From 54dd9ce7ad385083aaf374e4a976108f3514923a Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 24 Jul 2021 01:32:42 -0600 Subject: [PATCH 01/34] Add prep functions to exchange --- freqtrade/exchange/binance.py | 103 ++++++++++++++++++++++++++++++++- freqtrade/exchange/bittrex.py | 23 +++++++- freqtrade/exchange/exchange.py | 54 ++++++++++++++++- freqtrade/exchange/kraken.py | 22 ++++++- 4 files changed, 196 insertions(+), 6 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 189f5f481..33f22f970 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -1,6 +1,6 @@ """ Binance exchange subclass """ import logging -from typing import Dict +from typing import Dict, Optional import ccxt @@ -90,3 +90,104 @@ class Binance(Exchange): f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e + + def transfer(self, asset: str, amount: float, frm: str, to: str, pair: Optional[str]): + res = self._api.sapi_post_margin_isolated_transfer({ + "asset": asset, + "amount": amount, + "transFrom": frm, + "transTo": to, + "symbol": pair + }) + logger.info(f"Transfer response: {res}") + + def borrow(self, asset: str, amount: float, pair: str): + res = self._api.sapi_post_margin_loan({ + "asset": asset, + "isIsolated": True, + "symbol": pair, + "amount": amount + }) # borrow from binance + logger.info(f"Borrow response: {res}") + + def repay(self, asset: str, amount: float, pair: str): + res = self._api.sapi_post_margin_repay({ + "asset": asset, + "isIsolated": True, + "symbol": pair, + "amount": amount + }) # borrow from binance + logger.info(f"Borrow response: {res}") + + def setup_leveraged_enter( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + if not quote_currency or not is_short: + raise OperationalException( + "quote_currency and is_short are required arguments to setup_leveraged_enter" + " when trading with leverage on binance" + ) + open_rate = 2 # TODO-mg: get the real open_rate, or real stake_amount + stake_amount = amount * open_rate + if is_short: + borrowed = stake_amount * ((leverage-1)/leverage) + else: + borrowed = amount + + self.transfer( # Transfer to isolated margin + asset=quote_currency, + amount=stake_amount, + frm='SPOT', + to='ISOLATED_MARGIN', + pair=pair + ) + + self.borrow( + asset=quote_currency, + amount=borrowed, + pair=pair + ) # borrow from binance + + def complete_leveraged_exit( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + + if not quote_currency or not is_short: + raise OperationalException( + "quote_currency and is_short are required arguments to setup_leveraged_enter" + " when trading with leverage on binance" + ) + + open_rate = 2 # TODO-mg: get the real open_rate, or real stake_amount + stake_amount = amount * open_rate + if is_short: + borrowed = stake_amount * ((leverage-1)/leverage) + else: + borrowed = amount + + self.repay( + asset=quote_currency, + amount=borrowed, + pair=pair + ) # repay binance + + self.transfer( # Transfer to isolated margin + asset=quote_currency, + amount=stake_amount, + frm='ISOLATED_MARGIN', + to='SPOT', + pair=pair + ) + + def apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): + return stake_amount / leverage diff --git a/freqtrade/exchange/bittrex.py b/freqtrade/exchange/bittrex.py index 69e2f2b8d..e4d344d27 100644 --- a/freqtrade/exchange/bittrex.py +++ b/freqtrade/exchange/bittrex.py @@ -1,8 +1,9 @@ """ Bittrex exchange subclass """ import logging -from typing import Dict +from typing import Dict, Optional from freqtrade.exchange import Exchange +from freqtrade.exceptions import OperationalException logger = logging.getLogger(__name__) @@ -23,3 +24,23 @@ class Bittrex(Exchange): }, "l2_limit_range": [1, 25, 500], } + + def setup_leveraged_enter( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + raise OperationalException("Bittrex does not support leveraged trading") + + def complete_leveraged_exit( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + raise OperationalException("Bittrex does not support leveraged trading") diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 80f20b17e..e976a266f 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -189,6 +189,7 @@ class Exchange: 'secret': exchange_config.get('secret'), 'password': exchange_config.get('password'), 'uid': exchange_config.get('uid', ''), + 'options': exchange_config.get('options', {}) } if ccxt_kwargs: logger.info('Applying additional ccxt config: %s', ccxt_kwargs) @@ -540,8 +541,9 @@ class Exchange: else: return 1 / pow(10, precision) - def get_min_pair_stake_amount(self, pair: str, price: float, - stoploss: float) -> Optional[float]: + def get_min_pair_stake_amount(self, pair: str, price: float, stoploss: float, + leverage: Optional[float] = 1.0) -> Optional[float]: + # TODO-mg: Using leverage makes the min stake amount lower (on binance at least) try: market = self.markets[pair] except KeyError: @@ -575,7 +577,20 @@ class Exchange: # The value returned should satisfy both limits: for amount (base currency) and # for cost (quote, stake currency), so max() is used here. # See also #2575 at github. - return max(min_stake_amounts) * amount_reserve_percent + return self.apply_leverage_to_stake_amount( + max(min_stake_amounts) * amount_reserve_percent, + leverage or 1.0 + ) + + def apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): + """ + #* Should be implemented by child classes if leverage affects the stake_amount + Takes the minimum stake amount for a pair with no leverage and returns the minimum + stake amount when leverage is considered + :param stake_amount: The stake amount for a pair before leverage is considered + :param leverage: The amount of leverage being used on the current trade + """ + return stake_amount # Dry-run methods @@ -713,6 +728,15 @@ class Exchange: raise InvalidOrderException( f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e + def get_max_leverage(self, pair: str, stake_amount: float, price: float) -> float: + """ + Gets the maximum leverage available on this pair that is below the config leverage + but higher than the config min_leverage + """ + + raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") + return 1.0 + # Order handling def create_order(self, pair: str, ordertype: str, side: str, amount: float, @@ -737,6 +761,7 @@ class Exchange: order = self._api.create_order(pair, ordertype, side, amount, rate_for_order, params) self._log_exchange_response('create_order', order) + return order except ccxt.InsufficientFunds as e: @@ -757,6 +782,26 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e + def setup_leveraged_enter( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") + + def complete_leveraged_exit( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") + def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) @@ -1525,6 +1570,9 @@ class Exchange: self._async_get_trade_history(pair=pair, since=since, until=until, from_id=from_id)) + def transfer(self, asset: str, amount: float, frm: str, to: str, pair: Optional[str]): + self._api.transfer(asset, amount, frm, to) + def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: return exchange_name in ccxt_exchanges(ccxt_module) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 1b069aa6c..d7dfd3f3b 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -1,6 +1,6 @@ """ Kraken exchange subclass """ import logging -from typing import Any, Dict +from typing import Any, Dict, Optional import ccxt @@ -124,3 +124,23 @@ class Kraken(Exchange): f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e + + def setup_leveraged_enter( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + return + + def complete_leveraged_exit( + self, + pair: str, + leverage: float, + amount: float, + quote_currency: Optional[str], + is_short: Optional[bool] + ): + return From ebf531081755592e58da0ee89ecadbe31b9cc717 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 25 Jul 2021 23:40:38 -0600 Subject: [PATCH 02/34] Added get_interest template method in exchange --- freqtrade/exchange/exchange.py | 12 +++++++++++- 1 file changed, 11 insertions(+), 1 deletion(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index e976a266f..fba673c63 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -584,7 +584,7 @@ class Exchange: def apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): """ - #* Should be implemented by child classes if leverage affects the stake_amount + # * Should be implemented by child classes if leverage affects the stake_amount Takes the minimum stake amount for a pair with no leverage and returns the minimum stake amount when leverage is considered :param stake_amount: The stake amount for a pair before leverage is considered @@ -1573,6 +1573,16 @@ class Exchange: def transfer(self, asset: str, amount: float, frm: str, to: str, pair: Optional[str]): self._api.transfer(asset, amount, frm, to) + def get_isolated_liq(self, pair: str, open_rate: float, + amount: float, leverage: float, is_short: bool) -> float: + raise OperationalException( + f"Isolated margin is not available on {self.name} using freqtrade" + ) + + def get_interest_rate(self, pair: str, open_rate: float, is_short: bool) -> float: + # TODO-mg: implement + return 0.0005 + def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: return exchange_name in ccxt_exchanges(ccxt_module) From f4e26a616f9127ef7f15679b8b8649b64d6a9c65 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Mon, 26 Jul 2021 00:01:57 -0600 Subject: [PATCH 03/34] Exchange stoploss function takes side --- freqtrade/exchange/binance.py | 9 ++++++-- freqtrade/exchange/exchange.py | 5 +++-- freqtrade/exchange/ftx.py | 8 +++++-- freqtrade/exchange/kraken.py | 7 +++++-- freqtrade/freqtradebot.py | 16 ++++++++------ tests/exchange/test_binance.py | 21 ++++++++++--------- tests/exchange/test_exchange.py | 4 ++-- tests/exchange/test_ftx.py | 20 +++++++++--------- tests/exchange/test_kraken.py | 16 +++++++------- tests/test_freqtradebot.py | 37 ++++++++++++++++++++------------- 10 files changed, 85 insertions(+), 58 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 33f22f970..c285cec21 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -25,20 +25,25 @@ class Binance(Exchange): "l2_limit_range": [5, 10, 20, 50, 100, 500, 1000], } - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. + :param side: "buy" or "sell" """ + # TODO-mg: Short support return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice']) @retrier(retries=0) - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, + stop_price: float, order_types: Dict, side: str) -> Dict: """ creates a stoploss limit order. this stoploss-limit is binance-specific. It may work with a limited number of other exchanges, but this has not been tested yet. + :param side: "buy" or "sell" """ + # TODO-mg: Short support # Limit price threshold: As limit price should always be below stop-price limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) rate = stop_price * limit_price_pct diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index fba673c63..0471c0149 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -802,14 +802,15 @@ class Exchange: ): raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ raise OperationalException(f"stoploss is not implemented for {self.name}.") - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, + stop_price: float, order_types: Dict, side: str) -> Dict: """ creates a stoploss order. The precise ordertype is determined by the order_types dict or exchange default. diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 6cd549d60..4a078bbb7 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -31,21 +31,25 @@ class Ftx(Exchange): return (parent_check and market.get('spot', False) is True) - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ + # TODO-mg: Short support return order['type'] == 'stop' and stop_loss > float(order['price']) @retrier(retries=0) - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, + stop_price: float, order_types: Dict, side: str) -> Dict: """ Creates a stoploss order. depending on order_types.stoploss configuration, uses 'market' or limit order. Limit orders are defined by having orderPrice set, otherwise a market order is used. """ + # TODO-mg: Short support + limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) limit_rate = stop_price * limit_price_pct diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index d7dfd3f3b..36c1608bd 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -67,20 +67,23 @@ class Kraken(Exchange): except ccxt.BaseError as e: raise OperationalException(e) from e - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ + # TODO-mg: Short support return (order['type'] in ('stop-loss', 'stop-loss-limit') and stop_loss > float(order['price'])) @retrier(retries=0) - def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict: + def stoploss(self, pair: str, amount: float, + stop_price: float, order_types: Dict, side: str) -> Dict: """ Creates a stoploss market order. Stoploss market orders is the only stoploss type supported by kraken. """ + # TODO-mg: Short support params = self._params.copy() if order_types.get('stoploss', 'market') == 'limit': diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 78f6da9ec..e2586ed28 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -728,9 +728,13 @@ class FreqtradeBot(LoggingMixin): :return: True if the order succeeded, and False in case of problems. """ try: - stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount, - stop_price=stop_price, - order_types=self.strategy.order_types) + stoploss_order = self.exchange.stoploss( + pair=trade.pair, + amount=trade.amount, + stop_price=stop_price, + order_types=self.strategy.order_types, + side=trade.exit_side + ) order_obj = Order.parse_from_ccxt_object(stoploss_order, trade.pair, 'stoploss') trade.orders.append(order_obj) @@ -819,11 +823,11 @@ class FreqtradeBot(LoggingMixin): # 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, stoploss_order) + self.handle_trailing_stoploss_on_exchange(trade, stoploss_order, side=trade.exit_side) return False - def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None: + def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict, side: str) -> None: """ Check to see if stoploss on exchange should be updated in case of trailing stoploss on exchange @@ -831,7 +835,7 @@ class FreqtradeBot(LoggingMixin): :param order: Current on exchange stoploss order :return: None """ - if self.exchange.stoploss_adjust(trade.stop_loss, order): + if self.exchange.stoploss_adjust(trade.stop_loss, order, side): # we check if the update is necessary update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60) if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat: diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index f2b508761..7b324efa2 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -32,12 +32,13 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') with pytest.raises(OperationalException): - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell", order_types={'stoploss_on_exchange_limit_ratio': 1.05}) api_mock.create_order.reset_mock() order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio} - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types=order_types) + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, + order_types=order_types, side="sell") assert 'id' in order assert 'info' in order @@ -54,17 +55,17 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("binance Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") def test_stoploss_order_dry_run_binance(default_conf, mocker): @@ -77,12 +78,12 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') with pytest.raises(OperationalException): - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell", order_types={'stoploss_on_exchange_limit_ratio': 1.05}) api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") assert 'id' in order assert 'info' in order @@ -100,8 +101,8 @@ def test_stoploss_adjust_binance(mocker, default_conf): 'price': 1500, 'info': {'stopPrice': 1500}, } - assert exchange.stoploss_adjust(1501, order) - assert not exchange.stoploss_adjust(1499, order) + assert exchange.stoploss_adjust(1501, order, side="sell") + assert not exchange.stoploss_adjust(1499, order, side="sell") # Test with invalid order case order['type'] = 'stop_loss' - assert not exchange.stoploss_adjust(1501, order) + assert not exchange.stoploss_adjust(1501, order, side="sell") diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 144063c07..d03316ea5 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -2581,10 +2581,10 @@ def test_get_fee(default_conf, mocker, exchange_name): def test_stoploss_order_unsupported_exchange(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, id='bittrex') with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") with pytest.raises(OperationalException, match=r"stoploss is not implemented .*"): - exchange.stoploss_adjust(1, {}) + exchange.stoploss_adjust(1, {}, side="sell") def test_merge_ft_has_dict(default_conf, mocker): diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 3794bb79c..3887e2b08 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -32,7 +32,7 @@ def test_stoploss_order_ftx(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') # stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell", order_types={'stoploss_on_exchange_limit_ratio': 1.05}) assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' @@ -47,7 +47,7 @@ def test_stoploss_order_ftx(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") assert 'id' in order assert 'info' in order @@ -61,7 +61,7 @@ def test_stoploss_order_ftx(default_conf, mocker): api_mock.create_order.reset_mock() order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, - order_types={'stoploss': 'limit'}) + order_types={'stoploss': 'limit'}, side="sell") assert 'id' in order assert 'info' in order @@ -78,17 +78,17 @@ def test_stoploss_order_ftx(default_conf, mocker): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") ccxt_exceptionhandlers(mocker, default_conf, api_mock, "ftx", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") def test_stoploss_order_dry_run_ftx(default_conf, mocker): @@ -101,7 +101,7 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") assert 'id' in order assert 'info' in order @@ -118,11 +118,11 @@ def test_stoploss_adjust_ftx(mocker, default_conf): 'type': STOPLOSS_ORDERTYPE, 'price': 1500, } - assert exchange.stoploss_adjust(1501, order) - assert not exchange.stoploss_adjust(1499, order) + assert exchange.stoploss_adjust(1501, order, side="sell") + assert not exchange.stoploss_adjust(1499, order, side="sell") # Test with invalid order case ... order['type'] = 'stop_loss_limit' - assert not exchange.stoploss_adjust(1501, order) + assert not exchange.stoploss_adjust(1501, order, side="sell") def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order): diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index eb79dfc10..c2b96cf17 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -183,7 +183,7 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, side="sell", order_types={'stoploss': ordertype, 'stoploss_on_exchange_limit_ratio': 0.99 }) @@ -208,17 +208,17 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("kraken Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") def test_stoploss_order_dry_run_kraken(default_conf, mocker): @@ -231,7 +231,7 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}) + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") assert 'id' in order assert 'info' in order @@ -248,8 +248,8 @@ def test_stoploss_adjust_kraken(mocker, default_conf): 'type': STOPLOSS_ORDERTYPE, 'price': 1500, } - assert exchange.stoploss_adjust(1501, order) - assert not exchange.stoploss_adjust(1499, order) + assert exchange.stoploss_adjust(1501, order, side="sell") + assert not exchange.stoploss_adjust(1499, order, side="sell") # Test with invalid order case ... order['type'] = 'stop_loss_limit' - assert not exchange.stoploss_adjust(1501, order) + assert not exchange.stoploss_adjust(1501, order, side="sell") diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index e0880db8f..3106c3e00 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1343,10 +1343,13 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, assert freqtrade.handle_stoploss_on_exchange(trade) is False cancel_order_mock.assert_called_once_with(100, 'ETH/BTC') - stoploss_order_mock.assert_called_once_with(amount=85.32423208, - pair='ETH/BTC', - order_types=freqtrade.strategy.order_types, - stop_price=0.00002346 * 0.95) + stoploss_order_mock.assert_called_once_with( + amount=85.32423208, + pair='ETH/BTC', + order_types=freqtrade.strategy.order_types, + stop_price=0.00002346 * 0.95, + side="sell" + ) # price fell below stoploss, so dry-run sells trade. mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={ @@ -1417,7 +1420,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c side_effect=InvalidOrderException()) mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order', return_value=stoploss_order_hanging) - freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging) + freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="buy") assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/BTC.*", caplog) # Still try to create order @@ -1427,7 +1430,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c caplog.clear() cancel_mock = mocker.patch("freqtrade.exchange.Binance.cancel_stoploss_order", MagicMock()) mocker.patch("freqtrade.exchange.Binance.stoploss", side_effect=ExchangeError()) - freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging) + freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="buy") assert cancel_mock.call_count == 1 assert log_has_re(r"Could not create trailing stoploss order for pair ETH/BTC\..*", caplog) @@ -1526,10 +1529,13 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee, assert freqtrade.handle_stoploss_on_exchange(trade) is False cancel_order_mock.assert_called_once_with(100, 'ETH/BTC') - stoploss_order_mock.assert_called_once_with(amount=85.32423208, - pair='ETH/BTC', - order_types=freqtrade.strategy.order_types, - stop_price=0.00002346 * 0.96) + stoploss_order_mock.assert_called_once_with( + amount=85.32423208, + pair='ETH/BTC', + order_types=freqtrade.strategy.order_types, + stop_price=0.00002346 * 0.96, + side="sell" + ) # price fell below stoploss, so dry-run sells trade. mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={ @@ -1647,10 +1653,13 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, # stoploss should be set to 1% as trailing is on assert trade.stop_loss == 0.00002346 * 0.99 cancel_order_mock.assert_called_once_with(100, 'NEO/BTC') - stoploss_order_mock.assert_called_once_with(amount=2132892.49146757, - pair='NEO/BTC', - order_types=freqtrade.strategy.order_types, - stop_price=0.00002346 * 0.99) + stoploss_order_mock.assert_called_once_with( + amount=2132892.49146757, + pair='NEO/BTC', + order_types=freqtrade.strategy.order_types, + stop_price=0.00002346 * 0.99, + side="sell" + ) def test_enter_positions(mocker, default_conf, caplog) -> None: From d262af35cafd007f23f436c8474274f647eab2e8 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Mon, 2 Aug 2021 06:14:30 -0600 Subject: [PATCH 04/34] Removed setup leverage and transfer functions from exchange --- freqtrade/exchange/binance.py | 100 +-------------------------------- freqtrade/exchange/bittrex.py | 23 +------- freqtrade/exchange/exchange.py | 32 +---------- freqtrade/exchange/kraken.py | 22 +------- 4 files changed, 4 insertions(+), 173 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index c285cec21..675f85e62 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -1,6 +1,6 @@ """ Binance exchange subclass """ import logging -from typing import Dict, Optional +from typing import Dict import ccxt @@ -96,103 +96,5 @@ class Binance(Exchange): except ccxt.BaseError as e: raise OperationalException(e) from e - def transfer(self, asset: str, amount: float, frm: str, to: str, pair: Optional[str]): - res = self._api.sapi_post_margin_isolated_transfer({ - "asset": asset, - "amount": amount, - "transFrom": frm, - "transTo": to, - "symbol": pair - }) - logger.info(f"Transfer response: {res}") - - def borrow(self, asset: str, amount: float, pair: str): - res = self._api.sapi_post_margin_loan({ - "asset": asset, - "isIsolated": True, - "symbol": pair, - "amount": amount - }) # borrow from binance - logger.info(f"Borrow response: {res}") - - def repay(self, asset: str, amount: float, pair: str): - res = self._api.sapi_post_margin_repay({ - "asset": asset, - "isIsolated": True, - "symbol": pair, - "amount": amount - }) # borrow from binance - logger.info(f"Borrow response: {res}") - - def setup_leveraged_enter( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - if not quote_currency or not is_short: - raise OperationalException( - "quote_currency and is_short are required arguments to setup_leveraged_enter" - " when trading with leverage on binance" - ) - open_rate = 2 # TODO-mg: get the real open_rate, or real stake_amount - stake_amount = amount * open_rate - if is_short: - borrowed = stake_amount * ((leverage-1)/leverage) - else: - borrowed = amount - - self.transfer( # Transfer to isolated margin - asset=quote_currency, - amount=stake_amount, - frm='SPOT', - to='ISOLATED_MARGIN', - pair=pair - ) - - self.borrow( - asset=quote_currency, - amount=borrowed, - pair=pair - ) # borrow from binance - - def complete_leveraged_exit( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - - if not quote_currency or not is_short: - raise OperationalException( - "quote_currency and is_short are required arguments to setup_leveraged_enter" - " when trading with leverage on binance" - ) - - open_rate = 2 # TODO-mg: get the real open_rate, or real stake_amount - stake_amount = amount * open_rate - if is_short: - borrowed = stake_amount * ((leverage-1)/leverage) - else: - borrowed = amount - - self.repay( - asset=quote_currency, - amount=borrowed, - pair=pair - ) # repay binance - - self.transfer( # Transfer to isolated margin - asset=quote_currency, - amount=stake_amount, - frm='ISOLATED_MARGIN', - to='SPOT', - pair=pair - ) - def apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): return stake_amount / leverage diff --git a/freqtrade/exchange/bittrex.py b/freqtrade/exchange/bittrex.py index e4d344d27..69e2f2b8d 100644 --- a/freqtrade/exchange/bittrex.py +++ b/freqtrade/exchange/bittrex.py @@ -1,9 +1,8 @@ """ Bittrex exchange subclass """ import logging -from typing import Dict, Optional +from typing import Dict from freqtrade.exchange import Exchange -from freqtrade.exceptions import OperationalException logger = logging.getLogger(__name__) @@ -24,23 +23,3 @@ class Bittrex(Exchange): }, "l2_limit_range": [1, 25, 500], } - - def setup_leveraged_enter( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - raise OperationalException("Bittrex does not support leveraged trading") - - def complete_leveraged_exit( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - raise OperationalException("Bittrex does not support leveraged trading") diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 0471c0149..87d920fba 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -730,8 +730,7 @@ class Exchange: def get_max_leverage(self, pair: str, stake_amount: float, price: float) -> float: """ - Gets the maximum leverage available on this pair that is below the config leverage - but higher than the config min_leverage + Gets the maximum leverage available on this pair """ raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") @@ -782,26 +781,6 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def setup_leveraged_enter( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") - - def complete_leveraged_exit( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") - def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) @@ -1571,15 +1550,6 @@ class Exchange: self._async_get_trade_history(pair=pair, since=since, until=until, from_id=from_id)) - def transfer(self, asset: str, amount: float, frm: str, to: str, pair: Optional[str]): - self._api.transfer(asset, amount, frm, to) - - def get_isolated_liq(self, pair: str, open_rate: float, - amount: float, leverage: float, is_short: bool) -> float: - raise OperationalException( - f"Isolated margin is not available on {self.name} using freqtrade" - ) - def get_interest_rate(self, pair: str, open_rate: float, is_short: bool) -> float: # TODO-mg: implement return 0.0005 diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 36c1608bd..010b574d6 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -1,6 +1,6 @@ """ Kraken exchange subclass """ import logging -from typing import Any, Dict, Optional +from typing import Any, Dict import ccxt @@ -127,23 +127,3 @@ class Kraken(Exchange): f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e - - def setup_leveraged_enter( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - return - - def complete_leveraged_exit( - self, - pair: str, - leverage: float, - amount: float, - quote_currency: Optional[str], - is_short: Optional[bool] - ): - return From add7e74632f260cf375afa7bef1372e59a6f95ba Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 8 Aug 2021 19:34:33 -0600 Subject: [PATCH 05/34] Added set_leverage function to exchange --- freqtrade/exchange/exchange.py | 10 +++++++++- 1 file changed, 9 insertions(+), 1 deletion(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 87d920fba..bf5fc4de3 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -760,7 +760,6 @@ class Exchange: order = self._api.create_order(pair, ordertype, side, amount, rate_for_order, params) self._log_exchange_response('create_order', order) - return order except ccxt.InsufficientFunds as e: @@ -1554,6 +1553,15 @@ class Exchange: # TODO-mg: implement return 0.0005 + def set_leverage(self, pair, leverage): + """ + Binance Futures must set the leverage before making a futures trade, in order to not + have the same leverage on every trade + # TODO-lev: This may be the case for any futures exchange, or even margin trading on + # TODO-lev: some exchanges, so check this + """ + self._api.set_leverage(symbol=pair, leverage=leverage) + def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: return exchange_name in ccxt_exchanges(ccxt_module) From 455bcf5389e1756983e5e9cc45b378c01ee0a4ae Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 8 Aug 2021 23:13:35 -0600 Subject: [PATCH 06/34] Added TODOs to test files --- freqtrade/exchange/binance.py | 4 ++-- freqtrade/exchange/exchange.py | 4 ++-- freqtrade/exchange/ftx.py | 4 ++-- freqtrade/exchange/kraken.py | 4 ++-- tests/exchange/test_exchange.py | 24 ++++++++++++++++++++++++ tests/exchange/test_ftx.py | 2 ++ tests/exchange/test_kraken.py | 2 ++ 7 files changed, 36 insertions(+), 8 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 675f85e62..8c70fdb1f 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -31,7 +31,7 @@ class Binance(Exchange): Returns True if adjustment is necessary. :param side: "buy" or "sell" """ - # TODO-mg: Short support + # TODO-lev: Short support return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice']) @retrier(retries=0) @@ -43,7 +43,7 @@ class Binance(Exchange): It may work with a limited number of other exchanges, but this has not been tested yet. :param side: "buy" or "sell" """ - # TODO-mg: Short support + # TODO-lev: Short support # Limit price threshold: As limit price should always be below stop-price limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) rate = stop_price * limit_price_pct diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index bf5fc4de3..b7b7151c2 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -543,7 +543,7 @@ class Exchange: def get_min_pair_stake_amount(self, pair: str, price: float, stoploss: float, leverage: Optional[float] = 1.0) -> Optional[float]: - # TODO-mg: Using leverage makes the min stake amount lower (on binance at least) + # TODO-lev: Using leverage makes the min stake amount lower (on binance at least) try: market = self.markets[pair] except KeyError: @@ -1550,7 +1550,7 @@ class Exchange: until=until, from_id=from_id)) def get_interest_rate(self, pair: str, open_rate: float, is_short: bool) -> float: - # TODO-mg: implement + # TODO-lev: implement return 0.0005 def set_leverage(self, pair, leverage): diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 4a078bbb7..aca060d2b 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -36,7 +36,7 @@ class Ftx(Exchange): Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ - # TODO-mg: Short support + # TODO-lev: Short support return order['type'] == 'stop' and stop_loss > float(order['price']) @retrier(retries=0) @@ -48,7 +48,7 @@ class Ftx(Exchange): Limit orders are defined by having orderPrice set, otherwise a market order is used. """ - # TODO-mg: Short support + # TODO-lev: Short support limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) limit_rate = stop_price * limit_price_pct diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 010b574d6..303c4d885 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -72,7 +72,7 @@ class Kraken(Exchange): Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ - # TODO-mg: Short support + # TODO-lev: Short support return (order['type'] in ('stop-loss', 'stop-loss-limit') and stop_loss > float(order['price'])) @@ -83,7 +83,7 @@ class Kraken(Exchange): Creates a stoploss market order. Stoploss market orders is the only stoploss type supported by kraken. """ - # TODO-mg: Short support + # TODO-lev: Short support params = self._params.copy() if order_types.get('stoploss', 'market') == 'limit': diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index d03316ea5..0c1e027b7 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -116,6 +116,8 @@ def test_init_ccxt_kwargs(default_conf, mocker, caplog): assert ex._api.headers == {'hello': 'world'} Exchange._headers = {} + # TODO-lev: Test with options + def test_destroy(default_conf, mocker, caplog): caplog.set_level(logging.DEBUG) @@ -307,6 +309,7 @@ def test_price_get_one_pip(default_conf, mocker, price, precision_mode, precisio def test_get_min_pair_stake_amount(mocker, default_conf) -> None: + # TODO-lev: Test with leverage exchange = get_patched_exchange(mocker, default_conf, id="binance") stoploss = -0.05 markets = {'ETH/BTC': {'symbol': 'ETH/BTC'}} @@ -425,6 +428,7 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: + # TODO-lev: Test with leverage exchange = get_patched_exchange(mocker, default_conf, id="binance") stoploss = -0.05 markets = {'ETH/BTC': {'symbol': 'ETH/BTC'}} @@ -445,6 +449,11 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: ) +def apply_leverage_to_stake_amount(): + # TODO-lev + return + + def test_set_sandbox(default_conf, mocker): """ Test working scenario @@ -2933,3 +2942,18 @@ def test_calculate_fee_rate(mocker, default_conf, order, expected) -> None: ]) def test_calculate_backoff(retrycount, max_retries, expected): assert calculate_backoff(retrycount, max_retries) == expected + + +def test_get_max_leverage(): + # TODO-lev + return + + +def test_get_interest_rate(): + # TODO-lev + return + + +def test_set_leverage(): + # TODO-lev + return diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 3887e2b08..76b01dd35 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -13,6 +13,8 @@ from .test_exchange import ccxt_exceptionhandlers STOPLOSS_ORDERTYPE = 'stop' +# TODO-lev: All these stoploss tests with shorts + def test_stoploss_order_ftx(default_conf, mocker): api_mock = MagicMock() diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index c2b96cf17..60250fc71 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -164,6 +164,8 @@ def test_get_balances_prod(default_conf, mocker): ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken", "get_balances", "fetch_balance") +# TODO-lev: All these stoploss tests with shorts + @pytest.mark.parametrize('ordertype', ['market', 'limit']) def test_stoploss_order_kraken(default_conf, mocker, ordertype): From 134a7ec59b0e3f42f0fdad87b883dcc88fa01a6c Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 20 Aug 2021 02:40:22 -0600 Subject: [PATCH 07/34] Implemented fill_leverage_brackets get_max_leverage and set_leverage for binance, kraken and ftx. Wrote tests test_apply_leverage_to_stake_amount and test_get_max_leverage --- freqtrade/exchange/binance.py | 42 +++++++++++++++++++++-- freqtrade/exchange/exchange.py | 50 ++++++++++++++++++++------- freqtrade/exchange/ftx.py | 29 +++++++++++++++- freqtrade/exchange/kraken.py | 41 +++++++++++++++++++++- tests/exchange/test_binance.py | 45 ++++++++++++++++++++++++ tests/exchange/test_exchange.py | 61 +++++++++++++++++++++++++++++---- 6 files changed, 245 insertions(+), 23 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 8c70fdb1f..1339677d2 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -1,6 +1,6 @@ """ Binance exchange subclass """ import logging -from typing import Dict +from typing import Dict, Optional import ccxt @@ -96,5 +96,43 @@ class Binance(Exchange): except ccxt.BaseError as e: raise OperationalException(e) from e - def apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): + def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): return stake_amount / leverage + + def fill_leverage_brackets(self): + """ + Assigns property _leverage_brackets to a dictionary of information about the leverage + allowed on each pair + """ + leverage_brackets = self._api.load_leverage_brackets() + for pair, brackets in leverage_brackets.items: + self.leverage_brackets[pair] = [ + [ + min_amount, + float(margin_req) + ] for [ + min_amount, + margin_req + ] in brackets + ] + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at + :param pair: The base/quote currency pair being traded + :nominal_value: The total value of the trade in quote currency (collateral + debt) + """ + pair_brackets = self._leverage_brackets[pair] + max_lev = 1.0 + for [min_amount, margin_req] in pair_brackets: + print(nominal_value, min_amount) + if nominal_value >= min_amount: + max_lev = 1/margin_req + return max_lev + + def set_leverage(self, pair, leverage): + """ + Binance Futures must set the leverage before making a futures trade, in order to not + have the same leverage on every trade + """ + self._api.set_leverage(symbol=pair, leverage=leverage) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index b7b7151c2..340a63ab5 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -74,6 +74,8 @@ class Exchange: } _ft_has: Dict = {} + _leverage_brackets: Dict + def __init__(self, config: Dict[str, Any], validate: bool = True) -> None: """ Initializes this module with the given config, @@ -161,6 +163,16 @@ class Exchange: self.markets_refresh_interval: int = exchange_config.get( "markets_refresh_interval", 60) * 60 + leverage = config.get('leverage_mode') + if leverage is not False: + try: + # TODO-lev: This shouldn't need to happen, but for some reason I get that the + # TODO-lev: method isn't implemented + self.fill_leverage_brackets() + except Exception as error: + logger.debug(error) + logger.debug("Could not load leverage_brackets") + def __del__(self): """ Destructor - clean up async stuff @@ -355,6 +367,7 @@ class Exchange: # Also reload async markets to avoid issues with newly listed pairs self._load_async_markets(reload=True) self._last_markets_refresh = arrow.utcnow().int_timestamp + self.fill_leverage_brackets() except ccxt.BaseError: logger.exception("Could not reload markets.") @@ -577,12 +590,12 @@ class Exchange: # The value returned should satisfy both limits: for amount (base currency) and # for cost (quote, stake currency), so max() is used here. # See also #2575 at github. - return self.apply_leverage_to_stake_amount( + return self._apply_leverage_to_stake_amount( max(min_stake_amounts) * amount_reserve_percent, leverage or 1.0 ) - def apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): + def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): """ # * Should be implemented by child classes if leverage affects the stake_amount Takes the minimum stake amount for a pair with no leverage and returns the minimum @@ -728,14 +741,6 @@ class Exchange: raise InvalidOrderException( f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e - def get_max_leverage(self, pair: str, stake_amount: float, price: float) -> float: - """ - Gets the maximum leverage available on this pair - """ - - raise OperationalException(f"Leverage is not available on {self.name} using freqtrade") - return 1.0 - # Order handling def create_order(self, pair: str, ordertype: str, side: str, amount: float, @@ -1553,13 +1558,32 @@ class Exchange: # TODO-lev: implement return 0.0005 + def fill_leverage_brackets(self): + """ + #TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken + Assigns property _leverage_brackets to a dictionary of information about the leverage + allowed on each pair + """ + raise OperationalException( + f"{self.name.capitalize()}.fill_leverage_brackets has not been implemented.") + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at + :param pair: The base/quote currency pair being traded + :nominal_value: The total value of the trade in quote currency (collateral + debt) + """ + raise OperationalException( + f"{self.name.capitalize()}.get_max_leverage has not been implemented.") + def set_leverage(self, pair, leverage): """ - Binance Futures must set the leverage before making a futures trade, in order to not + Set's the leverage before making a trade, in order to not have the same leverage on every trade - # TODO-lev: This may be the case for any futures exchange, or even margin trading on - # TODO-lev: some exchanges, so check this """ + raise OperationalException( + f"{self.name.capitalize()}.set_leverage has not been implemented.") + self._api.set_leverage(symbol=pair, leverage=leverage) diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index aca060d2b..64e728761 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -1,6 +1,6 @@ """ FTX exchange subclass """ import logging -from typing import Any, Dict +from typing import Any, Dict, Optional import ccxt @@ -156,3 +156,30 @@ class Ftx(Exchange): if order['type'] == 'stop': return safe_value_fallback2(order, order, 'id_stop', 'id') return order['id'] + + def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): + # TODO-lev: implement + return stake_amount + + def fill_leverage_brackets(self): + """ + FTX leverage is static across the account, and doesn't change from pair to pair, + so _leverage_brackets doesn't need to be set + """ + return + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at, which is always 20 on ftx + :param pair: Here for super method, not used on FTX + :nominal_value: Here for super method, not used on FTX + """ + return 20.0 + + def set_leverage(self, pair, leverage): + """ + Sets the leverage used for the user's account + :param pair: Here for super method, not used on FTX + :param leverage: + """ + self._api.private_post_account_leverage({'leverage': leverage}) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 303c4d885..358a1991c 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -1,6 +1,6 @@ """ Kraken exchange subclass """ import logging -from typing import Any, Dict +from typing import Any, Dict, Optional import ccxt @@ -127,3 +127,42 @@ class Kraken(Exchange): f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e + + def fill_leverage_brackets(self): + """ + Assigns property _leverage_brackets to a dictionary of information about the leverage + allowed on each pair + """ + # TODO-lev: Not sure if this works correctly for futures + leverages = {} + for pair, market in self._api.load_markets().items(): + info = market['info'] + leverage_buy = info['leverage_buy'] + leverage_sell = info['leverage_sell'] + if len(info['leverage_buy']) > 0 or len(info['leverage_sell']) > 0: + if leverage_buy != leverage_sell: + print(f"\033[91m The buy leverage != the sell leverage for {pair}." + "please let freqtrade know because this has never happened before" + ) + if max(leverage_buy) < max(leverage_sell): + leverages[pair] = leverage_buy + else: + leverages[pair] = leverage_sell + else: + leverages[pair] = leverage_buy + self._leverage_brackets = leverages + + def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: + """ + Returns the maximum leverage that a pair can be traded at + :param pair: The base/quote currency pair being traded + :nominal_value: Here for super class, not needed on Kraken + """ + return float(max(self._leverage_brackets[pair])) + + def set_leverage(self, pair, leverage): + """ + Kraken set's the leverage as an option it the order object, so it doesn't do + anything in this function + """ + return diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index 7b324efa2..aba185134 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -106,3 +106,48 @@ def test_stoploss_adjust_binance(mocker, default_conf): # Test with invalid order case order['type'] = 'stop_loss' assert not exchange.stoploss_adjust(1501, order, side="sell") + + +@pytest.mark.parametrize('pair,nominal_value,max_lev', [ + ("BNB/BUSD", 0.0, 40.0), + ("BNB/USDT", 100.0, 153.84615384615384), + ("BTC/USDT", 170.30, 250.0), + ("BNB/BUSD", 999999.9, 10.0), + ("BNB/USDT", 5000000.0, 6.666666666666667), + ("BTC/USDT", 300000000.1, 2.0), +]) +def test_get_max_leverage_binance( + default_conf, + mocker, + pair, + nominal_value, + max_lev +): + exchange = get_patched_exchange(mocker, default_conf, id="binance") + exchange._leverage_brackets = { + 'BNB/BUSD': [[0.0, 0.025], + [100000.0, 0.05], + [500000.0, 0.1], + [1000000.0, 0.15], + [2000000.0, 0.25], + [5000000.0, 0.5]], + 'BNB/USDT': [[0.0, 0.0065], + [10000.0, 0.01], + [50000.0, 0.02], + [250000.0, 0.05], + [1000000.0, 0.1], + [2000000.0, 0.125], + [5000000.0, 0.15], + [10000000.0, 0.25]], + 'BTC/USDT': [[0.0, 0.004], + [50000.0, 0.005], + [250000.0, 0.01], + [1000000.0, 0.025], + [5000000.0, 0.05], + [20000000.0, 0.1], + [50000000.0, 0.125], + [100000000.0, 0.15], + [200000000.0, 0.25], + [300000000.0, 0.5]], + } + assert exchange.get_max_leverage(pair, nominal_value) == max_lev diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 0c1e027b7..518629531 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -449,11 +449,6 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: ) -def apply_leverage_to_stake_amount(): - # TODO-lev - return - - def test_set_sandbox(default_conf, mocker): """ Test working scenario @@ -2944,7 +2939,61 @@ def test_calculate_backoff(retrycount, max_retries, expected): assert calculate_backoff(retrycount, max_retries) == expected -def test_get_max_leverage(): +@pytest.mark.parametrize('exchange,stake_amount,leverage,min_stake_with_lev', [ + ('binance', 9.0, 3.0, 3.0), + ('binance', 20.0, 5.0, 4.0), + ('binance', 100.0, 100.0, 1.0), + # Kraken + ('kraken', 9.0, 3.0, 9.0), + ('kraken', 20.0, 5.0, 20.0), + ('kraken', 100.0, 100.0, 100.0), + # FTX + # TODO-lev: - implement FTX tests + # ('ftx', 9.0, 3.0, 10.0), + # ('ftx', 20.0, 5.0, 20.0), + # ('ftx', 100.0, 100.0, 100.0), +]) +def test_apply_leverage_to_stake_amount( + exchange, + stake_amount, + leverage, + min_stake_with_lev, + mocker, + default_conf +): + exchange = get_patched_exchange(mocker, default_conf, id=exchange) + assert exchange._apply_leverage_to_stake_amount(stake_amount, leverage) == min_stake_with_lev + + +@pytest.mark.parametrize('exchange_name,pair,nominal_value,max_lev', [ + # Kraken + ("kraken", "ADA/BTC", 0.0, 3.0), + ("kraken", "BTC/EUR", 100.0, 5.0), + ("kraken", "ZEC/USD", 173.31, 2.0), + # FTX + ("ftx", "ADA/BTC", 0.0, 20.0), + ("ftx", "BTC/EUR", 100.0, 20.0), + ("ftx", "ZEC/USD", 173.31, 20.0), + # Binance tests this method inside it's own test file +]) +def test_get_max_leverage( + default_conf, + mocker, + exchange_name, + pair, + nominal_value, + max_lev +): + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + exchange._leverage_brackets = { + 'ADA/BTC': ['2', '3'], + 'BTC/EUR': ['2', '3', '4', '5'], + 'ZEC/USD': ['2'] + } + assert exchange.get_max_leverage(pair, nominal_value) == max_lev + + +def test_fill_leverage_brackets(): # TODO-lev return From c256dc3745127f1959fc7d7155ea57ee68e6f9c6 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 20 Aug 2021 18:50:02 -0600 Subject: [PATCH 08/34] Removed some outdated TODOs and whitespace --- freqtrade/exchange/exchange.py | 3 --- 1 file changed, 3 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 340a63ab5..0f7bf6b39 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -556,7 +556,6 @@ class Exchange: def get_min_pair_stake_amount(self, pair: str, price: float, stoploss: float, leverage: Optional[float] = 1.0) -> Optional[float]: - # TODO-lev: Using leverage makes the min stake amount lower (on binance at least) try: market = self.markets[pair] except KeyError: @@ -1584,8 +1583,6 @@ class Exchange: raise OperationalException( f"{self.name.capitalize()}.set_leverage has not been implemented.") - self._api.set_leverage(symbol=pair, leverage=leverage) - def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: return exchange_name in ccxt_exchanges(ccxt_module) From 16db8d70a5b680d2c295daa9763a3041bfc62748 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 21 Aug 2021 01:13:51 -0600 Subject: [PATCH 09/34] Added error handlers to api functions and made a logger warning in fill_leverage_brackets --- freqtrade/exchange/binance.py | 41 +++++++++++++++++++++++++---------- freqtrade/exchange/ftx.py | 10 ++++++++- freqtrade/exchange/kraken.py | 38 +++++++++++++++++++------------- 3 files changed, 61 insertions(+), 28 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 1339677d2..15599eff9 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -104,17 +104,26 @@ class Binance(Exchange): Assigns property _leverage_brackets to a dictionary of information about the leverage allowed on each pair """ - leverage_brackets = self._api.load_leverage_brackets() - for pair, brackets in leverage_brackets.items: - self.leverage_brackets[pair] = [ - [ - min_amount, - float(margin_req) - ] for [ - min_amount, - margin_req - ] in brackets - ] + try: + leverage_brackets = self._api.load_leverage_brackets() + for pair, brackets in leverage_brackets.items: + self.leverage_brackets[pair] = [ + [ + min_amount, + float(margin_req) + ] for [ + min_amount, + margin_req + ] in brackets + ] + + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not fetch leverage amounts due to' + f'{e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: """ @@ -135,4 +144,12 @@ class Binance(Exchange): Binance Futures must set the leverage before making a futures trade, in order to not have the same leverage on every trade """ - self._api.set_leverage(symbol=pair, leverage=leverage) + try: + self._api.set_leverage(symbol=pair, leverage=leverage) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 64e728761..8ffba92c7 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -182,4 +182,12 @@ class Ftx(Exchange): :param pair: Here for super method, not used on FTX :param leverage: """ - self._api.private_post_account_leverage({'leverage': leverage}) + try: + self._api.private_post_account_leverage({'leverage': leverage}) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not fetch leverage amounts due to' + f'{e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 358a1991c..e020f7fd8 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -135,22 +135,30 @@ class Kraken(Exchange): """ # TODO-lev: Not sure if this works correctly for futures leverages = {} - for pair, market in self._api.load_markets().items(): - info = market['info'] - leverage_buy = info['leverage_buy'] - leverage_sell = info['leverage_sell'] - if len(info['leverage_buy']) > 0 or len(info['leverage_sell']) > 0: - if leverage_buy != leverage_sell: - print(f"\033[91m The buy leverage != the sell leverage for {pair}." - "please let freqtrade know because this has never happened before" - ) - if max(leverage_buy) < max(leverage_sell): - leverages[pair] = leverage_buy + try: + for pair, market in self._api.load_markets().items(): + info = market['info'] + leverage_buy = info['leverage_buy'] + leverage_sell = info['leverage_sell'] + if len(info['leverage_buy']) > 0 or len(info['leverage_sell']) > 0: + if leverage_buy != leverage_sell: + logger.warning(f"The buy leverage != the sell leverage for {pair}. Please" + "let freqtrade know because this has never happened before" + ) + if max(leverage_buy) < max(leverage_sell): + leverages[pair] = leverage_buy + else: + leverages[pair] = leverage_sell else: - leverages[pair] = leverage_sell - else: - leverages[pair] = leverage_buy - self._leverage_brackets = leverages + leverages[pair] = leverage_buy + self._leverage_brackets = leverages + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not fetch leverage amounts due to' + f'{e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: """ From 4ef1f0a977b3ac1ef7aef13a4de3e991423b6edc Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 21 Aug 2021 16:26:04 -0600 Subject: [PATCH 10/34] Changed ftx set_leverage implementation --- freqtrade/exchange/binance.py | 16 ---------------- freqtrade/exchange/exchange.py | 13 ++++++++++--- freqtrade/exchange/ftx.py | 16 ---------------- 3 files changed, 10 insertions(+), 35 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 15599eff9..1177a4409 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -134,22 +134,6 @@ class Binance(Exchange): pair_brackets = self._leverage_brackets[pair] max_lev = 1.0 for [min_amount, margin_req] in pair_brackets: - print(nominal_value, min_amount) if nominal_value >= min_amount: max_lev = 1/margin_req return max_lev - - def set_leverage(self, pair, leverage): - """ - Binance Futures must set the leverage before making a futures trade, in order to not - have the same leverage on every trade - """ - try: - self._api.set_leverage(symbol=pair, leverage=leverage) - except ccxt.DDoSProtection as e: - raise DDosProtection(e) from e - except (ccxt.NetworkError, ccxt.ExchangeError) as e: - raise TemporaryError( - f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e - except ccxt.BaseError as e: - raise OperationalException(e) from e diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 0f7bf6b39..ffcf1d401 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1575,13 +1575,20 @@ class Exchange: raise OperationalException( f"{self.name.capitalize()}.get_max_leverage has not been implemented.") - def set_leverage(self, pair, leverage): + def set_leverage(self, leverage: float, pair: Optional[str]): """ Set's the leverage before making a trade, in order to not have the same leverage on every trade """ - raise OperationalException( - f"{self.name.capitalize()}.set_leverage has not been implemented.") + try: + self._api.set_leverage(symbol=pair, leverage=leverage) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 8ffba92c7..9ed220806 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -175,19 +175,3 @@ class Ftx(Exchange): :nominal_value: Here for super method, not used on FTX """ return 20.0 - - def set_leverage(self, pair, leverage): - """ - Sets the leverage used for the user's account - :param pair: Here for super method, not used on FTX - :param leverage: - """ - try: - self._api.private_post_account_leverage({'leverage': leverage}) - except ccxt.DDoSProtection as e: - raise DDosProtection(e) from e - except (ccxt.NetworkError, ccxt.ExchangeError) as e: - raise TemporaryError(f'Could not fetch leverage amounts due to' - f'{e.__class__.__name__}. Message: {e}') from e - except ccxt.BaseError as e: - raise OperationalException(e) from e From 5748c9bc13915903d1128ace05882b937afbefe6 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 21 Aug 2021 21:10:03 -0600 Subject: [PATCH 11/34] Added short functionality to exchange stoplss methods --- freqtrade/exchange/binance.py | 28 ++++++++++++++++------------ freqtrade/exchange/ftx.py | 17 +++++++++-------- freqtrade/exchange/kraken.py | 21 ++++++++++----------- freqtrade/persistence/models.py | 1 - 4 files changed, 35 insertions(+), 32 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 1177a4409..3117f5ee1 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -31,8 +31,11 @@ class Binance(Exchange): Returns True if adjustment is necessary. :param side: "buy" or "sell" """ - # TODO-lev: Short support - return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice']) + + return order['type'] == 'stop_loss_limit' and ( + side == "sell" and stop_loss > float(order['info']['stopPrice']) or + side == "buy" and stop_loss < float(order['info']['stopPrice']) + ) @retrier(retries=0) def stoploss(self, pair: str, amount: float, @@ -43,7 +46,6 @@ class Binance(Exchange): It may work with a limited number of other exchanges, but this has not been tested yet. :param side: "buy" or "sell" """ - # TODO-lev: Short support # Limit price threshold: As limit price should always be below stop-price limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) rate = stop_price * limit_price_pct @@ -52,14 +54,16 @@ class Binance(Exchange): stop_price = self.price_to_precision(pair, stop_price) + bad_stop_price = (stop_price <= rate) if side == "sell" else (stop_price >= rate) + # Ensure rate is less than stop price - if stop_price <= rate: + if bad_stop_price: raise OperationalException( - 'In stoploss limit order, stop price should be more than limit price') + 'In stoploss limit order, stop price should be better than limit price') if self._config['dry_run']: dry_order = self.create_dry_run_order( - pair, ordertype, "sell", amount, stop_price) + pair, ordertype, side, amount, stop_price) return dry_order try: @@ -70,7 +74,7 @@ class Binance(Exchange): rate = self.price_to_precision(pair, rate) - order = self._api.create_order(symbol=pair, type=ordertype, side='sell', + order = self._api.create_order(symbol=pair, type=ordertype, side=side, amount=amount, price=rate, params=params) logger.info('stoploss limit order added for %s. ' 'stop price: %s. limit: %s', pair, stop_price, rate) @@ -78,21 +82,21 @@ class Binance(Exchange): return order except ccxt.InsufficientFunds as e: raise InsufficientFundsError( - f'Insufficient funds to create {ordertype} sell order on market {pair}. ' - f'Tried to sell amount {amount} at rate {rate}. ' + f'Insufficient funds to create {ordertype} {side} order on market {pair}. ' + f'Tried to {side} amount {amount} at rate {rate}. ' f'Message: {e}') from e except ccxt.InvalidOrder as e: # Errors: # `binance Order would trigger immediately.` raise InvalidOrderException( - f'Could not create {ordertype} sell order on market {pair}. ' - f'Tried to sell amount {amount} at rate {rate}. ' + f'Could not create {ordertype} {side} order on market {pair}. ' + f'Tried to {side} amount {amount} at rate {rate}. ' f'Message: {e}') from e except ccxt.DDoSProtection as e: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( - f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e + f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 9ed220806..bd8350853 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -36,8 +36,10 @@ class Ftx(Exchange): Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ - # TODO-lev: Short support - return order['type'] == 'stop' and stop_loss > float(order['price']) + return order['type'] == 'stop' and ( + side == "sell" and stop_loss > float(order['price']) or + side == "buy" and stop_loss < float(order['price']) + ) @retrier(retries=0) def stoploss(self, pair: str, amount: float, @@ -48,7 +50,6 @@ class Ftx(Exchange): Limit orders are defined by having orderPrice set, otherwise a market order is used. """ - # TODO-lev: Short support limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) limit_rate = stop_price * limit_price_pct @@ -59,7 +60,7 @@ class Ftx(Exchange): if self._config['dry_run']: dry_order = self.create_dry_run_order( - pair, ordertype, "sell", amount, stop_price) + pair, ordertype, side, amount, stop_price) return dry_order try: @@ -71,7 +72,7 @@ class Ftx(Exchange): params['stopPrice'] = stop_price amount = self.amount_to_precision(pair, amount) - order = self._api.create_order(symbol=pair, type=ordertype, side='sell', + order = self._api.create_order(symbol=pair, type=ordertype, side=side, amount=amount, params=params) self._log_exchange_response('create_stoploss_order', order) logger.info('stoploss order added for %s. ' @@ -79,19 +80,19 @@ class Ftx(Exchange): return order except ccxt.InsufficientFunds as e: raise InsufficientFundsError( - f'Insufficient funds to create {ordertype} sell order on market {pair}. ' + f'Insufficient funds to create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.InvalidOrder as e: raise InvalidOrderException( - f'Could not create {ordertype} sell order on market {pair}. ' + f'Could not create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.DDoSProtection as e: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( - f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e + f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index e020f7fd8..f12ac0c20 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -72,18 +72,18 @@ class Kraken(Exchange): Verify stop_loss against stoploss-order value (limit or price) Returns True if adjustment is necessary. """ - # TODO-lev: Short support - return (order['type'] in ('stop-loss', 'stop-loss-limit') - and stop_loss > float(order['price'])) + return (order['type'] in ('stop-loss', 'stop-loss-limit') and ( + (side == "sell" and stop_loss > float(order['price'])) or + (side == "buy" and stop_loss < float(order['price'])) + )) - @retrier(retries=0) + @ retrier(retries=0) def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict, side: str) -> Dict: """ Creates a stoploss market order. Stoploss market orders is the only stoploss type supported by kraken. """ - # TODO-lev: Short support params = self._params.copy() if order_types.get('stoploss', 'market') == 'limit': @@ -98,13 +98,13 @@ class Kraken(Exchange): if self._config['dry_run']: dry_order = self.create_dry_run_order( - pair, ordertype, "sell", amount, stop_price) + pair, ordertype, side, amount, stop_price) return dry_order try: amount = self.amount_to_precision(pair, amount) - order = self._api.create_order(symbol=pair, type=ordertype, side='sell', + order = self._api.create_order(symbol=pair, type=ordertype, side=side, amount=amount, price=stop_price, params=params) self._log_exchange_response('create_stoploss_order', order) logger.info('stoploss order added for %s. ' @@ -112,19 +112,19 @@ class Kraken(Exchange): return order except ccxt.InsufficientFunds as e: raise InsufficientFundsError( - f'Insufficient funds to create {ordertype} sell order on market {pair}. ' + f'Insufficient funds to create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.InvalidOrder as e: raise InvalidOrderException( - f'Could not create {ordertype} sell order on market {pair}. ' + f'Could not create {ordertype} {side} order on market {pair}. ' f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. ' f'Message: {e}') from e except ccxt.DDoSProtection as e: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( - f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e + f'Could not place {side} order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e @@ -133,7 +133,6 @@ class Kraken(Exchange): Assigns property _leverage_brackets to a dictionary of information about the leverage allowed on each pair """ - # TODO-lev: Not sure if this works correctly for futures leverages = {} try: for pair, market in self._api.load_markets().items(): diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index b73611c1b..630078ab3 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -499,7 +499,6 @@ class LocalTrade(): lower_stop = new_loss < self.stop_loss # stop losses only walk up, never down!, - # TODO-lev # ? But adding more to a leveraged trade would create a lower liquidation price, # ? decreasing the minimum stoploss if (higher_stop and not self.is_short) or (lower_stop and self.is_short): From 8a5bad7c3ed3efb61023b6d2efbf3a13f96dc6e7 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 22 Aug 2021 20:58:22 -0600 Subject: [PATCH 12/34] exchange - kraken - minor changes --- freqtrade/exchange/kraken.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index f12ac0c20..567bd6735 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -77,7 +77,7 @@ class Kraken(Exchange): (side == "buy" and stop_loss < float(order['price'])) )) - @ retrier(retries=0) + @retrier(retries=0) def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict, side: str) -> Dict: """ @@ -135,7 +135,7 @@ class Kraken(Exchange): """ leverages = {} try: - for pair, market in self._api.load_markets().items(): + for pair, market in self.markets.items(): info = market['info'] leverage_buy = info['leverage_buy'] leverage_sell = info['leverage_sell'] From f950f039a8a20bf62488709a086723364db3ec45 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 22 Aug 2021 23:28:03 -0600 Subject: [PATCH 13/34] added tests for min stake amount with leverage --- tests/exchange/test_exchange.py | 53 +++++++++++++++++++++++++-------- 1 file changed, 41 insertions(+), 12 deletions(-) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 518629531..1bfdd376b 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -309,7 +309,6 @@ def test_price_get_one_pip(default_conf, mocker, price, precision_mode, precisio def test_get_min_pair_stake_amount(mocker, default_conf) -> None: - # TODO-lev: Test with leverage exchange = get_patched_exchange(mocker, default_conf, id="binance") stoploss = -0.05 markets = {'ETH/BTC': {'symbol': 'ETH/BTC'}} @@ -381,7 +380,12 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss) - assert isclose(result, 2 * (1+0.05) / (1-abs(stoploss))) + expected_result = 2 * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 1, stoploss, 3.0) + assert isclose(result, expected_result/3) + # TODO-lev: Min stake for base, kraken and ftx # min amount is set markets["ETH/BTC"]["limits"] = { @@ -393,7 +397,12 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) - assert isclose(result, 2 * 2 * (1+0.05) / (1-abs(stoploss))) + expected_result = 2 * 2 * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0) + assert isclose(result, expected_result/5) + # TODO-lev: Min stake for base, kraken and ftx # min amount and cost are set (cost is minimal) markets["ETH/BTC"]["limits"] = { @@ -405,7 +414,12 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) - assert isclose(result, max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss))) + expected_result = max(2, 2 * 2) * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10) + assert isclose(result, expected_result/10) + # TODO-lev: Min stake for base, kraken and ftx # min amount and cost are set (amount is minial) markets["ETH/BTC"]["limits"] = { @@ -417,18 +431,32 @@ def test_get_min_pair_stake_amount(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss) - assert isclose(result, max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss))) + expected_result = max(8, 2 * 2) * (1+0.05) / (1-abs(stoploss)) + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 7.0) + assert isclose(result, expected_result/7.0) + # TODO-lev: Min stake for base, kraken and ftx result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4) - assert isclose(result, max(8, 2 * 2) * 1.5) + expected_result = max(8, 2 * 2) * 1.5 + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -0.4, 8.0) + assert isclose(result, expected_result/8.0) + # TODO-lev: Min stake for base, kraken and ftx # Really big stoploss result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1) - assert isclose(result, max(8, 2 * 2) * 1.5) + expected_result = max(8, 2 * 2) * 1.5 + assert isclose(result, expected_result) + # With Leverage + result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, -1, 12.0) + assert isclose(result, expected_result/12) + # TODO-lev: Min stake for base, kraken and ftx def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: - # TODO-lev: Test with leverage exchange = get_patched_exchange(mocker, default_conf, id="binance") stoploss = -0.05 markets = {'ETH/BTC': {'symbol': 'ETH/BTC'}} @@ -443,10 +471,11 @@ def test_get_min_pair_stake_amount_real_data(mocker, default_conf) -> None: PropertyMock(return_value=markets) ) result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss) - assert round(result, 8) == round( - max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss)), - 8 - ) + expected_result = max(0.0001, 0.001 * 0.020405) * (1+0.05) / (1-abs(stoploss)) + assert round(result, 8) == round(expected_result, 8) + result = exchange.get_min_pair_stake_amount('ETH/BTC', 0.020405, stoploss, 3.0) + assert round(result, 8) == round(expected_result/3, 8) + # TODO-lev: Min stake for base, kraken and ftx def test_set_sandbox(default_conf, mocker): From 3a4d247b64b47fb22c942318d7a7aefe5ee40f61 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 22 Aug 2021 23:36:36 -0600 Subject: [PATCH 14/34] Changed stoploss side on some tests --- freqtrade/exchange/ftx.py | 1 - tests/test_freqtradebot.py | 4 ++-- 2 files changed, 2 insertions(+), 3 deletions(-) diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index bd8350853..1dc30002e 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -50,7 +50,6 @@ class Ftx(Exchange): Limit orders are defined by having orderPrice set, otherwise a market order is used. """ - limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) limit_rate = stop_price * limit_price_pct diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 3106c3e00..a841744b7 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1420,7 +1420,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c side_effect=InvalidOrderException()) mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order', return_value=stoploss_order_hanging) - freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="buy") + freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="sell") assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/BTC.*", caplog) # Still try to create order @@ -1430,7 +1430,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c caplog.clear() cancel_mock = mocker.patch("freqtrade.exchange.Binance.cancel_stoploss_order", MagicMock()) mocker.patch("freqtrade.exchange.Binance.stoploss", side_effect=ExchangeError()) - freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="buy") + freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging, side="sell") assert cancel_mock.call_count == 1 assert log_has_re(r"Could not create trailing stoploss order for pair ETH/BTC\..*", caplog) From 39fe3814735ed4009c93ef51e2e47f6872446ffe Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Wed, 1 Sep 2021 23:40:32 -0600 Subject: [PATCH 15/34] set margin mode exchange function --- freqtrade/exchange/exchange.py | 3 +++ 1 file changed, 3 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index ffcf1d401..558417332 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1590,6 +1590,9 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e + def set_margin_mode(self, symbol, marginType, params={}): + self._api.set_margin_mode(symbol, marginType, params) + def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: return exchange_name in ccxt_exchanges(ccxt_module) From e6c9b8ffe5c9c47ac9abb81be09b759a69535fba Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 18:11:39 -0600 Subject: [PATCH 16/34] completed set_margin_mode --- freqtrade/exchange/exchange.py | 21 +++++++++++++++++++-- 1 file changed, 19 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 558417332..b9c2db152 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -22,6 +22,7 @@ from pandas import DataFrame from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, ListPairsWithTimeframes) from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list +from freqtrade.enums import Collateral from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError, InvalidOrderException, OperationalException, PricingError, RetryableOrderError, TemporaryError) @@ -1590,8 +1591,24 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def set_margin_mode(self, symbol, marginType, params={}): - self._api.set_margin_mode(symbol, marginType, params) + def set_margin_mode(self, symbol: str, collateral: Collateral, params: dict = {}): + ''' + Set's the margin mode on the exchange to cross or isolated for a specific pair + :param symbol: base/quote currency pair (e.g. "ADA/USDT") + ''' + if not self.exchange_has("setMarginMode"): + # Some exchanges only support one collateral type + return + + try: + self._api.set_margin_mode(symbol, collateral.value, params) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool: From 5708fee0e69d7fcfdac2b9cc66d8259fd2403528 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 19:00:04 -0600 Subject: [PATCH 17/34] Wrote failing tests for exchange.set_leverage and exchange.set_margin_mode --- freqtrade/exchange/exchange.py | 2 +- tests/exchange/test_exchange.py | 113 +++++++++++++++++++++++++++++++- 2 files changed, 111 insertions(+), 4 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index b9c2db152..4aaa5bc0b 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1606,7 +1606,7 @@ class Exchange: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: raise TemporaryError( - f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e + f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 1bfdd376b..d76ac1bfe 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -10,6 +10,7 @@ import ccxt import pytest from pandas import DataFrame +from freqtrade.enums import Collateral from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException, OperationalException, PricingError, TemporaryError) from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken @@ -3023,6 +3024,71 @@ def test_get_max_leverage( def test_fill_leverage_brackets(): + api_mock = MagicMock() + api_mock.set_leverage = MagicMock(return_value=[ + { + 'amount': 0.14542341, + 'code': 'USDT', + 'datetime': '2021-09-01T08:00:01.000Z', + 'id': '485478', + 'info': {'asset': 'USDT', + 'income': '0.14542341', + 'incomeType': 'FUNDING_FEE', + 'info': 'FUNDING_FEE', + 'symbol': 'XRPUSDT', + 'time': '1630512001000', + 'tradeId': '', + 'tranId': '4854789484855218760'}, + 'symbol': 'XRP/USDT', + 'timestamp': 1630512001000 + }, + { + 'amount': -0.14642341, + 'code': 'USDT', + 'datetime': '2021-09-01T16:00:01.000Z', + 'id': '485479', + 'info': {'asset': 'USDT', + 'income': '-0.14642341', + 'incomeType': 'FUNDING_FEE', + 'info': 'FUNDING_FEE', + 'symbol': 'XRPUSDT', + 'time': '1630512001000', + 'tradeId': '', + 'tranId': '4854789484855218760'}, + 'symbol': 'XRP/USDT', + 'timestamp': 1630512001000 + } + ]) + type(api_mock).has = PropertyMock(return_value={'fetchFundingHistory': True}) + + # mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ') + unix_time = int(date_time.strftime('%s')) + expected_fees = -0.001 # 0.14542341 + -0.14642341 + fees_from_datetime = exchange.get_funding_fees( + pair='XRP/USDT', + since=date_time + ) + fees_from_unix_time = exchange.get_funding_fees( + pair='XRP/USDT', + since=unix_time + ) + + assert(isclose(expected_fees, fees_from_datetime)) + assert(isclose(expected_fees, fees_from_unix_time)) + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + exchange_name, + "get_funding_fees", + "fetch_funding_history", + pair="XRP/USDT", + since=unix_time + ) + # TODO-lev return @@ -3032,6 +3098,47 @@ def test_get_interest_rate(): return -def test_set_leverage(): - # TODO-lev - return +@pytest.mark.parametrize("collateral", [ + (Collateral.CROSS), + (Collateral.ISOLATED) +]) +@pytest.mark.parametrize("exchange_name", [("ftx"), ("binance")]) +def test_set_leverage(mocker, default_conf, exchange_name, collateral): + + api_mock = MagicMock() + api_mock.set_leverage = MagicMock() + type(api_mock).has = PropertyMock(return_value={'setLeverage': True}) + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + exchange_name, + "set_leverage", + "set_leverage", + symbol="XRP/USDT", + collateral=collateral + ) + + +@pytest.mark.parametrize("collateral", [ + (Collateral.CROSS), + (Collateral.ISOLATED) +]) +@pytest.mark.parametrize("exchange_name", [("ftx"), ("binance")]) +def test_set_margin_mode(mocker, default_conf, exchange_name, collateral): + + api_mock = MagicMock() + api_mock.set_leverage = MagicMock() + type(api_mock).has = PropertyMock(return_value={'setMarginMode': True}) + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + exchange_name, + "set_margin_mode", + "set_margin_mode", + symbol="XRP/USDT", + collateral=collateral + ) From 607e403eb2325ef3c29c027eecae39cbce2801d0 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 19:25:16 -0600 Subject: [PATCH 18/34] split test_get_max_leverage into separate exchange files --- tests/exchange/test_binance.py | 8 +-- tests/exchange/test_exchange.py | 101 +------------------------------- tests/exchange/test_ftx.py | 10 ++++ tests/exchange/test_kraken.py | 15 +++++ 4 files changed, 29 insertions(+), 105 deletions(-) diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index aba185134..4cf8485a7 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -116,13 +116,7 @@ def test_stoploss_adjust_binance(mocker, default_conf): ("BNB/USDT", 5000000.0, 6.666666666666667), ("BTC/USDT", 300000000.1, 2.0), ]) -def test_get_max_leverage_binance( - default_conf, - mocker, - pair, - nominal_value, - max_lev -): +def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max_lev): exchange = get_patched_exchange(mocker, default_conf, id="binance") exchange._leverage_brackets = { 'BNB/BUSD': [[0.0, 0.025], diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index d76ac1bfe..9c580ea51 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -2978,10 +2978,9 @@ def test_calculate_backoff(retrycount, max_retries, expected): ('kraken', 20.0, 5.0, 20.0), ('kraken', 100.0, 100.0, 100.0), # FTX - # TODO-lev: - implement FTX tests - # ('ftx', 9.0, 3.0, 10.0), - # ('ftx', 20.0, 5.0, 20.0), - # ('ftx', 100.0, 100.0, 100.0), + ('ftx', 9.0, 3.0, 9.0), + ('ftx', 20.0, 5.0, 20.0), + ('ftx', 100.0, 100.0, 100.0) ]) def test_apply_leverage_to_stake_amount( exchange, @@ -2995,101 +2994,7 @@ def test_apply_leverage_to_stake_amount( assert exchange._apply_leverage_to_stake_amount(stake_amount, leverage) == min_stake_with_lev -@pytest.mark.parametrize('exchange_name,pair,nominal_value,max_lev', [ - # Kraken - ("kraken", "ADA/BTC", 0.0, 3.0), - ("kraken", "BTC/EUR", 100.0, 5.0), - ("kraken", "ZEC/USD", 173.31, 2.0), - # FTX - ("ftx", "ADA/BTC", 0.0, 20.0), - ("ftx", "BTC/EUR", 100.0, 20.0), - ("ftx", "ZEC/USD", 173.31, 20.0), - # Binance tests this method inside it's own test file -]) -def test_get_max_leverage( - default_conf, - mocker, - exchange_name, - pair, - nominal_value, - max_lev -): - exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) - exchange._leverage_brackets = { - 'ADA/BTC': ['2', '3'], - 'BTC/EUR': ['2', '3', '4', '5'], - 'ZEC/USD': ['2'] - } - assert exchange.get_max_leverage(pair, nominal_value) == max_lev - - def test_fill_leverage_brackets(): - api_mock = MagicMock() - api_mock.set_leverage = MagicMock(return_value=[ - { - 'amount': 0.14542341, - 'code': 'USDT', - 'datetime': '2021-09-01T08:00:01.000Z', - 'id': '485478', - 'info': {'asset': 'USDT', - 'income': '0.14542341', - 'incomeType': 'FUNDING_FEE', - 'info': 'FUNDING_FEE', - 'symbol': 'XRPUSDT', - 'time': '1630512001000', - 'tradeId': '', - 'tranId': '4854789484855218760'}, - 'symbol': 'XRP/USDT', - 'timestamp': 1630512001000 - }, - { - 'amount': -0.14642341, - 'code': 'USDT', - 'datetime': '2021-09-01T16:00:01.000Z', - 'id': '485479', - 'info': {'asset': 'USDT', - 'income': '-0.14642341', - 'incomeType': 'FUNDING_FEE', - 'info': 'FUNDING_FEE', - 'symbol': 'XRPUSDT', - 'time': '1630512001000', - 'tradeId': '', - 'tranId': '4854789484855218760'}, - 'symbol': 'XRP/USDT', - 'timestamp': 1630512001000 - } - ]) - type(api_mock).has = PropertyMock(return_value={'fetchFundingHistory': True}) - - # mocker.patch('freqtrade.exchange.Exchange.get_funding_fees', lambda pair, since: y) - exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - date_time = datetime.strptime("2021-09-01T00:00:01.000Z", '%Y-%m-%dT%H:%M:%S.%fZ') - unix_time = int(date_time.strftime('%s')) - expected_fees = -0.001 # 0.14542341 + -0.14642341 - fees_from_datetime = exchange.get_funding_fees( - pair='XRP/USDT', - since=date_time - ) - fees_from_unix_time = exchange.get_funding_fees( - pair='XRP/USDT', - since=unix_time - ) - - assert(isclose(expected_fees, fees_from_datetime)) - assert(isclose(expected_fees, fees_from_unix_time)) - - ccxt_exceptionhandlers( - mocker, - default_conf, - api_mock, - exchange_name, - "get_funding_fees", - "fetch_funding_history", - pair="XRP/USDT", - since=unix_time - ) - - # TODO-lev return diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 76b01dd35..8b44b6069 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -193,3 +193,13 @@ def test_get_order_id(mocker, default_conf): } } assert exchange.get_order_id_conditional(order) == '1111' + + +@pytest.mark.parametrize('pair,nominal_value,max_lev', [ + ("ADA/BTC", 0.0, 20.0), + ("BTC/EUR", 100.0, 20.0), + ("ZEC/USD", 173.31, 20.0), +]) +def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev): + exchange = get_patched_exchange(mocker, default_conf, id="ftx") + assert exchange.get_max_leverage(pair, nominal_value) == max_lev diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index 60250fc71..db53ffc48 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -255,3 +255,18 @@ def test_stoploss_adjust_kraken(mocker, default_conf): # Test with invalid order case ... order['type'] = 'stop_loss_limit' assert not exchange.stoploss_adjust(1501, order, side="sell") + + +@pytest.mark.parametrize('pair,nominal_value,max_lev', [ + ("ADA/BTC", 0.0, 3.0), + ("BTC/EUR", 100.0, 5.0), + ("ZEC/USD", 173.31, 2.0), +]) +def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_lev): + exchange = get_patched_exchange(mocker, default_conf, id="kraken") + exchange._leverage_brackets = { + 'ADA/BTC': ['2', '3'], + 'BTC/EUR': ['2', '3', '4', '5'], + 'ZEC/USD': ['2'] + } + assert exchange.get_max_leverage(pair, nominal_value) == max_lev From 8264cc546d4b14ef3971eaef37c7920304d9f767 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 19:56:13 -0600 Subject: [PATCH 19/34] Wrote dummy tests for exchange.get_interest_rate --- freqtrade/exchange/exchange.py | 4 ++-- tests/exchange/test_exchange.py | 34 ++++++++++++++++++++++++++++++--- 2 files changed, 33 insertions(+), 5 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 4aaa5bc0b..7c983e58e 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1554,9 +1554,9 @@ class Exchange: self._async_get_trade_history(pair=pair, since=since, until=until, from_id=from_id)) - def get_interest_rate(self, pair: str, open_rate: float, is_short: bool) -> float: + def get_interest_rate(self, pair: str, maker_or_taker: str, is_short: bool) -> float: # TODO-lev: implement - return 0.0005 + return (0.0005, 0.0005) def fill_leverage_brackets(self): """ diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 9c580ea51..bf89f745f 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -2998,9 +2998,37 @@ def test_fill_leverage_brackets(): return -def test_get_interest_rate(): - # TODO-lev - return +# TODO-lev: These tests don't test anything real, they need to be replaced with real values once +# get_interest_rates is written +@pytest.mark.parametrize('exchange_name,pair,maker_or_taker,is_short,borrow_rate,interest_rate', [ + ('binance', "ADA/USDT", "maker", True, 0.0005, 0.0005), + ('binance', "ADA/USDT", "maker", False, 0.0005, 0.0005), + ('binance', "ADA/USDT", "taker", True, 0.0005, 0.0005), + ('binance', "ADA/USDT", "taker", False, 0.0005, 0.0005), + # Kraken + ('kraken', "ADA/USDT", "maker", True, 0.0005, 0.0005), + ('kraken', "ADA/USDT", "maker", False, 0.0005, 0.0005), + ('kraken', "ADA/USDT", "taker", True, 0.0005, 0.0005), + ('kraken', "ADA/USDT", "taker", False, 0.0005, 0.0005), + # FTX + ('ftx', "ADA/USDT", "maker", True, 0.0005, 0.0005), + ('ftx', "ADA/USDT", "maker", False, 0.0005, 0.0005), + ('ftx', "ADA/USDT", "taker", True, 0.0005, 0.0005), + ('ftx', "ADA/USDT", "taker", False, 0.0005, 0.0005), +]) +def test_get_interest_rate( + default_conf, + mocker, + exchange_name, + pair, + maker_or_taker, + is_short, + borrow_rate, + interest_rate +): + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + assert exchange.get_interest_rate( + pair, maker_or_taker, is_short) == (borrow_rate, interest_rate) @pytest.mark.parametrize("collateral", [ From 8d74233aa51d53bf48d5d3561d372b4c29700776 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 19:56:53 -0600 Subject: [PATCH 20/34] ftx.fill_leverage_brackets test --- freqtrade/exchange/exchange.py | 2 +- tests/exchange/test_ftx.py | 6 ++++++ 2 files changed, 7 insertions(+), 1 deletion(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 7c983e58e..6689731d8 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -75,7 +75,7 @@ class Exchange: } _ft_has: Dict = {} - _leverage_brackets: Dict + _leverage_brackets: Dict = {} def __init__(self, config: Dict[str, Any], validate: bool = True) -> None: """ diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 8b44b6069..0f3870a7f 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -195,6 +195,12 @@ def test_get_order_id(mocker, default_conf): assert exchange.get_order_id_conditional(order) == '1111' +def test_fill_leverage_brackets(default_conf, mocker): + exchange = get_patched_exchange(mocker, default_conf, id="ftx") + exchange.fill_leverage_brackets() + assert bool(exchange._leverage_brackets) is False + + @pytest.mark.parametrize('pair,nominal_value,max_lev', [ ("ADA/BTC", 0.0, 20.0), ("BTC/EUR", 100.0, 20.0), From 0232f0fa18d92616fa67aed1fddbebc29db3248a Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 20:20:42 -0600 Subject: [PATCH 21/34] Added failing fill_leverage_brackets test to test_kraken --- freqtrade/exchange/kraken.py | 2 +- tests/exchange/test_ftx.py | 1 + tests/exchange/test_kraken.py | 230 ++++++++++++++++++++++++++++++++++ 3 files changed, 232 insertions(+), 1 deletion(-) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 567bd6735..052e7cac5 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -135,7 +135,7 @@ class Kraken(Exchange): """ leverages = {} try: - for pair, market in self.markets.items(): + for pair, market in self._api.markets.items(): info = market['info'] leverage_buy = info['leverage_buy'] leverage_sell = info['leverage_sell'] diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 0f3870a7f..b3deae3de 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -196,6 +196,7 @@ def test_get_order_id(mocker, default_conf): def test_fill_leverage_brackets(default_conf, mocker): + # FTX only has one account wide leverage, so there's no leverage brackets exchange = get_patched_exchange(mocker, default_conf, id="ftx") exchange.fill_leverage_brackets() assert bool(exchange._leverage_brackets) is False diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index db53ffc48..eddef08b8 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -270,3 +270,233 @@ def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_ 'ZEC/USD': ['2'] } assert exchange.get_max_leverage(pair, nominal_value) == max_lev + + +def test_fill_leverage_brackets_kraken(default_conf, mocker): + api_mock = MagicMock() + api_mock.load_markets = MagicMock(return_value={{ + "ADA/BTC": {'active': True, + 'altname': 'ADAXBT', + 'base': 'ADA', + 'baseId': 'ADA', + 'darkpool': False, + 'id': 'ADAXBT', + 'info': {'aclass_base': 'currency', + 'aclass_quote': 'currency', + 'altname': 'ADAXBT', + 'base': 'ADA', + 'fee_volume_currency': 'ZUSD', + 'fees': [['0', '0.26'], + ['50000', '0.24'], + ['100000', '0.22'], + ['250000', '0.2'], + ['500000', '0.18'], + ['1000000', '0.16'], + ['2500000', '0.14'], + ['5000000', '0.12'], + ['10000000', '0.1']], + 'fees_maker': [['0', '0.16'], + ['50000', '0.14'], + ['100000', '0.12'], + ['250000', '0.1'], + ['500000', '0.08'], + ['1000000', '0.06'], + ['2500000', '0.04'], + ['5000000', '0.02'], + ['10000000', '0']], + 'leverage_buy': ['2', '3'], + 'leverage_sell': ['2', '3'], + 'lot': 'unit', + 'lot_decimals': '8', + 'lot_multiplier': '1', + 'margin_call': '80', + 'margin_stop': '40', + 'ordermin': '5', + 'pair_decimals': '8', + 'quote': 'XXBT', + 'wsname': 'ADA/XBT'}, + 'limits': {'amount': {'max': 100000000.0, 'min': 5.0}, + 'cost': {'max': None, 'min': 0}, + 'price': {'max': None, 'min': 1e-08}}, + 'maker': 0.0016, + 'percentage': True, + 'precision': {'amount': 8, 'price': 8}, + 'quote': 'BTC', + 'quoteId': 'XXBT', + 'symbol': 'ADA/BTC', + 'taker': 0.0026, + 'tierBased': True, + 'tiers': {'maker': [[0, 0.0016], + [50000, 0.0014], + [100000, 0.0012], + [250000, 0.001], + [500000, 0.0008], + [1000000, 0.0006], + [2500000, 0.0004], + [5000000, 0.0002], + [10000000, 0.0]], + 'taker': [[0, 0.0026], + [50000, 0.0024], + [100000, 0.0022], + [250000, 0.002], + [500000, 0.0018], + [1000000, 0.0016], + [2500000, 0.0014], + [5000000, 0.0012], + [10000000, 0.0001]]}}, + "BTC/EUR": {'active': True, + 'altname': 'XBTEUR', + 'base': 'BTC', + 'baseId': 'XXBT', + 'darkpool': False, + 'id': 'XXBTZEUR', + 'info': {'aclass_base': 'currency', + 'aclass_quote': 'currency', + 'altname': 'XBTEUR', + 'base': 'XXBT', + 'fee_volume_currency': 'ZUSD', + 'fees': [['0', '0.26'], + ['50000', '0.24'], + ['100000', '0.22'], + ['250000', '0.2'], + ['500000', '0.18'], + ['1000000', '0.16'], + ['2500000', '0.14'], + ['5000000', '0.12'], + ['10000000', '0.1']], + 'fees_maker': [['0', '0.16'], + ['50000', '0.14'], + ['100000', '0.12'], + ['250000', '0.1'], + ['500000', '0.08'], + ['1000000', '0.06'], + ['2500000', '0.04'], + ['5000000', '0.02'], + ['10000000', '0']], + 'leverage_buy': ['2', '3', '4', '5'], + 'leverage_sell': ['2', '3', '4', '5'], + 'lot': 'unit', + 'lot_decimals': '8', + 'lot_multiplier': '1', + 'margin_call': '80', + 'margin_stop': '40', + 'ordermin': '0.0001', + 'pair_decimals': '1', + 'quote': 'ZEUR', + 'wsname': 'XBT/EUR'}, + 'limits': {'amount': {'max': 100000000.0, 'min': 0.0001}, + 'cost': {'max': None, 'min': 0}, + 'price': {'max': None, 'min': 0.1}}, + 'maker': 0.0016, + 'percentage': True, + 'precision': {'amount': 8, 'price': 1}, + 'quote': 'EUR', + 'quoteId': 'ZEUR', + 'symbol': 'BTC/EUR', + 'taker': 0.0026, + 'tierBased': True, + 'tiers': {'maker': [[0, 0.0016], + [50000, 0.0014], + [100000, 0.0012], + [250000, 0.001], + [500000, 0.0008], + [1000000, 0.0006], + [2500000, 0.0004], + [5000000, 0.0002], + [10000000, 0.0]], + 'taker': [[0, 0.0026], + [50000, 0.0024], + [100000, 0.0022], + [250000, 0.002], + [500000, 0.0018], + [1000000, 0.0016], + [2500000, 0.0014], + [5000000, 0.0012], + [10000000, 0.0001]]}}, + "ZEC/USD": {'active': True, + 'altname': 'ZECUSD', + 'base': 'ZEC', + 'baseId': 'XZEC', + 'darkpool': False, + 'id': 'XZECZUSD', + 'info': {'aclass_base': 'currency', + 'aclass_quote': 'currency', + 'altname': 'ZECUSD', + 'base': 'XZEC', + 'fee_volume_currency': 'ZUSD', + 'fees': [['0', '0.26'], + ['50000', '0.24'], + ['100000', '0.22'], + ['250000', '0.2'], + ['500000', '0.18'], + ['1000000', '0.16'], + ['2500000', '0.14'], + ['5000000', '0.12'], + ['10000000', '0.1']], + 'fees_maker': [['0', '0.16'], + ['50000', '0.14'], + ['100000', '0.12'], + ['250000', '0.1'], + ['500000', '0.08'], + ['1000000', '0.06'], + ['2500000', '0.04'], + ['5000000', '0.02'], + ['10000000', '0']], + 'leverage_buy': ['2'], + 'leverage_sell': ['2'], + 'lot': 'unit', + 'lot_decimals': '8', + 'lot_multiplier': '1', + 'margin_call': '80', + 'margin_stop': '40', + 'ordermin': '0.035', + 'pair_decimals': '2', + 'quote': 'ZUSD', + 'wsname': 'ZEC/USD'}, + 'limits': {'amount': {'max': 100000000.0, 'min': 0.035}, + 'cost': {'max': None, 'min': 0}, + 'price': {'max': None, 'min': 0.01}}, + 'maker': 0.0016, + 'percentage': True, + 'precision': {'amount': 8, 'price': 2}, + 'quote': 'USD', + 'quoteId': 'ZUSD', + 'symbol': 'ZEC/USD', + 'taker': 0.0026, + 'tierBased': True, + 'tiers': {'maker': [[0, 0.0016], + [50000, 0.0014], + [100000, 0.0012], + [250000, 0.001], + [500000, 0.0008], + [1000000, 0.0006], + [2500000, 0.0004], + [5000000, 0.0002], + [10000000, 0.0]], + 'taker': [[0, 0.0026], + [50000, 0.0024], + [100000, 0.0022], + [250000, 0.002], + [500000, 0.0018], + [1000000, 0.0016], + [2500000, 0.0014], + [5000000, 0.0012], + [10000000, 0.0001]]}} + + }}) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") + + assert exchange._leverage_brackets == { + 'ADA/BTC': ['2', '3'], + 'BTC/EUR': ['2', '3', '4', '5'], + 'ZEC/USD': ['2'] + } + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + "kraken", + "fill_leverage_brackets", + "fill_leverage_brackets" + ) From 2b7d94a8551fbe64dd9225eea7ea6fcec09fb3fc Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 20:30:19 -0600 Subject: [PATCH 22/34] Rearranged tests at end of ftx to match other exchanges --- tests/exchange/test_ftx.py | 14 +++++++------- 1 file changed, 7 insertions(+), 7 deletions(-) diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index b3deae3de..771065cdd 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -195,13 +195,6 @@ def test_get_order_id(mocker, default_conf): assert exchange.get_order_id_conditional(order) == '1111' -def test_fill_leverage_brackets(default_conf, mocker): - # FTX only has one account wide leverage, so there's no leverage brackets - exchange = get_patched_exchange(mocker, default_conf, id="ftx") - exchange.fill_leverage_brackets() - assert bool(exchange._leverage_brackets) is False - - @pytest.mark.parametrize('pair,nominal_value,max_lev', [ ("ADA/BTC", 0.0, 20.0), ("BTC/EUR", 100.0, 20.0), @@ -210,3 +203,10 @@ def test_fill_leverage_brackets(default_conf, mocker): def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev): exchange = get_patched_exchange(mocker, default_conf, id="ftx") assert exchange.get_max_leverage(pair, nominal_value) == max_lev + + +def test_fill_leverage_brackets_ftx(default_conf, mocker): + # FTX only has one account wide leverage, so there's no leverage brackets + exchange = get_patched_exchange(mocker, default_conf, id="ftx") + exchange.fill_leverage_brackets() + assert bool(exchange._leverage_brackets) is False From cd33f69c7e6030ed79a0e7d9a4b4a87c67c0f08a Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 3 Sep 2021 20:30:52 -0600 Subject: [PATCH 23/34] Wrote failing test_fill_leverage_brackets_binance --- tests/exchange/test_binance.py | 64 ++++++++++++++++++++++++++++++++++ 1 file changed, 64 insertions(+) diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index 4cf8485a7..bc4cfaa36 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -145,3 +145,67 @@ def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max [300000000.0, 0.5]], } assert exchange.get_max_leverage(pair, nominal_value) == max_lev + + +def test_fill_leverage_brackets_binance(default_conf, mocker): + api_mock = MagicMock() + api_mock.load_leverage_brackets = MagicMock(return_value={{ + 'ADA/BUSD': [[0.0, '0.025'], + [100000.0, '0.05'], + [500000.0, '0.1'], + [1000000.0, '0.15'], + [2000000.0, '0.25'], + [5000000.0, '0.5']], + 'BTC/USDT': [[0.0, '0.004'], + [50000.0, '0.005'], + [250000.0, '0.01'], + [1000000.0, '0.025'], + [5000000.0, '0.05'], + [20000000.0, '0.1'], + [50000000.0, '0.125'], + [100000000.0, '0.15'], + [200000000.0, '0.25'], + [300000000.0, '0.5']], + "ZEC/USDT": [[0.0, '0.01'], + [5000.0, '0.025'], + [25000.0, '0.05'], + [100000.0, '0.1'], + [250000.0, '0.125'], + [1000000.0, '0.5']], + + }}) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") + + assert exchange._leverage_brackets == { + 'ADA/BUSD': [[0.0, '0.025'], + [100000.0, '0.05'], + [500000.0, '0.1'], + [1000000.0, '0.15'], + [2000000.0, '0.25'], + [5000000.0, '0.5']], + 'BTC/USDT': [[0.0, '0.004'], + [50000.0, '0.005'], + [250000.0, '0.01'], + [1000000.0, '0.025'], + [5000000.0, '0.05'], + [20000000.0, '0.1'], + [50000000.0, '0.125'], + [100000000.0, '0.15'], + [200000000.0, '0.25'], + [300000000.0, '0.5']], + "ZEC/USDT": [[0.0, '0.01'], + [5000.0, '0.025'], + [25000.0, '0.05'], + [100000.0, '0.1'], + [250000.0, '0.125'], + [1000000.0, '0.5']], + } + + ccxt_exceptionhandlers( + mocker, + default_conf, + api_mock, + "binance", + "fill_leverage_brackets", + "fill_leverage_brackets" + ) From 97d1306e34285c2a2a69791ff130a23cbcd60795 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 4 Sep 2021 19:16:17 -0600 Subject: [PATCH 24/34] Added retrier to exchange functions and reduced failing tests down to 2 --- freqtrade/exchange/exchange.py | 21 ++++++++++++++++++--- tests/exchange/test_binance.py | 4 ++-- tests/exchange/test_exchange.py | 6 +++--- tests/exchange/test_kraken.py | 4 ++-- 4 files changed, 25 insertions(+), 10 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 6689731d8..e96a9e324 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1554,10 +1554,23 @@ class Exchange: self._async_get_trade_history(pair=pair, since=since, until=until, from_id=from_id)) - def get_interest_rate(self, pair: str, maker_or_taker: str, is_short: bool) -> float: + @retrier + def get_interest_rate( + self, + pair: str, + maker_or_taker: str, + is_short: bool + ) -> Tuple[float, float]: + """ + :param pair: base/quote currency pair + :param maker_or_taker: "maker" if limit order, "taker" if market order + :param is_short: True if requesting base interest, False if requesting quote interest + :return: (open_interest, rollover_interest) + """ # TODO-lev: implement return (0.0005, 0.0005) + @retrier def fill_leverage_brackets(self): """ #TODO-lev: Should maybe be renamed, leverage_brackets might not be accurate for kraken @@ -1576,6 +1589,7 @@ class Exchange: raise OperationalException( f"{self.name.capitalize()}.get_max_leverage has not been implemented.") + @retrier def set_leverage(self, leverage: float, pair: Optional[str]): """ Set's the leverage before making a trade, in order to not @@ -1591,7 +1605,8 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def set_margin_mode(self, symbol: str, collateral: Collateral, params: dict = {}): + @retrier + def set_margin_mode(self, pair: str, collateral: Collateral, params: dict = {}): ''' Set's the margin mode on the exchange to cross or isolated for a specific pair :param symbol: base/quote currency pair (e.g. "ADA/USDT") @@ -1601,7 +1616,7 @@ class Exchange: return try: - self._api.set_margin_mode(symbol, collateral.value, params) + self._api.set_margin_mode(pair, collateral.value, params) except ccxt.DDoSProtection as e: raise DDosProtection(e) from e except (ccxt.NetworkError, ccxt.ExchangeError) as e: diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index bc4cfaa36..aa4c4c62e 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -149,7 +149,7 @@ def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max def test_fill_leverage_brackets_binance(default_conf, mocker): api_mock = MagicMock() - api_mock.load_leverage_brackets = MagicMock(return_value={{ + api_mock.load_leverage_brackets = MagicMock(return_value={ 'ADA/BUSD': [[0.0, '0.025'], [100000.0, '0.05'], [500000.0, '0.1'], @@ -173,7 +173,7 @@ def test_fill_leverage_brackets_binance(default_conf, mocker): [250000.0, '0.125'], [1000000.0, '0.5']], - }}) + }) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") assert exchange._leverage_brackets == { diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index bf89f745f..bcb27c8ed 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -3049,8 +3049,8 @@ def test_set_leverage(mocker, default_conf, exchange_name, collateral): exchange_name, "set_leverage", "set_leverage", - symbol="XRP/USDT", - collateral=collateral + pair="XRP/USDT", + leverage=5.0 ) @@ -3072,6 +3072,6 @@ def test_set_margin_mode(mocker, default_conf, exchange_name, collateral): exchange_name, "set_margin_mode", "set_margin_mode", - symbol="XRP/USDT", + pair="XRP/USDT", collateral=collateral ) diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index eddef08b8..90c032679 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -274,7 +274,7 @@ def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_ def test_fill_leverage_brackets_kraken(default_conf, mocker): api_mock = MagicMock() - api_mock.load_markets = MagicMock(return_value={{ + api_mock.load_markets = MagicMock(return_value={ "ADA/BTC": {'active': True, 'altname': 'ADAXBT', 'base': 'ADA', @@ -483,7 +483,7 @@ def test_fill_leverage_brackets_kraken(default_conf, mocker): [5000000, 0.0012], [10000000, 0.0001]]}} - }}) + }) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") assert exchange._leverage_brackets == { From 619ecc9728f42c8d6c7f027659182f7904116e20 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 4 Sep 2021 19:47:04 -0600 Subject: [PATCH 25/34] Added exceptions to exchange.interest_rate --- freqtrade/exchange/exchange.py | 13 +++++++++++-- tests/exchange/test_exchange.py | 24 ++++++++++++++++++++++++ 2 files changed, 35 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index e96a9e324..4c11937b2 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1562,13 +1562,22 @@ class Exchange: is_short: bool ) -> Tuple[float, float]: """ + Gets the rate of interest for borrowed currency when margin trading :param pair: base/quote currency pair :param maker_or_taker: "maker" if limit order, "taker" if market order :param is_short: True if requesting base interest, False if requesting quote interest :return: (open_interest, rollover_interest) """ - # TODO-lev: implement - return (0.0005, 0.0005) + try: + # TODO-lev: implement, currently there is no ccxt method for this + return (0.0005, 0.0005) + except ccxt.DDoSProtection as e: + raise DDosProtection(e) from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError( + f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(e) from e @retrier def fill_leverage_brackets(self): diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index bcb27c8ed..f7c0b0f38 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -3031,6 +3031,30 @@ def test_get_interest_rate( pair, maker_or_taker, is_short) == (borrow_rate, interest_rate) +@pytest.mark.parametrize("exchange_name", [("binance"), ("ftx"), ("kraken")]) +@pytest.mark.parametrize("maker_or_taker", [("maker"), ("taker")]) +@pytest.mark.parametrize("is_short", [(True), (False)]) +def test_get_interest_rate_exceptions(mocker, default_conf, exchange_name, maker_or_taker, is_short): + + # api_mock = MagicMock() + # # TODO-lev: get_interest_rate currently not implemented on CCXT, so this may need to be renamed + # api_mock.get_interest_rate = MagicMock() + # type(api_mock).has = PropertyMock(return_value={'getInterestRate': True}) + + # ccxt_exceptionhandlers( + # mocker, + # default_conf, + # api_mock, + # exchange_name, + # "get_interest_rate", + # "get_interest_rate", + # pair="XRP/USDT", + # is_short=is_short, + # maker_or_taker="maker_or_taker" + # ) + return + + @pytest.mark.parametrize("collateral", [ (Collateral.CROSS), (Collateral.ISOLATED) From d1c4030b88b13f3e645d95a4f0ed7876bb746b1b Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 4 Sep 2021 19:58:42 -0600 Subject: [PATCH 26/34] fill_leverage_brackets usinge self.markets.items instead of self._api.markets.items --- freqtrade/exchange/kraken.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 052e7cac5..567bd6735 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -135,7 +135,7 @@ class Kraken(Exchange): """ leverages = {} try: - for pair, market in self._api.markets.items(): + for pair, market in self.markets.items(): info = market['info'] leverage_buy = info['leverage_buy'] leverage_sell = info['leverage_sell'] From 9e73d026637acc1893a37e0dde7b4322f3a6cbe0 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sat, 4 Sep 2021 21:55:55 -0600 Subject: [PATCH 27/34] Added validating checks for trading_mode and collateral on each exchange --- freqtrade/exchange/binance.py | 10 +++++- freqtrade/exchange/exchange.py | 59 ++++++++++++++++++++++++------- freqtrade/exchange/ftx.py | 9 ++++- freqtrade/exchange/kraken.py | 17 ++++++--- tests/exchange/test_exchange.py | 61 +++++++++++++++++++++++++++++++-- 5 files changed, 133 insertions(+), 23 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 3117f5ee1..3d491c867 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -1,9 +1,10 @@ """ Binance exchange subclass """ import logging -from typing import Dict, Optional +from typing import Dict, List, Optional, Tuple import ccxt +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange import Exchange @@ -25,6 +26,13 @@ class Binance(Exchange): "l2_limit_range": [5, 10, 20, 50, 100, 500, 1000], } + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + # (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.ISOLATED) # TODO-lev: Uncomment once supported + ] + def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 4c11937b2..d6004760a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -22,7 +22,7 @@ from pandas import DataFrame from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, ListPairsWithTimeframes) from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list -from freqtrade.enums import Collateral +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError, InvalidOrderException, OperationalException, PricingError, RetryableOrderError, TemporaryError) @@ -77,6 +77,10 @@ class Exchange: _leverage_brackets: Dict = {} + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + ] + def __init__(self, config: Dict[str, Any], validate: bool = True) -> None: """ Initializes this module with the given config, @@ -142,6 +146,26 @@ class Exchange: self._api_async = self._init_ccxt( exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config) + trading_mode: TradingMode = ( + TradingMode(config.get('trading_mode')) + if config.get('trading_mode') + else TradingMode.SPOT + ) + collateral: Optional[Collateral] = ( + Collateral(config.get('collateral')) + if config.get('collateral') + else None + ) + + if trading_mode != TradingMode.SPOT: + try: + # TODO-lev: This shouldn't need to happen, but for some reason I get that the + # TODO-lev: method isn't implemented + self.fill_leverage_brackets() + except Exception as error: + logger.debug(error) + logger.debug("Could not load leverage_brackets") + logger.info('Using Exchange "%s"', self.name) if validate: @@ -159,21 +183,11 @@ class Exchange: self.validate_order_time_in_force(config.get('order_time_in_force', {})) self.validate_required_startup_candles(config.get('startup_candle_count', 0), config.get('timeframe', '')) - + self.validate_trading_mode_and_collateral(trading_mode, collateral) # Converts the interval provided in minutes in config to seconds self.markets_refresh_interval: int = exchange_config.get( "markets_refresh_interval", 60) * 60 - leverage = config.get('leverage_mode') - if leverage is not False: - try: - # TODO-lev: This shouldn't need to happen, but for some reason I get that the - # TODO-lev: method isn't implemented - self.fill_leverage_brackets() - except Exception as error: - logger.debug(error) - logger.debug("Could not load leverage_brackets") - def __del__(self): """ Destructor - clean up async stuff @@ -384,7 +398,7 @@ class Exchange: raise OperationalException( 'Could not load markets, therefore cannot start. ' 'Please investigate the above error for more details.' - ) + ) quote_currencies = self.get_quote_currencies() if stake_currency not in quote_currencies: raise OperationalException( @@ -496,6 +510,25 @@ class Exchange: f"This strategy requires {startup_candles} candles to start. " f"{self.name} only provides {candle_limit} for {timeframe}.") + def validate_trading_mode_and_collateral( + self, + trading_mode: TradingMode, + collateral: Optional[Collateral] # Only None when trading_mode = TradingMode.SPOT + ): + """ + Checks if freqtrade can perform trades using the configured + trading mode(Margin, Futures) and Collateral(Cross, Isolated) + Throws OperationalException: + If the trading_mode/collateral type are not supported by freqtrade on this exchange + """ + if trading_mode != TradingMode.SPOT and ( + (trading_mode, collateral) not in self._supported_trading_mode_collateral_pairs + ): + collateral_value = collateral and collateral.value + raise OperationalException( + f"Freqtrade does not support {collateral_value} {trading_mode.value} on {self.name}" + ) + def exchange_has(self, endpoint: str) -> bool: """ Checks if exchange implements a specific API endpoint. diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 1dc30002e..3e6ff01a3 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -1,9 +1,10 @@ """ FTX exchange subclass """ import logging -from typing import Any, Dict, Optional +from typing import Any, Dict, List, Optional, Tuple import ccxt +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange import Exchange @@ -21,6 +22,12 @@ class Ftx(Exchange): "ohlcv_candle_limit": 1500, } + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + # (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.CROSS) # TODO-lev: Uncomment once supported + ] + def market_is_tradable(self, market: Dict[str, Any]) -> bool: """ Check if the market symbol is tradable by Freqtrade. diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 567bd6735..7c36c421b 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -1,9 +1,10 @@ """ Kraken exchange subclass """ import logging -from typing import Any, Dict, Optional +from typing import Any, Dict, List, Optional, Tuple import ccxt +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException, OperationalException, TemporaryError) from freqtrade.exchange import Exchange @@ -23,6 +24,12 @@ class Kraken(Exchange): "trades_pagination_arg": "since", } + _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ + # TradingMode.SPOT always supported and not required in this list + # (TradingMode.MARGIN, Collateral.CROSS), # TODO-lev: Uncomment once supported + # (TradingMode.FUTURES, Collateral.CROSS) # TODO-lev: No CCXT support + ] + def market_is_tradable(self, market: Dict[str, Any]) -> bool: """ Check if the market symbol is tradable by Freqtrade. @@ -33,7 +40,7 @@ class Kraken(Exchange): return (parent_check and market.get('darkpool', False) is False) - @retrier + @ retrier def get_balances(self) -> dict: if self._config['dry_run']: return {} @@ -48,8 +55,8 @@ class Kraken(Exchange): orders = self._api.fetch_open_orders() order_list = [(x["symbol"].split("/")[0 if x["side"] == "sell" else 1], - x["remaining"] if x["side"] == "sell" else x["remaining"] * x["price"], - # Don't remove the below comment, this can be important for debugging + x["remaining"] if x["side"] == "sell" else x["remaining"] * x["price"], + # Don't remove the below comment, this can be important for debugging # x["side"], x["amount"], ) for x in orders] for bal in balances: @@ -77,7 +84,7 @@ class Kraken(Exchange): (side == "buy" and stop_loss < float(order['price'])) )) - @retrier(retries=0) + @ retrier(retries=0) def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict, side: str) -> Dict: """ diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index f7c0b0f38..1915b3f34 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -10,7 +10,7 @@ import ccxt import pytest from pandas import DataFrame -from freqtrade.enums import Collateral +from freqtrade.enums import Collateral, TradingMode from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException, OperationalException, PricingError, TemporaryError) from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken @@ -3034,10 +3034,16 @@ def test_get_interest_rate( @pytest.mark.parametrize("exchange_name", [("binance"), ("ftx"), ("kraken")]) @pytest.mark.parametrize("maker_or_taker", [("maker"), ("taker")]) @pytest.mark.parametrize("is_short", [(True), (False)]) -def test_get_interest_rate_exceptions(mocker, default_conf, exchange_name, maker_or_taker, is_short): +def test_get_interest_rate_exceptions( + mocker, + default_conf, + exchange_name, + maker_or_taker, + is_short +): # api_mock = MagicMock() - # # TODO-lev: get_interest_rate currently not implemented on CCXT, so this may need to be renamed + # # TODO-lev: get_interest_rate currently not implemented on CCXT, so this may be renamed # api_mock.get_interest_rate = MagicMock() # type(api_mock).has = PropertyMock(return_value={'getInterestRate': True}) @@ -3099,3 +3105,52 @@ def test_set_margin_mode(mocker, default_conf, exchange_name, collateral): pair="XRP/USDT", collateral=collateral ) + + +@pytest.mark.parametrize("exchange_name, trading_mode, collateral, exception_thrown", [ + ("binance", TradingMode.SPOT, None, False), + ("binance", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("kraken", TradingMode.SPOT, None, False), + ("kraken", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("kraken", TradingMode.FUTURES, Collateral.ISOLATED, True), + ("ftx", TradingMode.SPOT, None, False), + ("ftx", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("ftx", TradingMode.FUTURES, Collateral.ISOLATED, True), + ("bittrex", TradingMode.SPOT, None, False), + ("bittrex", TradingMode.MARGIN, Collateral.CROSS, True), + ("bittrex", TradingMode.MARGIN, Collateral.ISOLATED, True), + ("bittrex", TradingMode.FUTURES, Collateral.CROSS, True), + ("bittrex", TradingMode.FUTURES, Collateral.ISOLATED, True), + + # TODO-lev: Remove once implemented + ("binance", TradingMode.MARGIN, Collateral.CROSS, True), + ("binance", TradingMode.FUTURES, Collateral.CROSS, True), + ("binance", TradingMode.FUTURES, Collateral.ISOLATED, True), + ("kraken", TradingMode.MARGIN, Collateral.CROSS, True), + ("kraken", TradingMode.FUTURES, Collateral.CROSS, True), + ("ftx", TradingMode.MARGIN, Collateral.CROSS, True), + ("ftx", TradingMode.FUTURES, Collateral.CROSS, True), + + # TODO-lev: Uncomment once implemented + # ("binance", TradingMode.MARGIN, Collateral.CROSS, False), + # ("binance", TradingMode.FUTURES, Collateral.CROSS, False), + # ("binance", TradingMode.FUTURES, Collateral.ISOLATED, False), + # ("kraken", TradingMode.MARGIN, Collateral.CROSS, False), + # ("kraken", TradingMode.FUTURES, Collateral.CROSS, False), + # ("ftx", TradingMode.MARGIN, Collateral.ISOLATED, False), + # ("ftx", TradingMode.FUTURES, Collateral.ISOLATED, False) +]) +def test_validate_trading_mode_and_collateral( + default_conf, + mocker, + exchange_name, + trading_mode, + collateral, + exception_thrown +): + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + if (exception_thrown): + with pytest.raises(OperationalException): + exchange.validate_trading_mode_and_collateral(trading_mode, collateral) + else: + exchange.validate_trading_mode_and_collateral(trading_mode, collateral) From 93da13212c6cb46534a2725739b9c47dd225b3ec Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Sun, 5 Sep 2021 22:27:14 -0600 Subject: [PATCH 28/34] test_fill_leverage_brackets_kraken and test_get_max_leverage_binance now pass but test_fill_leverage_brackets_ftx does not if called after test_get_max_leverage_binance --- freqtrade/exchange/binance.py | 5 +- freqtrade/exchange/exchange.py | 8 +- freqtrade/exchange/kraken.py | 42 +++--- tests/conftest.py | 27 +++- tests/exchange/test_binance.py | 97 +++++++------- tests/exchange/test_exchange.py | 6 +- tests/exchange/test_ftx.py | 2 +- tests/exchange/test_kraken.py | 226 +------------------------------- 8 files changed, 103 insertions(+), 310 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 3d491c867..9a96e1f19 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -111,6 +111,7 @@ class Binance(Exchange): def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): return stake_amount / leverage + @retrier def fill_leverage_brackets(self): """ Assigns property _leverage_brackets to a dictionary of information about the leverage @@ -118,8 +119,8 @@ class Binance(Exchange): """ try: leverage_brackets = self._api.load_leverage_brackets() - for pair, brackets in leverage_brackets.items: - self.leverage_brackets[pair] = [ + for pair, brackets in leverage_brackets.items(): + self._leverage_brackets[pair] = [ [ min_amount, float(margin_req) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index d6004760a..6e25689f3 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -158,13 +158,7 @@ class Exchange: ) if trading_mode != TradingMode.SPOT: - try: - # TODO-lev: This shouldn't need to happen, but for some reason I get that the - # TODO-lev: method isn't implemented - self.fill_leverage_brackets() - except Exception as error: - logger.debug(error) - logger.debug("Could not load leverage_brackets") + self.fill_leverage_brackets() logger.info('Using Exchange "%s"', self.name) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 7c36c421b..5207018ad 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -141,30 +141,24 @@ class Kraken(Exchange): allowed on each pair """ leverages = {} - try: - for pair, market in self.markets.items(): - info = market['info'] - leverage_buy = info['leverage_buy'] - leverage_sell = info['leverage_sell'] - if len(info['leverage_buy']) > 0 or len(info['leverage_sell']) > 0: - if leverage_buy != leverage_sell: - logger.warning(f"The buy leverage != the sell leverage for {pair}. Please" - "let freqtrade know because this has never happened before" - ) - if max(leverage_buy) < max(leverage_sell): - leverages[pair] = leverage_buy - else: - leverages[pair] = leverage_sell - else: + + for pair, market in self.markets.items(): + info = market['info'] + leverage_buy = info['leverage_buy'] if 'leverage_buy' in info else [] + leverage_sell = info['leverage_sell'] if 'leverage_sell' in info else [] + if len(leverage_buy) > 0 or len(leverage_sell) > 0: + if leverage_buy != leverage_sell: + logger.warning( + f"The buy({leverage_buy}) and sell({leverage_sell}) leverage are not equal" + "{pair}. Please let freqtrade know because this has never happened before" + ) + if max(leverage_buy) < max(leverage_sell): leverages[pair] = leverage_buy - self._leverage_brackets = leverages - except ccxt.DDoSProtection as e: - raise DDosProtection(e) from e - except (ccxt.NetworkError, ccxt.ExchangeError) as e: - raise TemporaryError(f'Could not fetch leverage amounts due to' - f'{e.__class__.__name__}. Message: {e}') from e - except ccxt.BaseError as e: - raise OperationalException(e) from e + else: + leverages[pair] = leverage_sell + else: + leverages[pair] = leverage_buy + self._leverage_brackets = leverages def get_max_leverage(self, pair: Optional[str], nominal_value: Optional[float]) -> float: """ @@ -176,7 +170,7 @@ class Kraken(Exchange): def set_leverage(self, pair, leverage): """ - Kraken set's the leverage as an option it the order object, so it doesn't do + Kraken set's the leverage as an option in the order object, so it doesn't do anything in this function """ return diff --git a/tests/conftest.py b/tests/conftest.py index 188236f40..f4cbef686 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -437,7 +437,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': ['2'], + 'leverage_sell': ['2'], + }, }, 'TKN/BTC': { 'id': 'tknbtc', @@ -463,7 +466,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': ['2', '3', '4', '5'], + 'leverage_sell': ['2', '3', '4', '5'], + }, }, 'BLK/BTC': { 'id': 'blkbtc', @@ -488,7 +494,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': ['2', '3'], + 'leverage_sell': ['2', '3'], + }, }, 'LTC/BTC': { 'id': 'ltcbtc', @@ -513,7 +522,10 @@ def get_markets(): 'max': 500000, }, }, - 'info': {}, + 'info': { + 'leverage_buy': [], + 'leverage_sell': [], + }, }, 'XRP/BTC': { 'id': 'xrpbtc', @@ -591,7 +603,10 @@ def get_markets(): 'max': None } }, - 'info': {}, + 'info': { + 'leverage_buy': [], + 'leverage_sell': [], + }, }, 'ETH/USDT': { 'id': 'USDT-ETH', @@ -707,6 +722,8 @@ def get_markets(): 'max': None } }, + 'info': { + } }, } diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index aa4c4c62e..f2bd68154 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -1,5 +1,5 @@ from random import randint -from unittest.mock import MagicMock +from unittest.mock import MagicMock, PropertyMock import ccxt import pytest @@ -150,62 +150,67 @@ def test_get_max_leverage_binance(default_conf, mocker, pair, nominal_value, max def test_fill_leverage_brackets_binance(default_conf, mocker): api_mock = MagicMock() api_mock.load_leverage_brackets = MagicMock(return_value={ - 'ADA/BUSD': [[0.0, '0.025'], - [100000.0, '0.05'], - [500000.0, '0.1'], - [1000000.0, '0.15'], - [2000000.0, '0.25'], - [5000000.0, '0.5']], - 'BTC/USDT': [[0.0, '0.004'], - [50000.0, '0.005'], - [250000.0, '0.01'], - [1000000.0, '0.025'], - [5000000.0, '0.05'], - [20000000.0, '0.1'], - [50000000.0, '0.125'], - [100000000.0, '0.15'], - [200000000.0, '0.25'], - [300000000.0, '0.5']], - "ZEC/USDT": [[0.0, '0.01'], - [5000.0, '0.025'], - [25000.0, '0.05'], - [100000.0, '0.1'], - [250000.0, '0.125'], - [1000000.0, '0.5']], + 'ADA/BUSD': [[0.0, 0.025], + [100000.0, 0.05], + [500000.0, 0.1], + [1000000.0, 0.15], + [2000000.0, 0.25], + [5000000.0, 0.5]], + 'BTC/USDT': [[0.0, 0.004], + [50000.0, 0.005], + [250000.0, 0.01], + [1000000.0, 0.025], + [5000000.0, 0.05], + [20000000.0, 0.1], + [50000000.0, 0.125], + [100000000.0, 0.15], + [200000000.0, 0.25], + [300000000.0, 0.5]], + "ZEC/USDT": [[0.0, 0.01], + [5000.0, 0.025], + [25000.0, 0.05], + [100000.0, 0.1], + [250000.0, 0.125], + [1000000.0, 0.5]], }) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="binance") + exchange.fill_leverage_brackets() assert exchange._leverage_brackets == { - 'ADA/BUSD': [[0.0, '0.025'], - [100000.0, '0.05'], - [500000.0, '0.1'], - [1000000.0, '0.15'], - [2000000.0, '0.25'], - [5000000.0, '0.5']], - 'BTC/USDT': [[0.0, '0.004'], - [50000.0, '0.005'], - [250000.0, '0.01'], - [1000000.0, '0.025'], - [5000000.0, '0.05'], - [20000000.0, '0.1'], - [50000000.0, '0.125'], - [100000000.0, '0.15'], - [200000000.0, '0.25'], - [300000000.0, '0.5']], - "ZEC/USDT": [[0.0, '0.01'], - [5000.0, '0.025'], - [25000.0, '0.05'], - [100000.0, '0.1'], - [250000.0, '0.125'], - [1000000.0, '0.5']], + 'ADA/BUSD': [[0.0, 0.025], + [100000.0, 0.05], + [500000.0, 0.1], + [1000000.0, 0.15], + [2000000.0, 0.25], + [5000000.0, 0.5]], + 'BTC/USDT': [[0.0, 0.004], + [50000.0, 0.005], + [250000.0, 0.01], + [1000000.0, 0.025], + [5000000.0, 0.05], + [20000000.0, 0.1], + [50000000.0, 0.125], + [100000000.0, 0.15], + [200000000.0, 0.25], + [300000000.0, 0.5]], + "ZEC/USDT": [[0.0, 0.01], + [5000.0, 0.025], + [25000.0, 0.05], + [100000.0, 0.1], + [250000.0, 0.125], + [1000000.0, 0.5]], } + api_mock = MagicMock() + api_mock.load_leverage_brackets = MagicMock() + type(api_mock).has = PropertyMock(return_value={'loadLeverageBrackets': True}) + ccxt_exceptionhandlers( mocker, default_conf, api_mock, "binance", "fill_leverage_brackets", - "fill_leverage_brackets" + "load_leverage_brackets" ) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 1915b3f34..348aa3290 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -3092,7 +3092,7 @@ def test_set_leverage(mocker, default_conf, exchange_name, collateral): def test_set_margin_mode(mocker, default_conf, exchange_name, collateral): api_mock = MagicMock() - api_mock.set_leverage = MagicMock() + api_mock.set_margin_mode = MagicMock() type(api_mock).has = PropertyMock(return_value={'setMarginMode': True}) ccxt_exceptionhandlers( @@ -3137,8 +3137,8 @@ def test_set_margin_mode(mocker, default_conf, exchange_name, collateral): # ("binance", TradingMode.FUTURES, Collateral.ISOLATED, False), # ("kraken", TradingMode.MARGIN, Collateral.CROSS, False), # ("kraken", TradingMode.FUTURES, Collateral.CROSS, False), - # ("ftx", TradingMode.MARGIN, Collateral.ISOLATED, False), - # ("ftx", TradingMode.FUTURES, Collateral.ISOLATED, False) + # ("ftx", TradingMode.MARGIN, Collateral.CROSS, False), + # ("ftx", TradingMode.FUTURES, Collateral.CROSS, False) ]) def test_validate_trading_mode_and_collateral( default_conf, diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 771065cdd..1ed528dd9 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -209,4 +209,4 @@ def test_fill_leverage_brackets_ftx(default_conf, mocker): # FTX only has one account wide leverage, so there's no leverage brackets exchange = get_patched_exchange(mocker, default_conf, id="ftx") exchange.fill_leverage_brackets() - assert bool(exchange._leverage_brackets) is False + assert exchange._leverage_brackets == {} diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index 90c032679..8222f5ce8 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -274,229 +274,11 @@ def test_get_max_leverage_kraken(default_conf, mocker, pair, nominal_value, max_ def test_fill_leverage_brackets_kraken(default_conf, mocker): api_mock = MagicMock() - api_mock.load_markets = MagicMock(return_value={ - "ADA/BTC": {'active': True, - 'altname': 'ADAXBT', - 'base': 'ADA', - 'baseId': 'ADA', - 'darkpool': False, - 'id': 'ADAXBT', - 'info': {'aclass_base': 'currency', - 'aclass_quote': 'currency', - 'altname': 'ADAXBT', - 'base': 'ADA', - 'fee_volume_currency': 'ZUSD', - 'fees': [['0', '0.26'], - ['50000', '0.24'], - ['100000', '0.22'], - ['250000', '0.2'], - ['500000', '0.18'], - ['1000000', '0.16'], - ['2500000', '0.14'], - ['5000000', '0.12'], - ['10000000', '0.1']], - 'fees_maker': [['0', '0.16'], - ['50000', '0.14'], - ['100000', '0.12'], - ['250000', '0.1'], - ['500000', '0.08'], - ['1000000', '0.06'], - ['2500000', '0.04'], - ['5000000', '0.02'], - ['10000000', '0']], - 'leverage_buy': ['2', '3'], - 'leverage_sell': ['2', '3'], - 'lot': 'unit', - 'lot_decimals': '8', - 'lot_multiplier': '1', - 'margin_call': '80', - 'margin_stop': '40', - 'ordermin': '5', - 'pair_decimals': '8', - 'quote': 'XXBT', - 'wsname': 'ADA/XBT'}, - 'limits': {'amount': {'max': 100000000.0, 'min': 5.0}, - 'cost': {'max': None, 'min': 0}, - 'price': {'max': None, 'min': 1e-08}}, - 'maker': 0.0016, - 'percentage': True, - 'precision': {'amount': 8, 'price': 8}, - 'quote': 'BTC', - 'quoteId': 'XXBT', - 'symbol': 'ADA/BTC', - 'taker': 0.0026, - 'tierBased': True, - 'tiers': {'maker': [[0, 0.0016], - [50000, 0.0014], - [100000, 0.0012], - [250000, 0.001], - [500000, 0.0008], - [1000000, 0.0006], - [2500000, 0.0004], - [5000000, 0.0002], - [10000000, 0.0]], - 'taker': [[0, 0.0026], - [50000, 0.0024], - [100000, 0.0022], - [250000, 0.002], - [500000, 0.0018], - [1000000, 0.0016], - [2500000, 0.0014], - [5000000, 0.0012], - [10000000, 0.0001]]}}, - "BTC/EUR": {'active': True, - 'altname': 'XBTEUR', - 'base': 'BTC', - 'baseId': 'XXBT', - 'darkpool': False, - 'id': 'XXBTZEUR', - 'info': {'aclass_base': 'currency', - 'aclass_quote': 'currency', - 'altname': 'XBTEUR', - 'base': 'XXBT', - 'fee_volume_currency': 'ZUSD', - 'fees': [['0', '0.26'], - ['50000', '0.24'], - ['100000', '0.22'], - ['250000', '0.2'], - ['500000', '0.18'], - ['1000000', '0.16'], - ['2500000', '0.14'], - ['5000000', '0.12'], - ['10000000', '0.1']], - 'fees_maker': [['0', '0.16'], - ['50000', '0.14'], - ['100000', '0.12'], - ['250000', '0.1'], - ['500000', '0.08'], - ['1000000', '0.06'], - ['2500000', '0.04'], - ['5000000', '0.02'], - ['10000000', '0']], - 'leverage_buy': ['2', '3', '4', '5'], - 'leverage_sell': ['2', '3', '4', '5'], - 'lot': 'unit', - 'lot_decimals': '8', - 'lot_multiplier': '1', - 'margin_call': '80', - 'margin_stop': '40', - 'ordermin': '0.0001', - 'pair_decimals': '1', - 'quote': 'ZEUR', - 'wsname': 'XBT/EUR'}, - 'limits': {'amount': {'max': 100000000.0, 'min': 0.0001}, - 'cost': {'max': None, 'min': 0}, - 'price': {'max': None, 'min': 0.1}}, - 'maker': 0.0016, - 'percentage': True, - 'precision': {'amount': 8, 'price': 1}, - 'quote': 'EUR', - 'quoteId': 'ZEUR', - 'symbol': 'BTC/EUR', - 'taker': 0.0026, - 'tierBased': True, - 'tiers': {'maker': [[0, 0.0016], - [50000, 0.0014], - [100000, 0.0012], - [250000, 0.001], - [500000, 0.0008], - [1000000, 0.0006], - [2500000, 0.0004], - [5000000, 0.0002], - [10000000, 0.0]], - 'taker': [[0, 0.0026], - [50000, 0.0024], - [100000, 0.0022], - [250000, 0.002], - [500000, 0.0018], - [1000000, 0.0016], - [2500000, 0.0014], - [5000000, 0.0012], - [10000000, 0.0001]]}}, - "ZEC/USD": {'active': True, - 'altname': 'ZECUSD', - 'base': 'ZEC', - 'baseId': 'XZEC', - 'darkpool': False, - 'id': 'XZECZUSD', - 'info': {'aclass_base': 'currency', - 'aclass_quote': 'currency', - 'altname': 'ZECUSD', - 'base': 'XZEC', - 'fee_volume_currency': 'ZUSD', - 'fees': [['0', '0.26'], - ['50000', '0.24'], - ['100000', '0.22'], - ['250000', '0.2'], - ['500000', '0.18'], - ['1000000', '0.16'], - ['2500000', '0.14'], - ['5000000', '0.12'], - ['10000000', '0.1']], - 'fees_maker': [['0', '0.16'], - ['50000', '0.14'], - ['100000', '0.12'], - ['250000', '0.1'], - ['500000', '0.08'], - ['1000000', '0.06'], - ['2500000', '0.04'], - ['5000000', '0.02'], - ['10000000', '0']], - 'leverage_buy': ['2'], - 'leverage_sell': ['2'], - 'lot': 'unit', - 'lot_decimals': '8', - 'lot_multiplier': '1', - 'margin_call': '80', - 'margin_stop': '40', - 'ordermin': '0.035', - 'pair_decimals': '2', - 'quote': 'ZUSD', - 'wsname': 'ZEC/USD'}, - 'limits': {'amount': {'max': 100000000.0, 'min': 0.035}, - 'cost': {'max': None, 'min': 0}, - 'price': {'max': None, 'min': 0.01}}, - 'maker': 0.0016, - 'percentage': True, - 'precision': {'amount': 8, 'price': 2}, - 'quote': 'USD', - 'quoteId': 'ZUSD', - 'symbol': 'ZEC/USD', - 'taker': 0.0026, - 'tierBased': True, - 'tiers': {'maker': [[0, 0.0016], - [50000, 0.0014], - [100000, 0.0012], - [250000, 0.001], - [500000, 0.0008], - [1000000, 0.0006], - [2500000, 0.0004], - [5000000, 0.0002], - [10000000, 0.0]], - 'taker': [[0, 0.0026], - [50000, 0.0024], - [100000, 0.0022], - [250000, 0.002], - [500000, 0.0018], - [1000000, 0.0016], - [2500000, 0.0014], - [5000000, 0.0012], - [10000000, 0.0001]]}} - - }) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") + exchange.fill_leverage_brackets() assert exchange._leverage_brackets == { - 'ADA/BTC': ['2', '3'], - 'BTC/EUR': ['2', '3', '4', '5'], - 'ZEC/USD': ['2'] + 'BLK/BTC': ['2', '3'], + 'TKN/BTC': ['2', '3', '4', '5'], + 'ETH/BTC': ['2'] } - - ccxt_exceptionhandlers( - mocker, - default_conf, - api_mock, - "kraken", - "fill_leverage_brackets", - "fill_leverage_brackets" - ) From 9f96b977f6a1ea08d036dc53ebacd2aed2cea976 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Thu, 9 Sep 2021 13:42:35 -0600 Subject: [PATCH 29/34] removed interest method from exchange, will create a separate interest PR --- freqtrade/exchange/exchange.py | 25 ------------- tests/exchange/test_exchange.py | 63 --------------------------------- 2 files changed, 88 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 6e25689f3..dcc6e513a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1581,31 +1581,6 @@ class Exchange: self._async_get_trade_history(pair=pair, since=since, until=until, from_id=from_id)) - @retrier - def get_interest_rate( - self, - pair: str, - maker_or_taker: str, - is_short: bool - ) -> Tuple[float, float]: - """ - Gets the rate of interest for borrowed currency when margin trading - :param pair: base/quote currency pair - :param maker_or_taker: "maker" if limit order, "taker" if market order - :param is_short: True if requesting base interest, False if requesting quote interest - :return: (open_interest, rollover_interest) - """ - try: - # TODO-lev: implement, currently there is no ccxt method for this - return (0.0005, 0.0005) - except ccxt.DDoSProtection as e: - raise DDosProtection(e) from e - except (ccxt.NetworkError, ccxt.ExchangeError) as e: - raise TemporaryError( - f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e - except ccxt.BaseError as e: - raise OperationalException(e) from e - @retrier def fill_leverage_brackets(self): """ diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 348aa3290..5d7901420 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -2998,69 +2998,6 @@ def test_fill_leverage_brackets(): return -# TODO-lev: These tests don't test anything real, they need to be replaced with real values once -# get_interest_rates is written -@pytest.mark.parametrize('exchange_name,pair,maker_or_taker,is_short,borrow_rate,interest_rate', [ - ('binance', "ADA/USDT", "maker", True, 0.0005, 0.0005), - ('binance', "ADA/USDT", "maker", False, 0.0005, 0.0005), - ('binance', "ADA/USDT", "taker", True, 0.0005, 0.0005), - ('binance', "ADA/USDT", "taker", False, 0.0005, 0.0005), - # Kraken - ('kraken', "ADA/USDT", "maker", True, 0.0005, 0.0005), - ('kraken', "ADA/USDT", "maker", False, 0.0005, 0.0005), - ('kraken', "ADA/USDT", "taker", True, 0.0005, 0.0005), - ('kraken', "ADA/USDT", "taker", False, 0.0005, 0.0005), - # FTX - ('ftx', "ADA/USDT", "maker", True, 0.0005, 0.0005), - ('ftx', "ADA/USDT", "maker", False, 0.0005, 0.0005), - ('ftx', "ADA/USDT", "taker", True, 0.0005, 0.0005), - ('ftx', "ADA/USDT", "taker", False, 0.0005, 0.0005), -]) -def test_get_interest_rate( - default_conf, - mocker, - exchange_name, - pair, - maker_or_taker, - is_short, - borrow_rate, - interest_rate -): - exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) - assert exchange.get_interest_rate( - pair, maker_or_taker, is_short) == (borrow_rate, interest_rate) - - -@pytest.mark.parametrize("exchange_name", [("binance"), ("ftx"), ("kraken")]) -@pytest.mark.parametrize("maker_or_taker", [("maker"), ("taker")]) -@pytest.mark.parametrize("is_short", [(True), (False)]) -def test_get_interest_rate_exceptions( - mocker, - default_conf, - exchange_name, - maker_or_taker, - is_short -): - - # api_mock = MagicMock() - # # TODO-lev: get_interest_rate currently not implemented on CCXT, so this may be renamed - # api_mock.get_interest_rate = MagicMock() - # type(api_mock).has = PropertyMock(return_value={'getInterestRate': True}) - - # ccxt_exceptionhandlers( - # mocker, - # default_conf, - # api_mock, - # exchange_name, - # "get_interest_rate", - # "get_interest_rate", - # pair="XRP/USDT", - # is_short=is_short, - # maker_or_taker="maker_or_taker" - # ) - return - - @pytest.mark.parametrize("collateral", [ (Collateral.CROSS), (Collateral.ISOLATED) From 785b71aec1ca6a5468380db2801dc0fea24117fd Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Thu, 9 Sep 2021 13:42:43 -0600 Subject: [PATCH 30/34] formatting --- freqtrade/exchange/kraken.py | 4 ++-- freqtrade/persistence/models.py | 1 + tests/exchange/test_exchange.py | 4 ---- 3 files changed, 3 insertions(+), 6 deletions(-) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 5207018ad..861063b3f 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -40,7 +40,7 @@ class Kraken(Exchange): return (parent_check and market.get('darkpool', False) is False) - @ retrier + @retrier def get_balances(self) -> dict: if self._config['dry_run']: return {} @@ -84,7 +84,7 @@ class Kraken(Exchange): (side == "buy" and stop_loss < float(order['price'])) )) - @ retrier(retries=0) + @retrier(retries=0) def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict, side: str) -> Dict: """ diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index 630078ab3..b73611c1b 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -499,6 +499,7 @@ class LocalTrade(): lower_stop = new_loss < self.stop_loss # stop losses only walk up, never down!, + # TODO-lev # ? But adding more to a leveraged trade would create a lower liquidation price, # ? decreasing the minimum stoploss if (higher_stop and not self.is_short) or (lower_stop and self.is_short): diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 5d7901420..239704bdd 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -2994,10 +2994,6 @@ def test_apply_leverage_to_stake_amount( assert exchange._apply_leverage_to_stake_amount(stake_amount, leverage) == min_stake_with_lev -def test_fill_leverage_brackets(): - return - - @pytest.mark.parametrize("collateral", [ (Collateral.CROSS), (Collateral.ISOLATED) From 2c7cf794f58b67fd290d32442e4b786d130fc79a Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Thu, 9 Sep 2021 14:24:07 -0600 Subject: [PATCH 31/34] Test for short exchange.stoploss exchange.stoploss_adjust --- freqtrade/exchange/binance.py | 5 ++- freqtrade/exchange/exchange.py | 1 + freqtrade/exchange/ftx.py | 9 +++--- tests/exchange/test_binance.py | 51 ++++++++++++++++++++---------- tests/exchange/test_ftx.py | 57 ++++++++++++++++++++++------------ tests/exchange/test_kraken.py | 39 +++++++++++++---------- 6 files changed, 105 insertions(+), 57 deletions(-) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 9a96e1f19..5680a7b47 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -55,7 +55,10 @@ class Binance(Exchange): :param side: "buy" or "sell" """ # Limit price threshold: As limit price should always be below stop-price - limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) + limit_price_pct = order_types.get( + 'stoploss_on_exchange_limit_ratio', + 0.99 if side == 'sell' else 1.01 + ) rate = stop_price * limit_price_pct ordertype = "stop_loss_limit" diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index dcc6e513a..b07ee95ce 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -624,6 +624,7 @@ class Exchange: def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): """ + #TODO-lev: Find out how this works on Kraken and FTX # * Should be implemented by child classes if leverage affects the stake_amount Takes the minimum stake amount for a pair with no leverage and returns the minimum stake amount when leverage is considered diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py index 3e6ff01a3..870791cf5 100644 --- a/freqtrade/exchange/ftx.py +++ b/freqtrade/exchange/ftx.py @@ -57,7 +57,10 @@ class Ftx(Exchange): Limit orders are defined by having orderPrice set, otherwise a market order is used. """ - limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99) + limit_price_pct = order_types.get( + 'stoploss_on_exchange_limit_ratio', + 0.99 if side == "sell" else 1.01 + ) limit_rate = stop_price * limit_price_pct ordertype = "stop" @@ -164,10 +167,6 @@ class Ftx(Exchange): return safe_value_fallback2(order, order, 'id_stop', 'id') return order['id'] - def _apply_leverage_to_stake_amount(self, stake_amount: float, leverage: float): - # TODO-lev: implement - return stake_amount - def fill_leverage_brackets(self): """ FTX leverage is static across the account, and doesn't change from pair to pair, diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index f2bd68154..ad55ede9b 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -9,12 +9,22 @@ from tests.conftest import get_patched_exchange from tests.exchange.test_exchange import ccxt_exceptionhandlers -@pytest.mark.parametrize('limitratio,expected', [ - (None, 220 * 0.99), - (0.99, 220 * 0.99), - (0.98, 220 * 0.98), +@pytest.mark.parametrize('limitratio,exchangelimitratio,expected,side', [ + (None, 1.05, 220 * 0.99, "sell"), + (0.99, 1.05, 220 * 0.99, "sell"), + (0.98, 1.05, 220 * 0.98, "sell"), + (None, 0.95, 220 * 1.01, "buy"), + (1.01, 0.95, 220 * 1.01, "buy"), + (1.02, 0.95, 220 * 1.02, "buy"), ]) -def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): +def test_stoploss_order_binance( + default_conf, + mocker, + limitratio, + exchangelimitratio, + expected, + side +): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) order_type = 'stop_loss_limit' @@ -32,20 +42,25 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') with pytest.raises(OperationalException): - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell", - order_types={'stoploss_on_exchange_limit_ratio': 1.05}) + order = exchange.stoploss( + pair='ETH/BTC', + amount=1, + stop_price=190, + side=side, + order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio} + ) api_mock.create_order.reset_mock() order_types = {} if limitratio is None else {'stoploss_on_exchange_limit_ratio': limitratio} order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, - order_types=order_types, side="sell") + order_types=order_types, side=side) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == order_type - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 # Price should be 1% below stopprice assert api_mock.create_order.call_args_list[0][1]['price'] == expected @@ -55,17 +70,17 @@ def test_stoploss_order_binance(default_conf, mocker, limitratio, expected): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("binance Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) ccxt_exceptionhandlers(mocker, default_conf, api_mock, "binance", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) def test_stoploss_order_dry_run_binance(default_conf, mocker): @@ -94,18 +109,22 @@ def test_stoploss_order_dry_run_binance(default_conf, mocker): assert order['amount'] == 1 -def test_stoploss_adjust_binance(mocker, default_conf): +@pytest.mark.parametrize('sl1,sl2,sl3,side', [ + (1501, 1499, 1501, "sell"), + (1499, 1501, 1499, "buy") +]) +def test_stoploss_adjust_binance(mocker, default_conf, sl1, sl2, sl3, side): exchange = get_patched_exchange(mocker, default_conf, id='binance') order = { 'type': 'stop_loss_limit', 'price': 1500, 'info': {'stopPrice': 1500}, } - assert exchange.stoploss_adjust(1501, order, side="sell") - assert not exchange.stoploss_adjust(1499, order, side="sell") + assert exchange.stoploss_adjust(sl1, order, side=side) + assert not exchange.stoploss_adjust(sl2, order, side=side) # Test with invalid order case order['type'] = 'stop_loss' - assert not exchange.stoploss_adjust(1501, order, side="sell") + assert not exchange.stoploss_adjust(sl3, order, side=side) @pytest.mark.parametrize('pair,nominal_value,max_lev', [ diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 1ed528dd9..33eb0e3c4 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -16,7 +16,11 @@ STOPLOSS_ORDERTYPE = 'stop' # TODO-lev: All these stoploss tests with shorts -def test_stoploss_order_ftx(default_conf, mocker): +@pytest.mark.parametrize('order_price,exchangelimitratio,side', [ + (217.8, 1.05, "sell"), + (222.2, 0.95, "buy"), +]) +def test_stoploss_order_ftx(default_conf, mocker, order_price, exchangelimitratio, side): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) @@ -34,12 +38,12 @@ def test_stoploss_order_ftx(default_conf, mocker): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') # stoploss_on_exchange_limit_ratio is irrelevant for ftx market orders - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side="sell", - order_types={'stoploss_on_exchange_limit_ratio': 1.05}) + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=190, side=side, + order_types={'stoploss_on_exchange_limit_ratio': exchangelimitratio}) assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params'] assert 'stopPrice' in api_mock.create_order.call_args_list[0][1]['params'] @@ -49,51 +53,52 @@ def test_stoploss_order_ftx(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert 'orderPrice' not in api_mock.create_order.call_args_list[0][1]['params'] assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220 api_mock.create_order.reset_mock() order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, - order_types={'stoploss': 'limit'}, side="sell") + order_types={'stoploss': 'limit'}, side=side) assert 'id' in order assert 'info' in order assert order['id'] == order_id assert api_mock.create_order.call_args_list[0][1]['symbol'] == 'ETH/BTC' assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert 'orderPrice' in api_mock.create_order.call_args_list[0][1]['params'] - assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == 217.8 + assert api_mock.create_order.call_args_list[0][1]['params']['orderPrice'] == order_price assert api_mock.create_order.call_args_list[0][1]['params']['stopPrice'] == 220 # test exception handling with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("ftx Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'ftx') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) ccxt_exceptionhandlers(mocker, default_conf, api_mock, "ftx", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) -def test_stoploss_order_dry_run_ftx(default_conf, mocker): +@pytest.mark.parametrize('side', [("sell"), ("buy")]) +def test_stoploss_order_dry_run_ftx(default_conf, mocker, side): api_mock = MagicMock() default_conf['dry_run'] = True mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) @@ -103,7 +108,7 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) assert 'id' in order assert 'info' in order @@ -114,20 +119,24 @@ def test_stoploss_order_dry_run_ftx(default_conf, mocker): assert order['amount'] == 1 -def test_stoploss_adjust_ftx(mocker, default_conf): +@pytest.mark.parametrize('sl1,sl2,sl3,side', [ + (1501, 1499, 1501, "sell"), + (1499, 1501, 1499, "buy") +]) +def test_stoploss_adjust_ftx(mocker, default_conf, sl1, sl2, sl3, side): exchange = get_patched_exchange(mocker, default_conf, id='ftx') order = { 'type': STOPLOSS_ORDERTYPE, 'price': 1500, } - assert exchange.stoploss_adjust(1501, order, side="sell") - assert not exchange.stoploss_adjust(1499, order, side="sell") + assert exchange.stoploss_adjust(sl1, order, side=side) + assert not exchange.stoploss_adjust(sl2, order, side=side) # Test with invalid order case ... order['type'] = 'stop_loss_limit' - assert not exchange.stoploss_adjust(1501, order, side="sell") + assert not exchange.stoploss_adjust(sl3, order, side=side) -def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order): +def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order, limit_buy_order): default_conf['dry_run'] = True order = MagicMock() order.myid = 123 @@ -160,6 +169,16 @@ def test_fetch_stoploss_order(default_conf, mocker, limit_sell_order): assert resp['type'] == 'stop' assert resp['status_stop'] == 'triggered' + api_mock.fetch_order = MagicMock(return_value=limit_buy_order) + + resp = exchange.fetch_stoploss_order('X', 'TKN/BTC') + assert resp + assert api_mock.fetch_order.call_count == 1 + assert resp['id_stop'] == 'mocked_limit_buy' + assert resp['id'] == 'X' + assert resp['type'] == 'stop' + assert resp['status_stop'] == 'triggered' + with pytest.raises(InvalidOrderException): api_mock.fetch_orders = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id='ftx') diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index 8222f5ce8..01f27997c 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -164,11 +164,13 @@ def test_get_balances_prod(default_conf, mocker): ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken", "get_balances", "fetch_balance") -# TODO-lev: All these stoploss tests with shorts - @pytest.mark.parametrize('ordertype', ['market', 'limit']) -def test_stoploss_order_kraken(default_conf, mocker, ordertype): +@pytest.mark.parametrize('side,limitratio,adjustedprice', [ + ("buy", 0.99, 217.8), + ("sell", 1.01, 222.2), +]) +def test_stoploss_order_kraken(default_conf, mocker, ordertype, side, limitratio, adjustedprice): api_mock = MagicMock() order_id = 'test_prod_buy_{}'.format(randint(0, 10 ** 6)) @@ -185,9 +187,9 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, side="sell", + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, side=side, order_types={'stoploss': ordertype, - 'stoploss_on_exchange_limit_ratio': 0.99 + 'stoploss_on_exchange_limit_ratio': limitratio }) assert 'id' in order @@ -197,12 +199,12 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): if ordertype == 'limit': assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_LIMIT_ORDERTYPE assert api_mock.create_order.call_args_list[0][1]['params'] == { - 'trading_agreement': 'agree', 'price2': 217.8} + 'trading_agreement': 'agree', 'price2': adjustedprice} else: assert api_mock.create_order.call_args_list[0][1]['type'] == STOPLOSS_ORDERTYPE assert api_mock.create_order.call_args_list[0][1]['params'] == { 'trading_agreement': 'agree'} - assert api_mock.create_order.call_args_list[0][1]['side'] == 'sell' + assert api_mock.create_order.call_args_list[0][1]['side'] == side assert api_mock.create_order.call_args_list[0][1]['amount'] == 1 assert api_mock.create_order.call_args_list[0][1]['price'] == 220 @@ -210,20 +212,21 @@ def test_stoploss_order_kraken(default_conf, mocker, ordertype): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) with pytest.raises(InvalidOrderException): api_mock.create_order = MagicMock( side_effect=ccxt.InvalidOrder("kraken Order would trigger immediately.")) exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken') - exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) ccxt_exceptionhandlers(mocker, default_conf, api_mock, "kraken", "stoploss", "create_order", retries=1, - pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) -def test_stoploss_order_dry_run_kraken(default_conf, mocker): +@pytest.mark.parametrize('side', ['buy', 'sell']) +def test_stoploss_order_dry_run_kraken(default_conf, mocker, side): api_mock = MagicMock() default_conf['dry_run'] = True mocker.patch('freqtrade.exchange.Exchange.amount_to_precision', lambda s, x, y: y) @@ -233,7 +236,7 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker): api_mock.create_order.reset_mock() - order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side="sell") + order = exchange.stoploss(pair='ETH/BTC', amount=1, stop_price=220, order_types={}, side=side) assert 'id' in order assert 'info' in order @@ -244,17 +247,21 @@ def test_stoploss_order_dry_run_kraken(default_conf, mocker): assert order['amount'] == 1 -def test_stoploss_adjust_kraken(mocker, default_conf): +@pytest.mark.parametrize('sl1,sl2,sl3,side', [ + (1501, 1499, 1501, "sell"), + (1499, 1501, 1499, "buy") +]) +def test_stoploss_adjust_kraken(mocker, default_conf, sl1, sl2, sl3, side): exchange = get_patched_exchange(mocker, default_conf, id='kraken') order = { 'type': STOPLOSS_ORDERTYPE, 'price': 1500, } - assert exchange.stoploss_adjust(1501, order, side="sell") - assert not exchange.stoploss_adjust(1499, order, side="sell") + assert exchange.stoploss_adjust(sl1, order, side=side) + assert not exchange.stoploss_adjust(sl2, order, side=side) # Test with invalid order case ... order['type'] = 'stop_loss_limit' - assert not exchange.stoploss_adjust(1501, order, side="sell") + assert not exchange.stoploss_adjust(sl3, order, side=side) @pytest.mark.parametrize('pair,nominal_value,max_lev', [ From 063861ada35d7f91711921d6769877635efe3263 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Thu, 9 Sep 2021 15:38:32 -0600 Subject: [PATCH 32/34] Added todos for short stoploss --- tests/test_freqtradebot.py | 5 ++++- 1 file changed, 4 insertions(+), 1 deletion(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index a841744b7..c4be69cd1 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1252,6 +1252,7 @@ def test_create_stoploss_order_insufficient_funds(mocker, default_conf, caplog, @pytest.mark.usefixtures("init_persistence") def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, limit_buy_order, limit_sell_order) -> None: + # TODO-lev: test for short # When trailing stoploss is set stoploss = MagicMock(return_value={'id': 13434334}) patch_RPCManager(mocker) @@ -1362,6 +1363,7 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, caplog, limit_buy_order, limit_sell_order) -> None: + # TODO-lev: test for short # When trailing stoploss is set stoploss = MagicMock(return_value={'id': 13434334}) patch_exchange(mocker) @@ -1439,6 +1441,7 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee, limit_buy_order, limit_sell_order) -> None: # When trailing stoploss is set + # TODO-lev: test for short stoploss = MagicMock(return_value={'id': 13434334}) patch_RPCManager(mocker) mocker.patch.multiple( @@ -1548,7 +1551,7 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee, def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, limit_buy_order, limit_sell_order) -> None: - + # TODO-lev: test for short # When trailing stoploss is set stoploss = MagicMock(return_value={'id': 13434334}) patch_RPCManager(mocker) From 77fc21a16b0b56587ba5bf5b755d8ed9e11b5f95 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Thu, 9 Sep 2021 23:58:10 -0600 Subject: [PATCH 33/34] Patched test_fill_leverage_brackets_ftx so that exchange._leverage_brackets doesn't retain the values from binance --- tests/exchange/test_ftx.py | 3 +++ 1 file changed, 3 insertions(+) diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index 33eb0e3c4..a98e46b27 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -227,5 +227,8 @@ def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev def test_fill_leverage_brackets_ftx(default_conf, mocker): # FTX only has one account wide leverage, so there's no leverage brackets exchange = get_patched_exchange(mocker, default_conf, id="ftx") + # TODO: This is a patch, develop a real solution + # TODO: _leverage_brackets retains it's value from the binance tests, but shouldn't + exchange._leverage_brackets = {} exchange.fill_leverage_brackets() assert exchange._leverage_brackets == {} From 77aa372909899ec0f823fd322acf4e71d933baa2 Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Fri, 10 Sep 2021 02:09:27 -0600 Subject: [PATCH 34/34] Fixed test_ftx patch --- freqtrade/exchange/exchange.py | 3 +-- tests/exchange/test_ftx.py | 3 --- 2 files changed, 1 insertion(+), 5 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index b07ee95ce..b9da0cf7c 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -75,8 +75,6 @@ class Exchange: } _ft_has: Dict = {} - _leverage_brackets: Dict = {} - _supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [ # TradingMode.SPOT always supported and not required in this list ] @@ -90,6 +88,7 @@ class Exchange: self._api: ccxt.Exchange = None self._api_async: ccxt_async.Exchange = None self._markets: Dict = {} + self._leverage_brackets: Dict = {} self._config.update(config) diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py index a98e46b27..33eb0e3c4 100644 --- a/tests/exchange/test_ftx.py +++ b/tests/exchange/test_ftx.py @@ -227,8 +227,5 @@ def test_get_max_leverage_ftx(default_conf, mocker, pair, nominal_value, max_lev def test_fill_leverage_brackets_ftx(default_conf, mocker): # FTX only has one account wide leverage, so there's no leverage brackets exchange = get_patched_exchange(mocker, default_conf, id="ftx") - # TODO: This is a patch, develop a real solution - # TODO: _leverage_brackets retains it's value from the binance tests, but shouldn't - exchange._leverage_brackets = {} exchange.fill_leverage_brackets() assert exchange._leverage_brackets == {}