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refactor: extract dry-market order slippage from function

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Matthias
2025-11-19 20:04:37 +01:00
parent c83ea0db4f
commit 3543e96ec5
1 changed files with 14 additions and 7 deletions
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21
freqtrade/exchange/exchange.py
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@@ -1164,7 +1164,11 @@ class Exchange:
if dry_order["type"] == "market" and not dry_order.get("ft_order_type"): if dry_order["type"] == "market" and not dry_order.get("ft_order_type"):
# Update market order pricing # Update market order pricing
average = self.get_dry_market_fill_price(pair, side, amount, rate, orderbook) slippage = 0.05
worst_rate = rate * ((1 + slippage) if side == "buy" else (1 - slippage))
average = self.get_dry_market_fill_price(
pair, side, amount, rate, worst_rate, orderbook
)
dry_order.update( dry_order.update(
{ {
"average": average, "average": average,
@@ -1204,7 +1208,13 @@ class Exchange:
return dry_order return dry_order
def get_dry_market_fill_price( def get_dry_market_fill_price(
self, pair: str, side: str, amount: float, rate: float, orderbook: OrderBook | None self,
pair: str,
side: str,
amount: float,
rate: float,
worst_rate: float,
orderbook: OrderBook | None,
) -> float: ) -> float:
""" """
Get the market order fill price based on orderbook interpolation Get the market order fill price based on orderbook interpolation
@@ -1213,8 +1223,6 @@ class Exchange:
if not orderbook: if not orderbook:
orderbook = self.fetch_l2_order_book(pair, 20) orderbook = self.fetch_l2_order_book(pair, 20)
ob_type: OBLiteral = "asks" if side == "buy" else "bids" ob_type: OBLiteral = "asks" if side == "buy" else "bids"
slippage = 0.05
max_slippage_val = rate * ((1 + slippage) if side == "buy" else (1 - slippage))
remaining_amount = amount remaining_amount = amount
filled_value = 0.0 filled_value = 0.0
@@ -1238,11 +1246,10 @@ class Exchange:
forecast_avg_filled_price = max(filled_value, 0) / amount forecast_avg_filled_price = max(filled_value, 0) / amount
# Limit max. slippage to specified value # Limit max. slippage to specified value
if side == "buy": if side == "buy":
forecast_avg_filled_price = min(forecast_avg_filled_price, max_slippage_val) forecast_avg_filled_price = min(forecast_avg_filled_price, worst_rate)
else: else:
forecast_avg_filled_price = max(forecast_avg_filled_price, max_slippage_val) forecast_avg_filled_price = max(forecast_avg_filled_price, worst_rate)
return self.price_to_precision(pair, forecast_avg_filled_price) return self.price_to_precision(pair, forecast_avg_filled_price)
return rate return rate