Merge branch 'develop' into bot-start

.github/workflows/ci.yml

@@ -309,6 +309,9 @@ jobs:
           webhookUrl: ${{ secrets.DISCORD_WEBHOOK }}
 
   cleanup-prior-runs:
+    permissions:
+      actions: write  # for rokroskar/workflow-run-cleanup-action to obtain workflow name & cancel it
+      contents: read  # for rokroskar/workflow-run-cleanup-action to obtain branch
     runs-on: ubuntu-20.04
     steps:
     - name: Cleanup previous runs on this branch
@@ -321,6 +324,10 @@ jobs:
   notify-complete:
     needs: [ build_linux, build_macos, build_windows, docs_check, mypy_version_check ]
     runs-on: ubuntu-20.04
+    # Discord notification can't handle schedule events
+    if: (github.event_name != 'schedule')
+    permissions:
+      repository-projects: read  
     steps:
 
     - name: Check user permission

README.md

@@ -39,6 +39,14 @@ Please read the [exchange specific notes](docs/exchanges.md) to learn about even
 - [X] [OKX](https://okx.com/) (Former OKEX)
 - [ ] [potentially many others](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_
 
+### Experimentally, freqtrade also supports futures on the following exchanges
+
+- [X] [Binance](https://www.binance.com/)
+- [X] [Gate.io](https://www.gate.io/ref/6266643)
+- [X] [OKX](https://okx.com/).
+
+Please make sure to read the [exchange specific notes](docs/exchanges.md), as well as the [trading with leverage](docs/leverage.md) documentation before diving in.
+
 ### Community tested
 
 Exchanges confirmed working by the community:

config_examples/config_binance.example.json

@@ -90,7 +90,7 @@
     },
     "bot_name": "freqtrade",
     "initial_state": "running",
-    "force_enter_enable": false,
+    "force_entry_enable": false,
     "internals": {
         "process_throttle_secs": 5
     }

docs/index.md

@@ -51,6 +51,14 @@ Please read the [exchange specific notes](exchanges.md) to learn about eventual,
 - [X] [OKX](https://okx.com/) (Former OKEX)
 - [ ] [potentially many others through <img alt="ccxt" width="30px" src="assets/ccxt-logo.svg" />](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_
 
+### Experimentally, freqtrade also supports futures on the following exchanges:
+
+- [X] [Binance](https://www.binance.com/)
+- [X] [Gate.io](https://www.gate.io/ref/6266643)
+- [X] [OKX](https://okx.com/).
+
+Please make sure to read the [exchange specific notes](exchanges.md), as well as the [trading with leverage](leverage.md) documentation before diving in.
+
 ### Community tested
 
 Exchanges confirmed working by the community:

docs/strategy-callbacks.md

@@ -146,11 +146,11 @@ See [Dataframe access](strategy-advanced.md#dataframe-access) for more informati
 
 ## Custom stoploss
 
-Called for open trade every throttling iteration (roughly every 5 seconds) until a trade is closed.
+Called for open trade every iteration (roughly every 5 seconds) until a trade is closed.
 
 The usage of the custom stoploss method must be enabled by setting `use_custom_stoploss=True` on the strategy object.
 
-The stoploss price can only ever move upwards - if the stoploss value returned from `custom_stoploss` would result in a lower stoploss price than was previously set, it will be ignored. The traditional `stoploss` value serves as an absolute lower level and will be instated as the initial stoploss (before this method is called for the first time for a trade).
+The stoploss price can only ever move upwards - if the stoploss value returned from `custom_stoploss` would result in a lower stoploss price than was previously set, it will be ignored. The traditional `stoploss` value serves as an absolute lower level and will be instated as the initial stoploss (before this method is called for the first time for a trade), and is still mandatory.
 
 The method must return a stoploss value (float / number) as a percentage of the current price.
 E.g. If the `current_rate` is 200 USD, then returning `0.02` will set the stoploss price 2% lower, at 196 USD.
@@ -389,30 +389,30 @@ class AwesomeStrategy(IStrategy):
 
     # ... populate_* methods
 
-    def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float, 
+    def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float,
                            entry_tag: Optional[str], side: str, **kwargs) -> float:
 
         dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair,
                                                                 timeframe=self.timeframe)
         new_entryprice = dataframe['bollinger_10_lowerband'].iat[-1]
-        
+
         return new_entryprice
 
     def custom_exit_price(self, pair: str, trade: Trade,
                           current_time: datetime, proposed_rate: float,
-                          current_profit: float, **kwargs) -> float:
+                          current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
 
         dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair,
                                                                 timeframe=self.timeframe)
         new_exitprice = dataframe['bollinger_10_upperband'].iat[-1]
-        
+
         return new_exitprice
 
 ```
 
 !!! Warning
-    Modifying entry and exit prices will only work for limit orders. Depending on the price chosen, this can result in a lot of unfilled orders. By default the maximum allowed distance between the current price and the custom price is 2%, this value can be changed in config with the `custom_price_max_distance_ratio` parameter.  
-    **Example**:  
+    Modifying entry and exit prices will only work for limit orders. Depending on the price chosen, this can result in a lot of unfilled orders. By default the maximum allowed distance between the current price and the custom price is 2%, this value can be changed in config with the `custom_price_max_distance_ratio` parameter.
+    **Example**:
     If the new_entryprice is 97, the proposed_rate is 100 and the `custom_price_max_distance_ratio` is set to 2%, The retained valid custom entry price will be 98, which is 2% below the current (proposed) rate.
 
 !!! Warning "Backtesting"
@@ -454,7 +454,7 @@ class AwesomeStrategy(IStrategy):
         'exit': 60 * 25
     }
 
-    def check_entry_timeout(self, pair: str, trade: 'Trade', order: 'Order', 
+    def check_entry_timeout(self, pair: str, trade: 'Trade', order: 'Order',
                             current_time: datetime, **kwargs) -> bool:
         if trade.open_rate > 100 and trade.open_date_utc < current_time - timedelta(minutes=5):
             return True
@@ -532,7 +532,7 @@ class AwesomeStrategy(IStrategy):
     # ... populate_* methods
 
     def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
-                            time_in_force: str, current_time: datetime, entry_tag: Optional[str], 
+                            time_in_force: str, current_time: datetime, entry_tag: Optional[str],
                             side: str, **kwargs) -> bool:
         """
         Called right before placing a entry order.
@@ -640,35 +640,35 @@ from freqtrade.persistence import Trade
 
 
 class DigDeeperStrategy(IStrategy):
-    
+
     position_adjustment_enable = True
-    
+
     # Attempts to handle large drops with DCA. High stoploss is required.
     stoploss = -0.30
-    
+
     # ... populate_* methods
-    
+
     # Example specific variables
     max_entry_position_adjustment = 3
     # This number is explained a bit further down
     max_dca_multiplier = 5.5
-    
+
     # This is called when placing the initial order (opening trade)
     def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
                             proposed_stake: float, min_stake: float, max_stake: float,
                             entry_tag: Optional[str], side: str, **kwargs) -> float:
-        
+
         # We need to leave most of the funds for possible further DCA orders
         # This also applies to fixed stakes
         return proposed_stake / self.max_dca_multiplier
-        
+
     def adjust_trade_position(self, trade: Trade, current_time: datetime,
                               current_rate: float, current_profit: float, min_stake: float,
                               max_stake: float, **kwargs):
         """
         Custom trade adjustment logic, returning the stake amount that a trade should be increased.
         This means extra buy orders with additional fees.
- 
+
         :param trade: trade object.
         :param current_time: datetime object, containing the current datetime
         :param current_rate: Current buy rate.
@@ -678,7 +678,7 @@ class DigDeeperStrategy(IStrategy):
         :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
         :return float: Stake amount to adjust your trade
         """
-        
+
         if current_profit > -0.05:
             return None
 

freqtrade/data/btanalysis.py

@@ -12,7 +12,8 @@
 
 from freqtrade.constants import LAST_BT_RESULT_FN
 from freqtrade.exceptions import OperationalException
-from freqtrade.misc import get_backtest_metadata_filename, json_load
+from freqtrade.misc import json_load
+from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
 from freqtrade.persistence import LocalTrade, Trade, init_db
 
 

freqtrade/exchange/exchange.py

@@ -9,6 +9,7 @@
 from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from math import ceil
+from threading import Lock
 from typing import Any, Coroutine, Dict, List, Literal, Optional, Tuple, Union
 
 import arrow
@@ -96,6 +97,9 @@ def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
         self._markets: Dict = {}
         self._trading_fees: Dict[str, Any] = {}
         self._leverage_tiers: Dict[str, List[Dict]] = {}
+        # Lock event loop. This is necessary to avoid race-conditions when using force* commands
+        # Due to funding fee fetching.
+        self._loop_lock = Lock()
         self.loop = asyncio.new_event_loop()
         asyncio.set_event_loop(self.loop)
         self._config: Dict = {}
@@ -167,7 +171,7 @@ def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
         self._api_async = self._init_ccxt(
             exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
 
-        logger.info('Using Exchange "%s"', self.name)
+        logger.info(f'Using Exchange "{self.name}"')
 
         if validate:
             # Check if timeframe is available
@@ -555,7 +559,7 @@ def validate_timeframes(self, timeframe: Optional[str]) -> None:
             # Therefore we also show that.
             raise OperationalException(
                 f"The ccxt library does not provide the list of timeframes "
-                f"for the exchange \"{self.name}\" and this exchange "
+                f"for the exchange {self.name} and this exchange "
                 f"is therefore not supported. ccxt fetchOHLCV: {self.exchange_has('fetchOHLCV')}")
 
         if timeframe and (timeframe not in self.timeframes):
@@ -785,7 +789,9 @@ def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: flo
                              rate: float, leverage: float, params: Dict = {},
                              stop_loss: bool = False) -> Dict[str, Any]:
         order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
-        _amount = self.amount_to_precision(pair, amount)
+        # Rounding here must respect to contract sizes
+        _amount = self._contracts_to_amount(
+            pair, self.amount_to_precision(pair, self._amount_to_contracts(pair, amount)))
         dry_order: Dict[str, Any] = {
             'id': order_id,
             'symbol': pair,
@@ -1775,7 +1781,8 @@ def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
             async def gather_stuff():
                 return await asyncio.gather(*input_coro, return_exceptions=True)
 
-            results = self.loop.run_until_complete(gather_stuff())
+            with self._loop_lock:
+                results = self.loop.run_until_complete(gather_stuff())
 
             for res in results:
                 if isinstance(res, Exception):
@@ -2032,9 +2039,10 @@ def get_historic_trades(self, pair: str,
         if not self.exchange_has("fetchTrades"):
             raise OperationalException("This exchange does not support downloading Trades.")
 
-        return self.loop.run_until_complete(
-            self._async_get_trade_history(pair=pair, since=since,
-                                          until=until, from_id=from_id))
+        with self._loop_lock:
+            return self.loop.run_until_complete(
+                self._async_get_trade_history(pair=pair, since=since,
+                                              until=until, from_id=from_id))
 
     @retrier
     def _get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:

freqtrade/freqtradebot.py

@@ -587,7 +587,6 @@ def execute_entry(
         Executes a limit buy for the given pair
         :param pair: pair for which we want to create a LIMIT_BUY
         :param stake_amount: amount of stake-currency for the pair
-        :param leverage: amount of leverage applied to this trade
         :return: True if a buy order is created, false if it fails.
         """
         time_in_force = self.strategy.order_time_in_force['entry']
@@ -666,16 +665,6 @@ def execute_entry(
             amount = safe_value_fallback(order, 'filled', 'amount')
             enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
 
-        # TODO: this might be unnecessary, as we're calling it in update_trade_state.
-        isolated_liq = self.exchange.get_liquidation_price(
-            leverage=leverage,
-            pair=pair,
-            amount=amount,
-            open_rate=enter_limit_filled_price,
-            is_short=is_short
-        )
-        interest_rate = self.exchange.get_interest_rate()
-
         # Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
         fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
         base_currency = self.exchange.get_pair_base_currency(pair)
@@ -704,8 +693,6 @@ def execute_entry(
                 timeframe=timeframe_to_minutes(self.config['timeframe']),
                 leverage=leverage,
                 is_short=is_short,
-                interest_rate=interest_rate,
-                liquidation_price=isolated_liq,
                 trading_mode=self.trading_mode,
                 funding_fees=funding_fees
             )
@@ -1375,7 +1362,8 @@ def execute_trade_exit(
                                                   default_retval=proposed_limit_rate)(
             pair=trade.pair, trade=trade,
             current_time=datetime.now(timezone.utc),
-            proposed_rate=proposed_limit_rate, current_profit=current_profit)
+            proposed_rate=proposed_limit_rate, current_profit=current_profit,
+            exit_tag=exit_check.exit_reason)
 
         limit = self.get_valid_price(custom_exit_price, proposed_limit_rate)
 

freqtrade/misc.py

@@ -2,13 +2,11 @@
 Various tool function for Freqtrade and scripts
 """
 import gzip
-import hashlib
 import logging
 import re
-from copy import deepcopy
 from datetime import datetime
 from pathlib import Path
-from typing import Any, Iterator, List, Union
+from typing import Any, Iterator, List
 from typing.io import IO
 from urllib.parse import urlparse
 
@@ -251,34 +249,3 @@ def parse_db_uri_for_logging(uri: str):
         return uri
     pwd = parsed_db_uri.netloc.split(':')[1].split('@')[0]
     return parsed_db_uri.geturl().replace(f':{pwd}@', ':*****@')
-
-
-def get_strategy_run_id(strategy) -> str:
-    """
-    Generate unique identification hash for a backtest run. Identical config and strategy file will
-    always return an identical hash.
-    :param strategy: strategy object.
-    :return: hex string id.
-    """
-    digest = hashlib.sha1()
-    config = deepcopy(strategy.config)
-
-    # Options that have no impact on results of individual backtest.
-    not_important_keys = ('strategy_list', 'original_config', 'telegram', 'api_server')
-    for k in not_important_keys:
-        if k in config:
-            del config[k]
-
-    # Explicitly allow NaN values (e.g. max_open_trades).
-    # as it does not matter for getting the hash.
-    digest.update(rapidjson.dumps(config, default=str,
-                                  number_mode=rapidjson.NM_NAN).encode('utf-8'))
-    with open(strategy.__file__, 'rb') as fp:
-        digest.update(fp.read())
-    return digest.hexdigest().lower()
-
-
-def get_backtest_metadata_filename(filename: Union[Path, str]) -> Path:
-    """Return metadata filename for specified backtest results file."""
-    filename = Path(filename)
-    return filename.parent / Path(f'{filename.stem}.meta{filename.suffix}')

freqtrade/optimize/backtest_caching.py

@@ -0,0 +1,40 @@
+import hashlib
+from copy import deepcopy
+from pathlib import Path
+from typing import Union
+
+import rapidjson
+
+
+def get_strategy_run_id(strategy) -> str:
+    """
+    Generate unique identification hash for a backtest run. Identical config and strategy file will
+    always return an identical hash.
+    :param strategy: strategy object.
+    :return: hex string id.
+    """
+    digest = hashlib.sha1()
+    config = deepcopy(strategy.config)
+
+    # Options that have no impact on results of individual backtest.
+    not_important_keys = ('strategy_list', 'original_config', 'telegram', 'api_server')
+    for k in not_important_keys:
+        if k in config:
+            del config[k]
+
+    # Explicitly allow NaN values (e.g. max_open_trades).
+    # as it does not matter for getting the hash.
+    digest.update(rapidjson.dumps(config, default=str,
+                                  number_mode=rapidjson.NM_NAN).encode('utf-8'))
+    # Include _ft_params_from_file - so changing parameter files cause cache eviction
+    digest.update(rapidjson.dumps(
+        strategy._ft_params_from_file, default=str, number_mode=rapidjson.NM_NAN).encode('utf-8'))
+    with open(strategy.__file__, 'rb') as fp:
+        digest.update(fp.read())
+    return digest.hexdigest().lower()
+
+
+def get_backtest_metadata_filename(filename: Union[Path, str]) -> Path:
+    """Return metadata filename for specified backtest results file."""
+    filename = Path(filename)
+    return filename.parent / Path(f'{filename.stem}.meta{filename.suffix}')