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Extract orderbook logic into separate method

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Matthias
2023-05-29 17:24:04 +02:00
parent 12e8e29b4e
commit f074383d6a
1 changed files with 23 additions and 13 deletions
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36
freqtrade/exchange/exchange.py
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@@ -1669,19 +1669,8 @@ class Exchange:
order_book_top = conf_strategy.get('order_book_top', 1)
if order_book is None:
order_book = self.fetch_l2_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
obside: OBLiteral = 'bids' if price_side == 'bid' else 'asks'
rate = order_book[obside][order_book_top - 1][0]
except (IndexError, KeyError) as e:
logger.warning(
f"{pair} - {name} Price at location {order_book_top} from orderbook "
f"could not be determined. Orderbook: {order_book}"
)
raise PricingError from e
logger.debug(f"{pair} - {name} price from orderbook {price_side_word}"
f"side - top {order_book_top} order book {side} rate {rate:.8f}")
rate = self.get_rate_from_ob(pair, side, order_book, name, price_side,
order_book_top)
else:
logger.debug(f"Using Last {price_side_word} / Last Price")
if ticker is None:
@@ -1703,6 +1692,27 @@ class Exchange:
return rate
def get_rate_from_ob(self, pair: str, side: EntryExit, order_book: OrderBook, name: str,
price_side: BidAsk, order_book_top: int) -> float:
"""
Get rate from orderbook
:raises: PricingError if rate could not be determined.
"""
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
obside: OBLiteral = 'bids' if price_side == 'bid' else 'asks'
rate = order_book[obside][order_book_top - 1][0]
except (IndexError, KeyError) as e:
logger.warning(
f"{pair} - {name} Price at location {order_book_top} from orderbook "
f"could not be determined. Orderbook: {order_book}"
)
raise PricingError from e
logger.debug(f"{pair} - {name} price from orderbook {price_side.capitalize()}"
f"side - top {order_book_top} order book {side} rate {rate:.8f}")
return rate
def get_rates(self, pair: str, refresh: bool, is_short: bool) -> Tuple[float, float]:
entry_rate = None
exit_rate = None