diff --git a/freqtrade/data/history/hdf5datahandler.py b/freqtrade/data/history/hdf5datahandler.py index db96bdf21..23120a4ba 100644 --- a/freqtrade/data/history/hdf5datahandler.py +++ b/freqtrade/data/history/hdf5datahandler.py @@ -206,7 +206,9 @@ class HDF5DataHandler(IDataHandler): @classmethod def _pair_ohlcv_key(cls, pair: str, timeframe: str) -> str: - return f"{pair}/ohlcv/tf_{timeframe}" + # Escape futures pairs to avoid warnings + pair_esc = pair.replace(':', '_') + return f"{pair_esc}/ohlcv/tf_{timeframe}" @classmethod def _pair_trades_key(cls, pair: str) -> str: diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index e27a56aff..67692cd27 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -75,6 +75,7 @@ class Exchange: "mark_ohlcv_price": "mark", "mark_ohlcv_timeframe": "8h", "ccxt_futures_name": "swap", + "needs_trading_fees": False, # use fetch_trading_fees to cache fees } _ft_has: Dict = {} _ft_has_futures: Dict = {} @@ -92,6 +93,7 @@ class Exchange: self._api: ccxt.Exchange = None self._api_async: ccxt_async.Exchange = None self._markets: Dict = {} + self._trading_fees: Dict[str, Any] = {} self._leverage_tiers: Dict[str, List[Dict]] = {} self.loop = asyncio.new_event_loop() asyncio.set_event_loop(self.loop) @@ -451,6 +453,9 @@ class Exchange: self._markets = self._api.load_markets() self._load_async_markets() self._last_markets_refresh = arrow.utcnow().int_timestamp + if self._ft_has['needs_trading_fees']: + self._trading_fees = self.fetch_trading_fees() + except ccxt.BaseError: logger.exception('Unable to initialize markets.') @@ -1299,6 +1304,27 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e + @retrier + def fetch_trading_fees(self) -> Dict[str, Any]: + """ + Fetch user account trading fees + Can be cached, should not update often. + """ + if (self._config['dry_run'] or self.trading_mode != TradingMode.FUTURES + or not self.exchange_has('fetchTradingFees')): + return {} + try: + trading_fees: Dict[str, Any] = self._api.fetch_trading_fees() + self._log_exchange_response('fetch_trading_fees', trading_fees) + return trading_fees + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not fetch trading fees due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e + @retrier def fetch_bids_asks(self, symbols: List[str] = None, cached: bool = False) -> Dict: """ diff --git a/freqtrade/exchange/gateio.py b/freqtrade/exchange/gateio.py index 50ff0c872..609cf4901 100644 --- a/freqtrade/exchange/gateio.py +++ b/freqtrade/exchange/gateio.py @@ -1,6 +1,7 @@ """ Gate.io exchange subclass """ import logging -from typing import Dict, List, Tuple +from datetime import datetime +from typing import Dict, List, Optional, Tuple from freqtrade.enums import MarginMode, TradingMode from freqtrade.exceptions import OperationalException @@ -27,6 +28,10 @@ class Gateio(Exchange): "stoploss_on_exchange": True, } + _ft_has_futures: Dict = { + "needs_trading_fees": True + } + _supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [ # TradingMode.SPOT always supported and not required in this list # (TradingMode.MARGIN, MarginMode.CROSS), @@ -42,6 +47,30 @@ class Gateio(Exchange): raise OperationalException( f'Exchange {self.name} does not support market orders.') + def get_trades_for_order(self, order_id: str, pair: str, since: datetime, + params: Optional[Dict] = None) -> List: + trades = super().get_trades_for_order(order_id, pair, since, params) + + if self.trading_mode == TradingMode.FUTURES: + # Futures usually don't contain fees in the response. + # As such, futures orders on gateio will not contain a fee, which causes + # a repeated "update fee" cycle and wrong calculations. + # Therefore we patch the response with fees if it's not available. + # An alternative also contianing fees would be + # privateFuturesGetSettleAccountBook({"settle": "usdt"}) + pair_fees = self._trading_fees.get(pair, {}) + if pair_fees: + for idx, trade in enumerate(trades): + if trade.get('fee', {}).get('cost') is None: + takerOrMaker = trade.get('takerOrMaker', 'taker') + if pair_fees.get(takerOrMaker) is not None: + trades[idx]['fee'] = { + 'currency': self.get_pair_quote_currency(pair), + 'cost': trade['cost'] * pair_fees[takerOrMaker], + 'rate': pair_fees[takerOrMaker], + } + return trades + def fetch_stoploss_order(self, order_id: str, pair: str, params={}) -> Dict: return self.fetch_order( order_id=order_id, diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 089a5804a..b85052ff9 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -511,7 +511,7 @@ class FreqtradeBot(LoggingMixin): return else: logger.debug("Max adjustment entries is set to unlimited.") - current_rate = self.exchange.get_rate(trade.pair, refresh=True, side="buy") + current_rate = self.exchange.get_rate(trade.pair, refresh=True, side=trade.enter_side) current_profit = trade.calc_profit_ratio(current_rate) min_stake_amount = self.exchange.get_min_pair_stake_amount(trade.pair, @@ -536,12 +536,7 @@ class FreqtradeBot(LoggingMixin): logger.error(f"Unable to decrease trade position / sell partially" f" for pair {trade.pair}, feature not implemented.") - def _check_depth_of_market( - self, - pair: str, - conf: Dict, - side: SignalDirection - ) -> bool: + def _check_depth_of_market(self, pair: str, conf: Dict, side: SignalDirection) -> bool: """ Checks depth of market before executing a buy """ @@ -1564,6 +1559,7 @@ class FreqtradeBot(LoggingMixin): if not order_obj: raise DependencyException( f"Order_obj not found for {order_id}. This should not have happened.") + self.handle_order_fee(trade, order_obj, order) trade.update_trade(order_obj) diff --git a/requirements.txt b/requirements.txt index c57efb3ec..1fb98ef21 100644 --- a/requirements.txt +++ b/requirements.txt @@ -2,7 +2,7 @@ numpy==1.22.3 pandas==1.4.1 pandas-ta==0.3.14b -ccxt==1.76.65 +ccxt==1.77.29 # Pin cryptography for now due to rust build errors with piwheels cryptography==36.0.2 aiohttp==3.8.1 diff --git a/setup.py b/setup.py index eb2921e73..640c8cc7b 100644 --- a/setup.py +++ b/setup.py @@ -42,7 +42,7 @@ setup( ], install_requires=[ # from requirements.txt - 'ccxt>=1.76.5', + 'ccxt>=1.77.29', 'SQLAlchemy', 'python-telegram-bot>=13.4', 'arrow>=0.17.0', diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 43a3aaefd..0585fa0d4 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -683,7 +683,7 @@ def test_datahandler_ohlcv_get_pairs(testdatadir): assert set(pairs) == {'XRP/USDT'} pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK) - assert set(pairs) == {'UNITTEST/USDT'} + assert set(pairs) == {'UNITTEST/USDT:USDT'} @pytest.mark.parametrize('filename,pair,timeframe,candletype', [ @@ -914,7 +914,7 @@ def test_hdf5datahandler_trades_purge(mocker, testdatadir): # Data goes from 2018-01-10 - 2018-01-30 ('UNITTEST/BTC', '5m', 'spot', '', '2018-01-15', '2018-01-19'), # Mark data goes from to 2021-11-15 2021-11-19 - ('UNITTEST/USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'), + ('UNITTEST/USDT:USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'), ]) def test_hdf5datahandler_ohlcv_load_and_resave( testdatadir, diff --git a/tests/exchange/test_ccxt_compat.py b/tests/exchange/test_ccxt_compat.py index 5eb7e68d4..89b3bcc1f 100644 --- a/tests/exchange/test_ccxt_compat.py +++ b/tests/exchange/test_ccxt_compat.py @@ -134,7 +134,7 @@ def exchange_futures(request, exchange_conf, class_mocker): class_mocker.patch( 'freqtrade.exchange.binance.Binance.fill_leverage_tiers') - + class_mocker.patch('freqtrade.exchange.exchange.Exchange.fetch_trading_fees') exchange = ExchangeResolver.load_exchange(request.param, exchange_conf, validate=True) yield exchange, request.param diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 815ebcec2..5d16c3501 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1624,6 +1624,62 @@ def test_fetch_positions(default_conf, mocker, exchange_name): "fetch_positions", "fetch_positions") +def test_fetch_trading_fees(default_conf, mocker): + api_mock = MagicMock() + tick = { + '1INCH/USDT:USDT': { + 'info': {'user_id': '', + 'taker_fee': '0.0018', + 'maker_fee': '0.0018', + 'gt_discount': False, + 'gt_taker_fee': '0', + 'gt_maker_fee': '0', + 'loan_fee': '0.18', + 'point_type': '1', + 'futures_taker_fee': '0.0005', + 'futures_maker_fee': '0'}, + 'symbol': '1INCH/USDT:USDT', + 'maker': 0.0, + 'taker': 0.0005}, + 'ETH/USDT:USDT': { + 'info': {'user_id': '', + 'taker_fee': '0.0018', + 'maker_fee': '0.0018', + 'gt_discount': False, + 'gt_taker_fee': '0', + 'gt_maker_fee': '0', + 'loan_fee': '0.18', + 'point_type': '1', + 'futures_taker_fee': '0.0005', + 'futures_maker_fee': '0'}, + 'symbol': 'ETH/USDT:USDT', + 'maker': 0.0, + 'taker': 0.0005} + } + exchange_name = 'gateio' + default_conf['dry_run'] = False + default_conf['trading_mode'] = TradingMode.FUTURES + default_conf['margin_mode'] = MarginMode.ISOLATED + api_mock.fetch_trading_fees = MagicMock(return_value=tick) + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + + assert '1INCH/USDT:USDT' in exchange._trading_fees + assert 'ETH/USDT:USDT' in exchange._trading_fees + assert api_mock.fetch_trading_fees.call_count == 1 + + api_mock.fetch_trading_fees.reset_mock() + + ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, + "fetch_trading_fees", "fetch_trading_fees") + + api_mock.fetch_trading_fees = MagicMock(return_value={}) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + exchange.fetch_trading_fees() + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) + assert exchange.fetch_trading_fees() == {} + + def test_fetch_bids_asks(default_conf, mocker): api_mock = MagicMock() tick = {'ETH/BTC': { diff --git a/tests/exchange/test_gateio.py b/tests/exchange/test_gateio.py index 5a46e30a6..ad30a7d86 100644 --- a/tests/exchange/test_gateio.py +++ b/tests/exchange/test_gateio.py @@ -1,7 +1,9 @@ +from datetime import datetime, timezone from unittest.mock import MagicMock import pytest +from freqtrade.enums import MarginMode, TradingMode from freqtrade.exceptions import OperationalException from freqtrade.exchange import Gateio from freqtrade.resolvers.exchange_resolver import ExchangeResolver @@ -70,3 +72,47 @@ def test_stoploss_adjust_gateio(mocker, default_conf, sl1, sl2, sl3, side): } assert exchange.stoploss_adjust(sl1, order, side) assert not exchange.stoploss_adjust(sl2, order, side) + + +@pytest.mark.parametrize('takerormaker,rate,cost', [ + ('taker', 0.0005, 0.0001554325), + ('maker', 0.0, 0.0), +]) +def test_fetch_my_trades_gateio(mocker, default_conf, takerormaker, rate, cost): + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) + tick = {'ETH/USDT:USDT': { + 'info': {'user_id': '', + 'taker_fee': '0.0018', + 'maker_fee': '0.0018', + 'gt_discount': False, + 'gt_taker_fee': '0', + 'gt_maker_fee': '0', + 'loan_fee': '0.18', + 'point_type': '1', + 'futures_taker_fee': '0.0005', + 'futures_maker_fee': '0'}, + 'symbol': 'ETH/USDT:USDT', + 'maker': 0.0, + 'taker': 0.0005} + } + default_conf['dry_run'] = False + default_conf['trading_mode'] = TradingMode.FUTURES + default_conf['margin_mode'] = MarginMode.ISOLATED + + api_mock = MagicMock() + api_mock.fetch_my_trades = MagicMock(return_value=[{ + 'fee': {'cost': None}, + 'price': 3108.65, + 'cost': 0.310865, + 'order': '22255', + 'takerOrMaker': takerormaker, + 'amount': 1, # 1 contract + }]) + exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock, id='gateio') + exchange._trading_fees = tick + trades = exchange.get_trades_for_order('22255', 'ETH/USDT:USDT', datetime.now(timezone.utc)) + trade = trades[0] + assert trade['fee'] + assert trade['fee']['rate'] == rate + assert trade['fee']['currency'] == 'USDT' + assert trade['fee']['cost'] == cost diff --git a/tests/test_integration.py b/tests/test_integration.py index 606290495..d1fac3d71 100644 --- a/tests/test_integration.py +++ b/tests/test_integration.py @@ -311,8 +311,7 @@ def test_dca_short(default_conf_usdt, ticker_usdt, fee, mocker) -> None: # Reduce bid amount ticker_usdt_modif = ticker_usdt.return_value - ticker_usdt_modif['ask'] = ticker_usdt_modif['ask'] * 1.015 - ticker_usdt_modif['bid'] = ticker_usdt_modif['bid'] * 1.0125 + ticker_usdt_modif['ask'] = ticker_usdt_modif['ask'] * 1.004 mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value=ticker_usdt_modif) # additional buy order diff --git a/tests/test_misc.py b/tests/test_misc.py index d28050dfb..107932be4 100644 --- a/tests/test_misc.py +++ b/tests/test_misc.py @@ -73,6 +73,8 @@ def test_file_load_json(mocker, testdatadir) -> None: ("ETH/BTC", 'ETH_BTC'), ("ETH/USDT", 'ETH_USDT'), ("ETH/USDT:USDT", 'ETH_USDT_USDT'), # swap with USDT as settlement currency + ("ETH/USD:USD", 'ETH_USD_USD'), # swap with USD as settlement currency + ("AAVE/USD:USD", 'AAVE_USD_USD'), # swap with USDT as settlement currency ("ETH/USDT:USDT-210625", 'ETH_USDT_USDT-210625'), # expiring futures ("Fabric Token/ETH", 'Fabric_Token_ETH'), ("ETHH20", 'ETHH20'), diff --git a/tests/testdata/futures/UNITTEST_USDT-1h-mark.h5 b/tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.h5 similarity index 51% rename from tests/testdata/futures/UNITTEST_USDT-1h-mark.h5 rename to tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.h5 index ce17eb9e1..e6b128dc1 100644 Binary files a/tests/testdata/futures/UNITTEST_USDT-1h-mark.h5 and b/tests/testdata/futures/UNITTEST_USDT_USDT-1h-mark.h5 differ