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freqtrade_origin/freqtrade/freqtradebot.py
Matthias aad327b1fe Update comment around funding fees
2024-02-25 09:02:58 +01:00

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"""
Freqtrade is the main module of this bot. It contains the class Freqtrade()
"""
import logging
import traceback
from copy import deepcopy
from datetime import datetime, time, timedelta, timezone
from math import isclose
from threading import Lock
from time import sleep
from typing import Any, Dict, List, Optional, Tuple
from schedule import Scheduler
from freqtrade import constants
from freqtrade.configuration import validate_config_consistency
from freqtrade.constants import BuySell, Config, EntryExecuteMode, ExchangeConfig, LongShort
from freqtrade.data.converter import order_book_to_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.edge import Edge
from freqtrade.enums import (ExitCheckTuple, ExitType, RPCMessageType, SignalDirection, State,
TradingMode)
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, PricingError)
from freqtrade.exchange import (ROUND_DOWN, ROUND_UP, remove_exchange_credentials,
timeframe_to_minutes, timeframe_to_next_date, timeframe_to_seconds)
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
from freqtrade.mixins import LoggingMixin
from freqtrade.persistence import Order, PairLocks, Trade, init_db
from freqtrade.persistence.key_value_store import set_startup_time
from freqtrade.plugins.pairlistmanager import PairListManager
from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.rpc import RPCManager
from freqtrade.rpc.external_message_consumer import ExternalMessageConsumer
from freqtrade.rpc.rpc_types import (ProfitLossStr, RPCCancelMsg, RPCEntryMsg, RPCExitCancelMsg,
RPCExitMsg, RPCProtectionMsg)
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.util import FtPrecise
from freqtrade.util.migrations import migrate_binance_futures_names
from freqtrade.wallets import Wallets
logger = logging.getLogger(__name__)
class FreqtradeBot(LoggingMixin):
"""
Freqtrade is the main class of the bot.
This is from here the bot start its logic.
"""
def __init__(self, config: Config) -> None:
"""
Init all variables and objects the bot needs to work
:param config: configuration dict, you can use Configuration.get_config()
to get the config dict.
"""
self.active_pair_whitelist: List[str] = []
# Init bot state
self.state = State.STOPPED
# Init objects
self.config = config
exchange_config: ExchangeConfig = deepcopy(config['exchange'])
# Remove credentials from original exchange config to avoid accidental credentail exposure
remove_exchange_credentials(config['exchange'], True)
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
# Check config consistency here since strategies can set certain options
validate_config_consistency(config)
self.exchange = ExchangeResolver.load_exchange(
self.config, exchange_config=exchange_config, load_leverage_tiers=True)
init_db(self.config['db_url'])
self.wallets = Wallets(self.config, self.exchange)
PairLocks.timeframe = self.config['timeframe']
self.trading_mode: TradingMode = self.config.get('trading_mode', TradingMode.SPOT)
self.last_process: Optional[datetime] = None
# RPC runs in separate threads, can start handling external commands just after
# initialization, even before Freqtradebot has a chance to start its throttling,
# so anything in the Freqtradebot instance should be ready (initialized), including
# the initial state of the bot.
# Keep this at the end of this initialization method.
self.rpc: RPCManager = RPCManager(self)
self.dataprovider = DataProvider(self.config, self.exchange, rpc=self.rpc)
self.pairlists = PairListManager(self.exchange, self.config, self.dataprovider)
self.dataprovider.add_pairlisthandler(self.pairlists)
# Attach Dataprovider to strategy instance
self.strategy.dp = self.dataprovider
# Attach Wallets to strategy instance
self.strategy.wallets = self.wallets
# Initializing Edge only if enabled
self.edge = Edge(self.config, self.exchange, self.strategy) if \
self.config.get('edge', {}).get('enabled', False) else None
# Init ExternalMessageConsumer if enabled
self.emc = ExternalMessageConsumer(self.config, self.dataprovider) if \
self.config.get('external_message_consumer', {}).get('enabled', False) else None
self.active_pair_whitelist = self._refresh_active_whitelist()
# Set initial bot state from config
initial_state = self.config.get('initial_state')
self.state = State[initial_state.upper()] if initial_state else State.STOPPED
# Protect exit-logic from forcesell and vice versa
self._exit_lock = Lock()
LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
self._schedule = Scheduler()
if self.trading_mode == TradingMode.FUTURES:
def update():
self.update_funding_fees()
self.wallets.update()
# This would be more efficient if scheduled in utc time, and performed at each
# funding interval, specified by funding_fee_times on the exchange classes
# However, this reduces the precision - and might therefore lead to problems.
for time_slot in range(0, 24):
for minutes in [1, 31]:
t = str(time(time_slot, minutes, 2))
self._schedule.every().day.at(t).do(update)
self.strategy.ft_bot_start()
# Initialize protections AFTER bot start - otherwise parameters are not loaded.
self.protections = ProtectionManager(self.config, self.strategy.protections)
def notify_status(self, msg: str, msg_type=RPCMessageType.STATUS) -> None:
"""
Public method for users of this class (worker, etc.) to send notifications
via RPC about changes in the bot status.
"""
self.rpc.send_msg({
'type': msg_type,
'status': msg
})
def cleanup(self) -> None:
"""
Cleanup pending resources on an already stopped bot
:return: None
"""
logger.info('Cleaning up modules ...')
try:
# Wrap db activities in shutdown to avoid problems if database is gone,
# and raises further exceptions.
if self.config['cancel_open_orders_on_exit']:
self.cancel_all_open_orders()
self.check_for_open_trades()
except Exception as e:
logger.warning(f'Exception during cleanup: {e.__class__.__name__} {e}')
finally:
self.strategy.ft_bot_cleanup()
self.rpc.cleanup()
if self.emc:
self.emc.shutdown()
self.exchange.close()
try:
Trade.commit()
except Exception:
# Exeptions here will be happening if the db disappeared.
# At which point we can no longer commit anyway.
pass
def startup(self) -> None:
"""
Called on startup and after reloading the bot - triggers notifications and
performs startup tasks
"""
migrate_binance_futures_names(self.config)
set_startup_time()
self.rpc.startup_messages(self.config, self.pairlists, self.protections)
# Update older trades with precision and precision mode
self.startup_backpopulate_precision()
if not self.edge:
# Adjust stoploss if it was changed
Trade.stoploss_reinitialization(self.strategy.stoploss)
# Only update open orders on startup
# This will update the database after the initial migration
self.startup_update_open_orders()
self.update_funding_fees()
def process(self) -> None:
"""
Queries the persistence layer for open trades and handles them,
otherwise a new trade is created.
:return: True if one or more trades has been created or closed, False otherwise
"""
# Check whether markets have to be reloaded and reload them when it's needed
self.exchange.reload_markets()
self.update_trades_without_assigned_fees()
# Query trades from persistence layer
trades: List[Trade] = Trade.get_open_trades()
self.active_pair_whitelist = self._refresh_active_whitelist(trades)
# Refreshing candles
self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist),
self.strategy.gather_informative_pairs())
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
current_time=datetime.now(timezone.utc))
self.strategy.analyze(self.active_pair_whitelist)
with self._exit_lock:
# Check for exchange cancelations, timeouts and user requested replace
self.manage_open_orders()
# Protect from collisions with force_exit.
# Without this, freqtrade may try to recreate stoploss_on_exchange orders
# while exiting is in process, since telegram messages arrive in an different thread.
with self._exit_lock:
trades = Trade.get_open_trades()
# First process current opened trades (positions)
self.exit_positions(trades)
# Check if we need to adjust our current positions before attempting to buy new trades.
if self.strategy.position_adjustment_enable:
with self._exit_lock:
self.process_open_trade_positions()
# Then looking for buy opportunities
if self.get_free_open_trades():
self.enter_positions()
if self.trading_mode == TradingMode.FUTURES:
self._schedule.run_pending()
Trade.commit()
self.rpc.process_msg_queue(self.dataprovider._msg_queue)
self.last_process = datetime.now(timezone.utc)
def process_stopped(self) -> None:
"""
Close all orders that were left open
"""
if self.config['cancel_open_orders_on_exit']:
self.cancel_all_open_orders()
def check_for_open_trades(self):
"""
Notify the user when the bot is stopped (not reloaded)
and there are still open trades active.
"""
open_trades = Trade.get_open_trades()
if len(open_trades) != 0 and self.state != State.RELOAD_CONFIG:
msg = {
'type': RPCMessageType.WARNING,
'status':
f"{len(open_trades)} open trades active.\n\n"
f"Handle these trades manually on {self.exchange.name}, "
f"or '/start' the bot again and use '/stopentry' "
f"to handle open trades gracefully. \n"
f"{'Note: Trades are simulated (dry run).' if self.config['dry_run'] else ''}",
}
self.rpc.send_msg(msg)
def _refresh_active_whitelist(self, trades: List[Trade] = []) -> List[str]:
"""
Refresh active whitelist from pairlist or edge and extend it with
pairs that have open trades.
"""
# Refresh whitelist
_prev_whitelist = self.pairlists.whitelist
self.pairlists.refresh_pairlist()
_whitelist = self.pairlists.whitelist
# Calculating Edge positioning
if self.edge:
self.edge.calculate(_whitelist)
_whitelist = self.edge.adjust(_whitelist)
if trades:
# Extend active-pair whitelist with pairs of open trades
# It ensures that candle (OHLCV) data are downloaded for open trades as well
_whitelist.extend([trade.pair for trade in trades if trade.pair not in _whitelist])
# Called last to include the included pairs
if _prev_whitelist != _whitelist:
self.rpc.send_msg({'type': RPCMessageType.WHITELIST, 'data': _whitelist})
return _whitelist
def get_free_open_trades(self) -> int:
"""
Return the number of free open trades slots or 0 if
max number of open trades reached
"""
open_trades = Trade.get_open_trade_count()
return max(0, self.config['max_open_trades'] - open_trades)
def update_funding_fees(self) -> None:
if self.trading_mode == TradingMode.FUTURES:
trades: List[Trade] = Trade.get_open_trades()
for trade in trades:
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)
)
def startup_backpopulate_precision(self) -> None:
trades = Trade.get_trades([Trade.contract_size.is_(None)])
for trade in trades:
if trade.exchange != self.exchange.id:
continue
trade.precision_mode = self.exchange.precisionMode
trade.amount_precision = self.exchange.get_precision_amount(trade.pair)
trade.price_precision = self.exchange.get_precision_price(trade.pair)
trade.contract_size = self.exchange.get_contract_size(trade.pair)
Trade.commit()
def startup_update_open_orders(self):
"""
Updates open orders based on order list kept in the database.
Mainly updates the state of orders - but may also close trades
"""
if self.config['dry_run'] or self.config['exchange'].get('skip_open_order_update', False):
# Updating open orders in dry-run does not make sense and will fail.
return
orders = Order.get_open_orders()
logger.info(f"Updating {len(orders)} open orders.")
for order in orders:
try:
fo = self.exchange.fetch_order_or_stoploss_order(order.order_id, order.ft_pair,
order.ft_order_side == 'stoploss')
if not order.trade:
# This should not happen, but it does if trades were deleted manually.
# This can only incur on sqlite, which doesn't enforce foreign constraints.
logger.warning(
f"Order {order.order_id} has no trade attached. "
"This may suggest a database corruption. "
f"The expected trade ID is {order.ft_trade_id}. Ignoring this order."
)
continue
self.update_trade_state(order.trade, order.order_id, fo,
stoploss_order=(order.ft_order_side == 'stoploss'))
except InvalidOrderException as e:
logger.warning(f"Error updating Order {order.order_id} due to {e}.")
if order.order_date_utc - timedelta(days=5) < datetime.now(timezone.utc):
logger.warning(
"Order is older than 5 days. Assuming order was fully cancelled.")
fo = order.to_ccxt_object()
fo['status'] = 'canceled'
self.handle_cancel_order(
fo, order, order.trade, constants.CANCEL_REASON['TIMEOUT']
)
except ExchangeError as e:
logger.warning(f"Error updating Order {order.order_id} due to {e}")
def update_trades_without_assigned_fees(self) -> None:
"""
Update closed trades without close fees assigned.
Only acts when Orders are in the database, otherwise the last order-id is unknown.
"""
if self.config['dry_run']:
# Updating open orders in dry-run does not make sense and will fail.
return
trades: List[Trade] = Trade.get_closed_trades_without_assigned_fees()
for trade in trades:
if not trade.is_open and not trade.fee_updated(trade.exit_side):
# Get sell fee
order = trade.select_order(trade.exit_side, False, only_filled=True)
if not order:
order = trade.select_order('stoploss', False)
if order:
logger.info(
f"Updating {trade.exit_side}-fee on trade {trade}"
f"for order {order.order_id}."
)
self.update_trade_state(trade, order.order_id,
stoploss_order=order.ft_order_side == 'stoploss',
send_msg=False)
trades = Trade.get_open_trades_without_assigned_fees()
for trade in trades:
with self._exit_lock:
if trade.is_open and not trade.fee_updated(trade.entry_side):
order = trade.select_order(trade.entry_side, False, only_filled=True)
open_order = trade.select_order(trade.entry_side, True)
if order and open_order is None:
logger.info(
f"Updating {trade.entry_side}-fee on trade {trade}"
f"for order {order.order_id}."
)
self.update_trade_state(trade, order.order_id, send_msg=False)
def handle_insufficient_funds(self, trade: Trade):
"""
Try refinding a lost trade.
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):
"""
Try refinding a order that is not in the database.
Only used balance disappeared, which would make exiting impossible.
"""
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
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
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)
#
# BUY / 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 buy signals.
If the pair triggers the buy signal a new trade record gets created
and the buy-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
#
# BUY / increase 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 * trade.leverage) / FtPrecise(current_exit_rate))))
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 a buy
"""
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 a limit buy for the given pair
:param pair: pair for which we want to create a LIMIT_BUY
:param stake_amount: amount of stake-currency for the pair
:return: True if a buy 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=amount,
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,
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 buy, 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:
self.update_trade_state(trade, order_id, order)
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} "
f"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} "
f"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.')
self.handle_onexchange_order(trade)
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 Buy or Sell 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 "
f"for pair {trade.pair}.")
def manage_trade_stoploss_orders(self, trade: Trade, stoploss_orders: List[Dict]):
"""
Perform required actions acording to existing stoploss orders of trade
:param trade: Corresponding Trade
:param stoploss_orders: Current on exchange stoploss orders
:return: None
"""
# If all stoploss orderd 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)
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) -> Trade:
if order.status in constants.NON_OPEN_EXCHANGE_STATES:
# If a entry order was closed, force update on stoploss on exchange
if order.ft_order_side == trade.entry_side:
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):
# Must also run for partial exits
# TODO: Margin will need to use interest_rate as well.
# interest_rate = self.exchange.get_interest_rate()
try:
trade.set_liquidation_price(self.exchange.get_liquidation_price(
pair=trade.pair,
open_rate=trade.open_rate,
is_short=trade.is_short,
amount=trade.amount,
stake_amount=trade.stake_amount,
leverage=trade.leverage,
wallet_balance=trade.stake_amount,
))
except DependencyException:
logger.warning('Unable to calculate liquidation price')
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 rebuys
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 rebuy'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 - "
f"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 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 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)
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