime = arrow.get(order['opened'])
|
|
|
|
if order['type'] == "LIMIT_BUY" and ordertime < timeoutthreashold:
|
|
# Buy timeout - cancel order
|
|
exchange.cancel_order(trade.open_order_id)
|
|
if order['remaining'] == order['amount']:
|
|
# if trade is not partially completed, just delete the trade
|
|
Trade.session.delete(trade)
|
|
Trade.session.flush()
|
|
logger.info('Buy order timeout for %s.', trade)
|
|
else:
|
|
# if trade is partially complete, edit the stake details for the trade
|
|
# and close the order
|
|
trade.amount = order['amount'] - order['remaining']
|
|
trade.stake_amount = trade.amount * trade.open_rate
|
|
trade.open_order_id = None
|
|
logger.info('Partial buy order timeout for %s.', trade)
|
|
elif order['type'] == "LIMIT_SELL" and ordertime < timeoutthreashold:
|
|
# Sell timeout - cancel order and update trade
|
|
if order['remaining'] == order['amount']:
|
|
# if trade is not partially completed, just cancel the trade
|
|
exchange.cancel_order(trade.open_order_id)
|
|
trade.close_rate = None
|
|
trade.close_profit = None
|
|
trade.close_date = None
|
|
trade.is_open = True
|
|
trade.open_order_id = None
|
|
logger.info('Sell order timeout for %s.', trade)
|
|
return True
|
|
else:
|
|
# TODO: figure out how to handle partially complete sell orders
|
|
pass
|
|
|
|
|
|
def execute_sell(trade: Trade, limit: float) -> None:
|
|
"""
|
|
Executes a limit sell for the given trade and limit
|
|
:param trade: Trade instance
|
|
:param limit: limit rate for the sell order
|
|
:return: None
|
|
"""
|
|
# Execute sell and update trade record
|
|
order_id = exchange.sell(str(trade.pair), limit, trade.amount)
|
|
trade.open_order_id = order_id
|
|
|
|
fmt_exp_profit = round(trade.calc_profit_percent(rate=limit) * 100, 2)
|
|
profit_trade = trade.calc_profit(rate=limit)
|
|
|
|
message = '*{exchange}:* Selling [{pair}]({pair_url}) with limit `{limit:.8f}`'.format(
|
|
exchange=trade.exchange,
|
|
pair=trade.pair.replace('_', '/'),
|
|
pair_url=exchange.get_pair_detail_url(trade.pair),
|
|
limit=limit
|
|
)
|
|
|
|
# For regular case, when the configuration exists
|
|
if 'stake_currency' in _CONF and 'fiat_display_currency' in _CONF:
|
|
fiat_converter = CryptoToFiatConverter()
|
|
profit_fiat = fiat_converter.convert_amount(
|
|
profit_trade,
|
|
_CONF['stake_currency'],
|
|
_CONF['fiat_display_currency']
|
|
)
|
|
message += '` ({gain}: {profit_percent:.2f}%, {profit_coin:.8f} {coin}`' \
|
|
'` / {profit_fiat:.3f} {fiat})`'.format(
|
|
gain="profit" if fmt_exp_profit > 0 else "loss",
|
|
profit_percent=fmt_exp_profit,
|
|
profit_coin=profit_trade,
|
|
coin=_CONF['stake_currency'],
|
|
profit_fiat=profit_fiat,
|
|
fiat=_CONF['fiat_display_currency'],
|
|
)
|
|
# Because telegram._forcesell does not have the configuration
|
|
# Ignore the FIAT value and does not show the stake_currency as well
|
|
else:
|
|
message += '` ({gain}: {profit_percent:.2f}%, {profit_coin:.8f})`'.format(
|
|
gain="profit" if fmt_exp_profit > 0 else "loss",
|
|
profit_percent=fmt_exp_profit,
|
|
profit_coin=profit_trade
|
|
)
|
|
|
|
# Send the message
|
|
rpc.send_msg(message)
|
|
Trade.session.flush()
|
|
|
|
|
|
def min_roi_reached(trade: Trade, current_rate: float, current_time: datetime) -> bool:
|
|
"""
|
|
Based an earlier trade and current price and ROI configuration, decides whether bot should sell
|
|
:return True if bot should sell at current rate
|
|
"""
|
|
current_profit = trade.calc_profit_percent(current_rate)
|
|
if 'stoploss' in _CONF and current_profit < float(_CONF['stoploss']):
|
|
logger.debug('Stop loss hit.')
|
|
return True
|
|
|
|
# Check if time matches and current rate is above threshold
|
|
time_diff = (current_time - trade.open_date).total_seconds() / 60
|
|
for duration, threshold in sorted(_CONF['minimal_roi'].items()):
|
|
if time_diff > float(duration) and current_profit > threshold:
|
|
return True
|
|
|
|
logger.debug('Threshold not reached. (cur_profit: %1.2f%%)', float(current_profit) * 100.0)
|
|
return False
|
|
|
|
|
|
def handle_trade(trade: Trade) -> bool:
|
|
"""
|
|
Sells the current pair if the threshold is reached and updates the trade record.
|
|
:return: True if trade has been sold, False otherwise
|
|
"""
|
|
if not trade.is_open:
|
|
raise ValueError('attempt to handle closed trade: {}'.format(trade))
|
|
|
|
logger.debug('Handling %s ...', trade)
|
|
current_rate = exchange.get_ticker(trade.pair)['bid']
|
|
|
|
(buy, sell) = (False, False)
|
|
|
|
if _CONF.get('experimental', {}).get('use_sell_signal'):
|
|
(buy, sell) = get_signal(trade.pair)
|
|
|
|
# Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee)
|
|
if not buy and min_roi_reached(trade, current_rate, datetime.utcnow()):
|
|
logger.debug('Executing sell due to ROI ...')
|
|
execute_sell(trade, current_rate)
|
|
return True
|
|
|
|
# Experimental: Check if the trade is profitable before selling it (avoid selling at loss)
|
|
if _CONF.get('experimental', {}).get('sell_profit_only'):
|
|
logger.debug('Checking if trade is profitable ...')
|
|
if not buy and trade.calc_profit(rate=current_rate) <= 0:
|
|
return False
|
|
|
|
# Experimental: Check if sell signal has been enabled and triggered
|
|
if sell and not buy:
|
|
logger.debug('Executing sell due to sell signal ...')
|
|
execute_sell(trade, current_rate)
|
|
return True
|
|
|
|
return False
|
|
|
|
|
|
def get_target_bid(ticker: Dict[str, float]) -> float:
|
|
""" Calculates bid target between current ask price and last price """
|
|
if ticker['ask'] < ticker['last']:
|
|
return ticker['ask']
|
|
balance = _CONF['bid_strategy']['ask_last_balance']
|
|
return ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
|
|
|
|
|
|
def create_trade(stake_amount: float) -> bool:
|
|
"""
|
|
Checks the implemented trading indicator(s) for a randomly picked pair,
|
|
if one pair triggers the buy_signal a new trade record gets created
|
|
:param stake_amount: amount of btc to spend
|
|
:return: True if a trade object has been created and persisted, False otherwise
|
|
"""
|
|
logger.info(
|
|
'Checking buy signals to create a new trade with stake_amount: %f ...',
|
|
stake_amount
|
|
)
|
|
whitelist = copy.deepcopy(_CONF['exchange']['pair_whitelist'])
|
|
# Check if stake_amount is fulfilled
|
|
if exchange.get_balance(_CONF['stake_currency']) < stake_amount:
|
|
raise DependencyException(
|
|
'stake amount is not fulfilled (currency={})'.format(_CONF['stake_currency'])
|
|
)
|
|
|
|
# Remove currently opened and latest pairs from whitelist
|
|
for trade in Trade.query.filter(Trade.is_open.is_(True)).all():
|
|
if trade.pair in whitelist:
|
|
whitelist.remove(trade.pair)
|
|
logger.debug('Ignoring %s in pair whitelist', trade.pair)
|
|
if not whitelist:
|
|
raise DependencyException('No pair in whitelist')
|
|
|
|
# Pick pair based on StochRSI buy signals
|
|
for _pair in whitelist:
|
|
(buy, sell) = get_signal(_pair)
|
|
if buy and not sell:
|
|
pair = _pair
|
|
break
|
|
else:
|
|
return False
|
|
|
|
# Calculate amount
|
|
buy_limit = get_target_bid(exchange.get_ticker(pair))
|
|
amount = stake_amount / buy_limit
|
|
|
|
order_id = exchange.buy(pair, buy_limit, amount)
|
|
|
|
fiat_converter = CryptoToFiatConverter()
|
|
stake_amount_fiat = fiat_converter.convert_amount(
|
|
stake_amount,
|
|
_CONF['stake_currency'],
|
|
_CONF['fiat_display_currency']
|
|
)
|
|
|
|
# Create trade entity and return
|
|
rpc.send_msg('*{}:* Buying [{}]({}) with limit `{:.8f} ({:.6f} {}, {:.3f} {})` '.format(
|
|
exchange.get_name().upper(),
|
|
pair.replace('_', '/'),
|
|
exchange.get_pair_detail_url(pair),
|
|
buy_limit, stake_amount, _CONF['stake_currency'],
|
|
stake_amount_fiat, _CONF['fiat_display_currency']
|
|
))
|
|
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
|
|
trade = Trade(
|
|
pair=pair,
|
|
stake_amount=stake_amount,
|
|
amount=amount,
|
|
fee=exchange.get_fee(),
|
|
open_rate=buy_limit,
|
|
open_date=datetime.utcnow(),
|
|
exchange=exchange.get_name().upper(),
|
|
open_order_id=order_id
|
|
)
|
|
Trade.session.add(trade)
|
|
Trade.session.flush()
|
|
return True
|
|
|
|
|
|
def init(config: dict, db_url: Optional[str] = None) -> None:
|
|
"""
|
|
Initializes all modules and updates the config
|
|
:param config: config as dict
|
|
:param db_url: database connector string for sqlalchemy (Optional)
|
|
:return: None
|
|
"""
|
|
# Initialize all modules
|
|
rpc.init(config)
|
|
persistence.init(config, db_url)
|
|
exchange.init(config)
|
|
|
|
# Set initial application state
|
|
initial_state = config.get('initial_state')
|
|
if initial_state:
|
|
update_state(State[initial_state.upper()])
|
|
else:
|
|
update_state(State.STOPPED)
|
|
|
|
|
|
@cached(TTLCache(maxsize=1, ttl=1800))
|
|
def gen_pair_whitelist(base_currency: str, key: str = 'BaseVolume') -> List[str]:
|
|
"""
|
|
Updates the whitelist with with a dynamically generated list
|
|
:param base_currency: base currency as str
|
|
:param key: sort key (defaults to 'BaseVolume')
|
|
:return: List of pairs
|
|
"""
|
|
summaries = sorted(
|
|
(s for s in exchange.get_market_summaries() if s['MarketName'].startswith(base_currency)),
|
|
key=lambda s: s.get(key) or 0.0,
|
|
reverse=True
|
|
)
|
|
|
|
return [s['MarketName'].replace('-', '_') for s in summaries]
|
|
|
|
|
|
def cleanup() -> None:
|
|
"""
|
|
Cleanup the application state und finish all pending tasks
|
|
:return: None
|
|
"""
|
|
rpc.send_msg('*Status:* `Stopping trader...`')
|
|
logger.info('Stopping trader and cleaning up modules...')
|
|
update_state(State.STOPPED)
|
|
persistence.cleanup()
|
|
rpc.cleanup()
|
|
exit(0)
|
|
|
|
|
|
def main(sysargv=sys.argv[1:]) -> None:
|
|
"""
|
|
Loads and validates the config and handles the main loop
|
|
:return: None
|
|
"""
|
|
global _CONF
|
|
args = parse_args(sysargv,
|
|
'Simple High Frequency Trading Bot for crypto currencies')
|
|
|
|
# A subcommand has been issued
|
|
if hasattr(args, 'func'):
|
|
args.func(args)
|
|
exit(0)
|
|
|
|
# Initialize logger
|
|
logging.basicConfig(
|
|
level=args.loglevel,
|
|
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s',
|
|
)
|
|
|
|
logger.info(
|
|
'Starting freqtrade %s (loglevel=%s)',
|
|
__version__,
|
|
logging.getLevelName(args.loglevel)
|
|
)
|
|
|
|
# Load and validate configuration
|
|
_CONF = load_config(args.config)
|
|
|
|
# Initialize all modules and start main loop
|
|
if args.dynamic_whitelist:
|
|
logger.info('Using dynamically generated whitelist. (--dynamic-whitelist detected)')
|
|
|
|
# If the user ask for Dry run with a local DB instead of memory
|
|
if args.dry_run_db:
|
|
if _CONF.get('dry_run', False):
|
|
_CONF.update({'dry_run_db': True})
|
|
logger.info(
|
|
'Dry_run will use the DB file: "tradesv3.dry_run.sqlite". (--dry_run_db detected)'
|
|
)
|
|
else:
|
|
logger.info('Dry run is disabled. (--dry_run_db ignored)')
|
|
|
|
try:
|
|
init(_CONF)
|
|
old_state = None
|
|
while True:
|
|
new_state = get_state()
|
|
# Log state transition
|
|
if new_state != old_state:
|
|
rpc.send_msg('*Status:* `{}`'.format(new_state.name.lower()))
|
|
logger.info('Changing state to: %s', new_state.name)
|
|
|
|
if new_state == State.STOPPED:
|
|
time.sleep(1)
|
|
elif new_state == State.RUNNING:
|
|
throttle(
|
|
_process,
|
|
min_secs=_CONF['internals'].get('process_throttle_secs', 10),
|
|
nb_assets=args.dynamic_whitelist,
|
|
)
|
|
old_state = new_state
|
|
except KeyboardInterrupt:
|
|
logger.info('Got SIGINT, aborting ...')
|
|
except BaseException:
|
|
logger.exception('Got fatal exception!')
|
|
finally:
|
|
cleanup()
|
|
|
|
|
|
if __name__ == '__main__':
|
|
main()
|