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Reduce limit order cross threshold

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Matthias
2023-09-02 10:37:57 +02:00
parent 28c62724df
commit a87404b5a8
2 changed files with 3 additions and 2 deletions
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docs/configuration.md
+1
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@@ -613,6 +613,7 @@ Once you will be happy with your bot performance running in the Dry-run mode, yo
* Orders are simulated, and will not be posted to the exchange. * Orders are simulated, and will not be posted to the exchange.
* Market orders fill based on orderbook volume the moment the order is placed. * Market orders fill based on orderbook volume the moment the order is placed.
* Limit orders fill once the price reaches the defined level - or time out based on `unfilledtimeout` settings. * Limit orders fill once the price reaches the defined level - or time out based on `unfilledtimeout` settings.
* Limit orders will be converted to market orders if they cross the price by more than 1%.
* In combination with `stoploss_on_exchange`, the stop_loss price is assumed to be filled. * In combination with `stoploss_on_exchange`, the stop_loss price is assumed to be filled.
* Open orders (not trades, which are stored in the database) are kept open after bot restarts, with the assumption that they were not filled while being offline. * Open orders (not trades, which are stored in the database) are kept open after bot restarts, with the assumption that they were not filled while being offline.
freqtrade/exchange/exchange.py
+2 -2
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@@ -863,8 +863,8 @@ class Exchange:
if self.exchange_has('fetchL2OrderBook'): if self.exchange_has('fetchL2OrderBook'):
orderbook = self.fetch_l2_order_book(pair, 20) orderbook = self.fetch_l2_order_book(pair, 20)
if ordertype == "limit" and orderbook: if ordertype == "limit" and orderbook:
# Allow a 3% price difference # Allow a 1% price difference
allowed_diff = 0.03 allowed_diff = 0.01
if self._dry_is_price_crossed(pair, side, rate, orderbook, allowed_diff): if self._dry_is_price_crossed(pair, side, rate, orderbook, allowed_diff):
logger.info( logger.info(
f"Converted order {pair} to market order due to price {rate} crossing spread " f"Converted order {pair} to market order due to price {rate} crossing spread "