Merge pull request #1397 from Drakkar-Software/dev

Dev merge

Meta/Keywords/scripting_library/orders/position_size/amount.py

@@ -31,28 +31,15 @@ async def get_amount(
     unknown_portfolio_on_creation=False,
     target_price=None
 ):
-    try:
-        amount_value = await script_keywords.get_amount_from_input_amount(
-            context=context,
-            input_amount=input_amount,
-            side=side,
-            reduce_only=reduce_only,
-            is_stop_order=is_stop_order,
-            use_total_holding=use_total_holding,
-            target_price=target_price
-        )
-    except NotImplementedError:
-        amount_type, amount_value = script_keywords.parse_quantity(input_amount)
-        if amount_type is script_keywords.QuantityType.POSITION_PERCENT:  # todo handle existing open short position
-            amount_value = \
-                exchange_private_data.open_position_size(context, side,
-                                                         amount_type=commons_constants.PORTFOLIO_AVAILABLE) \
-                * amount_value / 100
-        else:
-            raise trading_errors.InvalidArgumentError("make sure to use a supported syntax for amount")
-        return await script_keywords.adapt_amount_to_holdings(context, amount_value, side,
-                                                              use_total_holding, reduce_only, is_stop_order,
-                                                              target_price=target_price)
+    amount_value = await script_keywords.get_amount_from_input_amount(
+        context=context,
+        input_amount=input_amount,
+        side=side,
+        reduce_only=reduce_only,
+        is_stop_order=is_stop_order,
+        use_total_holding=use_total_holding,
+        target_price=target_price
+    )
     if unknown_portfolio_on_creation:
         # no way to check if the amount is valid when creating order
         _, amount_value = script_keywords.parse_quantity(input_amount)

Meta/Keywords/scripting_library/tests/orders/order_types/test_multiple_orders_creation.py

@@ -24,6 +24,7 @@
 import octobot_trading.personal_data.orders.order_util as order_util
 import octobot_trading.api as api
 import octobot_trading.errors as errors
+import octobot_trading.enums as trading_enums
 import octobot_trading.constants as trading_constants
 import tentacles.Meta.Keywords.scripting_library as scripting_library
 
@@ -102,6 +103,13 @@ async def test_orders_with_invalid_values(mock_context, skip_if_octobot_trading_
 @pytest.mark.parametrize("backtesting_config", ["USDT"], indirect=["backtesting_config"])
 async def test_orders_amount_then_position_sequence(mock_context):
     initial_usdt_holdings, btc_price = await _usdt_trading_context(mock_context)
+    mock_context.exchange_manager.is_future = True
+    api.load_pair_contract(
+        mock_context.exchange_manager,
+        api.create_default_future_contract(
+            mock_context.symbol, decimal.Decimal(1), trading_enums.FutureContractType.LINEAR_PERPETUAL
+        ).to_dict()
+    )
 
     if os.getenv('CYTHON_IGNORE'):
         return
@@ -193,7 +201,7 @@ async def test_concurrent_orders(mock_context):
 
         # create 3 sell orders (at price = 500 + 10 = 510)
         # that would end up selling more than what we have if not executed sequentially
-        # 1st order is 80% of position, second is 80% of the remaining 20% and so on
+        # 1st order is 80% of available btc, second is 80% of the remaining 20% and so on
 
         orders = []
         async def create_order(amount):
@@ -207,13 +215,13 @@ async def create_order(amount):
             )
         await asyncio.gather(
             *(
-                create_order("80%p")
+                create_order("80%a")
                 for _ in range(3)
             )
         )
 
         initial_btc_holdings = btc_val
-        btc_val = initial_btc_holdings * decimal.Decimal("0.2") ** 3  # 0.16
+        btc_val = initial_btc_holdings * (decimal.Decimal("0.2") ** 3)
         usdt_val = usdt_val + (initial_btc_holdings - btc_val) * (btc_price + 10)   # 50118.40
         await _fill_and_check(mock_context, btc_val, usdt_val, orders, orders_count=3)
 

Trading/Exchange/binance/binance_exchange.py

@@ -59,7 +59,7 @@ class Binance(exchanges.RestExchange):
         trading_enums.ExchangeTypes.SPOT.value: {
             # order that should be self-managed by OctoBot
             trading_enums.ExchangeSupportedElements.UNSUPPORTED_ORDERS.value: [
-                trading_enums.TraderOrderType.STOP_LOSS,
+                # trading_enums.TraderOrderType.STOP_LOSS,    # supported on spot
                 trading_enums.TraderOrderType.STOP_LOSS_LIMIT,
                 trading_enums.TraderOrderType.TAKE_PROFIT,
                 trading_enums.TraderOrderType.TAKE_PROFIT_LIMIT,
@@ -102,13 +102,17 @@ def get_adapter_class(self):
         return BinanceCCXTAdapter
 
     async def get_account_id(self, **kwargs: dict) -> str:
-        raw_balance = await self.connector.client.fetch_balance()
         try:
-            return raw_balance[ccxt_constants.CCXT_INFO]["uid"]
-        except KeyError:
             if self.exchange_manager.is_future:
-                raise NotImplementedError("get_account_id is not implemented on binance futures account")
-            # should not happen in spot
+                raw_binance_balance = await self.connector.client.fapiPrivateV3GetBalance()
+                # accountAlias = unique account code
+                # from https://binance-docs.github.io/apidocs/futures/en/#futures-account-balance-v3-user_data
+                return raw_binance_balance[0]["accountAlias"]
+            else:
+                raw_balance = await self.connector.client.fetch_balance()
+                return raw_balance[ccxt_constants.CCXT_INFO]["uid"]
+        except (KeyError, IndexError):
+            # should not happen
             raise
 
     def _infer_account_types(self, exchange_manager):
@@ -157,6 +161,18 @@ def get_additional_connector_config(self):
         }
         return config
 
+    def is_authenticated_request(self, url: str, method: str, headers: dict, body) -> bool:
+        signature_identifier = "signature="
+        return bool(
+            (
+                url
+                and signature_identifier in url # for GET & DELETE requests
+            ) or (
+                body
+                and signature_identifier in body # for other requests
+            )
+        )
+
     async def get_balance(self, **kwargs: dict):
         if self.exchange_manager.is_future:
             balance = []
@@ -193,17 +209,15 @@ async def set_symbol_partial_take_profit_stop_loss(self, symbol: str, inverse: b
         """
 
     async def _create_market_stop_loss_order(self, symbol, quantity, price, side, current_price, params=None) -> dict:
-        if self.exchange_manager.is_future:
-            params = params or {}
-            params["stopLossPrice"] = price  # make ccxt understand that it's a stop loss
-            order = self.connector.adapter.adapt_order(
-                await self.connector.client.create_order(
-                    symbol, trading_enums.TradeOrderType.MARKET.value, side, quantity, params=params
-                ),
-                symbol=symbol, quantity=quantity
-            )
-            return order
-        return await super()._create_market_stop_loss_order(symbol, quantity, price, side, current_price, params=params)
+        params = params or {}
+        params["stopLossPrice"] = price  # make ccxt understand that it's a stop loss
+        order = self.connector.adapter.adapt_order(
+            await self.connector.client.create_order(
+                symbol, trading_enums.TradeOrderType.MARKET.value, side, quantity, params=params
+            ),
+            symbol=symbol, quantity=quantity
+        )
+        return order
 
     async def get_positions(self, symbols=None, **kwargs: dict) -> list:
         positions = []
@@ -237,7 +251,7 @@ async def set_symbol_margin_type(self, symbol: str, isolated: bool, **kwargs: di
         :return: the update result
         """
         try:
-            return await super(). set_symbol_margin_type(symbol, isolated, **kwargs)
+            return await super().set_symbol_margin_type(symbol, isolated, **kwargs)
         except ccxt.ExchangeError as err:
             raise errors.NotSupported() from err
 
@@ -275,19 +289,7 @@ def fix_trades(self, raw, **kwargs):
 
     def parse_position(self, fixed, force_empty=False, **kwargs):
         try:
-            parsed = super().parse_position(fixed, force_empty=force_empty, **kwargs)
-            parsed[trading_enums.ExchangeConstantsPositionColumns.MARGIN_TYPE.value] = \
-                trading_enums.MarginType(
-                    fixed.get(ccxt_enums.ExchangePositionCCXTColumns.MARGIN_MODE.value)
-                )
-            # use one way by default.
-            if parsed[trading_enums.ExchangeConstantsPositionColumns.POSITION_MODE.value] is None:
-                parsed[trading_enums.ExchangeConstantsPositionColumns.POSITION_MODE.value] = (
-                    trading_enums.PositionMode.HEDGE if fixed.get(ccxt_enums.ExchangePositionCCXTColumns.HEDGED.value,
-                                                                  True)
-                    else trading_enums.PositionMode.ONE_WAY
-                )
-            return parsed
+            return super().parse_position(fixed, force_empty=force_empty, **kwargs)
         except decimal.InvalidOperation:
             # on binance, positions might be invalid (ex: LUNAUSD_PERP as None contact size)
             return None

Trading/Exchange/bingx/bingx_exchange.py

@@ -40,6 +40,37 @@ class Bingx(exchanges.RestExchange):
     # Set True when get_open_order() can return outdated orders (cancelled or not yet created)
     CAN_HAVE_DELAYED_CANCELLED_ORDERS = True
 
+    # should be overridden locally to match exchange support
+    SUPPORTED_ELEMENTS = {
+        trading_enums.ExchangeTypes.FUTURE.value: {
+            # order that should be self-managed by OctoBot
+            trading_enums.ExchangeSupportedElements.UNSUPPORTED_ORDERS.value: [
+                trading_enums.TraderOrderType.STOP_LOSS,
+                trading_enums.TraderOrderType.STOP_LOSS_LIMIT,
+                trading_enums.TraderOrderType.TAKE_PROFIT,
+                trading_enums.TraderOrderType.TAKE_PROFIT_LIMIT,
+                trading_enums.TraderOrderType.TRAILING_STOP,
+                trading_enums.TraderOrderType.TRAILING_STOP_LIMIT
+            ],
+            # order that can be bundled together to create them all in one request
+            # not supported or need custom mechanics with batch orders
+            trading_enums.ExchangeSupportedElements.SUPPORTED_BUNDLED_ORDERS.value: {},
+        },
+        trading_enums.ExchangeTypes.SPOT.value: {
+            # order that should be self-managed by OctoBot
+            trading_enums.ExchangeSupportedElements.UNSUPPORTED_ORDERS.value: [
+                # trading_enums.TraderOrderType.STOP_LOSS,    # supported on spot
+                trading_enums.TraderOrderType.STOP_LOSS_LIMIT,
+                trading_enums.TraderOrderType.TAKE_PROFIT,
+                trading_enums.TraderOrderType.TAKE_PROFIT_LIMIT,
+                trading_enums.TraderOrderType.TRAILING_STOP,
+                trading_enums.TraderOrderType.TRAILING_STOP_LIMIT
+            ],
+            # order that can be bundled together to create them all in one request
+            trading_enums.ExchangeSupportedElements.SUPPORTED_BUNDLED_ORDERS.value: {},
+        }
+    }
+
     def get_adapter_class(self):
         return BingxCCXTAdapter
 
@@ -57,18 +88,64 @@ async def get_my_recent_trades(self, symbol=None, since=None, limit=None, **kwar
             return await super().get_my_recent_trades(symbol=symbol, since=since, limit=limit, **kwargs)
         return await super().get_closed_orders(symbol=symbol, since=since, limit=limit, **kwargs)
 
+    def is_authenticated_request(self, url: str, method: str, headers: dict, body) -> bool:
+        signature_identifier = "signature="
+        return bool(
+            url
+            and signature_identifier in url
+        )
+
+    async def _create_market_stop_loss_order(self, symbol, quantity, price, side, current_price, params=None) -> dict:
+        params = params or {}
+        params["stopLossPrice"] = price  # make ccxt understand that it's a stop loss
+        order = self.connector.adapter.adapt_order(
+            await self.connector.client.create_order(
+                symbol, trading_enums.TradeOrderType.MARKET.value, side, quantity, params=params
+            ),
+            symbol=symbol, quantity=quantity
+        )
+        return order
 
 class BingxCCXTAdapter(exchanges.CCXTAdapter):
 
+    def _update_stop_order_or_trade_type_and_price(self, order_or_trade: dict):
+        info = order_or_trade.get(ccxt_constants.CCXT_INFO, {})
+        if stop_price := order_or_trade.get(trading_enums.ExchangeConstantsOrderColumns.STOP_LOSS_PRICE.value):
+            # from https://bingx-api.github.io/docs/#/en-us/spot/trade-api.html#Current%20Open%20Orders
+            order_creation_price = float(
+                info.get("price") or order_or_trade.get(
+                    trading_enums.ExchangeConstantsOrderColumns.PRICE.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 stop_price <= order_creation_price:
+                     order_type = trading_enums.TradeOrderType.STOP_LOSS.value
+                else:
+                    order_type = trading_enums.TradeOrderType.TAKE_PROFIT.value
+                order_or_trade[trading_enums.ExchangeConstantsOrderColumns.TYPE.value] = order_type
+
     def fix_order(self, raw, **kwargs):
         fixed = super().fix_order(raw, **kwargs)
+        self._update_stop_order_or_trade_type_and_price(fixed)
         try:
             info = fixed[ccxt_constants.CCXT_INFO]
             fixed[trading_enums.ExchangeConstantsOrderColumns.EXCHANGE_ID.value] = info["orderId"]
         except KeyError:
             pass
         return fixed
 
+    def fix_trades(self, raw, **kwargs):
+        fixed = super().fix_trades(raw, **kwargs)
+        for trade in fixed:
+            self._update_stop_order_or_trade_type_and_price(trade)
+        return fixed
+
     def fix_market_status(self, raw, remove_price_limits=False, **kwargs):
         fixed = super().fix_market_status(raw, remove_price_limits=remove_price_limits, **kwargs)
         if not fixed: