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217 lines
8.7 KiB
Python
217 lines
8.7 KiB
Python
""" Binance exchange subclass """
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import json
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import logging
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from datetime import datetime
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from pathlib import Path
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from typing import Dict, List, Optional, Tuple
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import arrow
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import ccxt
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from freqtrade.enums import CandleType, MarginMode, TradingMode
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from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
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from freqtrade.exchange import Exchange
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from freqtrade.exchange.common import retrier
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from freqtrade.misc import deep_merge_dicts
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logger = logging.getLogger(__name__)
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class Binance(Exchange):
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_ft_has: Dict = {
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"stoploss_on_exchange": True,
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"stoploss_order_types": {"limit": "stop_loss_limit"},
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"order_time_in_force": ['GTC', 'FOK', 'IOC'],
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"ohlcv_candle_limit": 1000,
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"trades_pagination": "id",
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"trades_pagination_arg": "fromId",
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"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
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"ccxt_futures_name": "future"
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}
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_ft_has_futures: Dict = {
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"stoploss_order_types": {"limit": "stop"},
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"tickers_have_price": False,
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}
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_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
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# TradingMode.SPOT always supported and not required in this list
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# (TradingMode.MARGIN, MarginMode.CROSS),
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# (TradingMode.FUTURES, MarginMode.CROSS),
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(TradingMode.FUTURES, MarginMode.ISOLATED)
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]
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def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
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"""
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Verify stop_loss against stoploss-order value (limit or price)
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Returns True if adjustment is necessary.
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:param side: "buy" or "sell"
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"""
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ordertype = 'stop' if self.trading_mode == TradingMode.FUTURES else 'stop_loss_limit'
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return (
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order.get('stopPrice', None) is None
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or (
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order['type'] == ordertype
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and (
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(side == "sell" and stop_loss > float(order['stopPrice'])) or
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(side == "buy" and stop_loss < float(order['stopPrice']))
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)
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))
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def get_tickers(self, symbols: Optional[List[str]] = None, cached: bool = False) -> Dict:
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tickers = super().get_tickers(symbols=symbols, cached=cached)
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if self.trading_mode == TradingMode.FUTURES:
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# Binance's future result has no bid/ask values.
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# Therefore we must fetch that from fetch_bids_asks and combine the two results.
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bidsasks = self.fetch_bids_asks(symbols, cached)
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tickers = deep_merge_dicts(bidsasks, tickers, allow_null_overrides=False)
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return tickers
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@retrier
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def _set_leverage(
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self,
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leverage: float,
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pair: Optional[str] = None,
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trading_mode: Optional[TradingMode] = None
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):
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"""
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Set's the leverage before making a trade, in order to not
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have the same leverage on every trade
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"""
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trading_mode = trading_mode or self.trading_mode
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if self._config['dry_run'] or trading_mode != TradingMode.FUTURES:
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return
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try:
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self._api.set_leverage(symbol=pair, leverage=round(leverage))
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int, candle_type: CandleType,
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is_new_pair: bool = False, raise_: bool = False,
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until_ms: Optional[int] = None
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) -> Tuple[str, str, str, List]:
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"""
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Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
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Does not work for other exchanges, which don't return the earliest data when called with "0"
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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"""
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if is_new_pair:
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x = await self._async_get_candle_history(pair, timeframe, candle_type, 0)
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if x and x[3] and x[3][0] and x[3][0][0] > since_ms:
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# Set starting date to first available candle.
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since_ms = x[3][0][0]
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logger.info(f"Candle-data for {pair} available starting with "
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f"{arrow.get(since_ms // 1000).isoformat()}.")
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return await super()._async_get_historic_ohlcv(
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pair=pair,
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timeframe=timeframe,
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since_ms=since_ms,
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is_new_pair=is_new_pair,
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raise_=raise_,
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candle_type=candle_type,
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until_ms=until_ms,
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)
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def funding_fee_cutoff(self, open_date: datetime):
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"""
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:param open_date: The open date for a trade
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:return: The cutoff open time for when a funding fee is charged
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"""
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return open_date.minute > 0 or (open_date.minute == 0 and open_date.second > 15)
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def dry_run_liquidation_price(
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self,
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pair: str,
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open_rate: float, # Entry price of position
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is_short: bool,
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amount: float,
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stake_amount: float,
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wallet_balance: float, # Or margin balance
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mm_ex_1: float = 0.0, # (Binance) Cross only
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upnl_ex_1: float = 0.0, # (Binance) Cross only
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) -> Optional[float]:
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"""
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Important: Must be fetching data from cached values as this is used by backtesting!
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MARGIN: https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
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PERPETUAL: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
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:param exchange_name:
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:param open_rate: Entry price of position
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:param is_short: True if the trade is a short, false otherwise
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:param amount: Absolute value of position size incl. leverage (in base currency)
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:param stake_amount: Stake amount - Collateral in settle currency.
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:param trading_mode: SPOT, MARGIN, FUTURES, etc.
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:param margin_mode: Either ISOLATED or CROSS
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:param wallet_balance: Amount of margin_mode in the wallet being used to trade
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Cross-Margin Mode: crossWalletBalance
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Isolated-Margin Mode: isolatedWalletBalance
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# * Only required for Cross
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:param mm_ex_1: (TMM)
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Cross-Margin Mode: Maintenance Margin of all other contracts, excluding Contract 1
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Isolated-Margin Mode: 0
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:param upnl_ex_1: (UPNL)
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Cross-Margin Mode: Unrealized PNL of all other contracts, excluding Contract 1.
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Isolated-Margin Mode: 0
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"""
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side_1 = -1 if is_short else 1
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cross_vars = upnl_ex_1 - mm_ex_1 if self.margin_mode == MarginMode.CROSS else 0.0
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# mm_ratio: Binance's formula specifies maintenance margin rate which is mm_ratio * 100%
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# maintenance_amt: (CUM) Maintenance Amount of position
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mm_ratio, maintenance_amt = self.get_maintenance_ratio_and_amt(pair, stake_amount)
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if (maintenance_amt is None):
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raise OperationalException(
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"Parameter maintenance_amt is required by Binance.liquidation_price"
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f"for {self.trading_mode.value}"
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)
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if self.trading_mode == TradingMode.FUTURES:
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return (
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(
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(wallet_balance + cross_vars + maintenance_amt) -
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(side_1 * amount * open_rate)
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) / (
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(amount * mm_ratio) - (side_1 * amount)
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)
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)
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else:
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raise OperationalException(
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"Freqtrade only supports isolated futures for leverage trading")
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@retrier
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def load_leverage_tiers(self) -> Dict[str, List[Dict]]:
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if self.trading_mode == TradingMode.FUTURES:
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if self._config['dry_run']:
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leverage_tiers_path = (
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Path(__file__).parent / 'binance_leverage_tiers.json'
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)
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with open(leverage_tiers_path) as json_file:
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return json.load(json_file)
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else:
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try:
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return self._api.fetch_leverage_tiers()
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not fetch leverage amounts due to'
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f'{e.__class__.__name__}. Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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else:
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return {}
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