diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 7514572fc..42b518566 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -22,8 +22,8 @@ from pandas import DataFrame from freqtrade.constants import DEFAULT_AMOUNT_RESERVE_PERCENT, ListPairsWithTimeframes from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError, - InvalidOrderException, OperationalException, RetryableOrderError, - TemporaryError) + InvalidOrderException, OperationalException, PricingError, + RetryableOrderError, TemporaryError) from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES, EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier, retrier_async) @@ -88,6 +88,7 @@ class Exchange: # Cache for 10 minutes ... self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=1, ttl=60 * 10) + self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800) # Holds candles self._klines: Dict[Tuple[str, str], DataFrame] = {} @@ -911,6 +912,52 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e + def get_buy_rate(self, pair: str, refresh: bool) -> float: + """ + Calculates bid target between current ask price and last price + :param pair: Pair to get rate for + :param refresh: allow cached data + :return: float: Price + :raises PricingError if orderbook price could not be determined. + """ + if not refresh: + rate = self._buy_rate_cache.get(pair) + # Check if cache has been invalidated + if rate: + logger.debug(f"Using cached buy rate for {pair}.") + return rate + + bid_strategy = self._config.get('bid_strategy', {}) + if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False): + + order_book_top = bid_strategy.get('order_book_top', 1) + order_book = self.fetch_l2_order_book(pair, order_book_top) + logger.debug('order_book %s', order_book) + # top 1 = index 0 + try: + rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0] + except (IndexError, KeyError) as e: + logger.warning( + "Buy Price from orderbook could not be determined." + f"Orderbook: {order_book}" + ) + raise PricingError from e + logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side " + f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}") + used_rate = rate_from_l2 + else: + logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price") + ticker = self.fetch_ticker(pair) + ticker_rate = ticker[bid_strategy['price_side']] + if ticker['last'] and ticker_rate > ticker['last']: + balance = bid_strategy['ask_last_balance'] + ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate) + used_rate = ticker_rate + + self._buy_rate_cache[pair] = used_rate + + return used_rate + # Fee handling @retrier diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d7369ad47..d15748864 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -62,7 +62,6 @@ class FreqtradeBot(LoggingMixin): # Caching only applies to RPC methods, so prices for open trades are still # refreshed once every iteration. self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800) - self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800) self.strategy: IStrategy = StrategyResolver.load_strategy(self.config) @@ -396,50 +395,6 @@ class FreqtradeBot(LoggingMixin): return trades_created - def get_buy_rate(self, pair: str, refresh: bool) -> float: - """ - Calculates bid target between current ask price and last price - :param pair: Pair to get rate for - :param refresh: allow cached data - :return: float: Price - """ - if not refresh: - rate = self._buy_rate_cache.get(pair) - # Check if cache has been invalidated - if rate: - logger.debug(f"Using cached buy rate for {pair}.") - return rate - - bid_strategy = self.config.get('bid_strategy', {}) - if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False): - - order_book_top = bid_strategy.get('order_book_top', 1) - order_book = self.exchange.fetch_l2_order_book(pair, order_book_top) - logger.debug('order_book %s', order_book) - # top 1 = index 0 - try: - rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0] - except (IndexError, KeyError) as e: - logger.warning( - "Buy Price from orderbook could not be determined." - f"Orderbook: {order_book}" - ) - raise PricingError from e - logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side " - f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}") - used_rate = rate_from_l2 - else: - logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price") - ticker = self.exchange.fetch_ticker(pair) - ticker_rate = ticker[bid_strategy['price_side']] - if ticker['last'] and ticker_rate > ticker['last']: - balance = bid_strategy['ask_last_balance'] - ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate) - used_rate = ticker_rate - - self._buy_rate_cache[pair] = used_rate - - return used_rate def create_trade(self, pair: str) -> bool: """ @@ -532,7 +487,7 @@ class FreqtradeBot(LoggingMixin): buy_limit_requested = price else: # Calculate price - buy_limit_requested = self.get_buy_rate(pair, True) + buy_limit_requested = self.exchange.get_buy_rate(pair, True) if not buy_limit_requested: raise PricingError('Could not determine buy price.') @@ -657,7 +612,7 @@ class FreqtradeBot(LoggingMixin): """ Sends rpc notification when a buy cancel occurred. """ - current_rate = self.get_buy_rate(trade.pair, False) + current_rate = self.exchange.get_buy_rate(trade.pair, False) msg = { 'trade_id': trade.id, diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index b6b395802..0e68d054d 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1684,6 +1684,50 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name): exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50) +@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [ + ('ask', 20, 19, 10, 0.0, 20), # Full ask side + ('ask', 20, 19, 10, 1.0, 10), # Full last side + ('ask', 20, 19, 10, 0.5, 15), # Between ask and last + ('ask', 20, 19, 10, 0.7, 13), # Between ask and last + ('ask', 20, 19, 10, 0.3, 17), # Between ask and last + ('ask', 5, 6, 10, 1.0, 5), # last bigger than ask + ('ask', 5, 6, 10, 0.5, 5), # last bigger than ask + ('ask', 10, 20, None, 0.5, 10), # last not available - uses ask + ('ask', 4, 5, None, 0.5, 4), # last not available - uses ask + ('ask', 4, 5, None, 1, 4), # last not available - uses ask + ('ask', 4, 5, None, 0, 4), # last not available - uses ask + ('bid', 21, 20, 10, 0.0, 20), # Full bid side + ('bid', 21, 20, 10, 1.0, 10), # Full last side + ('bid', 21, 20, 10, 0.5, 15), # Between bid and last + ('bid', 21, 20, 10, 0.7, 13), # Between bid and last + ('bid', 21, 20, 10, 0.3, 17), # Between bid and last + ('bid', 6, 5, 10, 1.0, 5), # last bigger than bid + ('bid', 6, 5, 10, 0.5, 5), # last bigger than bid + ('bid', 21, 20, None, 0.5, 20), # last not available - uses bid + ('bid', 6, 5, None, 0.5, 5), # last not available - uses bid + ('bid', 6, 5, None, 1, 5), # last not available - uses bid + ('bid', 6, 5, None, 0, 5), # last not available - uses bid +]) +def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid, + last, last_ab, expected) -> None: + caplog.set_level(logging.DEBUG) + default_conf['bid_strategy']['ask_last_balance'] = last_ab + default_conf['bid_strategy']['price_side'] = side + exchange = get_patched_exchange(mocker, default_conf) + mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', + return_value={'ask': ask, 'last': last, 'bid': bid}) + + assert exchange.get_buy_rate('ETH/BTC', True) == expected + assert not log_has("Using cached buy rate for ETH/BTC.", caplog) + + assert exchange.get_buy_rate('ETH/BTC', False) == expected + assert log_has("Using cached buy rate for ETH/BTC.", caplog) + # Running a 2nd time with Refresh on! + caplog.clear() + assert exchange.get_buy_rate('ETH/BTC', True) == expected + assert not log_has("Using cached buy rate for ETH/BTC.", caplog) + + def make_fetch_ohlcv_mock(data): def fetch_ohlcv_mock(pair, timeframe, since): if since: diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 4d9284a2f..68d861ef2 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -751,49 +751,6 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None: assert ("ETH/BTC", default_conf["timeframe"]) in refresh_mock.call_args[0][0] -@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [ - ('ask', 20, 19, 10, 0.0, 20), # Full ask side - ('ask', 20, 19, 10, 1.0, 10), # Full last side - ('ask', 20, 19, 10, 0.5, 15), # Between ask and last - ('ask', 20, 19, 10, 0.7, 13), # Between ask and last - ('ask', 20, 19, 10, 0.3, 17), # Between ask and last - ('ask', 5, 6, 10, 1.0, 5), # last bigger than ask - ('ask', 5, 6, 10, 0.5, 5), # last bigger than ask - ('ask', 10, 20, None, 0.5, 10), # last not available - uses ask - ('ask', 4, 5, None, 0.5, 4), # last not available - uses ask - ('ask', 4, 5, None, 1, 4), # last not available - uses ask - ('ask', 4, 5, None, 0, 4), # last not available - uses ask - ('bid', 21, 20, 10, 0.0, 20), # Full bid side - ('bid', 21, 20, 10, 1.0, 10), # Full last side - ('bid', 21, 20, 10, 0.5, 15), # Between bid and last - ('bid', 21, 20, 10, 0.7, 13), # Between bid and last - ('bid', 21, 20, 10, 0.3, 17), # Between bid and last - ('bid', 6, 5, 10, 1.0, 5), # last bigger than bid - ('bid', 6, 5, 10, 0.5, 5), # last bigger than bid - ('bid', 21, 20, None, 0.5, 20), # last not available - uses bid - ('bid', 6, 5, None, 0.5, 5), # last not available - uses bid - ('bid', 6, 5, None, 1, 5), # last not available - uses bid - ('bid', 6, 5, None, 0, 5), # last not available - uses bid -]) -def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid, - last, last_ab, expected) -> None: - caplog.set_level(logging.DEBUG) - default_conf['bid_strategy']['ask_last_balance'] = last_ab - default_conf['bid_strategy']['price_side'] = side - freqtrade = get_patched_freqtradebot(mocker, default_conf) - mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', - return_value={'ask': ask, 'last': last, 'bid': bid}) - - assert freqtrade.get_buy_rate('ETH/BTC', True) == expected - assert not log_has("Using cached buy rate for ETH/BTC.", caplog) - - assert freqtrade.get_buy_rate('ETH/BTC', False) == expected - assert log_has("Using cached buy rate for ETH/BTC.", caplog) - # Running a 2nd time with Refresh on! - caplog.clear() - assert freqtrade.get_buy_rate('ETH/BTC', True) == expected - assert not log_has("Using cached buy rate for ETH/BTC.", caplog) - def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order_open) -> None: patch_RPCManager(mocker)