mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-15 04:33:57 +00:00
2490 lines
104 KiB
Python
2490 lines
104 KiB
Python
"""
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Freqtrade is the main module of this bot. It contains the class Freqtrade()
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"""
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import logging
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import traceback
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from copy import deepcopy
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from datetime import datetime, time, timedelta, timezone
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from math import isclose
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from threading import Lock
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from time import sleep
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from typing import Any, Optional
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from schedule import Scheduler
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from freqtrade import constants
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from freqtrade.configuration import validate_config_consistency
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from freqtrade.constants import BuySell, Config, EntryExecuteMode, ExchangeConfig, LongShort
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from freqtrade.data.converter import order_book_to_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.edge import Edge
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from freqtrade.enums import (
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ExitCheckTuple,
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ExitType,
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MarginMode,
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RPCMessageType,
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SignalDirection,
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State,
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TradingMode,
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)
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from freqtrade.exceptions import (
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DependencyException,
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ExchangeError,
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InsufficientFundsError,
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InvalidOrderException,
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PricingError,
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)
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from freqtrade.exchange import (
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ROUND_DOWN,
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ROUND_UP,
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remove_exchange_credentials,
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timeframe_to_minutes,
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timeframe_to_next_date,
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timeframe_to_seconds,
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)
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from freqtrade.leverage.liquidation_price import update_liquidation_prices
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from freqtrade.misc import safe_value_fallback, safe_value_fallback2
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from freqtrade.mixins import LoggingMixin
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from freqtrade.persistence import Order, PairLocks, Trade, init_db
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from freqtrade.persistence.key_value_store import set_startup_time
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from freqtrade.plugins.pairlistmanager import PairListManager
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from freqtrade.plugins.protectionmanager import ProtectionManager
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from freqtrade.resolvers import ExchangeResolver, StrategyResolver
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from freqtrade.rpc import RPCManager
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from freqtrade.rpc.external_message_consumer import ExternalMessageConsumer
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from freqtrade.rpc.rpc_types import (
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ProfitLossStr,
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RPCCancelMsg,
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RPCEntryMsg,
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RPCExitCancelMsg,
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RPCExitMsg,
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RPCProtectionMsg,
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)
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from freqtrade.strategy.interface import IStrategy
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from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
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from freqtrade.util import FtPrecise, MeasureTime
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from freqtrade.util.migrations.binance_mig import migrate_binance_futures_names
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from freqtrade.wallets import Wallets
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logger = logging.getLogger(__name__)
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class FreqtradeBot(LoggingMixin):
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"""
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Freqtrade is the main class of the bot.
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This is from here the bot start its logic.
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"""
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def __init__(self, config: Config) -> None:
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"""
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Init all variables and objects the bot needs to work
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:param config: configuration dict, you can use Configuration.get_config()
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to get the config dict.
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"""
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self.active_pair_whitelist: list[str] = []
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# Init bot state
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self.state = State.STOPPED
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# Init objects
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self.config = config
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exchange_config: ExchangeConfig = deepcopy(config["exchange"])
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# Remove credentials from original exchange config to avoid accidental credential exposure
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remove_exchange_credentials(config["exchange"], True)
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self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
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# Check config consistency here since strategies can set certain options
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validate_config_consistency(config)
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self.exchange = ExchangeResolver.load_exchange(
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self.config, exchange_config=exchange_config, load_leverage_tiers=True
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)
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init_db(self.config["db_url"])
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self.wallets = Wallets(self.config, self.exchange)
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PairLocks.timeframe = self.config["timeframe"]
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self.trading_mode: TradingMode = self.config.get("trading_mode", TradingMode.SPOT)
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self.margin_mode: MarginMode = self.config.get("margin_mode", MarginMode.NONE)
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self.last_process: Optional[datetime] = None
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# RPC runs in separate threads, can start handling external commands just after
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# initialization, even before Freqtradebot has a chance to start its throttling,
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# so anything in the Freqtradebot instance should be ready (initialized), including
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# the initial state of the bot.
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# Keep this at the end of this initialization method.
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self.rpc: RPCManager = RPCManager(self)
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self.dataprovider = DataProvider(self.config, self.exchange, rpc=self.rpc)
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self.pairlists = PairListManager(self.exchange, self.config, self.dataprovider)
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self.dataprovider.add_pairlisthandler(self.pairlists)
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# Attach Dataprovider to strategy instance
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self.strategy.dp = self.dataprovider
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# Attach Wallets to strategy instance
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self.strategy.wallets = self.wallets
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# Initializing Edge only if enabled
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self.edge = (
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Edge(self.config, self.exchange, self.strategy)
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if self.config.get("edge", {}).get("enabled", False)
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else None
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)
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# Init ExternalMessageConsumer if enabled
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self.emc = (
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ExternalMessageConsumer(self.config, self.dataprovider)
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if self.config.get("external_message_consumer", {}).get("enabled", False)
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else None
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)
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self.active_pair_whitelist = self._refresh_active_whitelist()
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# Set initial bot state from config
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initial_state = self.config.get("initial_state")
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self.state = State[initial_state.upper()] if initial_state else State.STOPPED
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# Protect exit-logic from forcesell and vice versa
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self._exit_lock = Lock()
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timeframe_secs = timeframe_to_seconds(self.strategy.timeframe)
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LoggingMixin.__init__(self, logger, timeframe_secs)
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self._schedule = Scheduler()
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if self.trading_mode == TradingMode.FUTURES:
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def update():
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self.update_funding_fees()
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self.wallets.update()
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# This would be more efficient if scheduled in utc time, and performed at each
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# funding interval, specified by funding_fee_times on the exchange classes
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# However, this reduces the precision - and might therefore lead to problems.
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for time_slot in range(0, 24):
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for minutes in [1, 31]:
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t = str(time(time_slot, minutes, 2))
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self._schedule.every().day.at(t).do(update)
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self._schedule.every().day.at("00:02").do(self.exchange.ws_connection_reset)
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self.strategy.ft_bot_start()
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# Initialize protections AFTER bot start - otherwise parameters are not loaded.
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self.protections = ProtectionManager(self.config, self.strategy.protections)
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def log_took_too_long(duration: float, time_limit: float):
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logger.warning(
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f"Strategy analysis took {duration:.2f}s, more than 25% of the timeframe "
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f"({time_limit:.2f}s). This can lead to delayed orders and missed signals."
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"Consider either reducing the amount of work your strategy performs "
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"or reduce the amount of pairs in the Pairlist."
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)
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self._measure_execution = MeasureTime(log_took_too_long, timeframe_secs * 0.25)
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def notify_status(self, msg: str, msg_type=RPCMessageType.STATUS) -> None:
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"""
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Public method for users of this class (worker, etc.) to send notifications
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via RPC about changes in the bot status.
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"""
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self.rpc.send_msg({"type": msg_type, "status": msg})
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def cleanup(self) -> None:
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"""
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Cleanup pending resources on an already stopped bot
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:return: None
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"""
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logger.info("Cleaning up modules ...")
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try:
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# Wrap db activities in shutdown to avoid problems if database is gone,
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# and raises further exceptions.
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if self.config["cancel_open_orders_on_exit"]:
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self.cancel_all_open_orders()
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self.check_for_open_trades()
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except Exception as e:
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logger.warning(f"Exception during cleanup: {e.__class__.__name__} {e}")
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finally:
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self.strategy.ft_bot_cleanup()
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self.rpc.cleanup()
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if self.emc:
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self.emc.shutdown()
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self.exchange.close()
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try:
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Trade.commit()
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except Exception:
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# Exceptions here will be happening if the db disappeared.
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# At which point we can no longer commit anyway.
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logger.exception("Error during cleanup")
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def startup(self) -> None:
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"""
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Called on startup and after reloading the bot - triggers notifications and
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performs startup tasks
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"""
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migrate_binance_futures_names(self.config)
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set_startup_time()
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self.rpc.startup_messages(self.config, self.pairlists, self.protections)
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# Update older trades with precision and precision mode
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self.startup_backpopulate_precision()
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if not self.edge:
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# Adjust stoploss if it was changed
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Trade.stoploss_reinitialization(self.strategy.stoploss)
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# Only update open orders on startup
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# This will update the database after the initial migration
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self.startup_update_open_orders()
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self.update_all_liquidation_prices()
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self.update_funding_fees()
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def process(self) -> None:
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"""
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Queries the persistence layer for open trades and handles them,
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otherwise a new trade is created.
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:return: True if one or more trades has been created or closed, False otherwise
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"""
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# Check whether markets have to be reloaded and reload them when it's needed
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self.exchange.reload_markets()
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self.update_trades_without_assigned_fees()
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# Query trades from persistence layer
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trades: list[Trade] = Trade.get_open_trades()
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self.active_pair_whitelist = self._refresh_active_whitelist(trades)
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# Refreshing candles
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self.dataprovider.refresh(
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self.pairlists.create_pair_list(self.active_pair_whitelist),
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self.strategy.gather_informative_pairs(),
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)
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
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current_time=datetime.now(timezone.utc)
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)
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with self._measure_execution:
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self.strategy.analyze(self.active_pair_whitelist)
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with self._exit_lock:
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# Check for exchange cancellations, timeouts and user requested replace
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self.manage_open_orders()
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# Protect from collisions with force_exit.
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# Without this, freqtrade may try to recreate stoploss_on_exchange orders
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# while exiting is in process, since telegram messages arrive in an different thread.
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with self._exit_lock:
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trades = Trade.get_open_trades()
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# First process current opened trades (positions)
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self.exit_positions(trades)
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# Check if we need to adjust our current positions before attempting to enter new trades.
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if self.strategy.position_adjustment_enable:
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with self._exit_lock:
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self.process_open_trade_positions()
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# Then looking for entry opportunities
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if self.get_free_open_trades():
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self.enter_positions()
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self._schedule.run_pending()
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Trade.commit()
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self.rpc.process_msg_queue(self.dataprovider._msg_queue)
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self.last_process = datetime.now(timezone.utc)
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def process_stopped(self) -> None:
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"""
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Close all orders that were left open
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"""
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if self.config["cancel_open_orders_on_exit"]:
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self.cancel_all_open_orders()
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def check_for_open_trades(self):
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"""
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Notify the user when the bot is stopped (not reloaded)
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and there are still open trades active.
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"""
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open_trades = Trade.get_open_trades()
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if len(open_trades) != 0 and self.state != State.RELOAD_CONFIG:
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msg = {
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"type": RPCMessageType.WARNING,
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"status": f"{len(open_trades)} open trades active.\n\n"
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f"Handle these trades manually on {self.exchange.name}, "
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f"or '/start' the bot again and use '/stopentry' "
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f"to handle open trades gracefully. \n"
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f"{'Note: Trades are simulated (dry run).' if self.config['dry_run'] else ''}",
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}
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self.rpc.send_msg(msg)
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def _refresh_active_whitelist(self, trades: Optional[list[Trade]] = None) -> list[str]:
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"""
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Refresh active whitelist from pairlist or edge and extend it with
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pairs that have open trades.
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"""
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# Refresh whitelist
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_prev_whitelist = self.pairlists.whitelist
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self.pairlists.refresh_pairlist()
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_whitelist = self.pairlists.whitelist
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# Calculating Edge positioning
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if self.edge:
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self.edge.calculate(_whitelist)
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_whitelist = self.edge.adjust(_whitelist)
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if trades:
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# Extend active-pair whitelist with pairs of open trades
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# It ensures that candle (OHLCV) data are downloaded for open trades as well
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_whitelist.extend([trade.pair for trade in trades if trade.pair not in _whitelist])
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# Called last to include the included pairs
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if _prev_whitelist != _whitelist:
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self.rpc.send_msg({"type": RPCMessageType.WHITELIST, "data": _whitelist})
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return _whitelist
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def get_free_open_trades(self) -> int:
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"""
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Return the number of free open trades slots or 0 if
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max number of open trades reached
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"""
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open_trades = Trade.get_open_trade_count()
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return max(0, self.config["max_open_trades"] - open_trades)
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def update_all_liquidation_prices(self) -> None:
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if self.trading_mode == TradingMode.FUTURES and self.margin_mode == MarginMode.CROSS:
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# Update liquidation prices for all trades in cross margin mode
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update_liquidation_prices(
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exchange=self.exchange,
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wallets=self.wallets,
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stake_currency=self.config["stake_currency"],
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dry_run=self.config["dry_run"],
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)
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def update_funding_fees(self) -> None:
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if self.trading_mode == TradingMode.FUTURES:
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trades: list[Trade] = Trade.get_open_trades()
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for trade in trades:
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trade.set_funding_fees(
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self.exchange.get_funding_fees(
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pair=trade.pair,
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amount=trade.amount,
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is_short=trade.is_short,
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open_date=trade.date_last_filled_utc,
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)
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)
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def startup_backpopulate_precision(self) -> None:
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trades = Trade.get_trades([Trade.contract_size.is_(None)])
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for trade in trades:
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if trade.exchange != self.exchange.id:
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continue
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trade.precision_mode = self.exchange.precisionMode
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trade.precision_mode_price = self.exchange.precision_mode_price
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trade.amount_precision = self.exchange.get_precision_amount(trade.pair)
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trade.price_precision = self.exchange.get_precision_price(trade.pair)
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trade.contract_size = self.exchange.get_contract_size(trade.pair)
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Trade.commit()
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def startup_update_open_orders(self):
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"""
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Updates open orders based on order list kept in the database.
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Mainly updates the state of orders - but may also close trades
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"""
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if self.config["dry_run"] or self.config["exchange"].get("skip_open_order_update", False):
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# Updating open orders in dry-run does not make sense and will fail.
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return
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orders = Order.get_open_orders()
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logger.info(f"Updating {len(orders)} open orders.")
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for order in orders:
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try:
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fo = self.exchange.fetch_order_or_stoploss_order(
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order.order_id, order.ft_pair, order.ft_order_side == "stoploss"
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)
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if not order.trade:
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# This should not happen, but it does if trades were deleted manually.
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# This can only incur on sqlite, which doesn't enforce foreign constraints.
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logger.warning(
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f"Order {order.order_id} has no trade attached. "
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"This may suggest a database corruption. "
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f"The expected trade ID is {order.ft_trade_id}. Ignoring this order."
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)
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continue
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self.update_trade_state(
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order.trade,
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order.order_id,
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fo,
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stoploss_order=(order.ft_order_side == "stoploss"),
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)
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except InvalidOrderException as e:
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logger.warning(f"Error updating Order {order.order_id} due to {e}.")
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if order.order_date_utc - timedelta(days=5) < datetime.now(timezone.utc):
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logger.warning(
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"Order is older than 5 days. Assuming order was fully cancelled."
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)
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fo = order.to_ccxt_object()
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fo["status"] = "canceled"
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self.handle_cancel_order(
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fo, order, order.trade, constants.CANCEL_REASON["TIMEOUT"]
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)
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except ExchangeError as e:
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logger.warning(f"Error updating Order {order.order_id} due to {e}")
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def update_trades_without_assigned_fees(self) -> None:
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"""
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Update closed trades without close fees assigned.
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Only acts when Orders are in the database, otherwise the last order-id is unknown.
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"""
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if self.config["dry_run"]:
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# Updating open orders in dry-run does not make sense and will fail.
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return
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trades: list[Trade] = Trade.get_closed_trades_without_assigned_fees()
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for trade in trades:
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if not trade.is_open and not trade.fee_updated(trade.exit_side):
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# Get sell fee
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order = trade.select_order(trade.exit_side, False, only_filled=True)
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if not order:
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order = trade.select_order("stoploss", False)
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if order:
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logger.info(
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f"Updating {trade.exit_side}-fee on trade {trade}"
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f"for order {order.order_id}."
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)
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self.update_trade_state(
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trade,
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order.order_id,
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stoploss_order=order.ft_order_side == "stoploss",
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send_msg=False,
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)
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trades = Trade.get_open_trades_without_assigned_fees()
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for trade in trades:
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with self._exit_lock:
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if trade.is_open and not trade.fee_updated(trade.entry_side):
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order = trade.select_order(trade.entry_side, False, only_filled=True)
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open_order = trade.select_order(trade.entry_side, True)
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if order and open_order is None:
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logger.info(
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f"Updating {trade.entry_side}-fee on trade {trade}"
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f"for order {order.order_id}."
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)
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self.update_trade_state(trade, order.order_id, send_msg=False)
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def handle_insufficient_funds(self, trade: Trade):
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"""
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Try refinding a lost trade.
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Only used when InsufficientFunds appears on exit orders (stoploss or long sell/short buy).
|
|
Tries to walk the stored orders and updates the trade state if necessary.
|
|
"""
|
|
logger.info(f"Trying to refind lost order for {trade}")
|
|
for order in trade.orders:
|
|
logger.info(f"Trying to refind {order}")
|
|
fo = None
|
|
if not order.ft_is_open:
|
|
logger.debug(f"Order {order} is no longer open.")
|
|
continue
|
|
try:
|
|
fo = self.exchange.fetch_order_or_stoploss_order(
|
|
order.order_id, order.ft_pair, order.ft_order_side == "stoploss"
|
|
)
|
|
if fo:
|
|
logger.info(f"Found {order} for trade {trade}.")
|
|
self.update_trade_state(
|
|
trade, order.order_id, fo, stoploss_order=order.ft_order_side == "stoploss"
|
|
)
|
|
|
|
except ExchangeError:
|
|
logger.warning(f"Error updating {order.order_id}.")
|
|
|
|
def handle_onexchange_order(self, trade: Trade) -> bool:
|
|
"""
|
|
Try refinding a order that is not in the database.
|
|
Only used balance disappeared, which would make exiting impossible.
|
|
:return: True if the trade was deleted, False otherwise
|
|
"""
|
|
try:
|
|
orders = self.exchange.fetch_orders(
|
|
trade.pair, trade.open_date_utc - timedelta(seconds=10)
|
|
)
|
|
prev_exit_reason = trade.exit_reason
|
|
prev_trade_state = trade.is_open
|
|
prev_trade_amount = trade.amount
|
|
for order in orders:
|
|
trade_order = [o for o in trade.orders if o.order_id == order["id"]]
|
|
|
|
if trade_order:
|
|
# We knew this order, but didn't have it updated properly
|
|
order_obj = trade_order[0]
|
|
else:
|
|
logger.info(f"Found previously unknown order {order['id']} for {trade.pair}.")
|
|
|
|
order_obj = Order.parse_from_ccxt_object(order, trade.pair, order["side"])
|
|
order_obj.order_filled_date = datetime.fromtimestamp(
|
|
safe_value_fallback(order, "lastTradeTimestamp", "timestamp") // 1000,
|
|
tz=timezone.utc,
|
|
)
|
|
trade.orders.append(order_obj)
|
|
Trade.commit()
|
|
trade.exit_reason = ExitType.SOLD_ON_EXCHANGE.value
|
|
|
|
self.update_trade_state(trade, order["id"], order, send_msg=False)
|
|
|
|
logger.info(f"handled order {order['id']}")
|
|
|
|
# Refresh trade from database
|
|
Trade.session.refresh(trade)
|
|
if not trade.is_open:
|
|
# Trade was just closed
|
|
trade.close_date = trade.date_last_filled_utc
|
|
self.order_close_notify(
|
|
trade,
|
|
order_obj,
|
|
order_obj.ft_order_side == "stoploss",
|
|
send_msg=prev_trade_state != trade.is_open,
|
|
)
|
|
else:
|
|
trade.exit_reason = prev_exit_reason
|
|
total = (
|
|
self.wallets.get_owned(trade.pair, trade.base_currency)
|
|
if trade.base_currency
|
|
else 0
|
|
)
|
|
if total < trade.amount:
|
|
if trade.fully_canceled_entry_order_count == len(trade.orders):
|
|
logger.warning(
|
|
f"Trade only had fully canceled entry orders. "
|
|
f"Removing {trade} from database."
|
|
)
|
|
|
|
self._notify_enter_cancel(
|
|
trade,
|
|
order_type=self.strategy.order_types["entry"],
|
|
reason=constants.CANCEL_REASON["FULLY_CANCELLED"],
|
|
)
|
|
trade.delete()
|
|
return True
|
|
if total > trade.amount * 0.98:
|
|
logger.warning(
|
|
f"{trade} has a total of {trade.amount} {trade.base_currency}, "
|
|
f"but the Wallet shows a total of {total} {trade.base_currency}. "
|
|
f"Adjusting trade amount to {total}."
|
|
"This may however lead to further issues."
|
|
)
|
|
trade.amount = total
|
|
else:
|
|
logger.warning(
|
|
f"{trade} has a total of {trade.amount} {trade.base_currency}, "
|
|
f"but the Wallet shows a total of {total} {trade.base_currency}. "
|
|
"Refusing to adjust as the difference is too large."
|
|
"This may however lead to further issues."
|
|
)
|
|
if prev_trade_amount != trade.amount:
|
|
# Cancel stoploss on exchange if the amount changed
|
|
trade = self.cancel_stoploss_on_exchange(trade)
|
|
Trade.commit()
|
|
|
|
except ExchangeError:
|
|
logger.warning("Error finding onexchange order.")
|
|
except Exception:
|
|
# catching https://github.com/freqtrade/freqtrade/issues/9025
|
|
logger.warning("Error finding onexchange order", exc_info=True)
|
|
return False
|
|
|
|
#
|
|
# enter positions / open trades logic and methods
|
|
#
|
|
|
|
def enter_positions(self) -> int:
|
|
"""
|
|
Tries to execute entry orders for new trades (positions)
|
|
"""
|
|
trades_created = 0
|
|
|
|
whitelist = deepcopy(self.active_pair_whitelist)
|
|
if not whitelist:
|
|
self.log_once("Active pair whitelist is empty.", logger.info)
|
|
return trades_created
|
|
# Remove pairs for currently opened trades from the whitelist
|
|
for trade in Trade.get_open_trades():
|
|
if trade.pair in whitelist:
|
|
whitelist.remove(trade.pair)
|
|
logger.debug("Ignoring %s in pair whitelist", trade.pair)
|
|
|
|
if not whitelist:
|
|
self.log_once(
|
|
"No currency pair in active pair whitelist, but checking to exit open trades.",
|
|
logger.info,
|
|
)
|
|
return trades_created
|
|
if PairLocks.is_global_lock(side="*"):
|
|
# This only checks for total locks (both sides).
|
|
# per-side locks will be evaluated by `is_pair_locked` within create_trade,
|
|
# once the direction for the trade is clear.
|
|
lock = PairLocks.get_pair_longest_lock("*")
|
|
if lock:
|
|
self.log_once(
|
|
f"Global pairlock active until "
|
|
f"{lock.lock_end_time.strftime(constants.DATETIME_PRINT_FORMAT)}. "
|
|
f"Not creating new trades, reason: {lock.reason}.",
|
|
logger.info,
|
|
)
|
|
else:
|
|
self.log_once("Global pairlock active. Not creating new trades.", logger.info)
|
|
return trades_created
|
|
# Create entity and execute trade for each pair from whitelist
|
|
for pair in whitelist:
|
|
try:
|
|
with self._exit_lock:
|
|
trades_created += self.create_trade(pair)
|
|
except DependencyException as exception:
|
|
logger.warning("Unable to create trade for %s: %s", pair, exception)
|
|
|
|
if not trades_created:
|
|
logger.debug("Found no enter signals for whitelisted currencies. Trying again...")
|
|
|
|
return trades_created
|
|
|
|
def create_trade(self, pair: str) -> bool:
|
|
"""
|
|
Check the implemented trading strategy for entry signals.
|
|
|
|
If the pair triggers the enter signal a new trade record gets created
|
|
and the entry-order opening the trade gets issued towards the exchange.
|
|
|
|
:return: True if a trade has been created.
|
|
"""
|
|
logger.debug(f"create_trade for pair {pair}")
|
|
|
|
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
|
|
nowtime = analyzed_df.iloc[-1]["date"] if len(analyzed_df) > 0 else None
|
|
|
|
# get_free_open_trades is checked before create_trade is called
|
|
# but it is still used here to prevent opening too many trades within one iteration
|
|
if not self.get_free_open_trades():
|
|
logger.debug(f"Can't open a new trade for {pair}: max number of trades is reached.")
|
|
return False
|
|
|
|
# running get_signal on historical data fetched
|
|
(signal, enter_tag) = self.strategy.get_entry_signal(
|
|
pair, self.strategy.timeframe, analyzed_df
|
|
)
|
|
|
|
if signal:
|
|
if self.strategy.is_pair_locked(pair, candle_date=nowtime, side=signal):
|
|
lock = PairLocks.get_pair_longest_lock(pair, nowtime, signal)
|
|
if lock:
|
|
self.log_once(
|
|
f"Pair {pair} {lock.side} is locked until "
|
|
f"{lock.lock_end_time.strftime(constants.DATETIME_PRINT_FORMAT)} "
|
|
f"due to {lock.reason}.",
|
|
logger.info,
|
|
)
|
|
else:
|
|
self.log_once(f"Pair {pair} is currently locked.", logger.info)
|
|
return False
|
|
stake_amount = self.wallets.get_trade_stake_amount(
|
|
pair, self.config["max_open_trades"], self.edge
|
|
)
|
|
|
|
bid_check_dom = self.config.get("entry_pricing", {}).get("check_depth_of_market", {})
|
|
if (bid_check_dom.get("enabled", False)) and (
|
|
bid_check_dom.get("bids_to_ask_delta", 0) > 0
|
|
):
|
|
if self._check_depth_of_market(pair, bid_check_dom, side=signal):
|
|
return self.execute_entry(
|
|
pair,
|
|
stake_amount,
|
|
enter_tag=enter_tag,
|
|
is_short=(signal == SignalDirection.SHORT),
|
|
)
|
|
else:
|
|
return False
|
|
|
|
return self.execute_entry(
|
|
pair, stake_amount, enter_tag=enter_tag, is_short=(signal == SignalDirection.SHORT)
|
|
)
|
|
else:
|
|
return False
|
|
|
|
#
|
|
# Modify positions / DCA logic and methods
|
|
#
|
|
def process_open_trade_positions(self):
|
|
"""
|
|
Tries to execute additional buy or sell orders for open trades (positions)
|
|
"""
|
|
# Walk through each pair and check if it needs changes
|
|
for trade in Trade.get_open_trades():
|
|
# If there is any open orders, wait for them to finish.
|
|
# TODO Remove to allow mul open orders
|
|
if not trade.has_open_orders:
|
|
# Do a wallets update (will be ratelimited to once per hour)
|
|
self.wallets.update(False)
|
|
try:
|
|
self.check_and_call_adjust_trade_position(trade)
|
|
except DependencyException as exception:
|
|
logger.warning(
|
|
f"Unable to adjust position of trade for {trade.pair}: {exception}"
|
|
)
|
|
|
|
def check_and_call_adjust_trade_position(self, trade: Trade):
|
|
"""
|
|
Check the implemented trading strategy for adjustment command.
|
|
If the strategy triggers the adjustment, a new order gets issued.
|
|
Once that completes, the existing trade is modified to match new data.
|
|
"""
|
|
current_entry_rate, current_exit_rate = self.exchange.get_rates(
|
|
trade.pair, True, trade.is_short
|
|
)
|
|
|
|
current_entry_profit = trade.calc_profit_ratio(current_entry_rate)
|
|
current_exit_profit = trade.calc_profit_ratio(current_exit_rate)
|
|
|
|
min_entry_stake = self.exchange.get_min_pair_stake_amount(
|
|
trade.pair, current_entry_rate, 0.0
|
|
)
|
|
min_exit_stake = self.exchange.get_min_pair_stake_amount(
|
|
trade.pair, current_exit_rate, self.strategy.stoploss
|
|
)
|
|
max_entry_stake = self.exchange.get_max_pair_stake_amount(trade.pair, current_entry_rate)
|
|
stake_available = self.wallets.get_available_stake_amount()
|
|
logger.debug(f"Calling adjust_trade_position for pair {trade.pair}")
|
|
stake_amount, order_tag = self.strategy._adjust_trade_position_internal(
|
|
trade=trade,
|
|
current_time=datetime.now(timezone.utc),
|
|
current_rate=current_entry_rate,
|
|
current_profit=current_entry_profit,
|
|
min_stake=min_entry_stake,
|
|
max_stake=min(max_entry_stake, stake_available),
|
|
current_entry_rate=current_entry_rate,
|
|
current_exit_rate=current_exit_rate,
|
|
current_entry_profit=current_entry_profit,
|
|
current_exit_profit=current_exit_profit,
|
|
)
|
|
|
|
if stake_amount is not None and stake_amount > 0.0:
|
|
# We should increase our position
|
|
if self.strategy.max_entry_position_adjustment > -1:
|
|
count_of_entries = trade.nr_of_successful_entries
|
|
if count_of_entries > self.strategy.max_entry_position_adjustment:
|
|
logger.debug(f"Max adjustment entries for {trade.pair} has been reached.")
|
|
return
|
|
else:
|
|
logger.debug("Max adjustment entries is set to unlimited.")
|
|
self.execute_entry(
|
|
trade.pair,
|
|
stake_amount,
|
|
price=current_entry_rate,
|
|
trade=trade,
|
|
is_short=trade.is_short,
|
|
mode="pos_adjust",
|
|
enter_tag=order_tag,
|
|
)
|
|
|
|
if stake_amount is not None and stake_amount < 0.0:
|
|
# We should decrease our position
|
|
amount = self.exchange.amount_to_contract_precision(
|
|
trade.pair,
|
|
abs(
|
|
float(
|
|
FtPrecise(stake_amount)
|
|
* FtPrecise(trade.amount)
|
|
/ FtPrecise(trade.stake_amount)
|
|
)
|
|
),
|
|
)
|
|
|
|
if amount == 0.0:
|
|
logger.info("Amount to exit is 0.0 due to exchange limits - not exiting.")
|
|
return
|
|
|
|
remaining = (trade.amount - amount) * current_exit_rate
|
|
if min_exit_stake and remaining != 0 and remaining < min_exit_stake:
|
|
logger.info(
|
|
f"Remaining amount of {remaining} would be smaller "
|
|
f"than the minimum of {min_exit_stake}."
|
|
)
|
|
return
|
|
|
|
self.execute_trade_exit(
|
|
trade,
|
|
current_exit_rate,
|
|
exit_check=ExitCheckTuple(exit_type=ExitType.PARTIAL_EXIT),
|
|
sub_trade_amt=amount,
|
|
exit_tag=order_tag,
|
|
)
|
|
|
|
def _check_depth_of_market(self, pair: str, conf: dict, side: SignalDirection) -> bool:
|
|
"""
|
|
Checks depth of market before executing an entry
|
|
"""
|
|
conf_bids_to_ask_delta = conf.get("bids_to_ask_delta", 0)
|
|
logger.info(f"Checking depth of market for {pair} ...")
|
|
order_book = self.exchange.fetch_l2_order_book(pair, 1000)
|
|
order_book_data_frame = order_book_to_dataframe(order_book["bids"], order_book["asks"])
|
|
order_book_bids = order_book_data_frame["b_size"].sum()
|
|
order_book_asks = order_book_data_frame["a_size"].sum()
|
|
|
|
entry_side = order_book_bids if side == SignalDirection.LONG else order_book_asks
|
|
exit_side = order_book_asks if side == SignalDirection.LONG else order_book_bids
|
|
bids_ask_delta = entry_side / exit_side
|
|
|
|
bids = f"Bids: {order_book_bids}"
|
|
asks = f"Asks: {order_book_asks}"
|
|
delta = f"Delta: {bids_ask_delta}"
|
|
|
|
logger.info(
|
|
f"{bids}, {asks}, {delta}, Direction: {side.value} "
|
|
f"Bid Price: {order_book['bids'][0][0]}, Ask Price: {order_book['asks'][0][0]}, "
|
|
f"Immediate Bid Quantity: {order_book['bids'][0][1]}, "
|
|
f"Immediate Ask Quantity: {order_book['asks'][0][1]}."
|
|
)
|
|
if bids_ask_delta >= conf_bids_to_ask_delta:
|
|
logger.info(f"Bids to asks delta for {pair} DOES satisfy condition.")
|
|
return True
|
|
else:
|
|
logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
|
|
return False
|
|
|
|
def execute_entry(
|
|
self,
|
|
pair: str,
|
|
stake_amount: float,
|
|
price: Optional[float] = None,
|
|
*,
|
|
is_short: bool = False,
|
|
ordertype: Optional[str] = None,
|
|
enter_tag: Optional[str] = None,
|
|
trade: Optional[Trade] = None,
|
|
mode: EntryExecuteMode = "initial",
|
|
leverage_: Optional[float] = None,
|
|
) -> bool:
|
|
"""
|
|
Executes an entry for the given pair
|
|
:param pair: pair for which we want to create a LIMIT order
|
|
:param stake_amount: amount of stake-currency for the pair
|
|
:return: True if an entry order is created, False if it fails.
|
|
:raise: DependencyException or it's subclasses like ExchangeError.
|
|
"""
|
|
time_in_force = self.strategy.order_time_in_force["entry"]
|
|
|
|
side: BuySell = "sell" if is_short else "buy"
|
|
name = "Short" if is_short else "Long"
|
|
trade_side: LongShort = "short" if is_short else "long"
|
|
pos_adjust = trade is not None
|
|
|
|
enter_limit_requested, stake_amount, leverage = self.get_valid_enter_price_and_stake(
|
|
pair, price, stake_amount, trade_side, enter_tag, trade, mode, leverage_
|
|
)
|
|
|
|
if not stake_amount:
|
|
return False
|
|
|
|
msg = (
|
|
f"Position adjust: about to create a new order for {pair} with stake_amount: "
|
|
f"{stake_amount} for {trade}"
|
|
if mode == "pos_adjust"
|
|
else (
|
|
f"Replacing {side} order: about create a new order for {pair} with stake_amount: "
|
|
f"{stake_amount} ..."
|
|
if mode == "replace"
|
|
else f"{name} signal found: about create a new trade for {pair} with stake_amount: "
|
|
f"{stake_amount} ..."
|
|
)
|
|
)
|
|
logger.info(msg)
|
|
amount = (stake_amount / enter_limit_requested) * leverage
|
|
order_type = ordertype or self.strategy.order_types["entry"]
|
|
|
|
if mode == "initial" and not strategy_safe_wrapper(
|
|
self.strategy.confirm_trade_entry, default_retval=True
|
|
)(
|
|
pair=pair,
|
|
order_type=order_type,
|
|
amount=amount,
|
|
rate=enter_limit_requested,
|
|
time_in_force=time_in_force,
|
|
current_time=datetime.now(timezone.utc),
|
|
entry_tag=enter_tag,
|
|
side=trade_side,
|
|
):
|
|
logger.info(f"User denied entry for {pair}.")
|
|
return False
|
|
order = self.exchange.create_order(
|
|
pair=pair,
|
|
ordertype=order_type,
|
|
side=side,
|
|
amount=amount,
|
|
rate=enter_limit_requested,
|
|
reduceOnly=False,
|
|
time_in_force=time_in_force,
|
|
leverage=leverage,
|
|
)
|
|
order_obj = Order.parse_from_ccxt_object(order, pair, side, amount, enter_limit_requested)
|
|
order_obj.ft_order_tag = enter_tag
|
|
order_id = order["id"]
|
|
order_status = order.get("status")
|
|
logger.info(f"Order {order_id} was created for {pair} and status is {order_status}.")
|
|
|
|
# we assume the order is executed at the price requested
|
|
enter_limit_filled_price = enter_limit_requested
|
|
amount_requested = amount
|
|
|
|
if order_status == "expired" or order_status == "rejected":
|
|
# return false if the order is not filled
|
|
if float(order["filled"]) == 0:
|
|
logger.warning(
|
|
f"{name} {time_in_force} order with time in force {order_type} "
|
|
f"for {pair} is {order_status} by {self.exchange.name}."
|
|
" zero amount is fulfilled."
|
|
)
|
|
return False
|
|
else:
|
|
# the order is partially fulfilled
|
|
# in case of IOC orders we can check immediately
|
|
# if the order is fulfilled fully or partially
|
|
logger.warning(
|
|
"%s %s order with time in force %s for %s is %s by %s."
|
|
" %s amount fulfilled out of %s (%s remaining which is canceled).",
|
|
name,
|
|
time_in_force,
|
|
order_type,
|
|
pair,
|
|
order_status,
|
|
self.exchange.name,
|
|
order["filled"],
|
|
order["amount"],
|
|
order["remaining"],
|
|
)
|
|
amount = safe_value_fallback(order, "filled", "amount", amount)
|
|
enter_limit_filled_price = safe_value_fallback(
|
|
order, "average", "price", enter_limit_filled_price
|
|
)
|
|
|
|
# in case of FOK the order may be filled immediately and fully
|
|
elif order_status == "closed":
|
|
amount = safe_value_fallback(order, "filled", "amount", amount)
|
|
enter_limit_filled_price = safe_value_fallback(
|
|
order, "average", "price", enter_limit_requested
|
|
)
|
|
|
|
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
|
|
fee = self.exchange.get_fee(symbol=pair, taker_or_maker="maker")
|
|
base_currency = self.exchange.get_pair_base_currency(pair)
|
|
open_date = datetime.now(timezone.utc)
|
|
|
|
funding_fees = self.exchange.get_funding_fees(
|
|
pair=pair,
|
|
amount=amount + trade.amount if trade else amount,
|
|
is_short=is_short,
|
|
open_date=trade.date_last_filled_utc if trade else open_date,
|
|
)
|
|
|
|
# This is a new trade
|
|
if trade is None:
|
|
trade = Trade(
|
|
pair=pair,
|
|
base_currency=base_currency,
|
|
stake_currency=self.config["stake_currency"],
|
|
stake_amount=stake_amount,
|
|
amount=0,
|
|
is_open=True,
|
|
amount_requested=amount_requested,
|
|
fee_open=fee,
|
|
fee_close=fee,
|
|
open_rate=enter_limit_filled_price,
|
|
open_rate_requested=enter_limit_requested,
|
|
open_date=open_date,
|
|
exchange=self.exchange.id,
|
|
strategy=self.strategy.get_strategy_name(),
|
|
enter_tag=enter_tag,
|
|
timeframe=timeframe_to_minutes(self.config["timeframe"]),
|
|
leverage=leverage,
|
|
is_short=is_short,
|
|
trading_mode=self.trading_mode,
|
|
funding_fees=funding_fees,
|
|
amount_precision=self.exchange.get_precision_amount(pair),
|
|
price_precision=self.exchange.get_precision_price(pair),
|
|
precision_mode=self.exchange.precisionMode,
|
|
precision_mode_price=self.exchange.precision_mode_price,
|
|
contract_size=self.exchange.get_contract_size(pair),
|
|
)
|
|
stoploss = self.strategy.stoploss if not self.edge else self.edge.get_stoploss(pair)
|
|
trade.adjust_stop_loss(trade.open_rate, stoploss, initial=True)
|
|
|
|
else:
|
|
# This is additional entry, we reset fee_open_currency so timeout checking can work
|
|
trade.is_open = True
|
|
trade.fee_open_currency = None
|
|
trade.open_rate_requested = enter_limit_requested
|
|
trade.set_funding_fees(funding_fees)
|
|
|
|
trade.orders.append(order_obj)
|
|
trade.recalc_trade_from_orders()
|
|
Trade.session.add(trade)
|
|
Trade.commit()
|
|
|
|
# Updating wallets
|
|
self.wallets.update()
|
|
|
|
self._notify_enter(trade, order_obj, order_type, sub_trade=pos_adjust)
|
|
|
|
if pos_adjust:
|
|
if order_status == "closed":
|
|
logger.info(f"DCA order closed, trade should be up to date: {trade}")
|
|
trade = self.cancel_stoploss_on_exchange(trade)
|
|
else:
|
|
logger.info(f"DCA order {order_status}, will wait for resolution: {trade}")
|
|
|
|
# Update fees if order is non-opened
|
|
if order_status in constants.NON_OPEN_EXCHANGE_STATES:
|
|
fully_canceled = self.update_trade_state(trade, order_id, order)
|
|
if fully_canceled and mode != "replace":
|
|
# Fully canceled orders, may happen with some time in force setups (IOC).
|
|
# Should be handled immediately.
|
|
self.handle_cancel_enter(
|
|
trade, order, order_obj, constants.CANCEL_REASON["TIMEOUT"]
|
|
)
|
|
|
|
return True
|
|
|
|
def cancel_stoploss_on_exchange(self, trade: Trade) -> Trade:
|
|
# First cancelling stoploss on exchange ...
|
|
for oslo in trade.open_sl_orders:
|
|
try:
|
|
logger.info(f"Cancelling stoploss on exchange for {trade} order: {oslo.order_id}")
|
|
co = self.exchange.cancel_stoploss_order_with_result(
|
|
oslo.order_id, trade.pair, trade.amount
|
|
)
|
|
self.update_trade_state(trade, oslo.order_id, co, stoploss_order=True)
|
|
except InvalidOrderException:
|
|
logger.exception(
|
|
f"Could not cancel stoploss order {oslo.order_id} for pair {trade.pair}"
|
|
)
|
|
return trade
|
|
|
|
def get_valid_enter_price_and_stake(
|
|
self,
|
|
pair: str,
|
|
price: Optional[float],
|
|
stake_amount: float,
|
|
trade_side: LongShort,
|
|
entry_tag: Optional[str],
|
|
trade: Optional[Trade],
|
|
mode: EntryExecuteMode,
|
|
leverage_: Optional[float],
|
|
) -> tuple[float, float, float]:
|
|
"""
|
|
Validate and eventually adjust (within limits) limit, amount and leverage
|
|
:return: Tuple with (price, amount, leverage)
|
|
"""
|
|
|
|
if price:
|
|
enter_limit_requested = price
|
|
else:
|
|
# Calculate price
|
|
enter_limit_requested = self.exchange.get_rate(
|
|
pair, side="entry", is_short=(trade_side == "short"), refresh=True
|
|
)
|
|
if mode != "replace":
|
|
# Don't call custom_entry_price in order-adjust scenario
|
|
custom_entry_price = strategy_safe_wrapper(
|
|
self.strategy.custom_entry_price, default_retval=enter_limit_requested
|
|
)(
|
|
pair=pair,
|
|
trade=trade,
|
|
current_time=datetime.now(timezone.utc),
|
|
proposed_rate=enter_limit_requested,
|
|
entry_tag=entry_tag,
|
|
side=trade_side,
|
|
)
|
|
|
|
enter_limit_requested = self.get_valid_price(custom_entry_price, enter_limit_requested)
|
|
|
|
if not enter_limit_requested:
|
|
raise PricingError("Could not determine entry price.")
|
|
|
|
if self.trading_mode != TradingMode.SPOT and trade is None:
|
|
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
|
|
if leverage_:
|
|
leverage = leverage_
|
|
else:
|
|
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
|
|
pair=pair,
|
|
current_time=datetime.now(timezone.utc),
|
|
current_rate=enter_limit_requested,
|
|
proposed_leverage=1.0,
|
|
max_leverage=max_leverage,
|
|
side=trade_side,
|
|
entry_tag=entry_tag,
|
|
)
|
|
# Cap leverage between 1.0 and max_leverage.
|
|
leverage = min(max(leverage, 1.0), max_leverage)
|
|
else:
|
|
# Changing leverage currently not possible
|
|
leverage = trade.leverage if trade else 1.0
|
|
|
|
# Min-stake-amount should actually include Leverage - this way our "minimal"
|
|
# stake- amount might be higher than necessary.
|
|
# We do however also need min-stake to determine leverage, therefore this is ignored as
|
|
# edge-case for now.
|
|
min_stake_amount = self.exchange.get_min_pair_stake_amount(
|
|
pair,
|
|
enter_limit_requested,
|
|
self.strategy.stoploss if not mode == "pos_adjust" else 0.0,
|
|
leverage,
|
|
)
|
|
max_stake_amount = self.exchange.get_max_pair_stake_amount(
|
|
pair, enter_limit_requested, leverage
|
|
)
|
|
|
|
if not self.edge and trade is None:
|
|
stake_available = self.wallets.get_available_stake_amount()
|
|
stake_amount = strategy_safe_wrapper(
|
|
self.strategy.custom_stake_amount, default_retval=stake_amount
|
|
)(
|
|
pair=pair,
|
|
current_time=datetime.now(timezone.utc),
|
|
current_rate=enter_limit_requested,
|
|
proposed_stake=stake_amount,
|
|
min_stake=min_stake_amount,
|
|
max_stake=min(max_stake_amount, stake_available),
|
|
leverage=leverage,
|
|
entry_tag=entry_tag,
|
|
side=trade_side,
|
|
)
|
|
|
|
stake_amount = self.wallets.validate_stake_amount(
|
|
pair=pair,
|
|
stake_amount=stake_amount,
|
|
min_stake_amount=min_stake_amount,
|
|
max_stake_amount=max_stake_amount,
|
|
trade_amount=trade.stake_amount if trade else None,
|
|
)
|
|
|
|
return enter_limit_requested, stake_amount, leverage
|
|
|
|
def _notify_enter(
|
|
self,
|
|
trade: Trade,
|
|
order: Order,
|
|
order_type: Optional[str],
|
|
fill: bool = False,
|
|
sub_trade: bool = False,
|
|
) -> None:
|
|
"""
|
|
Sends rpc notification when a entry order occurred.
|
|
"""
|
|
open_rate = order.safe_price
|
|
|
|
if open_rate is None:
|
|
open_rate = trade.open_rate
|
|
|
|
current_rate = self.exchange.get_rate(
|
|
trade.pair, side="entry", is_short=trade.is_short, refresh=False
|
|
)
|
|
|
|
msg: RPCEntryMsg = {
|
|
"trade_id": trade.id,
|
|
"type": RPCMessageType.ENTRY_FILL if fill else RPCMessageType.ENTRY,
|
|
"buy_tag": trade.enter_tag,
|
|
"enter_tag": trade.enter_tag,
|
|
"exchange": trade.exchange.capitalize(),
|
|
"pair": trade.pair,
|
|
"leverage": trade.leverage if trade.leverage else None,
|
|
"direction": "Short" if trade.is_short else "Long",
|
|
"limit": open_rate, # Deprecated (?)
|
|
"open_rate": open_rate,
|
|
"order_type": order_type or "unknown",
|
|
"stake_amount": trade.stake_amount,
|
|
"stake_currency": self.config["stake_currency"],
|
|
"base_currency": self.exchange.get_pair_base_currency(trade.pair),
|
|
"quote_currency": self.exchange.get_pair_quote_currency(trade.pair),
|
|
"fiat_currency": self.config.get("fiat_display_currency", None),
|
|
"amount": order.safe_amount_after_fee if fill else (order.amount or trade.amount),
|
|
"open_date": trade.open_date_utc or datetime.now(timezone.utc),
|
|
"current_rate": current_rate,
|
|
"sub_trade": sub_trade,
|
|
}
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
def _notify_enter_cancel(
|
|
self, trade: Trade, order_type: str, reason: str, sub_trade: bool = False
|
|
) -> None:
|
|
"""
|
|
Sends rpc notification when a entry order cancel occurred.
|
|
"""
|
|
current_rate = self.exchange.get_rate(
|
|
trade.pair, side="entry", is_short=trade.is_short, refresh=False
|
|
)
|
|
|
|
msg: RPCCancelMsg = {
|
|
"trade_id": trade.id,
|
|
"type": RPCMessageType.ENTRY_CANCEL,
|
|
"buy_tag": trade.enter_tag,
|
|
"enter_tag": trade.enter_tag,
|
|
"exchange": trade.exchange.capitalize(),
|
|
"pair": trade.pair,
|
|
"leverage": trade.leverage,
|
|
"direction": "Short" if trade.is_short else "Long",
|
|
"limit": trade.open_rate,
|
|
"order_type": order_type,
|
|
"stake_amount": trade.stake_amount,
|
|
"open_rate": trade.open_rate,
|
|
"stake_currency": self.config["stake_currency"],
|
|
"base_currency": self.exchange.get_pair_base_currency(trade.pair),
|
|
"quote_currency": self.exchange.get_pair_quote_currency(trade.pair),
|
|
"fiat_currency": self.config.get("fiat_display_currency", None),
|
|
"amount": trade.amount,
|
|
"open_date": trade.open_date,
|
|
"current_rate": current_rate,
|
|
"reason": reason,
|
|
"sub_trade": sub_trade,
|
|
}
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
#
|
|
# SELL / exit positions / close trades logic and methods
|
|
#
|
|
|
|
def exit_positions(self, trades: list[Trade]) -> int:
|
|
"""
|
|
Tries to execute exit orders for open trades (positions)
|
|
"""
|
|
trades_closed = 0
|
|
for trade in trades:
|
|
if (
|
|
not trade.has_open_orders
|
|
and not trade.has_open_sl_orders
|
|
and not self.wallets.check_exit_amount(trade)
|
|
):
|
|
logger.warning(
|
|
f"Not enough {trade.safe_base_currency} in wallet to exit {trade}. "
|
|
"Trying to recover."
|
|
)
|
|
if self.handle_onexchange_order(trade):
|
|
# Trade was deleted. Don't continue.
|
|
continue
|
|
|
|
try:
|
|
try:
|
|
if self.strategy.order_types.get(
|
|
"stoploss_on_exchange"
|
|
) and self.handle_stoploss_on_exchange(trade):
|
|
trades_closed += 1
|
|
Trade.commit()
|
|
continue
|
|
|
|
except InvalidOrderException as exception:
|
|
logger.warning(
|
|
f"Unable to handle stoploss on exchange for {trade.pair}: {exception}"
|
|
)
|
|
# Check if we can sell our current pair
|
|
if not trade.has_open_orders and trade.is_open and self.handle_trade(trade):
|
|
trades_closed += 1
|
|
|
|
except DependencyException as exception:
|
|
logger.warning(f"Unable to exit trade {trade.pair}: {exception}")
|
|
|
|
# Updating wallets if any trade occurred
|
|
if trades_closed:
|
|
self.wallets.update()
|
|
|
|
return trades_closed
|
|
|
|
def handle_trade(self, trade: Trade) -> bool:
|
|
"""
|
|
Exits the current pair if the threshold is reached and updates the trade record.
|
|
:return: True if trade has been sold/exited_short, False otherwise
|
|
"""
|
|
if not trade.is_open:
|
|
raise DependencyException(f"Attempt to handle closed trade: {trade}")
|
|
|
|
logger.debug("Handling %s ...", trade)
|
|
|
|
(enter, exit_) = (False, False)
|
|
exit_tag = None
|
|
exit_signal_type = "exit_short" if trade.is_short else "exit_long"
|
|
|
|
if self.config.get("use_exit_signal", True) or self.config.get(
|
|
"ignore_roi_if_entry_signal", False
|
|
):
|
|
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(
|
|
trade.pair, self.strategy.timeframe
|
|
)
|
|
|
|
(enter, exit_, exit_tag) = self.strategy.get_exit_signal(
|
|
trade.pair, self.strategy.timeframe, analyzed_df, is_short=trade.is_short
|
|
)
|
|
|
|
logger.debug("checking exit")
|
|
exit_rate = self.exchange.get_rate(
|
|
trade.pair, side="exit", is_short=trade.is_short, refresh=True
|
|
)
|
|
if self._check_and_execute_exit(trade, exit_rate, enter, exit_, exit_tag):
|
|
return True
|
|
|
|
logger.debug(f"Found no {exit_signal_type} signal for %s.", trade)
|
|
return False
|
|
|
|
def _check_and_execute_exit(
|
|
self, trade: Trade, exit_rate: float, enter: bool, exit_: bool, exit_tag: Optional[str]
|
|
) -> bool:
|
|
"""
|
|
Check and execute trade exit
|
|
"""
|
|
exits: list[ExitCheckTuple] = self.strategy.should_exit(
|
|
trade,
|
|
exit_rate,
|
|
datetime.now(timezone.utc),
|
|
enter=enter,
|
|
exit_=exit_,
|
|
force_stoploss=self.edge.get_stoploss(trade.pair) if self.edge else 0,
|
|
)
|
|
for should_exit in exits:
|
|
if should_exit.exit_flag:
|
|
exit_tag1 = exit_tag if should_exit.exit_type == ExitType.EXIT_SIGNAL else None
|
|
logger.info(
|
|
f"Exit for {trade.pair} detected. Reason: {should_exit.exit_type}"
|
|
f"{f' Tag: {exit_tag1}' if exit_tag1 is not None else ''}"
|
|
)
|
|
exited = self.execute_trade_exit(trade, exit_rate, should_exit, exit_tag=exit_tag1)
|
|
if exited:
|
|
return True
|
|
return False
|
|
|
|
def create_stoploss_order(self, trade: Trade, stop_price: float) -> bool:
|
|
"""
|
|
Abstracts creating stoploss orders from the logic.
|
|
Handles errors and updates the trade database object.
|
|
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
|
|
:return: True if the order succeeded, and False in case of problems.
|
|
"""
|
|
try:
|
|
stoploss_order = self.exchange.create_stoploss(
|
|
pair=trade.pair,
|
|
amount=trade.amount,
|
|
stop_price=stop_price,
|
|
order_types=self.strategy.order_types,
|
|
side=trade.exit_side,
|
|
leverage=trade.leverage,
|
|
)
|
|
|
|
order_obj = Order.parse_from_ccxt_object(
|
|
stoploss_order, trade.pair, "stoploss", trade.amount, stop_price
|
|
)
|
|
trade.orders.append(order_obj)
|
|
return True
|
|
except InsufficientFundsError as e:
|
|
logger.warning(f"Unable to place stoploss order {e}.")
|
|
# Try to figure out what went wrong
|
|
self.handle_insufficient_funds(trade)
|
|
|
|
except InvalidOrderException as e:
|
|
logger.error(f"Unable to place a stoploss order on exchange. {e}")
|
|
logger.warning("Exiting the trade forcefully")
|
|
self.emergency_exit(trade, stop_price)
|
|
|
|
except ExchangeError:
|
|
logger.exception("Unable to place a stoploss order on exchange.")
|
|
return False
|
|
|
|
def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
|
|
"""
|
|
Check if trade is fulfilled in which case the stoploss
|
|
on exchange should be added immediately if stoploss on exchange
|
|
is enabled.
|
|
# TODO: liquidation price always on exchange, even without stoploss_on_exchange
|
|
# Therefore fetching account liquidations for open pairs may make sense.
|
|
"""
|
|
|
|
logger.debug("Handling stoploss on exchange %s ...", trade)
|
|
|
|
stoploss_orders = []
|
|
for slo in trade.open_sl_orders:
|
|
stoploss_order = None
|
|
try:
|
|
# First we check if there is already a stoploss on exchange
|
|
stoploss_order = (
|
|
self.exchange.fetch_stoploss_order(slo.order_id, trade.pair)
|
|
if slo.order_id
|
|
else None
|
|
)
|
|
except InvalidOrderException as exception:
|
|
logger.warning("Unable to fetch stoploss order: %s", exception)
|
|
|
|
if stoploss_order:
|
|
stoploss_orders.append(stoploss_order)
|
|
self.update_trade_state(trade, slo.order_id, stoploss_order, stoploss_order=True)
|
|
|
|
# We check if stoploss order is fulfilled
|
|
if stoploss_order and stoploss_order["status"] in ("closed", "triggered"):
|
|
trade.exit_reason = ExitType.STOPLOSS_ON_EXCHANGE.value
|
|
self._notify_exit(trade, "stoploss", True)
|
|
self.handle_protections(trade.pair, trade.trade_direction)
|
|
return True
|
|
|
|
if trade.has_open_orders or not trade.is_open:
|
|
# Trade has an open order, Stoploss-handling can't happen in this case
|
|
# as the Amount on the exchange is tied up in another trade.
|
|
# The trade can be closed already (sell-order fill confirmation came in this iteration)
|
|
return False
|
|
|
|
# If enter order is fulfilled but there is no stoploss, we add a stoploss on exchange
|
|
if len(stoploss_orders) == 0:
|
|
stop_price = trade.stoploss_or_liquidation
|
|
if self.edge:
|
|
stoploss = self.edge.get_stoploss(pair=trade.pair)
|
|
stop_price = (
|
|
trade.open_rate * (1 - stoploss)
|
|
if trade.is_short
|
|
else trade.open_rate * (1 + stoploss)
|
|
)
|
|
|
|
if self.create_stoploss_order(trade=trade, stop_price=stop_price):
|
|
# The above will return False if the placement failed and the trade was force-sold.
|
|
# in which case the trade will be closed - which we must check below.
|
|
return False
|
|
|
|
self.manage_trade_stoploss_orders(trade, stoploss_orders)
|
|
|
|
return False
|
|
|
|
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None:
|
|
"""
|
|
Check to see if stoploss on exchange should be updated
|
|
in case of trailing stoploss on exchange
|
|
:param trade: Corresponding Trade
|
|
:param order: Current on exchange stoploss order
|
|
:return: None
|
|
"""
|
|
stoploss_norm = self.exchange.price_to_precision(
|
|
trade.pair,
|
|
trade.stoploss_or_liquidation,
|
|
rounding_mode=ROUND_DOWN if trade.is_short else ROUND_UP,
|
|
)
|
|
|
|
if self.exchange.stoploss_adjust(stoploss_norm, order, side=trade.exit_side):
|
|
# we check if the update is necessary
|
|
update_beat = self.strategy.order_types.get("stoploss_on_exchange_interval", 60)
|
|
upd_req = datetime.now(timezone.utc) - timedelta(seconds=update_beat)
|
|
if trade.stoploss_last_update_utc and upd_req >= trade.stoploss_last_update_utc:
|
|
# cancelling the current stoploss on exchange first
|
|
logger.info(
|
|
f"Cancelling current stoploss on exchange for pair {trade.pair} "
|
|
f"(orderid:{order['id']}) in order to add another one ..."
|
|
)
|
|
|
|
self.cancel_stoploss_on_exchange(trade)
|
|
if not trade.is_open:
|
|
logger.warning(
|
|
f"Trade {trade} is closed, not creating trailing stoploss order."
|
|
)
|
|
return
|
|
|
|
# Create new stoploss order
|
|
if not self.create_stoploss_order(trade=trade, stop_price=stoploss_norm):
|
|
logger.warning(
|
|
f"Could not create trailing stoploss order for pair {trade.pair}."
|
|
)
|
|
|
|
def manage_trade_stoploss_orders(self, trade: Trade, stoploss_orders: list[dict]):
|
|
"""
|
|
Perform required actions according to existing stoploss orders of trade
|
|
:param trade: Corresponding Trade
|
|
:param stoploss_orders: Current on exchange stoploss orders
|
|
:return: None
|
|
"""
|
|
# If all stoploss ordered are canceled for some reason we add it again
|
|
canceled_sl_orders = [
|
|
o for o in stoploss_orders if o["status"] in ("canceled", "cancelled")
|
|
]
|
|
if (
|
|
trade.is_open
|
|
and len(stoploss_orders) > 0
|
|
and len(stoploss_orders) == len(canceled_sl_orders)
|
|
):
|
|
if self.create_stoploss_order(trade=trade, stop_price=trade.stoploss_or_liquidation):
|
|
return False
|
|
else:
|
|
logger.warning("All Stoploss orders are cancelled, but unable to recreate one.")
|
|
|
|
active_sl_orders = [o for o in stoploss_orders if o not in canceled_sl_orders]
|
|
if len(active_sl_orders) > 0:
|
|
last_active_sl_order = active_sl_orders[-1]
|
|
# Finally we check if stoploss on exchange should be moved up because of trailing.
|
|
# Triggered Orders are now real orders - so don't replace stoploss anymore
|
|
if (
|
|
trade.is_open
|
|
and last_active_sl_order.get("status_stop") != "triggered"
|
|
and (
|
|
self.config.get("trailing_stop", False)
|
|
or self.config.get("use_custom_stoploss", False)
|
|
)
|
|
):
|
|
# if trailing stoploss is enabled we check if stoploss value has changed
|
|
# in which case we cancel stoploss order and put another one with new
|
|
# value immediately
|
|
self.handle_trailing_stoploss_on_exchange(trade, last_active_sl_order)
|
|
|
|
return
|
|
|
|
def manage_open_orders(self) -> None:
|
|
"""
|
|
Management of open orders on exchange. Unfilled orders might be cancelled if timeout
|
|
was met or replaced if there's a new candle and user has requested it.
|
|
Timeout setting takes priority over limit order adjustment request.
|
|
:return: None
|
|
"""
|
|
for trade in Trade.get_open_trades():
|
|
open_order: Order
|
|
for open_order in trade.open_orders:
|
|
try:
|
|
order = self.exchange.fetch_order(open_order.order_id, trade.pair)
|
|
|
|
except ExchangeError:
|
|
logger.info(
|
|
"Cannot query order for %s due to %s", trade, traceback.format_exc()
|
|
)
|
|
continue
|
|
|
|
fully_cancelled = self.update_trade_state(trade, open_order.order_id, order)
|
|
not_closed = order["status"] == "open" or fully_cancelled
|
|
|
|
if not_closed:
|
|
if fully_cancelled or (
|
|
open_order
|
|
and self.strategy.ft_check_timed_out(
|
|
trade, open_order, datetime.now(timezone.utc)
|
|
)
|
|
):
|
|
self.handle_cancel_order(
|
|
order, open_order, trade, constants.CANCEL_REASON["TIMEOUT"]
|
|
)
|
|
else:
|
|
self.replace_order(order, open_order, trade)
|
|
|
|
def handle_cancel_order(self, order: dict, order_obj: Order, trade: Trade, reason: str) -> None:
|
|
"""
|
|
Check if current analyzed order timed out and cancel if necessary.
|
|
:param order: Order dict grabbed with exchange.fetch_order()
|
|
:param order_obj: Order object from the database.
|
|
:param trade: Trade object.
|
|
:return: None
|
|
"""
|
|
if order["side"] == trade.entry_side:
|
|
self.handle_cancel_enter(trade, order, order_obj, reason)
|
|
else:
|
|
canceled = self.handle_cancel_exit(trade, order, order_obj, reason)
|
|
canceled_count = trade.get_canceled_exit_order_count()
|
|
max_timeouts = self.config.get("unfilledtimeout", {}).get("exit_timeout_count", 0)
|
|
if canceled and max_timeouts > 0 and canceled_count >= max_timeouts:
|
|
logger.warning(
|
|
f"Emergency exiting trade {trade}, as the exit order "
|
|
f"timed out {max_timeouts} times. force selling {order['amount']}."
|
|
)
|
|
self.emergency_exit(trade, order["price"], order["amount"])
|
|
|
|
def emergency_exit(
|
|
self, trade: Trade, price: float, sub_trade_amt: Optional[float] = None
|
|
) -> None:
|
|
try:
|
|
self.execute_trade_exit(
|
|
trade,
|
|
price,
|
|
exit_check=ExitCheckTuple(exit_type=ExitType.EMERGENCY_EXIT),
|
|
sub_trade_amt=sub_trade_amt,
|
|
)
|
|
except DependencyException as exception:
|
|
logger.warning(f"Unable to emergency exit trade {trade.pair}: {exception}")
|
|
|
|
def replace_order_failed(self, trade: Trade, msg: str) -> None:
|
|
"""
|
|
Order replacement fail handling.
|
|
Deletes the trade if necessary.
|
|
:param trade: Trade object.
|
|
:param msg: Error message.
|
|
"""
|
|
logger.warning(msg)
|
|
if trade.nr_of_successful_entries == 0:
|
|
# this is the first entry and we didn't get filled yet, delete trade
|
|
logger.warning(f"Removing {trade} from database.")
|
|
self._notify_enter_cancel(
|
|
trade,
|
|
order_type=self.strategy.order_types["entry"],
|
|
reason=constants.CANCEL_REASON["REPLACE_FAILED"],
|
|
)
|
|
trade.delete()
|
|
|
|
def replace_order(self, order: dict, order_obj: Optional[Order], trade: Trade) -> None:
|
|
"""
|
|
Check if current analyzed entry order should be replaced or simply cancelled.
|
|
To simply cancel the existing order(no replacement) adjust_entry_price() should return None
|
|
To maintain existing order adjust_entry_price() should return order_obj.price
|
|
To replace existing order adjust_entry_price() should return desired price for limit order
|
|
:param order: Order dict grabbed with exchange.fetch_order()
|
|
:param order_obj: Order object.
|
|
:param trade: Trade object.
|
|
:return: None
|
|
"""
|
|
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(
|
|
trade.pair, self.strategy.timeframe
|
|
)
|
|
latest_candle_open_date = analyzed_df.iloc[-1]["date"] if len(analyzed_df) > 0 else None
|
|
latest_candle_close_date = timeframe_to_next_date(
|
|
self.strategy.timeframe, latest_candle_open_date
|
|
)
|
|
# Check if new candle
|
|
if (
|
|
order_obj
|
|
and order_obj.side == trade.entry_side
|
|
and latest_candle_close_date > order_obj.order_date_utc
|
|
):
|
|
# New candle
|
|
proposed_rate = self.exchange.get_rate(
|
|
trade.pair, side="entry", is_short=trade.is_short, refresh=True
|
|
)
|
|
adjusted_entry_price = strategy_safe_wrapper(
|
|
self.strategy.adjust_entry_price, default_retval=order_obj.safe_placement_price
|
|
)(
|
|
trade=trade,
|
|
order=order_obj,
|
|
pair=trade.pair,
|
|
current_time=datetime.now(timezone.utc),
|
|
proposed_rate=proposed_rate,
|
|
current_order_rate=order_obj.safe_placement_price,
|
|
entry_tag=trade.enter_tag,
|
|
side=trade.trade_direction,
|
|
)
|
|
|
|
replacing = True
|
|
cancel_reason = constants.CANCEL_REASON["REPLACE"]
|
|
if not adjusted_entry_price:
|
|
replacing = False
|
|
cancel_reason = constants.CANCEL_REASON["USER_CANCEL"]
|
|
if order_obj.safe_placement_price != adjusted_entry_price:
|
|
# cancel existing order if new price is supplied or None
|
|
res = self.handle_cancel_enter(
|
|
trade, order, order_obj, cancel_reason, replacing=replacing
|
|
)
|
|
if not res:
|
|
self.replace_order_failed(
|
|
trade, f"Could not cancel order for {trade}, therefore not replacing."
|
|
)
|
|
return
|
|
if adjusted_entry_price:
|
|
# place new order only if new price is supplied
|
|
try:
|
|
if not self.execute_entry(
|
|
pair=trade.pair,
|
|
stake_amount=(
|
|
order_obj.safe_remaining * order_obj.safe_price / trade.leverage
|
|
),
|
|
price=adjusted_entry_price,
|
|
trade=trade,
|
|
is_short=trade.is_short,
|
|
mode="replace",
|
|
):
|
|
self.replace_order_failed(
|
|
trade, f"Could not replace order for {trade}."
|
|
)
|
|
except DependencyException as exception:
|
|
logger.warning(f"Unable to replace order for {trade.pair}: {exception}")
|
|
self.replace_order_failed(trade, f"Could not replace order for {trade}.")
|
|
|
|
def cancel_all_open_orders(self) -> None:
|
|
"""
|
|
Cancel all orders that are currently open
|
|
:return: None
|
|
"""
|
|
|
|
for trade in Trade.get_open_trades():
|
|
for open_order in trade.open_orders:
|
|
try:
|
|
order = self.exchange.fetch_order(open_order.order_id, trade.pair)
|
|
except ExchangeError:
|
|
logger.info("Can't query order for %s due to %s", trade, traceback.format_exc())
|
|
continue
|
|
|
|
if order["side"] == trade.entry_side:
|
|
self.handle_cancel_enter(
|
|
trade, order, open_order, constants.CANCEL_REASON["ALL_CANCELLED"]
|
|
)
|
|
|
|
elif order["side"] == trade.exit_side:
|
|
self.handle_cancel_exit(
|
|
trade, order, open_order, constants.CANCEL_REASON["ALL_CANCELLED"]
|
|
)
|
|
Trade.commit()
|
|
|
|
def handle_cancel_enter(
|
|
self,
|
|
trade: Trade,
|
|
order: dict,
|
|
order_obj: Order,
|
|
reason: str,
|
|
replacing: Optional[bool] = False,
|
|
) -> bool:
|
|
"""
|
|
entry cancel - cancel order
|
|
:param order_obj: Order object from the database.
|
|
:param replacing: Replacing order - prevent trade deletion.
|
|
:return: True if trade was fully cancelled
|
|
"""
|
|
was_trade_fully_canceled = False
|
|
order_id = order_obj.order_id
|
|
side = trade.entry_side.capitalize()
|
|
|
|
if order["status"] not in constants.NON_OPEN_EXCHANGE_STATES:
|
|
filled_val: float = order.get("filled", 0.0) or 0.0
|
|
filled_stake = filled_val * trade.open_rate
|
|
minstake = self.exchange.get_min_pair_stake_amount(
|
|
trade.pair, trade.open_rate, self.strategy.stoploss
|
|
)
|
|
|
|
if filled_val > 0 and minstake and filled_stake < minstake:
|
|
logger.warning(
|
|
f"Order {order_id} for {trade.pair} not cancelled, "
|
|
f"as the filled amount of {filled_val} would result in an unexitable trade."
|
|
)
|
|
return False
|
|
corder = self.exchange.cancel_order_with_result(order_id, trade.pair, trade.amount)
|
|
order_obj.ft_cancel_reason = reason
|
|
# if replacing, retry fetching the order 3 times if the status is not what we need
|
|
if replacing:
|
|
retry_count = 0
|
|
while (
|
|
corder.get("status") not in constants.NON_OPEN_EXCHANGE_STATES
|
|
and retry_count < 3
|
|
):
|
|
sleep(0.5)
|
|
corder = self.exchange.fetch_order(order_id, trade.pair)
|
|
retry_count += 1
|
|
|
|
# Avoid race condition where the order could not be cancelled coz its already filled.
|
|
# Simply bailing here is the only safe way - as this order will then be
|
|
# handled in the next iteration.
|
|
if corder.get("status") not in constants.NON_OPEN_EXCHANGE_STATES:
|
|
logger.warning(f"Order {order_id} for {trade.pair} not cancelled.")
|
|
return False
|
|
else:
|
|
# Order was cancelled already, so we can reuse the existing dict
|
|
corder = order
|
|
if order_obj.ft_cancel_reason is None:
|
|
order_obj.ft_cancel_reason = constants.CANCEL_REASON["CANCELLED_ON_EXCHANGE"]
|
|
|
|
logger.info(f"{side} order {order_obj.ft_cancel_reason} for {trade}.")
|
|
|
|
# Using filled to determine the filled amount
|
|
filled_amount = safe_value_fallback2(corder, order, "filled", "filled")
|
|
if isclose(filled_amount, 0.0, abs_tol=constants.MATH_CLOSE_PREC):
|
|
was_trade_fully_canceled = True
|
|
# if trade is not partially completed and it's the only order, just delete the trade
|
|
open_order_count = len(
|
|
[order for order in trade.orders if order.ft_is_open and order.order_id != order_id]
|
|
)
|
|
if open_order_count < 1 and trade.nr_of_successful_entries == 0 and not replacing:
|
|
logger.info(f"{side} order fully cancelled. Removing {trade} from database.")
|
|
trade.delete()
|
|
order_obj.ft_cancel_reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"
|
|
else:
|
|
self.update_trade_state(trade, order_id, corder)
|
|
logger.info(f"{side} Order timeout for {trade}.")
|
|
else:
|
|
# update_trade_state (and subsequently recalc_trade_from_orders) will handle updates
|
|
# to the trade object
|
|
self.update_trade_state(trade, order_id, corder)
|
|
|
|
logger.info(f"Partial {trade.entry_side} order timeout for {trade}.")
|
|
order_obj.ft_cancel_reason += f", {constants.CANCEL_REASON['PARTIALLY_FILLED']}"
|
|
|
|
self.wallets.update()
|
|
self._notify_enter_cancel(
|
|
trade, order_type=self.strategy.order_types["entry"], reason=order_obj.ft_cancel_reason
|
|
)
|
|
return was_trade_fully_canceled
|
|
|
|
def handle_cancel_exit(self, trade: Trade, order: dict, order_obj: Order, reason: str) -> bool:
|
|
"""
|
|
exit order cancel - cancel order and update trade
|
|
:return: True if exit order was cancelled, false otherwise
|
|
"""
|
|
order_id = order_obj.order_id
|
|
cancelled = False
|
|
# Cancelled orders may have the status of 'canceled' or 'closed'
|
|
if order["status"] not in constants.NON_OPEN_EXCHANGE_STATES:
|
|
filled_amt: float = order.get("filled", 0.0) or 0.0
|
|
# Filled val is in quote currency (after leverage)
|
|
filled_rem_stake = trade.stake_amount - (filled_amt * trade.open_rate / trade.leverage)
|
|
minstake = self.exchange.get_min_pair_stake_amount(
|
|
trade.pair, trade.open_rate, self.strategy.stoploss
|
|
)
|
|
# Double-check remaining amount
|
|
if filled_amt > 0:
|
|
reason = constants.CANCEL_REASON["PARTIALLY_FILLED"]
|
|
if minstake and filled_rem_stake < minstake:
|
|
logger.warning(
|
|
f"Order {order_id} for {trade.pair} not cancelled, as "
|
|
f"the filled amount of {filled_amt} would result in an unexitable trade."
|
|
)
|
|
reason = constants.CANCEL_REASON["PARTIALLY_FILLED_KEEP_OPEN"]
|
|
|
|
self._notify_exit_cancel(
|
|
trade,
|
|
order_type=self.strategy.order_types["exit"],
|
|
reason=reason,
|
|
order_id=order["id"],
|
|
sub_trade=trade.amount != order["amount"],
|
|
)
|
|
return False
|
|
order_obj.ft_cancel_reason = reason
|
|
try:
|
|
order = self.exchange.cancel_order_with_result(
|
|
order["id"], trade.pair, trade.amount
|
|
)
|
|
except InvalidOrderException:
|
|
logger.exception(f"Could not cancel {trade.exit_side} order {order_id}")
|
|
return False
|
|
|
|
# Set exit_reason for fill message
|
|
exit_reason_prev = trade.exit_reason
|
|
trade.exit_reason = trade.exit_reason + f", {reason}" if trade.exit_reason else reason
|
|
# Order might be filled above in odd timing issues.
|
|
if order.get("status") in ("canceled", "cancelled"):
|
|
trade.exit_reason = None
|
|
else:
|
|
trade.exit_reason = exit_reason_prev
|
|
cancelled = True
|
|
else:
|
|
if order_obj.ft_cancel_reason is None:
|
|
order_obj.ft_cancel_reason = constants.CANCEL_REASON["CANCELLED_ON_EXCHANGE"]
|
|
trade.exit_reason = None
|
|
|
|
self.update_trade_state(trade, order["id"], order)
|
|
|
|
logger.info(
|
|
f"{trade.exit_side.capitalize()} order {order_obj.ft_cancel_reason} for {trade}."
|
|
)
|
|
trade.close_rate = None
|
|
trade.close_rate_requested = None
|
|
|
|
self._notify_exit_cancel(
|
|
trade,
|
|
order_type=self.strategy.order_types["exit"],
|
|
reason=order_obj.ft_cancel_reason,
|
|
order_id=order["id"],
|
|
sub_trade=trade.amount != order["amount"],
|
|
)
|
|
return cancelled
|
|
|
|
def _safe_exit_amount(self, trade: Trade, pair: str, amount: float) -> float:
|
|
"""
|
|
Get sellable amount.
|
|
Should be trade.amount - but will fall back to the available amount if necessary.
|
|
This should cover cases where get_real_amount() was not able to update the amount
|
|
for whatever reason.
|
|
:param trade: Trade we're working with
|
|
:param pair: Pair we're trying to sell
|
|
:param amount: amount we expect to be available
|
|
:return: amount to sell
|
|
:raise: DependencyException: if available balance is not within 2% of the available amount.
|
|
"""
|
|
# Update wallets to ensure amounts tied up in a stoploss is now free!
|
|
self.wallets.update()
|
|
if self.trading_mode == TradingMode.FUTURES:
|
|
# A safe exit amount isn't needed for futures, you can just exit/close the position
|
|
return amount
|
|
|
|
trade_base_currency = self.exchange.get_pair_base_currency(pair)
|
|
wallet_amount = self.wallets.get_free(trade_base_currency)
|
|
logger.debug(f"{pair} - Wallet: {wallet_amount} - Trade-amount: {amount}")
|
|
if wallet_amount >= amount:
|
|
return amount
|
|
elif wallet_amount > amount * 0.98:
|
|
logger.info(f"{pair} - Falling back to wallet-amount {wallet_amount} -> {amount}.")
|
|
trade.amount = wallet_amount
|
|
return wallet_amount
|
|
else:
|
|
raise DependencyException(
|
|
f"Not enough amount to exit trade. Trade-amount: {amount}, Wallet: {wallet_amount}"
|
|
)
|
|
|
|
def execute_trade_exit(
|
|
self,
|
|
trade: Trade,
|
|
limit: float,
|
|
exit_check: ExitCheckTuple,
|
|
*,
|
|
exit_tag: Optional[str] = None,
|
|
ordertype: Optional[str] = None,
|
|
sub_trade_amt: Optional[float] = None,
|
|
) -> bool:
|
|
"""
|
|
Executes a trade exit for the given trade and limit
|
|
:param trade: Trade instance
|
|
:param limit: limit rate for the sell order
|
|
:param exit_check: CheckTuple with signal and reason
|
|
:return: True if it succeeds False
|
|
"""
|
|
trade.set_funding_fees(
|
|
self.exchange.get_funding_fees(
|
|
pair=trade.pair,
|
|
amount=trade.amount,
|
|
is_short=trade.is_short,
|
|
open_date=trade.date_last_filled_utc,
|
|
)
|
|
)
|
|
|
|
exit_type = "exit"
|
|
exit_reason = exit_tag or exit_check.exit_reason
|
|
if exit_check.exit_type in (
|
|
ExitType.STOP_LOSS,
|
|
ExitType.TRAILING_STOP_LOSS,
|
|
ExitType.LIQUIDATION,
|
|
):
|
|
exit_type = "stoploss"
|
|
|
|
# set custom_exit_price if available
|
|
proposed_limit_rate = limit
|
|
current_profit = trade.calc_profit_ratio(limit)
|
|
custom_exit_price = strategy_safe_wrapper(
|
|
self.strategy.custom_exit_price, default_retval=proposed_limit_rate
|
|
)(
|
|
pair=trade.pair,
|
|
trade=trade,
|
|
current_time=datetime.now(timezone.utc),
|
|
proposed_rate=proposed_limit_rate,
|
|
current_profit=current_profit,
|
|
exit_tag=exit_reason,
|
|
)
|
|
|
|
limit = self.get_valid_price(custom_exit_price, proposed_limit_rate)
|
|
|
|
# First cancelling stoploss on exchange ...
|
|
trade = self.cancel_stoploss_on_exchange(trade)
|
|
|
|
order_type = ordertype or self.strategy.order_types[exit_type]
|
|
if exit_check.exit_type == ExitType.EMERGENCY_EXIT:
|
|
# Emergency sells (default to market!)
|
|
order_type = self.strategy.order_types.get("emergency_exit", "market")
|
|
|
|
amount = self._safe_exit_amount(trade, trade.pair, sub_trade_amt or trade.amount)
|
|
time_in_force = self.strategy.order_time_in_force["exit"]
|
|
|
|
if (
|
|
exit_check.exit_type != ExitType.LIQUIDATION
|
|
and not sub_trade_amt
|
|
and not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
|
|
pair=trade.pair,
|
|
trade=trade,
|
|
order_type=order_type,
|
|
amount=amount,
|
|
rate=limit,
|
|
time_in_force=time_in_force,
|
|
exit_reason=exit_reason,
|
|
sell_reason=exit_reason, # sellreason -> compatibility
|
|
current_time=datetime.now(timezone.utc),
|
|
)
|
|
):
|
|
logger.info(f"User denied exit for {trade.pair}.")
|
|
return False
|
|
|
|
try:
|
|
# Execute sell and update trade record
|
|
order = self.exchange.create_order(
|
|
pair=trade.pair,
|
|
ordertype=order_type,
|
|
side=trade.exit_side,
|
|
amount=amount,
|
|
rate=limit,
|
|
leverage=trade.leverage,
|
|
reduceOnly=self.trading_mode == TradingMode.FUTURES,
|
|
time_in_force=time_in_force,
|
|
)
|
|
except InsufficientFundsError as e:
|
|
logger.warning(f"Unable to place order {e}.")
|
|
# Try to figure out what went wrong
|
|
self.handle_insufficient_funds(trade)
|
|
return False
|
|
|
|
order_obj = Order.parse_from_ccxt_object(order, trade.pair, trade.exit_side, amount, limit)
|
|
order_obj.ft_order_tag = exit_reason
|
|
trade.orders.append(order_obj)
|
|
|
|
trade.exit_order_status = ""
|
|
trade.close_rate_requested = limit
|
|
trade.exit_reason = exit_reason
|
|
|
|
self._notify_exit(trade, order_type, sub_trade=bool(sub_trade_amt), order=order_obj)
|
|
# In case of market sell orders the order can be closed immediately
|
|
if order.get("status", "unknown") in ("closed", "expired"):
|
|
self.update_trade_state(trade, order_obj.order_id, order)
|
|
Trade.commit()
|
|
|
|
return True
|
|
|
|
def _notify_exit(
|
|
self,
|
|
trade: Trade,
|
|
order_type: Optional[str],
|
|
fill: bool = False,
|
|
sub_trade: bool = False,
|
|
order: Optional[Order] = None,
|
|
) -> None:
|
|
"""
|
|
Sends rpc notification when a sell occurred.
|
|
"""
|
|
# Use cached rates here - it was updated seconds ago.
|
|
current_rate = (
|
|
self.exchange.get_rate(trade.pair, side="exit", is_short=trade.is_short, refresh=False)
|
|
if not fill
|
|
else None
|
|
)
|
|
|
|
# second condition is for mypy only; order will always be passed during sub trade
|
|
if sub_trade and order is not None:
|
|
amount = order.safe_filled if fill else order.safe_amount
|
|
order_rate: float = order.safe_price
|
|
|
|
profit = trade.calculate_profit(order_rate, amount, trade.open_rate)
|
|
else:
|
|
order_rate = trade.safe_close_rate
|
|
profit = trade.calculate_profit(rate=order_rate)
|
|
amount = trade.amount
|
|
gain: ProfitLossStr = "profit" if profit.profit_ratio > 0 else "loss"
|
|
|
|
msg: RPCExitMsg = {
|
|
"type": (RPCMessageType.EXIT_FILL if fill else RPCMessageType.EXIT),
|
|
"trade_id": trade.id,
|
|
"exchange": trade.exchange.capitalize(),
|
|
"pair": trade.pair,
|
|
"leverage": trade.leverage,
|
|
"direction": "Short" if trade.is_short else "Long",
|
|
"gain": gain,
|
|
"limit": order_rate, # Deprecated
|
|
"order_rate": order_rate,
|
|
"order_type": order_type or "unknown",
|
|
"amount": amount,
|
|
"open_rate": trade.open_rate,
|
|
"close_rate": order_rate,
|
|
"current_rate": current_rate,
|
|
"profit_amount": profit.profit_abs,
|
|
"profit_ratio": profit.profit_ratio,
|
|
"buy_tag": trade.enter_tag,
|
|
"enter_tag": trade.enter_tag,
|
|
"exit_reason": trade.exit_reason,
|
|
"open_date": trade.open_date_utc,
|
|
"close_date": trade.close_date_utc or datetime.now(timezone.utc),
|
|
"stake_amount": trade.stake_amount,
|
|
"stake_currency": self.config["stake_currency"],
|
|
"base_currency": self.exchange.get_pair_base_currency(trade.pair),
|
|
"quote_currency": self.exchange.get_pair_quote_currency(trade.pair),
|
|
"fiat_currency": self.config.get("fiat_display_currency"),
|
|
"sub_trade": sub_trade,
|
|
"cumulative_profit": trade.realized_profit,
|
|
"final_profit_ratio": trade.close_profit if not trade.is_open else None,
|
|
"is_final_exit": trade.is_open is False,
|
|
}
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
def _notify_exit_cancel(
|
|
self, trade: Trade, order_type: str, reason: str, order_id: str, sub_trade: bool = False
|
|
) -> None:
|
|
"""
|
|
Sends rpc notification when a sell cancel occurred.
|
|
"""
|
|
if trade.exit_order_status == reason:
|
|
return
|
|
else:
|
|
trade.exit_order_status = reason
|
|
|
|
order_or_none = trade.select_order_by_order_id(order_id)
|
|
order = self.order_obj_or_raise(order_id, order_or_none)
|
|
|
|
profit_rate: float = trade.safe_close_rate
|
|
profit = trade.calculate_profit(rate=profit_rate)
|
|
current_rate = self.exchange.get_rate(
|
|
trade.pair, side="exit", is_short=trade.is_short, refresh=False
|
|
)
|
|
gain: ProfitLossStr = "profit" if profit.profit_ratio > 0 else "loss"
|
|
|
|
msg: RPCExitCancelMsg = {
|
|
"type": RPCMessageType.EXIT_CANCEL,
|
|
"trade_id": trade.id,
|
|
"exchange": trade.exchange.capitalize(),
|
|
"pair": trade.pair,
|
|
"leverage": trade.leverage,
|
|
"direction": "Short" if trade.is_short else "Long",
|
|
"gain": gain,
|
|
"limit": profit_rate or 0,
|
|
"order_type": order_type,
|
|
"amount": order.safe_amount_after_fee,
|
|
"open_rate": trade.open_rate,
|
|
"current_rate": current_rate,
|
|
"profit_amount": profit.profit_abs,
|
|
"profit_ratio": profit.profit_ratio,
|
|
"buy_tag": trade.enter_tag,
|
|
"enter_tag": trade.enter_tag,
|
|
"exit_reason": trade.exit_reason,
|
|
"open_date": trade.open_date,
|
|
"close_date": trade.close_date or datetime.now(timezone.utc),
|
|
"stake_currency": self.config["stake_currency"],
|
|
"base_currency": self.exchange.get_pair_base_currency(trade.pair),
|
|
"quote_currency": self.exchange.get_pair_quote_currency(trade.pair),
|
|
"fiat_currency": self.config.get("fiat_display_currency", None),
|
|
"reason": reason,
|
|
"sub_trade": sub_trade,
|
|
"stake_amount": trade.stake_amount,
|
|
}
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
|
|
def order_obj_or_raise(self, order_id: str, order_obj: Optional[Order]) -> Order:
|
|
if not order_obj:
|
|
raise DependencyException(
|
|
f"Order_obj not found for {order_id}. This should not have happened."
|
|
)
|
|
return order_obj
|
|
|
|
#
|
|
# Common update trade state methods
|
|
#
|
|
|
|
def update_trade_state(
|
|
self,
|
|
trade: Trade,
|
|
order_id: Optional[str],
|
|
action_order: Optional[dict[str, Any]] = None,
|
|
*,
|
|
stoploss_order: bool = False,
|
|
send_msg: bool = True,
|
|
) -> bool:
|
|
"""
|
|
Checks trades with open orders and updates the amount if necessary
|
|
Handles closing both buy and sell orders.
|
|
:param trade: Trade object of the trade we're analyzing
|
|
:param order_id: Order-id of the order we're analyzing
|
|
:param action_order: Already acquired order object
|
|
:param send_msg: Send notification - should always be True except in "recovery" methods
|
|
:return: True if order has been cancelled without being filled partially, False otherwise
|
|
"""
|
|
if not order_id:
|
|
logger.warning(f"Orderid for trade {trade} is empty.")
|
|
return False
|
|
|
|
# Update trade with order values
|
|
if not stoploss_order:
|
|
logger.info(f"Found open order for {trade}")
|
|
try:
|
|
order = action_order or self.exchange.fetch_order_or_stoploss_order(
|
|
order_id, trade.pair, stoploss_order
|
|
)
|
|
except InvalidOrderException as exception:
|
|
logger.warning("Unable to fetch order %s: %s", order_id, exception)
|
|
return False
|
|
|
|
trade.update_order(order)
|
|
|
|
if self.exchange.check_order_canceled_empty(order):
|
|
# Trade has been cancelled on exchange
|
|
# Handling of this will happen in handle_cancel_order.
|
|
return True
|
|
|
|
order_obj_or_none = trade.select_order_by_order_id(order_id)
|
|
order_obj = self.order_obj_or_raise(order_id, order_obj_or_none)
|
|
|
|
self.handle_order_fee(trade, order_obj, order)
|
|
|
|
trade.update_trade(order_obj, not send_msg)
|
|
|
|
trade = self._update_trade_after_fill(trade, order_obj, send_msg)
|
|
Trade.commit()
|
|
|
|
self.order_close_notify(trade, order_obj, stoploss_order, send_msg)
|
|
|
|
return False
|
|
|
|
def _update_trade_after_fill(self, trade: Trade, order: Order, send_msg: bool) -> Trade:
|
|
if order.status in constants.NON_OPEN_EXCHANGE_STATES:
|
|
strategy_safe_wrapper(self.strategy.order_filled, default_retval=None)(
|
|
pair=trade.pair, trade=trade, order=order, current_time=datetime.now(timezone.utc)
|
|
)
|
|
# If a entry order was closed, force update on stoploss on exchange
|
|
if order.ft_order_side == trade.entry_side:
|
|
if send_msg:
|
|
# Don't cancel stoploss in recovery modes immediately
|
|
trade = self.cancel_stoploss_on_exchange(trade)
|
|
if not self.edge:
|
|
# TODO: should shorting/leverage be supported by Edge,
|
|
# then this will need to be fixed.
|
|
trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
|
|
if (
|
|
order.ft_order_side == trade.entry_side
|
|
or (trade.amount > 0 and trade.is_open)
|
|
or self.margin_mode == MarginMode.CROSS
|
|
):
|
|
# Must also run for partial exits
|
|
# TODO: Margin will need to use interest_rate as well.
|
|
# interest_rate = self.exchange.get_interest_rate()
|
|
update_liquidation_prices(
|
|
trade,
|
|
exchange=self.exchange,
|
|
wallets=self.wallets,
|
|
stake_currency=self.config["stake_currency"],
|
|
dry_run=self.config["dry_run"],
|
|
)
|
|
if self.strategy.use_custom_stoploss:
|
|
current_rate = self.exchange.get_rate(
|
|
trade.pair, side="exit", is_short=trade.is_short, refresh=True
|
|
)
|
|
profit = trade.calc_profit_ratio(current_rate)
|
|
self.strategy.ft_stoploss_adjust(
|
|
current_rate, trade, datetime.now(timezone.utc), profit, 0, after_fill=True
|
|
)
|
|
# Updating wallets when order is closed
|
|
self.wallets.update()
|
|
return trade
|
|
|
|
def order_close_notify(self, trade: Trade, order: Order, stoploss_order: bool, send_msg: bool):
|
|
"""send "fill" notifications"""
|
|
|
|
if order.ft_order_side == trade.exit_side:
|
|
# Exit notification
|
|
if send_msg and not stoploss_order and order.order_id not in trade.open_orders_ids:
|
|
self._notify_exit(
|
|
trade, order.order_type, fill=True, sub_trade=trade.is_open, order=order
|
|
)
|
|
if not trade.is_open:
|
|
self.handle_protections(trade.pair, trade.trade_direction)
|
|
elif send_msg and order.order_id not in trade.open_orders_ids and not stoploss_order:
|
|
sub_trade = not isclose(
|
|
order.safe_amount_after_fee, trade.amount, abs_tol=constants.MATH_CLOSE_PREC
|
|
)
|
|
# Enter fill
|
|
self._notify_enter(trade, order, order.order_type, fill=True, sub_trade=sub_trade)
|
|
|
|
def handle_protections(self, pair: str, side: LongShort) -> None:
|
|
# Lock pair for one candle to prevent immediate re-entries
|
|
self.strategy.lock_pair(pair, datetime.now(timezone.utc), reason="Auto lock")
|
|
prot_trig = self.protections.stop_per_pair(pair, side=side)
|
|
if prot_trig:
|
|
msg: RPCProtectionMsg = {
|
|
"type": RPCMessageType.PROTECTION_TRIGGER,
|
|
"base_currency": self.exchange.get_pair_base_currency(prot_trig.pair),
|
|
**prot_trig.to_json(), # type: ignore
|
|
}
|
|
self.rpc.send_msg(msg)
|
|
|
|
prot_trig_glb = self.protections.global_stop(side=side)
|
|
if prot_trig_glb:
|
|
msg = {
|
|
"type": RPCMessageType.PROTECTION_TRIGGER_GLOBAL,
|
|
"base_currency": self.exchange.get_pair_base_currency(prot_trig_glb.pair),
|
|
**prot_trig_glb.to_json(), # type: ignore
|
|
}
|
|
self.rpc.send_msg(msg)
|
|
|
|
def apply_fee_conditional(
|
|
self,
|
|
trade: Trade,
|
|
trade_base_currency: str,
|
|
amount: float,
|
|
fee_abs: float,
|
|
order_obj: Order,
|
|
) -> Optional[float]:
|
|
"""
|
|
Applies the fee to amount (either from Order or from Trades).
|
|
Can eat into dust if more than the required asset is available.
|
|
In case of trade adjustment orders, trade.amount will not have been adjusted yet.
|
|
Can't happen in Futures mode - where Fees are always in settlement currency,
|
|
never in base currency.
|
|
"""
|
|
self.wallets.update()
|
|
amount_ = trade.amount
|
|
if order_obj.ft_order_side == trade.exit_side or order_obj.ft_order_side == "stoploss":
|
|
# check against remaining amount!
|
|
amount_ = trade.amount - amount
|
|
|
|
if trade.nr_of_successful_entries >= 1 and order_obj.ft_order_side == trade.entry_side:
|
|
# In case of re-entry's, trade.amount doesn't contain the amount of the last entry.
|
|
amount_ = trade.amount + amount
|
|
|
|
if fee_abs != 0 and self.wallets.get_free(trade_base_currency) >= amount_:
|
|
# Eat into dust if we own more than base currency
|
|
logger.info(
|
|
f"Fee amount for {trade} was in base currency - Eating Fee {fee_abs} into dust."
|
|
)
|
|
elif fee_abs != 0:
|
|
logger.info(f"Applying fee on amount for {trade}, fee={fee_abs}.")
|
|
return fee_abs
|
|
return None
|
|
|
|
def handle_order_fee(self, trade: Trade, order_obj: Order, order: dict[str, Any]) -> None:
|
|
# Try update amount (binance-fix)
|
|
try:
|
|
fee_abs = self.get_real_amount(trade, order, order_obj)
|
|
if fee_abs is not None:
|
|
order_obj.ft_fee_base = fee_abs
|
|
except DependencyException as exception:
|
|
logger.warning("Could not update trade amount: %s", exception)
|
|
|
|
def get_real_amount(self, trade: Trade, order: dict, order_obj: Order) -> Optional[float]:
|
|
"""
|
|
Detect and update trade fee.
|
|
Calls trade.update_fee() upon correct detection.
|
|
Returns modified amount if the fee was taken from the destination currency.
|
|
Necessary for exchanges which charge fees in base currency (e.g. binance)
|
|
:return: Absolute fee to apply for this order or None
|
|
"""
|
|
# Init variables
|
|
order_amount = safe_value_fallback(order, "filled", "amount")
|
|
# Only run for closed orders
|
|
if (
|
|
trade.fee_updated(order.get("side", ""))
|
|
or order["status"] == "open"
|
|
or order_obj.ft_fee_base
|
|
):
|
|
return None
|
|
|
|
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
|
|
# use fee from order-dict if possible
|
|
if self.exchange.order_has_fee(order):
|
|
fee_cost, fee_currency, fee_rate = self.exchange.extract_cost_curr_rate(
|
|
order["fee"], order["symbol"], order["cost"], order_obj.safe_filled
|
|
)
|
|
logger.info(
|
|
f"Fee for Trade {trade} [{order_obj.ft_order_side}]: "
|
|
f"{fee_cost:.8g} {fee_currency} - rate: {fee_rate}"
|
|
)
|
|
if fee_rate is None or fee_rate < 0.02:
|
|
# Reject all fees that report as > 2%.
|
|
# These are most likely caused by a parsing bug in ccxt
|
|
# due to multiple trades (https://github.com/ccxt/ccxt/issues/8025)
|
|
trade.update_fee(fee_cost, fee_currency, fee_rate, order.get("side", ""))
|
|
if trade_base_currency == fee_currency:
|
|
# Apply fee to amount
|
|
return self.apply_fee_conditional(
|
|
trade,
|
|
trade_base_currency,
|
|
amount=order_amount,
|
|
fee_abs=fee_cost,
|
|
order_obj=order_obj,
|
|
)
|
|
return None
|
|
return self.fee_detection_from_trades(
|
|
trade, order, order_obj, order_amount, order.get("trades", [])
|
|
)
|
|
|
|
def _trades_valid_for_fee(self, trades: list[dict[str, Any]]) -> bool:
|
|
"""
|
|
Check if trades are valid for fee detection.
|
|
:return: True if trades are valid for fee detection, False otherwise
|
|
"""
|
|
if not trades:
|
|
return False
|
|
# We expect amount and cost to be present in all trade objects.
|
|
if any(trade.get("amount") is None or trade.get("cost") is None for trade in trades):
|
|
return False
|
|
return True
|
|
|
|
def fee_detection_from_trades(
|
|
self, trade: Trade, order: dict, order_obj: Order, order_amount: float, trades: list
|
|
) -> Optional[float]:
|
|
"""
|
|
fee-detection fallback to Trades.
|
|
Either uses provided trades list or the result of fetch_my_trades to get correct fee.
|
|
"""
|
|
if not self._trades_valid_for_fee(trades):
|
|
trades = self.exchange.get_trades_for_order(
|
|
self.exchange.get_order_id_conditional(order), trade.pair, order_obj.order_date
|
|
)
|
|
|
|
if len(trades) == 0:
|
|
logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
|
|
return None
|
|
fee_currency = None
|
|
amount = 0
|
|
fee_abs = 0.0
|
|
fee_cost = 0.0
|
|
trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
|
|
fee_rate_array: list[float] = []
|
|
for exectrade in trades:
|
|
amount += exectrade["amount"]
|
|
if self.exchange.order_has_fee(exectrade):
|
|
# Prefer singular fee
|
|
fees = [exectrade["fee"]]
|
|
else:
|
|
fees = exectrade.get("fees", [])
|
|
for fee in fees:
|
|
fee_cost_, fee_currency, fee_rate_ = self.exchange.extract_cost_curr_rate(
|
|
fee, exectrade["symbol"], exectrade["cost"], exectrade["amount"]
|
|
)
|
|
fee_cost += fee_cost_
|
|
if fee_rate_ is not None:
|
|
fee_rate_array.append(fee_rate_)
|
|
# only applies if fee is in quote currency!
|
|
if trade_base_currency == fee_currency:
|
|
fee_abs += fee_cost_
|
|
# Ensure at least one trade was found:
|
|
if fee_currency:
|
|
# fee_rate should use mean
|
|
fee_rate = sum(fee_rate_array) / float(len(fee_rate_array)) if fee_rate_array else None
|
|
if fee_rate is not None and fee_rate < 0.02:
|
|
# Only update if fee-rate is < 2%
|
|
trade.update_fee(fee_cost, fee_currency, fee_rate, order.get("side", ""))
|
|
else:
|
|
logger.warning(
|
|
f"Not updating {order.get('side', '')}-fee - rate: {fee_rate}, {fee_currency}."
|
|
)
|
|
|
|
if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):
|
|
# * Leverage could be a cause for this warning
|
|
logger.warning(f"Amount {amount} does not match amount {trade.amount}")
|
|
raise DependencyException("Half bought? Amounts don't match")
|
|
|
|
if fee_abs != 0:
|
|
return self.apply_fee_conditional(
|
|
trade, trade_base_currency, amount=amount, fee_abs=fee_abs, order_obj=order_obj
|
|
)
|
|
return None
|
|
|
|
def get_valid_price(self, custom_price: float, proposed_price: float) -> float:
|
|
"""
|
|
Return the valid price.
|
|
Check if the custom price is of the good type if not return proposed_price
|
|
:return: valid price for the order
|
|
"""
|
|
if custom_price:
|
|
try:
|
|
valid_custom_price = float(custom_price)
|
|
except ValueError:
|
|
valid_custom_price = proposed_price
|
|
else:
|
|
valid_custom_price = proposed_price
|
|
|
|
cust_p_max_dist_r = self.config.get("custom_price_max_distance_ratio", 0.02)
|
|
min_custom_price_allowed = proposed_price - (proposed_price * cust_p_max_dist_r)
|
|
max_custom_price_allowed = proposed_price + (proposed_price * cust_p_max_dist_r)
|
|
|
|
# Bracket between min_custom_price_allowed and max_custom_price_allowed
|
|
return max(min(valid_custom_price, max_custom_price_allowed), min_custom_price_allowed)
|