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trigger above parsing #1409

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merged 3 commits into from
Jan 8, 2025
Merged

trigger above parsing #1409

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46dc827
[Exchanges] fix market & limit stop loss / tp parsing
GuillaumeDSM Jan 8, 2025
baf7ee9
[SignalTradingMode] handle trigger above
GuillaumeDSM Jan 8, 2025
7e74fa6
[Exchanges] add EXCHANGE_ORDER_UNCANCELLABLE_ERRORS
GuillaumeDSM Jan 8, 2025
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49 changes: 38 additions & 11 deletions Trading/Exchange/binance/binance_exchange.py
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Original file line number Diff line number Diff line change
Expand Up @@ -90,6 +90,10 @@ class Binance(exchanges.RestExchange):
# binance {"code":-2021,"msg":"Order would immediately trigger."}
("order would immediately trigger", )
]
# text content of errors due to an order that can't be cancelled on exchange (because filled or already cancelled)
EXCHANGE_ORDER_UNCANCELLABLE_ERRORS: typing.List[typing.Iterable[str]] = [
('Unknown order sent', )
]

BUY_STR = "BUY"
SELL_STR = "SELL"
Expand Down Expand Up @@ -274,8 +278,14 @@ async def set_symbol_margin_type(self, symbol: str, isolated: bool, **kwargs: di


class BinanceCCXTAdapter(exchanges.CCXTAdapter):
STOP_MARKET = 'stop_market'
STOP_ORDERS = [STOP_MARKET]
STOP_ORDERS = [
"stop_market", "stop", # futures
"stop_loss", "stop_loss_limit" # spot
]
TAKE_PROFITS_ORDERS = [
"take_profit_market", "take_profit_limit", # futures
"take_profit" # spot
]
BINANCE_DEFAULT_FUNDING_TIME = 8 * commons_constants.HOURS_TO_SECONDS

def fix_order(self, raw, symbol=None, **kwargs):
Expand All @@ -287,15 +297,32 @@ def fix_order(self, raw, symbol=None, **kwargs):
return fixed

def _adapt_order_type(self, fixed):
if fixed.get(ccxt_enums.ExchangeOrderCCXTColumns.TYPE.value, None) in self.STOP_ORDERS:
stop_price = fixed.get(ccxt_enums.ExchangeOrderCCXTColumns.STOP_PRICE.value, None)
updated_type = trading_enums.TradeOrderType.UNKNOWN.value
if stop_price is not None:
updated_type = trading_enums.TradeOrderType.STOP_LOSS.value
else:
self.logger.error(f"Unknown order type, order: {fixed}")
# stop loss and take profits are not tagged as such by ccxt, force it
fixed[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = updated_type
if order_type := fixed.get(ccxt_enums.ExchangeOrderCCXTColumns.TYPE.value, None):
is_stop = order_type.lower() in self.STOP_ORDERS
is_tp = order_type.lower() in self.TAKE_PROFITS_ORDERS
if is_stop or is_tp:
stop_price = fixed.get(ccxt_enums.ExchangeOrderCCXTColumns.STOP_PRICE.value, None)
selling = (
fixed.get(ccxt_enums.ExchangeOrderCCXTColumns.SIDE.value, None)
== trading_enums.TradeOrderSide.SELL.value
)
updated_type = trading_enums.TradeOrderType.UNKNOWN.value
trigger_above = False
if is_stop:
updated_type = trading_enums.TradeOrderType.STOP_LOSS.value
trigger_above = not selling # sell stop loss triggers when price is lower than target
if is_tp:
# updated_type = trading_enums.TradeOrderType.TAKE_PROFIT.value
# take profits are not yet handled as such: consider them as limit orders
updated_type = trading_enums.TradeOrderType.LIMIT.value # waiting for TP handling
if not fixed[trading_enums.ExchangeConstantsOrderColumns.PRICE.value]:
fixed[trading_enums.ExchangeConstantsOrderColumns.PRICE.value] = stop_price # waiting for TP handling
trigger_above = selling # sell take profit triggers when price is higher than target
else:
self.logger.error(f"Unknown order type, order: {fixed}")
# stop loss and take profits are not tagged as such by ccxt, force it
fixed[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = updated_type
fixed[trading_enums.ExchangeConstantsOrderColumns.TRIGGER_ABOVE.value] = trigger_above
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👍

return fixed

def fix_trades(self, raw, **kwargs):
Expand Down
36 changes: 31 additions & 5 deletions Trading/Exchange/bingx/bingx_exchange.py
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Original file line number Diff line number Diff line change
Expand Up @@ -30,12 +30,19 @@ class Bingx(exchanges.RestExchange):
# bingx {"code":100404,"msg":"the order you want to cancel is FILLED or CANCELLED already, or is not a valid
# order id ,please verify","debugMsg":""}
("the order you want to cancel is filled or cancelled already", ),
# bingx {"code":100404,"msg":"the order is FILLED or CANCELLED already before, or is not a valid
# order id ,please verify","debugMsg":""}
("the order is filled or cancelled already before", ),
]
# text content of errors due to unhandled authentication issues
EXCHANGE_AUTHENTICATION_ERRORS: typing.List[typing.Iterable[str]] = [
# 'bingx {'code': '100413', 'msg': 'Incorrect apiKey', 'timestamp': '1725195218082'}'
("incorrect apikey",),
]
# text content of errors due to an order that can't be cancelled on exchange (because filled or already cancelled)
EXCHANGE_ORDER_UNCANCELLABLE_ERRORS: typing.List[typing.Iterable[str]] = [
('the order is filled or cancelled', )
]

# Set True when get_open_order() can return outdated orders (cancelled or not yet created)
CAN_HAVE_DELAYED_CANCELLED_ORDERS = True
Expand Down Expand Up @@ -117,17 +124,36 @@ def _update_stop_order_or_trade_type_and_price(self, order_or_trade: dict):
trading_enums.ExchangeConstantsOrderColumns.PRICE.value
)
)
is_selling = (
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.SIDE.value]
== trading_enums.TradeOrderSide.SELL.value
)
stop_price = float(stop_price)
# use stop price as order price to parse it properly
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.PRICE.value] = stop_price
# type is TAKE_STOP_LIMIT (not unified)
if order_or_trade.get(trading_enums.ExchangeConstantsOrderColumns.TYPE.value) not in (
trading_enums.TradeOrderType.STOP_LOSS.value, trading_enums.TradeOrderType.TAKE_PROFIT.value
):
if order_or_trade.get(trading_enums.ExchangeConstantsOrderColumns.TYPE.value) == "take_stop_limit":
# unsupported: no way to figure out if this order is a stop loss or a take profit
# (trigger above or bellow)
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = (
trading_enums.TradeOrderType.UNSUPPORTED.value)
self.logger.info(f"Unsupported order fetched: {order_or_trade}")
else:
if stop_price <= order_creation_price:
order_type = trading_enums.TradeOrderType.STOP_LOSS.value
trigger_above = False
if is_selling:
order_type = trading_enums.TradeOrderType.STOP_LOSS.value
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.STOP_PRICE.value] = stop_price
else:
order_type = trading_enums.TradeOrderType.LIMIT.value
else:
order_type = trading_enums.TradeOrderType.TAKE_PROFIT.value
trigger_above = True
if is_selling:
order_type = trading_enums.TradeOrderType.LIMIT.value
else:
order_type = trading_enums.TradeOrderType.STOP_LOSS.value
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.STOP_PRICE.value] = stop_price
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.TRIGGER_ABOVE.value] = trigger_above
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = order_type

def fix_order(self, raw, **kwargs):
Expand Down
36 changes: 33 additions & 3 deletions Trading/Exchange/coinbase/coinbase_exchange.py
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Original file line number Diff line number Diff line change
Expand Up @@ -125,6 +125,10 @@ class Coinbase(exchanges.RestExchange):
EXCHANGE_MISSING_FUNDS_ERRORS: typing.List[typing.Iterable[str]] = [
("insufficient balance in source account", )
]
# text content of errors due to an order that can't be cancelled on exchange (because filled or already cancelled)
EXCHANGE_ORDER_UNCANCELLABLE_ERRORS: typing.List[typing.Iterable[str]] = [
('cancelorders() has failed, check your arguments and parameters', )
]

# should be overridden locally to match exchange support
SUPPORTED_ELEMENTS = {
Expand Down Expand Up @@ -375,9 +379,35 @@ def _update_stop_order_or_trade_type_and_price(self, order_or_trade: dict):
trading_enums.TradeOrderType.STOP_LOSS.value, trading_enums.TradeOrderType.TAKE_PROFIT.value
):
# Force stop loss. Add order direction parsing logic to handle take profits if necessary
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = (
trading_enums.TradeOrderType.STOP_LOSS.value # simulate market stop loss
)
order_type = trading_enums.TradeOrderType.STOP_LOSS.value
trigger_above = False
try:
order_config = order_or_trade.get(ccxt_constants.CCXT_INFO, {}).get("order_configuration", {})
stop_config = order_config.get("stop_limit_stop_limit_gtc") or order_config.get("stop_limit_stop_limit_gtd")
stop_direction = stop_config.get("stop_direction", "")
if "down" in stop_direction.lower():
trigger_above = False
elif "up" in stop_direction.lower():
trigger_above = True
else:
self.logger.error(f"Unknown order direction: {stop_direction} ({order_or_trade})")
side = order_or_trade[trading_enums.ExchangeConstantsOrderColumns.SIDE.value]
if side == trading_enums.TradeOrderSide.SELL.value:
if trigger_above:
# take profits are not yet handled as such: consider them as limit orders
order_type = trading_enums.TradeOrderType.LIMIT.value # waiting for TP handling
else:
order_type = trading_enums.TradeOrderType.STOP_LOSS.value
elif side == trading_enums.TradeOrderSide.BUY.value:
if trigger_above:
order_type = trading_enums.TradeOrderType.STOP_LOSS.value
else:
# take profits are not yet handled as such: consider them as limit orders
order_type = trading_enums.TradeOrderType.LIMIT.value # waiting for TP handling
except (KeyError, TypeError) as err:
self.logger.error(f"missing expected coinbase order config: {err}, {order_or_trade}")
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = order_type
order_or_trade[trading_enums.ExchangeConstantsOrderColumns.TRIGGER_ABOVE.value] = trigger_above

def fix_order(self, raw, **kwargs):
"""
Expand Down
33 changes: 27 additions & 6 deletions Trading/Exchange/kucoin/kucoin_exchange.py
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Original file line number Diff line number Diff line change
Expand Up @@ -140,6 +140,11 @@ class Kucoin(exchanges.RestExchange):
EXCHANGE_ORDER_IMMEDIATELY_TRIGGER_ERRORS: typing.List[typing.Iterable[str]] = [
# doesn't seem to happen on kucoin
]
# text content of errors due to an order that can't be cancelled on exchange (because filled or already cancelled)
EXCHANGE_ORDER_UNCANCELLABLE_ERRORS: typing.List[typing.Iterable[str]] = [
('order cannot be canceled', ),
('order_not_exist_or_not_allow_to_cancel', )
]

DEFAULT_BALANCE_CURRENCIES_TO_FETCH = ["USDT"]

Expand Down Expand Up @@ -511,18 +516,34 @@ def _adapt_order_type(self, fixed):
up: Triggers when the price reaches or goes above the stopPrice.
"""
side = fixed.get(trading_enums.ExchangeConstantsOrderColumns.SIDE.value)
trigger_above = False
if trigger_direction in ("up", "loss"):
trigger_above = True
elif trigger_direction in ("down", "loss"):
trigger_above = False
else:
self.logger.error(f"Unknown trigger direction {trigger_direction} ({fixed})")
stop_price = fixed.get(ccxt_enums.ExchangeOrderCCXTColumns.STOP_PRICE.value, None)
if side == trading_enums.TradeOrderSide.BUY.value:
if trigger_direction in ("up", "loss"):
if trigger_above:
updated_type = trading_enums.TradeOrderType.STOP_LOSS.value
elif trigger_direction in ("down", "entry"):
updated_type = trading_enums.TradeOrderType.TAKE_PROFIT.value
else:
# take profits are not yet handled as such: consider them as limit orders
updated_type = trading_enums.TradeOrderType.LIMIT.value # waiting for TP handling
if not fixed[trading_enums.ExchangeConstantsOrderColumns.PRICE.value]:
fixed[trading_enums.ExchangeConstantsOrderColumns.PRICE.value] = stop_price # waiting for TP handling
else:
if trigger_direction in ("up", "entry"):
updated_type = trading_enums.TradeOrderType.TAKE_PROFIT.value
elif trigger_direction in ("down", "loss"):
# selling
if trigger_above:
# take profits are not yet handled as such: consider them as limit orders
updated_type = trading_enums.TradeOrderType.LIMIT.value # waiting for TP handling
if not fixed[trading_enums.ExchangeConstantsOrderColumns.PRICE.value]:
fixed[trading_enums.ExchangeConstantsOrderColumns.PRICE.value] = stop_price # waiting for TP handling
else:
updated_type = trading_enums.TradeOrderType.STOP_LOSS.value
# stop loss are not tagged as such by ccxt, force it
fixed[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = updated_type
fixed[trading_enums.ExchangeConstantsOrderColumns.TRIGGER_ABOVE.value] = trigger_above
return fixed

def parse_funding_rate(self, fixed, from_ticker=False, **kwargs):
Expand Down
11 changes: 7 additions & 4 deletions Trading/Mode/remote_trading_signals_trading_mode/remote_trading_signals_trading.py
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Original file line number Diff line number Diff line change
Expand Up @@ -374,13 +374,15 @@ async def _create_order(self, order_description, symbol, created_groups, fees_cu
or order_description[trading_enums.TradingSignalOrdersAttrs.LIMIT_PRICE.value]
adapted_price = personal_data.decimal_adapt_price(symbol_market, decimal.Decimal(f"{price}"))
order_type = trading_enums.TraderOrderType(
order_description[trading_enums.TradingSignalOrdersAttrs.TYPE.value]
)
order_description[trading_enums.TradingSignalOrdersAttrs.TYPE.value]
)
if order_type in (trading_enums.TraderOrderType.BUY_MARKET, trading_enums.TraderOrderType.SELL_MARKET):
# side param is not supported for these orders
side = None
associated_entries = order_description.get(trading_enums.TradingSignalOrdersAttrs.ASSOCIATED_ORDER_IDS.value,
None)
associated_entries = order_description.get(
trading_enums.TradingSignalOrdersAttrs.ASSOCIATED_ORDER_IDS.value, None
)
trigger_above = order_description.get(trading_enums.TradingSignalOrdersAttrs.TRIGGER_ABOVE.value, None)
order = personal_data.create_order_instance(
trader=self.exchange_manager.trader,
order_type=order_type,
Expand All @@ -389,6 +391,7 @@ async def _create_order(self, order_description, symbol, created_groups, fees_cu
quantity=adapted_quantity,
price=adapted_price,
side=side,
trigger_above=trigger_above,
tag=order_description[trading_enums.TradingSignalOrdersAttrs.TAG.value],
order_id=order_description[trading_enums.TradingSignalOrdersAttrs.ORDER_ID.value],
group=group,
Expand Down
43 changes: 43 additions & 0 deletions Trading/Mode/remote_trading_signals_trading_mode/tests/__init__.py
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Original file line number Diff line number Diff line change
Expand Up @@ -132,6 +132,7 @@ def mocked_sell_limit_signal():
trading_enums.TradingSignalOrdersAttrs.CURRENT_PRICE.value: 1000.69,
trading_enums.TradingSignalOrdersAttrs.UPDATED_CURRENT_PRICE.value: 0.0,
trading_enums.TradingSignalOrdersAttrs.REDUCE_ONLY.value: True,
trading_enums.TradingSignalOrdersAttrs.TRIGGER_ABOVE.value: True,
trading_enums.TradingSignalOrdersAttrs.POST_ONLY.value: False,
trading_enums.TradingSignalOrdersAttrs.GROUP_ID.value: "46a0b2de-5b8f-4a39-89a0-137504f83dfc",
trading_enums.TradingSignalOrdersAttrs.GROUP_TYPE.value:
Expand Down Expand Up @@ -278,6 +279,48 @@ def mocked_bundle_stop_loss_in_sell_limit_in_market_signal(mocked_sell_limit_sig
return mocked_buy_market_signal


@pytest.fixture
def mocked_bundle_trigger_above_stop_loss_in_sell_limit_in_market_signal(mocked_sell_limit_signal, mocked_buy_market_signal):
mocked_sell_limit_signal.content[trading_enums.TradingSignalOrdersAttrs.ADDITIONAL_ORDERS.value].append(
{
trading_enums.TradingSignalCommonsAttrs.ACTION.value: trading_enums.TradingSignalOrdersActions.CREATE.value,
trading_enums.TradingSignalOrdersAttrs.SYMBOL.value: "BTC/USDT:USDT",
trading_enums.TradingSignalOrdersAttrs.EXCHANGE.value: "bybit",
trading_enums.TradingSignalOrdersAttrs.EXCHANGE_TYPE.value: trading_enums.ExchangeTypes.SPOT.value,
trading_enums.TradingSignalOrdersAttrs.SIDE.value: trading_enums.TradeOrderSide.SELL.value,
trading_enums.TradingSignalOrdersAttrs.TYPE.value: trading_enums.TraderOrderType.STOP_LOSS.value,
trading_enums.TradingSignalOrdersAttrs.QUANTITY.value: 0.004,
trading_enums.TradingSignalOrdersAttrs.TARGET_AMOUNT.value: "5.356892%",
trading_enums.TradingSignalOrdersAttrs.TARGET_POSITION.value: 0,
trading_enums.TradingSignalOrdersAttrs.UPDATED_TARGET_AMOUNT.value: None,
trading_enums.TradingSignalOrdersAttrs.UPDATED_TARGET_POSITION.value: None,
trading_enums.TradingSignalOrdersAttrs.LIMIT_PRICE.value: 999999990.0,
trading_enums.TradingSignalOrdersAttrs.UPDATED_LIMIT_PRICE.value: 0.0,
trading_enums.TradingSignalOrdersAttrs.STOP_PRICE.value: 0.0,
trading_enums.TradingSignalOrdersAttrs.UPDATED_STOP_PRICE.value: 0.0,
trading_enums.TradingSignalOrdersAttrs.CURRENT_PRICE.value: 1000.69,
trading_enums.TradingSignalOrdersAttrs.UPDATED_CURRENT_PRICE.value: 0.0,
trading_enums.TradingSignalOrdersAttrs.REDUCE_ONLY.value: True,
trading_enums.TradingSignalOrdersAttrs.TRIGGER_ABOVE.value: True,
trading_enums.TradingSignalOrdersAttrs.POST_ONLY.value: False,
trading_enums.TradingSignalOrdersAttrs.GROUP_ID.value: "46a0b2de-5b8f-4a39-89a0-137504f83dfc",
trading_enums.TradingSignalOrdersAttrs.GROUP_TYPE.value:
trading_personal_data.BalancedTakeProfitAndStopOrderGroup.__name__,
trading_enums.TradingSignalOrdersAttrs.TAG.value: "managed_order long exit (id: 143968020)",
trading_enums.TradingSignalOrdersAttrs.ORDER_ID.value: "5ad2a999-5ac2-47f0-9b69-c75a36f3858a",
trading_enums.TradingSignalOrdersAttrs.BUNDLED_WITH.value: "adc24701-573b-40dd-b6c9-3666cd22f33e",
trading_enums.TradingSignalOrdersAttrs.CHAINED_TO.value: "adc24701-573b-40dd-b6c9-3666cd22f33e",
trading_enums.TradingSignalOrdersAttrs.ADDITIONAL_ORDERS.value: [],
trading_enums.TradingSignalOrdersAttrs.ASSOCIATED_ORDER_IDS.value: None,
trading_enums.TradingSignalOrdersAttrs.UPDATE_WITH_TRIGGERING_ORDER_FEES.value: False,
}
)
mocked_buy_market_signal.content[trading_enums.TradingSignalOrdersAttrs.ADDITIONAL_ORDERS.value].append(
mocked_sell_limit_signal.content
)
return mocked_buy_market_signal


@pytest.fixture
def mocked_buy_market_signal():
return signals.Signal(
Expand Down
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