mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
e8ef36fb6e
This PR corresponds to: https://github.com/freqtrade/freqtrade/issues/1377#issue-386200394 in understanfing that pair Ticker is mostly statistics, but on the other side, create_trade/execute_buy. It resolves problem with some exchanges (BitMex) where ticker structure returned by ccxt does not contain bid and ask values. 1. On exchanges like Bitmex, set use_order_book: true for buys. FT won't request ticker and will use data from order book only. 2. On exchanges where order book is not available, set use_order_book: false, ticker data (including ask/last balance logic) will be used. 3. On other exchanges, either approach may be used in the config. Performance: current implementation fetches ticker every time even if order book data will be later used. With this change it's eliminated. Comparison of order book rate and ticker rate is removed (in order to split fetching order book and ticker completely in execute_buy), so some tests that touch this code may require adjustments.
874 lines
36 KiB
Python
874 lines
36 KiB
Python
"""
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Freqtrade is the main module of this bot. It contains the class Freqtrade()
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"""
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import copy
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import logging
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import time
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import traceback
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from datetime import datetime
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from typing import Any, Callable, Dict, List, Optional
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import arrow
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from requests.exceptions import RequestException
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from freqtrade import (DependencyException, OperationalException,
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TemporaryError, __version__, constants, persistence)
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from freqtrade.data.converter import order_book_to_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.edge import Edge
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from freqtrade.exchange import Exchange
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from freqtrade.persistence import Trade
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from freqtrade.rpc import RPCManager, RPCMessageType
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from freqtrade.resolvers import StrategyResolver, PairListResolver
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from freqtrade.state import State
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from freqtrade.strategy.interface import SellType, IStrategy
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from freqtrade.wallets import Wallets
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logger = logging.getLogger(__name__)
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class FreqtradeBot(object):
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"""
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Freqtrade is the main class of the bot.
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This is from here the bot start its logic.
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"""
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def __init__(self, config: Dict[str, Any]) -> None:
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"""
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Init all variables and objects the bot needs to work
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:param config: configuration dict, you can use Configuration.get_config()
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to get the config dict.
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"""
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logger.info(
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'Starting freqtrade %s',
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__version__,
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)
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# Init bot states
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self.state = State.STOPPED
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# Init objects
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self.config = config
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self.strategy: IStrategy = StrategyResolver(self.config).strategy
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self.rpc: RPCManager = RPCManager(self)
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self.exchange = Exchange(self.config)
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self.wallets = Wallets(self.exchange)
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self.dataprovider = DataProvider(self.config, self.exchange)
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# Attach Dataprovider to Strategy baseclass
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IStrategy.dp = self.dataprovider
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# Attach Wallets to Strategy baseclass
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IStrategy.wallets = self.wallets
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pairlistname = self.config.get('pairlist', {}).get('method', 'StaticPairList')
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self.pairlists = PairListResolver(pairlistname, self, self.config).pairlist
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# Initializing Edge only if enabled
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self.edge = Edge(self.config, self.exchange, self.strategy) if \
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self.config.get('edge', {}).get('enabled', False) else None
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self.active_pair_whitelist: List[str] = self.config['exchange']['pair_whitelist']
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self._init_modules()
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def _init_modules(self) -> None:
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"""
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Initializes all modules and updates the config
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:return: None
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"""
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# Initialize all modules
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persistence.init(self.config)
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# Set initial application state
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initial_state = self.config.get('initial_state')
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if initial_state:
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self.state = State[initial_state.upper()]
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else:
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self.state = State.STOPPED
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def cleanup(self) -> None:
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"""
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Cleanup pending resources on an already stopped bot
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:return: None
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"""
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logger.info('Cleaning up modules ...')
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self.rpc.cleanup()
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persistence.cleanup()
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def worker(self, old_state: State = None) -> State:
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"""
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Trading routine that must be run at each loop
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:param old_state: the previous service state from the previous call
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:return: current service state
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"""
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# Log state transition
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state = self.state
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if state != old_state:
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self.rpc.send_msg({
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'type': RPCMessageType.STATUS_NOTIFICATION,
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'status': f'{state.name.lower()}'
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})
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logger.info('Changing state to: %s', state.name)
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if state == State.RUNNING:
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self.rpc.startup_messages(self.config, self.pairlists)
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if state == State.STOPPED:
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time.sleep(1)
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elif state == State.RUNNING:
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min_secs = self.config.get('internals', {}).get(
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'process_throttle_secs',
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constants.PROCESS_THROTTLE_SECS
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)
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self._throttle(func=self._process,
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min_secs=min_secs)
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return state
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def _throttle(self, func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any:
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"""
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Throttles the given callable that it
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takes at least `min_secs` to finish execution.
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:param func: Any callable
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:param min_secs: minimum execution time in seconds
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:return: Any
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"""
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start = time.time()
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result = func(*args, **kwargs)
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end = time.time()
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duration = max(min_secs - (end - start), 0.0)
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logger.debug('Throttling %s for %.2f seconds', func.__name__, duration)
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time.sleep(duration)
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return result
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def _process(self) -> bool:
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"""
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Queries the persistence layer for open trades and handles them,
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otherwise a new trade is created.
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:return: True if one or more trades has been created or closed, False otherwise
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"""
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state_changed = False
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try:
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# Refresh whitelist
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self.pairlists.refresh_pairlist()
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self.active_pair_whitelist = self.pairlists.whitelist
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# Calculating Edge positiong
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if self.edge:
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self.edge.calculate()
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self.active_pair_whitelist = self.edge.adjust(self.active_pair_whitelist)
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# Query trades from persistence layer
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trades = Trade.query.filter(Trade.is_open.is_(True)).all()
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# Extend active-pair whitelist with pairs from open trades
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# ensures that tickers are downloaded for open trades
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self.active_pair_whitelist.extend([trade.pair for trade in trades
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if trade.pair not in self.active_pair_whitelist])
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# Create pair-whitelist tuple with (pair, ticker_interval)
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pair_whitelist_tuple = [(pair, self.config['ticker_interval'])
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for pair in self.active_pair_whitelist]
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# Refreshing candles
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self.dataprovider.refresh(pair_whitelist_tuple,
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self.strategy.informative_pairs())
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# First process current opened trades
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for trade in trades:
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state_changed |= self.process_maybe_execute_sell(trade)
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# Then looking for buy opportunities
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if len(trades) < self.config['max_open_trades']:
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state_changed = self.process_maybe_execute_buy()
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if 'unfilledtimeout' in self.config:
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# Check and handle any timed out open orders
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self.check_handle_timedout()
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Trade.session.flush()
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except TemporaryError as error:
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logger.warning('%s, retrying in 30 seconds...', error)
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time.sleep(constants.RETRY_TIMEOUT)
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except OperationalException:
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tb = traceback.format_exc()
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hint = 'Issue `/start` if you think it is safe to restart.'
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self.rpc.send_msg({
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'type': RPCMessageType.STATUS_NOTIFICATION,
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'status': f'OperationalException:\n```\n{tb}```{hint}'
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})
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logger.exception('OperationalException. Stopping trader ...')
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self.state = State.STOPPED
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return state_changed
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def get_target_bid(self, pair: str) -> float:
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"""
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Calculates bid target between current ask price and last price
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:return: float: Price
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"""
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config_bid_strategy = self.config.get('bid_strategy', {})
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if 'use_order_book' in config_bid_strategy and\
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config_bid_strategy.get('use_order_book', False):
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logger.info('Getting price from order book')
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order_book_top = config_bid_strategy.get('order_book_top', 1)
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order_book = self.exchange.get_order_book(pair, order_book_top)
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logger.debug('order_book %s', order_book)
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# top 1 = index 0
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order_book_rate = order_book['bids'][order_book_top - 1][0]
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logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
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used_rate = order_book_rate
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else:
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logger.info('Using Last Ask / Last Price')
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ticker = self.exchange.get_ticker(pair)
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if ticker['ask'] < ticker['last']:
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ticker_rate = ticker['ask']
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else:
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balance = self.config['bid_strategy']['ask_last_balance']
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ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
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used_rate = ticker_rate
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return used_rate
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def _get_trade_stake_amount(self, pair) -> Optional[float]:
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"""
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Check if stake amount can be fulfilled with the available balance
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for the stake currency
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:return: float: Stake Amount
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"""
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if self.edge:
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return self.edge.stake_amount(
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pair,
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self.wallets.get_free(self.config['stake_currency']),
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self.wallets.get_total(self.config['stake_currency']),
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Trade.total_open_trades_stakes()
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)
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else:
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stake_amount = self.config['stake_amount']
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avaliable_amount = self.wallets.get_free(self.config['stake_currency'])
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if stake_amount == constants.UNLIMITED_STAKE_AMOUNT:
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open_trades = len(Trade.query.filter(Trade.is_open.is_(True)).all())
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if open_trades >= self.config['max_open_trades']:
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logger.warning('Can\'t open a new trade: max number of trades is reached')
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return None
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return avaliable_amount / (self.config['max_open_trades'] - open_trades)
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# Check if stake_amount is fulfilled
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if avaliable_amount < stake_amount:
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raise DependencyException(
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f"Available balance({avaliable_amount} {self.config['stake_currency']}) is "
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f"lower than stake amount({stake_amount} {self.config['stake_currency']})"
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)
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return stake_amount
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def _get_min_pair_stake_amount(self, pair: str, price: float) -> Optional[float]:
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markets = self.exchange.get_markets()
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markets = [m for m in markets if m['symbol'] == pair]
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if not markets:
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raise ValueError(f'Can\'t get market information for symbol {pair}')
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market = markets[0]
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if 'limits' not in market:
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return None
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min_stake_amounts = []
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limits = market['limits']
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if ('cost' in limits and 'min' in limits['cost']
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and limits['cost']['min'] is not None):
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min_stake_amounts.append(limits['cost']['min'])
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if ('amount' in limits and 'min' in limits['amount']
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and limits['amount']['min'] is not None):
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min_stake_amounts.append(limits['amount']['min'] * price)
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if not min_stake_amounts:
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return None
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amount_reserve_percent = 1 - 0.05 # reserve 5% + stoploss
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if self.strategy.stoploss is not None:
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amount_reserve_percent += self.strategy.stoploss
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# it should not be more than 50%
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amount_reserve_percent = max(amount_reserve_percent, 0.5)
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return min(min_stake_amounts) / amount_reserve_percent
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def create_trade(self) -> bool:
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"""
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Checks the implemented trading indicator(s) for a randomly picked pair,
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if one pair triggers the buy_signal a new trade record gets created
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:return: True if a trade object has been created and persisted, False otherwise
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"""
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interval = self.strategy.ticker_interval
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whitelist = copy.deepcopy(self.active_pair_whitelist)
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# Remove currently opened and latest pairs from whitelist
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for trade in Trade.query.filter(Trade.is_open.is_(True)).all():
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if trade.pair in whitelist:
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whitelist.remove(trade.pair)
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logger.debug('Ignoring %s in pair whitelist', trade.pair)
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if not whitelist:
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raise DependencyException('No currency pairs in whitelist')
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# running get_signal on historical data fetched
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for _pair in whitelist:
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(buy, sell) = self.strategy.get_signal(
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_pair, interval, self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval))
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if buy and not sell:
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stake_amount = self._get_trade_stake_amount(_pair)
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if not stake_amount:
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return False
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logger.info(f"Buy signal found: about create a new trade with stake_amount: "
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f"{stake_amount} ...")
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bidstrat_check_depth_of_market = self.config.get('bid_strategy', {}).\
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get('check_depth_of_market', {})
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if (bidstrat_check_depth_of_market.get('enabled', False)) and\
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(bidstrat_check_depth_of_market.get('bids_to_ask_delta', 0) > 0):
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if self._check_depth_of_market_buy(_pair, bidstrat_check_depth_of_market):
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return self.execute_buy(_pair, stake_amount)
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else:
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return False
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return self.execute_buy(_pair, stake_amount)
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return False
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def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
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"""
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Checks depth of market before executing a buy
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"""
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conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
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logger.info('checking depth of market for %s', pair)
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order_book = self.exchange.get_order_book(pair, 1000)
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order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
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order_book_bids = order_book_data_frame['b_size'].sum()
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order_book_asks = order_book_data_frame['a_size'].sum()
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bids_ask_delta = order_book_bids / order_book_asks
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logger.info('bids: %s, asks: %s, delta: %s', order_book_bids,
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order_book_asks, bids_ask_delta)
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if bids_ask_delta >= conf_bids_to_ask_delta:
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return True
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return False
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def execute_buy(self, pair: str, stake_amount: float, price: Optional[float] = None) -> bool:
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"""
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Executes a limit buy for the given pair
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:param pair: pair for which we want to create a LIMIT_BUY
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:return: None
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"""
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pair_s = pair.replace('_', '/')
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pair_url = self.exchange.get_pair_detail_url(pair)
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stake_currency = self.config['stake_currency']
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fiat_currency = self.config.get('fiat_display_currency', None)
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time_in_force = self.strategy.order_time_in_force['buy']
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if price:
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buy_limit_requested = price
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else:
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# Calculate amount
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buy_limit_requested = self.get_target_bid(pair)
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min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit_requested)
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if min_stake_amount is not None and min_stake_amount > stake_amount:
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logger.warning(
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f'Can\'t open a new trade for {pair_s}: stake amount '
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f'is too small ({stake_amount} < {min_stake_amount})'
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)
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return False
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amount = stake_amount / buy_limit_requested
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order = self.exchange.buy(pair=pair, ordertype=self.strategy.order_types['buy'],
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amount=amount, rate=buy_limit_requested,
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time_in_force=time_in_force)
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order_id = order['id']
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order_status = order.get('status', None)
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# we assume the order is executed at the price requested
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buy_limit_filled_price = buy_limit_requested
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if order_status == 'expired' or order_status == 'rejected':
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order_type = self.strategy.order_types['buy']
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order_tif = self.strategy.order_time_in_force['buy']
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# return false if the order is not filled
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if float(order['filled']) == 0:
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logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
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' zero amount is fulfilled.',
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order_tif, order_type, pair_s, order_status, self.exchange.name)
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return False
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else:
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# the order is partially fulfilled
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# in case of IOC orders we can check immediately
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# if the order is fulfilled fully or partially
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logger.warning('Buy %s order with time in force %s for %s is %s by %s.'
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' %s amount fulfilled out of %s (%s remaining which is canceled).',
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order_tif, order_type, pair_s, order_status, self.exchange.name,
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order['filled'], order['amount'], order['remaining']
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)
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stake_amount = order['cost']
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amount = order['amount']
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buy_limit_filled_price = order['price']
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order_id = None
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# in case of FOK the order may be filled immediately and fully
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elif order_status == 'closed':
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stake_amount = order['cost']
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amount = order['amount']
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buy_limit_filled_price = order['price']
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order_id = None
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self.rpc.send_msg({
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'type': RPCMessageType.BUY_NOTIFICATION,
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'exchange': self.exchange.name.capitalize(),
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'pair': pair_s,
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'market_url': pair_url,
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'limit': buy_limit_filled_price,
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'stake_amount': stake_amount,
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'stake_currency': stake_currency,
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'fiat_currency': fiat_currency
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})
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# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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trade = Trade(
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pair=pair,
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stake_amount=stake_amount,
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amount=amount,
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fee_open=fee,
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fee_close=fee,
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open_rate=buy_limit_filled_price,
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open_rate_requested=buy_limit_requested,
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open_date=datetime.utcnow(),
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exchange=self.exchange.id,
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open_order_id=order_id,
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strategy=self.strategy.get_strategy_name(),
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ticker_interval=constants.TICKER_INTERVAL_MINUTES[self.config['ticker_interval']]
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)
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Trade.session.add(trade)
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Trade.session.flush()
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# Updating wallets
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self.wallets.update()
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return True
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def process_maybe_execute_buy(self) -> bool:
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"""
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Tries to execute a buy trade in a safe way
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|
:return: True if executed
|
|
"""
|
|
try:
|
|
# Create entity and execute trade
|
|
if self.create_trade():
|
|
return True
|
|
|
|
logger.info('Found no buy signals for whitelisted currencies. Trying again..')
|
|
return False
|
|
except DependencyException as exception:
|
|
logger.warning('Unable to create trade: %s', exception)
|
|
return False
|
|
|
|
def process_maybe_execute_sell(self, trade: Trade) -> bool:
|
|
"""
|
|
Tries to execute a sell trade
|
|
:return: True if executed
|
|
"""
|
|
try:
|
|
# Get order details for actual price per unit
|
|
if trade.open_order_id:
|
|
# Update trade with order values
|
|
logger.info('Found open order for %s', trade)
|
|
order = self.exchange.get_order(trade.open_order_id, trade.pair)
|
|
# Try update amount (binance-fix)
|
|
try:
|
|
new_amount = self.get_real_amount(trade, order)
|
|
if order['amount'] != new_amount:
|
|
order['amount'] = new_amount
|
|
# Fee was applied, so set to 0
|
|
trade.fee_open = 0
|
|
|
|
except OperationalException as exception:
|
|
logger.warning("Could not update trade amount: %s", exception)
|
|
|
|
trade.update(order)
|
|
|
|
if self.strategy.order_types.get('stoploss_on_exchange') and trade.is_open:
|
|
result = self.handle_stoploss_on_exchange(trade)
|
|
if result:
|
|
self.wallets.update()
|
|
return result
|
|
|
|
if trade.is_open and trade.open_order_id is None:
|
|
# Check if we can sell our current pair
|
|
result = self.handle_trade(trade)
|
|
|
|
# Updating wallets if any trade occured
|
|
if result:
|
|
self.wallets.update()
|
|
|
|
return result
|
|
|
|
except DependencyException as exception:
|
|
logger.warning('Unable to sell trade: %s', exception)
|
|
return False
|
|
|
|
def get_real_amount(self, trade: Trade, order: Dict) -> float:
|
|
"""
|
|
Get real amount for the trade
|
|
Necessary for self.exchanges which charge fees in base currency (e.g. binance)
|
|
"""
|
|
order_amount = order['amount']
|
|
# Only run for closed orders
|
|
if trade.fee_open == 0 or order['status'] == 'open':
|
|
return order_amount
|
|
|
|
# use fee from order-dict if possible
|
|
if 'fee' in order and order['fee'] and (order['fee'].keys() >= {'currency', 'cost'}):
|
|
if trade.pair.startswith(order['fee']['currency']):
|
|
new_amount = order_amount - order['fee']['cost']
|
|
logger.info("Applying fee on amount for %s (from %s to %s) from Order",
|
|
trade, order['amount'], new_amount)
|
|
return new_amount
|
|
|
|
# Fallback to Trades
|
|
trades = self.exchange.get_trades_for_order(trade.open_order_id, trade.pair,
|
|
trade.open_date)
|
|
|
|
if len(trades) == 0:
|
|
logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
|
|
return order_amount
|
|
amount = 0
|
|
fee_abs = 0
|
|
for exectrade in trades:
|
|
amount += exectrade['amount']
|
|
if "fee" in exectrade and (exectrade['fee'].keys() >= {'currency', 'cost'}):
|
|
# only applies if fee is in quote currency!
|
|
if trade.pair.startswith(exectrade['fee']['currency']):
|
|
fee_abs += exectrade['fee']['cost']
|
|
|
|
if amount != order_amount:
|
|
logger.warning(f"Amount {amount} does not match amount {trade.amount}")
|
|
raise OperationalException("Half bought? Amounts don't match")
|
|
real_amount = amount - fee_abs
|
|
if fee_abs != 0:
|
|
logger.info(f"Applying fee on amount for {trade} "
|
|
f"(from {order_amount} to {real_amount}) from Trades")
|
|
return real_amount
|
|
|
|
def handle_trade(self, trade: Trade) -> bool:
|
|
"""
|
|
Sells the current pair if the threshold is reached and updates the trade record.
|
|
:return: True if trade has been sold, False otherwise
|
|
"""
|
|
if not trade.is_open:
|
|
raise ValueError(f'Attempt to handle closed trade: {trade}')
|
|
|
|
logger.debug('Handling %s ...', trade)
|
|
sell_rate = self.exchange.get_ticker(trade.pair)['bid']
|
|
|
|
(buy, sell) = (False, False)
|
|
experimental = self.config.get('experimental', {})
|
|
if experimental.get('use_sell_signal') or experimental.get('ignore_roi_if_buy_signal'):
|
|
(buy, sell) = self.strategy.get_signal(
|
|
trade.pair, self.strategy.ticker_interval,
|
|
self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
|
|
|
|
config_ask_strategy = self.config.get('ask_strategy', {})
|
|
if config_ask_strategy.get('use_order_book', False):
|
|
logger.info('Using order book for selling...')
|
|
# logger.debug('Order book %s',orderBook)
|
|
order_book_min = config_ask_strategy.get('order_book_min', 1)
|
|
order_book_max = config_ask_strategy.get('order_book_max', 1)
|
|
|
|
order_book = self.exchange.get_order_book(trade.pair, order_book_max)
|
|
|
|
for i in range(order_book_min, order_book_max + 1):
|
|
order_book_rate = order_book['asks'][i - 1][0]
|
|
|
|
# if orderbook has higher rate (high profit),
|
|
# use orderbook, otherwise just use bids rate
|
|
logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
|
|
if sell_rate < order_book_rate:
|
|
sell_rate = order_book_rate
|
|
|
|
if self.check_sell(trade, sell_rate, buy, sell):
|
|
return True
|
|
|
|
else:
|
|
logger.debug('checking sell')
|
|
if self.check_sell(trade, sell_rate, buy, sell):
|
|
return True
|
|
|
|
logger.debug('Found no sell signal for %s.', trade)
|
|
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.
|
|
"""
|
|
|
|
result = False
|
|
|
|
# If trade is open and the buy order is fulfilled but there is no stoploss,
|
|
# then we add a stoploss on exchange
|
|
if not trade.open_order_id and not trade.stoploss_order_id:
|
|
if self.edge:
|
|
stoploss = self.edge.stoploss(pair=trade.pair)
|
|
else:
|
|
stoploss = self.strategy.stoploss
|
|
|
|
stop_price = trade.open_rate * (1 + stoploss)
|
|
|
|
# limit price should be less than stop price.
|
|
# 0.99 is arbitrary here.
|
|
limit_price = stop_price * 0.99
|
|
|
|
stoploss_order_id = self.exchange.stoploss_limit(
|
|
pair=trade.pair, amount=trade.amount, stop_price=stop_price, rate=limit_price
|
|
)['id']
|
|
trade.stoploss_order_id = str(stoploss_order_id)
|
|
trade.stoploss_last_update = datetime.now()
|
|
|
|
# Or the trade open and there is already a stoploss on exchange.
|
|
# so we check if it is hit ...
|
|
elif trade.stoploss_order_id:
|
|
logger.debug('Handling stoploss on exchange %s ...', trade)
|
|
order = self.exchange.get_order(trade.stoploss_order_id, trade.pair)
|
|
if order['status'] == 'closed':
|
|
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
|
|
trade.update(order)
|
|
result = True
|
|
elif self.config.get('trailing_stop', 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, order)
|
|
|
|
return result
|
|
|
|
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order):
|
|
"""
|
|
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
|
|
"""
|
|
|
|
if trade.stop_loss > float(order['info']['stopPrice']):
|
|
# we check if the update is neccesary
|
|
update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
|
|
if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() > update_beat:
|
|
# cancelling the current stoploss on exchange first
|
|
logger.info('Trailing stoploss: cancelling current stoploss on exchange '
|
|
'in order to add another one ...')
|
|
if self.exchange.cancel_order(order['id'], trade.pair):
|
|
# creating the new one
|
|
stoploss_order_id = self.exchange.stoploss_limit(
|
|
pair=trade.pair, amount=trade.amount,
|
|
stop_price=trade.stop_loss, rate=trade.stop_loss * 0.99
|
|
)['id']
|
|
trade.stoploss_order_id = str(stoploss_order_id)
|
|
|
|
def check_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool:
|
|
if self.edge:
|
|
stoploss = self.edge.stoploss(trade.pair)
|
|
should_sell = self.strategy.should_sell(
|
|
trade, sell_rate, datetime.utcnow(), buy, sell, force_stoploss=stoploss)
|
|
else:
|
|
should_sell = self.strategy.should_sell(trade, sell_rate, datetime.utcnow(), buy, sell)
|
|
|
|
if should_sell.sell_flag:
|
|
self.execute_sell(trade, sell_rate, should_sell.sell_type)
|
|
logger.info('executed sell, reason: %s', should_sell.sell_type)
|
|
return True
|
|
return False
|
|
|
|
def check_handle_timedout(self) -> None:
|
|
"""
|
|
Check if any orders are timed out and cancel if neccessary
|
|
:param timeoutvalue: Number of minutes until order is considered timed out
|
|
:return: None
|
|
"""
|
|
buy_timeout = self.config['unfilledtimeout']['buy']
|
|
sell_timeout = self.config['unfilledtimeout']['sell']
|
|
buy_timeoutthreashold = arrow.utcnow().shift(minutes=-buy_timeout).datetime
|
|
sell_timeoutthreashold = arrow.utcnow().shift(minutes=-sell_timeout).datetime
|
|
|
|
for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
|
|
try:
|
|
# FIXME: Somehow the query above returns results
|
|
# where the open_order_id is in fact None.
|
|
# This is probably because the record got
|
|
# updated via /forcesell in a different thread.
|
|
if not trade.open_order_id:
|
|
continue
|
|
order = self.exchange.get_order(trade.open_order_id, trade.pair)
|
|
except (RequestException, DependencyException):
|
|
logger.info(
|
|
'Cannot query order for %s due to %s',
|
|
trade,
|
|
traceback.format_exc())
|
|
continue
|
|
ordertime = arrow.get(order['datetime']).datetime
|
|
|
|
# Check if trade is still actually open
|
|
if float(order['remaining']) == 0.0:
|
|
self.wallets.update()
|
|
continue
|
|
|
|
# Handle cancelled on exchange
|
|
if order['status'] == 'canceled':
|
|
if order['side'] == 'buy':
|
|
self.handle_buy_order_full_cancel(trade, "canceled on Exchange")
|
|
elif order['side'] == 'sell':
|
|
self.handle_timedout_limit_sell(trade, order)
|
|
self.wallets.update()
|
|
# Check if order is still actually open
|
|
elif order['status'] == 'open':
|
|
if order['side'] == 'buy' and ordertime < buy_timeoutthreashold:
|
|
self.handle_timedout_limit_buy(trade, order)
|
|
self.wallets.update()
|
|
elif order['side'] == 'sell' and ordertime < sell_timeoutthreashold:
|
|
self.handle_timedout_limit_sell(trade, order)
|
|
self.wallets.update()
|
|
|
|
def handle_buy_order_full_cancel(self, trade: Trade, reason: str) -> None:
|
|
"""Close trade in database and send message"""
|
|
Trade.session.delete(trade)
|
|
Trade.session.flush()
|
|
logger.info('Buy order %s for %s.', reason, trade)
|
|
self.rpc.send_msg({
|
|
'type': RPCMessageType.STATUS_NOTIFICATION,
|
|
'status': f'Unfilled buy order for {trade.pair} {reason}'
|
|
})
|
|
|
|
def handle_timedout_limit_buy(self, trade: Trade, order: Dict) -> bool:
|
|
"""Buy timeout - cancel order
|
|
:return: True if order was fully cancelled
|
|
"""
|
|
self.exchange.cancel_order(trade.open_order_id, trade.pair)
|
|
if order['remaining'] == order['amount']:
|
|
# if trade is not partially completed, just delete the trade
|
|
self.handle_buy_order_full_cancel(trade, "cancelled due to timeout")
|
|
return True
|
|
|
|
# if trade is partially complete, edit the stake details for the trade
|
|
# and close the order
|
|
trade.amount = order['amount'] - order['remaining']
|
|
trade.stake_amount = trade.amount * trade.open_rate
|
|
trade.open_order_id = None
|
|
logger.info('Partial buy order timeout for %s.', trade)
|
|
self.rpc.send_msg({
|
|
'type': RPCMessageType.STATUS_NOTIFICATION,
|
|
'status': f'Remaining buy order for {trade.pair} cancelled due to timeout'
|
|
})
|
|
return False
|
|
|
|
def handle_timedout_limit_sell(self, trade: Trade, order: Dict) -> bool:
|
|
"""
|
|
Sell timeout - cancel order and update trade
|
|
:return: True if order was fully cancelled
|
|
"""
|
|
if order['remaining'] == order['amount']:
|
|
# if trade is not partially completed, just cancel the trade
|
|
if order["status"] != "canceled":
|
|
reason = "due to timeout"
|
|
self.exchange.cancel_order(trade.open_order_id, trade.pair)
|
|
logger.info('Sell order timeout for %s.', trade)
|
|
else:
|
|
reason = "on exchange"
|
|
logger.info('Sell order canceled on exchange for %s.', trade)
|
|
trade.close_rate = None
|
|
trade.close_profit = None
|
|
trade.close_date = None
|
|
trade.is_open = True
|
|
trade.open_order_id = None
|
|
self.rpc.send_msg({
|
|
'type': RPCMessageType.STATUS_NOTIFICATION,
|
|
'status': f'Unfilled sell order for {trade.pair} cancelled {reason}'
|
|
})
|
|
|
|
return True
|
|
|
|
# TODO: figure out how to handle partially complete sell orders
|
|
return False
|
|
|
|
def execute_sell(self, trade: Trade, limit: float, sell_reason: SellType) -> None:
|
|
"""
|
|
Executes a limit sell for the given trade and limit
|
|
:param trade: Trade instance
|
|
:param limit: limit rate for the sell order
|
|
:param sellreason: Reason the sell was triggered
|
|
:return: None
|
|
"""
|
|
sell_type = 'sell'
|
|
if sell_reason in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
|
|
sell_type = 'stoploss'
|
|
|
|
# if stoploss is on exchange and we are on dry_run mode,
|
|
# we consider the sell price stop price
|
|
if self.config.get('dry_run', False) and sell_type == 'stoploss' \
|
|
and self.strategy.order_types['stoploss_on_exchange']:
|
|
limit = trade.stop_loss
|
|
|
|
# First cancelling stoploss on exchange ...
|
|
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
|
|
self.exchange.cancel_order(trade.stoploss_order_id, trade.pair)
|
|
|
|
# Execute sell and update trade record
|
|
order_id = self.exchange.sell(pair=str(trade.pair),
|
|
ordertype=self.strategy.order_types[sell_type],
|
|
amount=trade.amount, rate=limit,
|
|
time_in_force=self.strategy.order_time_in_force['sell']
|
|
)['id']
|
|
|
|
trade.open_order_id = order_id
|
|
trade.close_rate_requested = limit
|
|
trade.sell_reason = sell_reason.value
|
|
|
|
profit_trade = trade.calc_profit(rate=limit)
|
|
current_rate = self.exchange.get_ticker(trade.pair)['bid']
|
|
profit_percent = trade.calc_profit_percent(limit)
|
|
pair_url = self.exchange.get_pair_detail_url(trade.pair)
|
|
gain = "profit" if profit_percent > 0 else "loss"
|
|
|
|
msg = {
|
|
'type': RPCMessageType.SELL_NOTIFICATION,
|
|
'exchange': trade.exchange.capitalize(),
|
|
'pair': trade.pair,
|
|
'gain': gain,
|
|
'market_url': pair_url,
|
|
'limit': limit,
|
|
'amount': trade.amount,
|
|
'open_rate': trade.open_rate,
|
|
'current_rate': current_rate,
|
|
'profit_amount': profit_trade,
|
|
'profit_percent': profit_percent,
|
|
'sell_reason': sell_reason.value
|
|
}
|
|
|
|
# For regular case, when the configuration exists
|
|
if 'stake_currency' in self.config and 'fiat_display_currency' in self.config:
|
|
stake_currency = self.config['stake_currency']
|
|
fiat_currency = self.config['fiat_display_currency']
|
|
msg.update({
|
|
'stake_currency': stake_currency,
|
|
'fiat_currency': fiat_currency,
|
|
})
|
|
|
|
# Send the message
|
|
self.rpc.send_msg(msg)
|
|
Trade.session.flush()
|