okx: Use proper history endpoint for fetch_orders

freqtrade/exchange/okx.py

@@ -1,4 +1,5 @@
 import logging
+from datetime import timedelta
 from typing import Any, Dict, List, Optional, Tuple
 
 import ccxt
@@ -10,6 +11,7 @@ from freqtrade.exceptions import (DDosProtection, OperationalException, Retryabl
 from freqtrade.exchange import Exchange, date_minus_candles
 from freqtrade.exchange.common import retrier
 from freqtrade.misc import safe_value_fallback2
+from freqtrade.util import dt_now, dt_ts
 
 
 logger = logging.getLogger(__name__)
@@ -240,3 +242,18 @@ class Okx(Exchange):
             pair=pair,
             params=params1,
         )
+
+    def _fetch_orders_emulate(self, pair: str, since_ms: int) -> List[Dict]:
+        orders = []
+
+        orders = self._api.fetch_closed_orders(pair, since=since_ms)
+        if (since_ms < dt_ts(dt_now() - timedelta(days=6, hours=23))):
+            # Regular fetch_closed_orders only returns 7 days of data.
+            # Force usage of "archive" endpoint, which returns 3 months of data.
+            params = {'method': 'privateGetTradeOrdersHistoryArchive'}
+            orders_hist = self._api.fetch_closed_orders(pair, since=since_ms, params=params)
+            orders.extend(orders_hist)
+
+        orders_open = self._api.fetch_open_orders(pair, since=since_ms)
+        orders.extend(orders_open)
+        return orders

tests/exchange/test_okx.py

@@ -618,3 +618,70 @@ def test__get_stop_params_okx(mocker, default_conf):
 
     assert params['tdMode'] == 'isolated'
     assert params['posSide'] == 'net'
+
+
+def test_fetch_orders_okx(default_conf, mocker, limit_order):
+
+    api_mock = MagicMock()
+    api_mock.fetch_orders = MagicMock(return_value=[
+        limit_order['buy'],
+        limit_order['sell'],
+    ])
+    api_mock.fetch_open_orders = MagicMock(return_value=[limit_order['buy']])
+    api_mock.fetch_closed_orders = MagicMock(return_value=[limit_order['buy']])
+
+    mocker.patch(f'{EXMS}.exchange_has', return_value=True)
+    start_time = datetime.now(timezone.utc) - timedelta(days=20)
+
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')
+    # Not available in dry-run
+    assert exchange.fetch_orders('mocked', start_time) == []
+    assert api_mock.fetch_orders.call_count == 0
+    default_conf['dry_run'] = False
+
+    exchange = get_patched_exchange(mocker, default_conf, api_mock, id='okx')
+
+    def has_resp(_, endpoint):
+        if endpoint == 'fetchOrders':
+            return False
+        if endpoint == 'fetchClosedOrders':
+            return True
+        if endpoint == 'fetchOpenOrders':
+            return True
+
+    mocker.patch(f'{EXMS}.exchange_has', has_resp)
+
+    history_params = {'method': 'privateGetTradeOrdersHistoryArchive'}
+
+    # happy path without fetchOrders
+    exchange.fetch_orders('mocked', start_time)
+    assert api_mock.fetch_orders.call_count == 0
+    assert api_mock.fetch_open_orders.call_count == 1
+    assert api_mock.fetch_closed_orders.call_count == 2
+    assert 'params' not in api_mock.fetch_closed_orders.call_args_list[0][1]
+    assert api_mock.fetch_closed_orders.call_args_list[1][1]['params'] == history_params
+
+    api_mock.fetch_open_orders.reset_mock()
+    api_mock.fetch_closed_orders.reset_mock()
+
+    # regular closed_orders endpoint only has history for 7 days.
+    exchange.fetch_orders('mocked', datetime.now(timezone.utc) - timedelta(days=6))
+    assert api_mock.fetch_orders.call_count == 0
+    assert api_mock.fetch_open_orders.call_count == 1
+    assert api_mock.fetch_closed_orders.call_count == 1
+    assert 'params' not in api_mock.fetch_closed_orders.call_args_list[0][1]
+
+    mocker.patch(f'{EXMS}.exchange_has', return_value=True)
+
+    # Unhappy path - first fetch-orders call fails.
+    api_mock.fetch_orders = MagicMock(side_effect=ccxt.NotSupported())
+    api_mock.fetch_open_orders.reset_mock()
+    api_mock.fetch_closed_orders.reset_mock()
+
+    exchange.fetch_orders('mocked', start_time)
+
+    assert api_mock.fetch_orders.call_count == 1
+    assert api_mock.fetch_open_orders.call_count == 1
+    assert api_mock.fetch_closed_orders.call_count == 2
+    assert 'params' not in api_mock.fetch_closed_orders.call_args_list[0][1]
+    assert api_mock.fetch_closed_orders.call_args_list[1][1]['params'] == history_params