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Merge branch 'margin-db' into margin-commands

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This commit is contained in:
Sam Germain 2021-06-20 15:35:57 -06:00
commit 029dfda680
19 changed files with 157 additions and 139 deletions
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2
docs/advanced-hyperopt.md
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@ -55,7 +55,7 @@ Currently, the arguments are:
* `results`: DataFrame containing the result
The following columns are available in results (corresponds to the output-file of backtesting when used with `--export trades`):
`pair, profit_ratio, profit_abs, open_date, open_rate, fee_open, close_date, close_rate, fee_close, amount, trade_duration, is_open, close_reason, stake_amount, min_rate, max_rate, stop_loss_ratio, stop_loss_abs`
`pair, profit_ratio, profit_abs, open_date, open_rate, fee_open, close_date, close_rate, fee_close, amount, trade_duration, is_open, sell_reason, stake_amount, min_rate, max_rate, stop_loss_ratio, stop_loss_abs`
* `trade_count`: Amount of trades (identical to `len(results)`)
* `min_date`: Start date of the timerange used
* `min_date`: End date of the timerange used

4
docs/sql_cheatsheet.md
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@ -65,7 +65,7 @@ SET is_open=0,
close_rate=<close_rate>,
close_profit = close_rate / open_rate - 1,
close_profit_abs = (amount * <close_rate> * (1 - fee_close) - (amount * (open_rate * (1 - fee_open)))),
close_reason=<close_reason>
sell_reason=<sell_reason>
WHERE id=<trade_ID_to_update>;
```
@ -78,7 +78,7 @@ SET is_open=0,
close_rate=0.19638016,
close_profit=0.0496,
close_profit_abs = (amount * 0.19638016 * (1 - fee_close) - (amount * (open_rate * (1 - fee_open)))),
close_reason='force_sell'
sell_reason='force_sell'
WHERE id=31;
```

8
docs/strategy-advanced.md
View File

@ -49,7 +49,7 @@ from freqtrade.exchange import timeframe_to_prev_date
class AwesomeStrategy(IStrategy):
def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount: float,
rate: float, time_in_force: str, close_reason: str,
rate: float, time_in_force: str, sell_reason: str,
current_time: 'datetime', **kwargs) -> bool:
# Obtain pair dataframe.
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
@ -490,7 +490,7 @@ class AwesomeStrategy(IStrategy):
# ... populate_* methods
def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float,
rate: float, time_in_force: str, close_reason: str, **kwargs) -> bool:
rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool:
"""
Called right before placing a regular sell order.
Timing for this function is critical, so avoid doing heavy computations or
@ -505,14 +505,14 @@ class AwesomeStrategy(IStrategy):
:param amount: Amount in quote currency.
:param rate: Rate that's going to be used when using limit orders
:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
:param close_reason: Sell reason.
:param sell_reason: Sell reason.
Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss',
'sell_signal', 'force_sell', 'emergency_sell']
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the sell-order is placed on the exchange.
False aborts the process
"""
if close_reason == 'force_sell' and trade.calc_profit_ratio(rate) < 0:
if sell_reason == 'force_sell' and trade.calc_profit_ratio(rate) < 0:
# Reject force-sells with negative profit
# This is just a sample, please adjust to your needs
# (this does not necessarily make sense, assuming you know when you're force-selling)

4
docs/strategy_analysis_example.md
View File

@ -127,7 +127,7 @@ print(stats['strategy_comparison'])
trades = load_backtest_data(backtest_dir)
# Show value-counts per pair
trades.groupby("pair")["close_reason"].value_counts()
trades.groupby("pair")["sell_reason"].value_counts()
```
### Load live trading results into a pandas dataframe
@ -142,7 +142,7 @@ from freqtrade.data.btanalysis import load_trades_from_db
trades = load_trades_from_db("sqlite:///tradesv3.sqlite")
# Display results
trades.groupby("pair")["close_reason"].value_counts()
trades.groupby("pair")["sell_reason"].value_counts()
```
## Analyze the loaded trades for trade parallelism

6
docs/webhook-config.md
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@ -132,7 +132,7 @@ Possible parameters are:
* `profit_ratio`
* `stake_currency`
* `fiat_currency`
* `close_reason`
* `sell_reason`
* `order_type`
* `open_date`
* `close_date`
@ -154,7 +154,7 @@ Possible parameters are:
* `profit_ratio`
* `stake_currency`
* `fiat_currency`
* `close_reason`
* `sell_reason`
* `order_type`
* `open_date`
* `close_date`
@ -176,7 +176,7 @@ Possible parameters are:
* `profit_ratio`
* `stake_currency`
* `fiat_currency`
* `close_reason`
* `sell_reason`
* `order_type`
* `open_date`
* `close_date`

6
freqtrade/data/btanalysis.py
View File

@ -17,18 +17,18 @@ logger = logging.getLogger(__name__)
# Old format - maybe remove?
BT_DATA_COLUMNS_OLD = ["pair", "profit_percent", "open_date", "close_date", "index",
"trade_duration", "open_rate", "close_rate", "open_at_end", "close_reason"]
"trade_duration", "open_rate", "close_rate", "open_at_end", "sell_reason"]
# Mid-term format, crated by BacktestResult Named Tuple
BT_DATA_COLUMNS_MID = ['pair', 'profit_percent', 'open_date', 'close_date', 'trade_duration',
'open_rate', 'close_rate', 'open_at_end', 'close_reason', 'fee_open',
'open_rate', 'close_rate', 'open_at_end', 'sell_reason', 'fee_open',
'fee_close', 'amount', 'profit_abs', 'profit_ratio']
# Newest format
BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
'open_rate', 'close_rate',
'fee_open', 'fee_close', 'trade_duration',
'profit_ratio', 'profit_abs', 'close_reason',
'profit_ratio', 'profit_abs', 'sell_reason',
'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', ]

30
freqtrade/freqtradebot.py
View File

@ -268,7 +268,7 @@ class FreqtradeBot(LoggingMixin):
# Updating open orders in dry-run does not make sense and will fail.
return
trades: List[Trade] = Trade.get_closed_trades_without_assigned_fees()
trades: List[Trade] = Trade.get_sold_trades_without_assigned_fees()
for trade in trades:
if not trade.is_open and not trade.fee_updated('sell'):
@ -752,7 +752,7 @@ class FreqtradeBot(LoggingMixin):
trade.stoploss_order_id = None
logger.error(f'Unable to place a stoploss order on exchange. {e}')
logger.warning('Selling the trade forcefully')
self.execute_sell(trade, trade.stop_loss, close_reason=SellCheckTuple(
self.execute_sell(trade, trade.stop_loss, sell_reason=SellCheckTuple(
sell_type=SellType.EMERGENCY_SELL))
except ExchangeError:
@ -783,7 +783,7 @@ class FreqtradeBot(LoggingMixin):
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] in ('closed', 'triggered'):
trade.close_reason = SellType.STOPLOSS_ON_EXCHANGE.value
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
self.update_trade_state(trade, trade.stoploss_order_id, stoploss_order,
stoploss_order=True)
# Lock pair for one candle to prevent immediate rebuys
@ -1071,16 +1071,16 @@ class FreqtradeBot(LoggingMixin):
raise DependencyException(
f"Not enough amount to sell. Trade-amount: {amount}, Wallet: {wallet_amount}")
def execute_sell(self, trade: Trade, limit: float, close_reason: SellCheckTuple) -> bool:
def execute_sell(self, trade: Trade, limit: float, sell_reason: SellCheckTuple) -> bool:
"""
Executes a limit sell for the given trade and limit
:param trade: Trade instance
:param limit: limit rate for the sell order
:param close_reason: Reason the sell was triggered
:param sell_reason: Reason the sell was triggered
:return: True if it succeeds (supported) False (not supported)
"""
sell_type = 'sell'
if close_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
if sell_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
sell_type = 'stoploss'
# if stoploss is on exchange and we are on dry_run mode,
@ -1099,10 +1099,10 @@ class FreqtradeBot(LoggingMixin):
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
order_type = self.strategy.order_types[sell_type]
if close_reason.sell_type == SellType.EMERGENCY_SELL:
if sell_reason.sell_type == SellType.EMERGENCY_SELL:
# Emergency sells (default to market!)
order_type = self.strategy.order_types.get("emergencysell", "market")
if close_reason.sell_type == SellType.FORCE_SELL:
if sell_reason.sell_type == SellType.FORCE_SELL:
# Force sells (default to the sell_type defined in the strategy,
# but we allow this value to be changed)
order_type = self.strategy.order_types.get("forcesell", order_type)
@ -1112,7 +1112,7 @@ class FreqtradeBot(LoggingMixin):
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit,
time_in_force=time_in_force, close_reason=close_reason.close_reason,
time_in_force=time_in_force, sell_reason=sell_reason.sell_reason,
current_time=datetime.now(timezone.utc)):
logger.info(f"User requested abortion of selling {trade.pair}")
return False
@ -1134,9 +1134,9 @@ class FreqtradeBot(LoggingMixin):
trade.orders.append(order_obj)
trade.open_order_id = order['id']
trade.close_order_status = ''
trade.sell_order_status = ''
trade.close_rate_requested = limit
trade.close_reason = close_reason.close_reason
trade.sell_reason = sell_reason.sell_reason
# In case of market sell orders the order can be closed immediately
if order.get('status', 'unknown') == 'closed':
self.update_trade_state(trade, trade.open_order_id, order)
@ -1176,7 +1176,7 @@ class FreqtradeBot(LoggingMixin):
'current_rate': current_rate,
'profit_amount': profit_trade,
'profit_ratio': profit_ratio,
'close_reason': trade.close_reason,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date or datetime.utcnow(),
'stake_currency': self.config['stake_currency'],
@ -1195,10 +1195,10 @@ class FreqtradeBot(LoggingMixin):
"""
Sends rpc notification when a sell cancel occurred.
"""
if trade.close_order_status == reason:
if trade.sell_order_status == reason:
return
else:
trade.close_order_status = reason
trade.sell_order_status = reason
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
@ -1219,7 +1219,7 @@ class FreqtradeBot(LoggingMixin):
'current_rate': current_rate,
'profit_amount': profit_trade,
'profit_ratio': profit_ratio,
'close_reason': trade.close_reason,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date,
'stake_currency': self.config['stake_currency'],

6
freqtrade/optimize/backtesting.py
View File

@ -283,7 +283,7 @@ class Backtesting:
if sell.sell_flag:
trade.close_date = sell_row[DATE_IDX].to_pydatetime()
trade.close_reason = sell.close_reason
trade.sell_reason = sell.sell_reason
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
@ -293,7 +293,7 @@ class Backtesting:
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
rate=closerate,
time_in_force=time_in_force,
close_reason=sell.close_reason,
sell_reason=sell.sell_reason,
current_time=sell_row[DATE_IDX].to_pydatetime()):
return None
@ -345,7 +345,7 @@ class Backtesting:
sell_row = data[pair][-1]
trade.close_date = sell_row[DATE_IDX].to_pydatetime()
trade.close_reason = SellType.FORCE_SELL.value
trade.sell_reason = SellType.FORCE_SELL.value
trade.close(sell_row[OPEN_IDX], show_msg=False)
LocalTrade.close_bt_trade(trade)
# Deepcopy object to have wallets update correctly

24
freqtrade/optimize/optimize_reports.py
View File

@ -127,7 +127,7 @@ def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, starting_b
return tabular_data
def generate_close_reason_stats(max_open_trades: int, results: DataFrame) -> List[Dict]:
def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List[Dict]:
"""
Generate small table outlining Backtest results
:param max_open_trades: Max_open_trades parameter
@ -136,8 +136,8 @@ def generate_close_reason_stats(max_open_trades: int, results: DataFrame) -> Lis
"""
tabular_data = []
for reason, count in results['close_reason'].value_counts().iteritems():
result = results.loc[results['close_reason'] == reason]
for reason, count in results['sell_reason'].value_counts().iteritems():
result = results.loc[results['sell_reason'] == reason]
profit_mean = result['profit_ratio'].mean()
profit_sum = result['profit_ratio'].sum()
@ -145,7 +145,7 @@ def generate_close_reason_stats(max_open_trades: int, results: DataFrame) -> Lis
tabular_data.append(
{
'close_reason': reason,
'sell_reason': reason,
'trades': count,
'wins': len(result[result['profit_abs'] > 0]),
'draws': len(result[result['profit_abs'] == 0]),
@ -230,7 +230,7 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
draw_trades = results.loc[results['profit_ratio'] == 0]
losing_trades = results.loc[results['profit_ratio'] < 0]
zero_duration_trades = len(results.loc[(results['trade_duration'] == 0) &
(results['close_reason'] == 'trailing_stop_loss')])
(results['sell_reason'] == 'trailing_stop_loss')])
holding_avg = (timedelta(minutes=round(results['trade_duration'].mean()))
if not results.empty else timedelta())
@ -313,7 +313,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
starting_balance=starting_balance,
results=results, skip_nan=False)
close_reason_stats = generate_close_reason_stats(max_open_trades=max_open_trades,
sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades,
results=results)
left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
starting_balance=starting_balance,
@ -335,7 +335,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'best_pair': best_pair,
'worst_pair': worst_pair,
'results_per_pair': pair_results,
'close_reason_summary': close_reason_stats,
'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results,
'total_trades': len(results),
'total_volume': float(results['stake_amount'].sum()),
@ -477,10 +477,10 @@ def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: st
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")
def text_table_close_reason(close_reason_stats: List[Dict[str, Any]], stake_currency: str) -> str:
def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_currency: str) -> str:
"""
Generate small table outlining Backtest results
:param close_reason_stats: Sell reason metrics
:param sell_reason_stats: Sell reason metrics
:param stake_currency: Stakecurrency used
:return: pretty printed table with tabulate as string
"""
@ -495,12 +495,12 @@ def text_table_close_reason(close_reason_stats: List[Dict[str, Any]], stake_curr
]
output = [[
t['close_reason'], t['trades'],
t['sell_reason'], t['trades'],
_generate_wins_draws_losses(t['wins'], t['draws'], t['losses']),
t['profit_mean_pct'], t['profit_sum_pct'],
round_coin_value(t['profit_total_abs'], stake_currency, False),
t['profit_total_pct'],
] for t in close_reason_stats]
] for t in sell_reason_stats]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
@ -633,7 +633,7 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_close_reason(close_reason_stats=results['close_reason_summary'],
table = text_table_sell_reason(sell_reason_stats=results['sell_reason_summary'],
stake_currency=stake_currency)
if isinstance(table, str) and len(table) > 0:
print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '='))

28
freqtrade/persistence/migrations.py
View File

@ -45,8 +45,16 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stoploss_last_update = get_column_def(cols, 'stoploss_last_update', 'null')
max_rate = get_column_def(cols, 'max_rate', '0.0')
min_rate = get_column_def(cols, 'min_rate', 'null')
close_reason = get_column_def(cols, 'close_reason', 'null')
sell_reason = get_column_def(cols, 'sell_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null')
leverage = get_column_def(cols, 'leverage', '0.0')
borrowed = get_column_def(cols, 'borrowed', '0.0')
borrowed_currency = get_column_def(cols, 'borrowed_currency', 'null')
collateral_currency = get_column_def(cols, 'collateral_currency', 'null')
interest_rate = get_column_def(cols, 'interest_rate', '0.0')
liquidation_price = get_column_def(cols, 'liquidation_price', 'null')
is_short = get_column_def(cols, 'is_short', 'False')
# If ticker-interval existed use that, else null.
if has_column(cols, 'ticker_interval'):
timeframe = get_column_def(cols, 'timeframe', 'ticker_interval')
@ -80,8 +88,9 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stake_amount, amount, amount_requested, open_date, close_date, open_order_id,
stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
stoploss_order_id, stoploss_last_update,
max_rate, min_rate, close_reason, close_order_status, strategy,
timeframe, open_trade_value, close_profit_abs
max_rate, min_rate, sell_reason, close_order_status, strategy,
timeframe, open_trade_value, close_profit_abs,
leverage, borrowed, borrowed_currency, collateral_currency, interest_rate, liquidation_price, is_short
)
select id, lower(exchange),
case
@ -101,14 +110,17 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{initial_stop_loss} initial_stop_loss,
{initial_stop_loss_pct} initial_stop_loss_pct,
{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
{max_rate} max_rate, {min_rate} min_rate, {close_reason} close_reason,
{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
{close_order_status} close_order_status,
{strategy} strategy, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
{leverage} leverage, {borrowed} borrowed, {borrowed_currency} borrowed_currency,
{collateral_currency} collateral_currency, {interest_rate} interest_rate,
{liquidation_price} liquidation_price, {is_short} is_short
from {table_back_name}
"""))
#TODO: Does leverage go in here?
def migrate_open_orders_to_trades(engine):
with engine.begin() as connection:
connection.execute(text("""
@ -141,10 +153,10 @@ def migrate_orders_table(decl_base, inspector, engine, table_back_name: str, col
connection.execute(text(f"""
insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, average, remaining, cost,
order_date, order_filled_date, order_update_date)
order_date, order_filled_date, order_update_date, leverage)
select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, null average, remaining, cost,
order_date, order_filled_date, order_update_date
order_date, order_filled_date, order_update_date, leverage
from {table_back_name}
"""))

110
freqtrade/persistence/models.py
View File

@ -131,8 +131,8 @@ class Order(_DECL_BASE):
order_date = Column(DateTime, nullable=True, default=datetime.utcnow)
order_filled_date = Column(DateTime, nullable=True)
order_update_date = Column(DateTime, nullable=True)
leverage = Column(Float, nullable=True)
leverage = Column(Float, nullable=True, default=0.0)
def __repr__(self):
return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
@ -257,21 +257,34 @@ class LocalTrade():
max_rate: float = 0.0
# Lowest price reached
min_rate: float = 0.0
close_reason: str = ''
close_order_status: str = ''
sell_reason: str = ''
close_order_status: str = ''
strategy: str = ''
timeframe: Optional[int] = None
#Margin trading properties
leverage: Optional[float] = None
borrowed: float = 0
borrowed_currency: float = None
interest_rate: float = 0
min_stoploss: float = None
isShort: boolean = False
#End of margin trading properties
# Margin trading properties
leverage: Optional[float] = 0.0
borrowed: float = 0.0
borrowed_currency: str = None
collateral_currency: str = None
interest_rate: float = 0.0
liquidation_price: float = None
is_short: bool = False
# End of margin trading properties
def __init__(self, **kwargs):
lev = kwargs.get('leverage')
bor = kwargs.get('borrowed')
amount = kwargs.get('amount')
if lev and bor:
# TODO: should I raise an error?
raise OperationalException('Cannot pass both borrowed and leverage to Trade')
elif lev:
self.amount = amount * lev
self.borrowed = amount * (lev-1)
elif bor:
self.lev = (bor + amount)/amount
for key in kwargs:
setattr(self, key, kwargs[key])
self.recalc_open_trade_value()
@ -334,7 +347,7 @@ class LocalTrade():
'profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
'profit_abs': self.close_profit_abs,
'close_reason': self.close_reason,
'sell_reason': self.sell_reason,
'close_order_status': self.close_order_status,
'stop_loss_abs': self.stop_loss,
'stop_loss_ratio': self.stop_loss_pct if self.stop_loss_pct else None,
@ -355,8 +368,9 @@ class LocalTrade():
'leverage': self.leverage,
'borrowed': self.borrowed,
'borrowed_currency': self.borrowed_currency,
'collateral_currency': self.collateral_currency,
'interest_rate': self.interest_rate,
'min_stoploss': self.min_stoploss,
'liquidation_price': self.liquidation_price,
'leverage': self.leverage,
'open_order_id': self.open_order_id,
@ -398,9 +412,9 @@ class LocalTrade():
return
new_loss = float(current_price * (1 - abs(stoploss)))
#TODO: Could maybe move this if into the new stoploss if branch
if (self.min_stoploss): #If trading on margin, don't set the stoploss below the liquidation price
new_loss = min(self.min_stoploss, new_loss)
# TODO: Could maybe move this if into the new stoploss if branch
if (self.liquidation_price): # If trading on margin, don't set the stoploss below the liquidation price
new_loss = min(self.liquidation_price, new_loss)
# no stop loss assigned yet
if not self.stop_loss:
@ -411,7 +425,8 @@ class LocalTrade():
# evaluate if the stop loss needs to be updated
else:
if (new_loss > self.stop_loss and not self.isShort) or (new_loss < self.stop_loss and self.isShort): # stop losses only walk up, never down!, #TODO: But adding more to a margin account would create a lower liquidation price, decreasing the minimum stoploss
# stop losses only walk up, never down!, #TODO: But adding more to a margin account would create a lower liquidation price, decreasing the minimum stoploss
if (new_loss > self.stop_loss and not self.is_short) or (new_loss < self.stop_loss and self.is_short):
logger.debug(f"{self.pair} - Adjusting stoploss...")
self._set_new_stoploss(new_loss, stoploss)
else:
@ -430,14 +445,14 @@ class LocalTrade():
Determines if the trade is an opening (long buy or short sell) trade
:param side (string): the side (buy/sell) that order happens on
"""
return (side == 'buy' and not self.isShort) or (side == 'sell' and self.isShort)
return (side == 'buy' and not self.is_short) or (side == 'sell' and self.is_short)
def is_closing_trade(self, side) -> bool:
"""
Determines if the trade is an closing (long sell or short buy) trade
:param side (string): the side (buy/sell) that order happens on
"""
return (side == 'sell' and not self.isShort) or (side == 'buy' and self.isShort)
return (side == 'sell' and not self.is_short) or (side == 'buy' and self.is_short)
def update(self, order: Dict) -> None:
"""
@ -452,24 +467,24 @@ class LocalTrade():
logger.info('Updating trade (id=%s) ...', self.id)
if order_type in ('market', 'limit') and self.isOpeningTrade(order['side']):
if order_type in ('market', 'limit') and self.is_opening_trade(order['side']):
# Update open rate and actual amount
self.open_rate = float(safe_value_fallback(order, 'average', 'price'))
self.amount = float(safe_value_fallback(order, 'filled', 'amount'))
self.recalc_open_trade_value()
if self.is_open:
payment = "SELL" if self.isShort else "BUY"
payment = "SELL" if self.is_short else "BUY"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.')
self.open_order_id = None
elif order_type in ('market', 'limit') and self.isClosingTrade(order['side']):
elif order_type in ('market', 'limit') and self.is_closing_trade(order['side']):
if self.is_open:
payment = "BUY" if self.isShort else "SELL"
payment = "BUY" if self.is_short else "SELL"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price')) #TODO: Double check this
self.close(safe_value_fallback(order, 'average', 'price')) # TODO: Double check this
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss
self.close_reason = SellType.STOPLOSS_ON_EXCHANGE.value
self.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
if self.is_open:
logger.info(f'{order_type.upper()} is hit for {self}.')
self.close(safe_value_fallback(order, 'average', 'price'))
@ -534,11 +549,10 @@ class LocalTrade():
"""
open_trade = Decimal(self.amount) * Decimal(self.open_rate)
fees = open_trade * Decimal(self.fee_open)
if (self.isShort):
return float(open_trade - fees)
if (self.is_short):
return float(open_trade - fees)
else:
return float(open_trade + fees)
return float(open_trade + fees)
def recalc_open_trade_value(self) -> None:
"""
@ -562,8 +576,9 @@ class LocalTrade():
close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close)
interest = ((self.interest_rate * Decimal(borrowed or self.borrowed)) * (datetime.utcnow() - self.open_date).days) or 0 #Interest/day * num of days
if (self.isShort):
#TODO: Interest rate could be hourly instead of daily
interest = ((Decimal(self.interest_rate) * Decimal(self.borrowed)) * Decimal((datetime.utcnow() - self.open_date).days)) or 0 # Interest/day * num of days
if (self.is_short):
return float(close_trade + fees + interest)
else:
return float(close_trade - fees - interest)
@ -583,7 +598,7 @@ class LocalTrade():
fee=(fee or self.fee_close)
)
if self.isShort:
if self.is_short:
profit = self.open_trade_value - close_trade_value
else:
profit = close_trade_value - self.open_trade_value
@ -604,7 +619,7 @@ class LocalTrade():
)
if self.open_trade_value == 0.0:
return 0.0
if self.isShort:
if self.is_short:
profit_ratio = (close_trade_value / self.open_trade_value) - 1
else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1
@ -657,7 +672,7 @@ class LocalTrade():
sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date]
return sel_trades #TODO: What is sel_trades does it mean sell_trades? If so, update this for margin
return sel_trades
@staticmethod
def close_bt_trade(trade):
@ -753,31 +768,22 @@ class Trade(_DECL_BASE, LocalTrade):
max_rate = Column(Float, nullable=True, default=0.0)
# Lowest price reached
min_rate = Column(Float, nullable=True)
close_reason = Column(String(100), nullable=True)
sell_reason = Column(String(100), nullable=True) #TODO: Change to close_reason
close_order_status = Column(String(100), nullable=True)
strategy = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True)
#Margin trading properties
leverage = Column(Float, nullable=True)
# Margin trading properties
leverage = Column(Float, nullable=True, default=0.0)
borrowed = Column(Float, nullable=False, default=0.0)
borrowed_currency = Column(Float, nullable=True)
collateral_currency = Column(String(25), nullable=True)
interest_rate = Column(Float, nullable=False, default=0.0)
min_stoploss = Column(Float, nullable=True)
isShort = Column(Boolean, nullable=False, default=False)
#End of margin trading properties
liquidation_price = Column(Float, nullable=True)
is_short = Column(Boolean, nullable=False, default=False)
# End of margin trading properties
def __init__(self, **kwargs):
lev = kwargs.get('leverage')
bor = kwargs.get('borrowed')
amount = kwargs.get('amount')
if lev and bor:
raise OperationalException('Cannot pass both borrowed and leverage to Trade') #TODO: should I raise an error?
elif lev:
self.amount = amount * lev
self.borrowed = amount * (lev-1)
elif bor:
self.lev = (bor + amount)/amount
super().__init__(**kwargs)
self.recalc_open_trade_value()

2
freqtrade/plot/plotting.py
View File

@ -193,7 +193,7 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
if trades is not None and len(trades) > 0:
# Create description for sell summarizing the trade
trades['desc'] = trades.apply(lambda row: f"{round(row['profit_ratio'] * 100, 1)}%, "
f"{row['close_reason']}, "
f"{row['sell_reason']}, "
f"{row['trade_duration']} min",
axis=1)
trade_buys = go.Scatter(

6
freqtrade/plugins/protections/stoploss_guard.py
View File

@ -44,8 +44,8 @@ class StoplossGuard(IProtection):
# filters = [
# Trade.is_open.is_(False),
# Trade.close_date > look_back_until,
# or_(Trade.close_reason == SellType.STOP_LOSS.value,
# and_(Trade.close_reason == SellType.TRAILING_STOP_LOSS.value,
# or_(Trade.sell_reason == SellType.STOP_LOSS.value,
# and_(Trade.sell_reason == SellType.TRAILING_STOP_LOSS.value,
# Trade.close_profit < 0))
# ]
# if pair:
@ -53,7 +53,7 @@ class StoplossGuard(IProtection):
# trades = Trade.get_trades(filters).all()
trades1 = Trade.get_trades_proxy(pair=pair, is_open=False, close_date=look_back_until)
trades = [trade for trade in trades1 if (str(trade.close_reason) in (
trades = [trade for trade in trades1 if (str(trade.sell_reason) in (
SellType.TRAILING_STOP_LOSS.value, SellType.STOP_LOSS.value,
SellType.STOPLOSS_ON_EXCHANGE.value)
and trade.close_profit and trade.close_profit < 0)]

6
freqtrade/rpc/api_server/api_schemas.py
View File

@ -94,7 +94,7 @@ class SellReason(BaseModel):
class Stats(BaseModel):
close_reasons: Dict[str, SellReason]
sell_reasons: Dict[str, SellReason]
durations: Dict[str, Union[str, float]]
@ -168,8 +168,8 @@ class TradeSchema(BaseModel):
profit_pct: Optional[float]
profit_abs: Optional[float]
profit_fiat: Optional[float]
close_reason: Optional[str]
close_order_status: Optional[str]
sell_reason: Optional[str]
sell_order_status: Optional[str]
stop_loss_abs: Optional[float]
stop_loss_ratio: Optional[float]
stop_loss_pct: Optional[float]

14
freqtrade/rpc/rpc.py
View File

@ -315,11 +315,11 @@ class RPC:
return 'draws'
trades = trades = Trade.get_trades([Trade.is_open.is_(False)])
# Sell reason
close_reasons = {}
sell_reasons = {}
for trade in trades:
if trade.close_reason not in close_reasons:
close_reasons[trade.close_reason] = {'wins': 0, 'losses': 0, 'draws': 0}
close_reasons[trade.close_reason][trade_win_loss(trade)] += 1
if trade.sell_reason not in sell_reasons:
sell_reasons[trade.sell_reason] = {'wins': 0, 'losses': 0, 'draws': 0}
sell_reasons[trade.sell_reason][trade_win_loss(trade)] += 1
# Duration
dur: Dict[str, List[int]] = {'wins': [], 'draws': [], 'losses': []}
@ -333,7 +333,7 @@ class RPC:
losses_dur = sum(dur['losses']) / len(dur['losses']) if len(dur['losses']) > 0 else 'N/A'
durations = {'wins': wins_dur, 'draws': draws_dur, 'losses': losses_dur}
return {'close_reasons': close_reasons, 'durations': durations}
return {'sell_reasons': sell_reasons, 'durations': durations}
def _rpc_trade_statistics(
self, stake_currency: str, fiat_display_currency: str,
@ -539,8 +539,8 @@ class RPC:
if not fully_canceled:
# Get current rate and execute sell
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
close_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL)
self._freqtrade.execute_sell(trade, current_rate, close_reason)
sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL)
self._freqtrade.execute_sell(trade, current_rate, sell_reason)
# ---- EOF def _exec_forcesell ----
if self._freqtrade.state != State.RUNNING:

20
freqtrade/rpc/telegram.py
View File

@ -242,7 +242,7 @@ class Telegram(RPCHandler):
message = ("{emoji} *{exchange}:* Selling {pair} (#{trade_id})\n"
"*Profit:* `{profit_percent:.2f}%{profit_extra}`\n"
"*Sell Reason:* `{close_reason}`\n"
"*Sell Reason:* `{sell_reason}`\n"
"*Duration:* `{duration} ({duration_min:.1f} min)`\n"
"*Amount:* `{amount:.8f}`\n"
"*Open Rate:* `{open_rate:.8f}`\n"
@ -265,7 +265,7 @@ class Telegram(RPCHandler):
if isinstance(sell_noti, str):
noti = sell_noti
else:
noti = sell_noti.get(str(msg['close_reason']), default_noti)
noti = sell_noti.get(str(msg['sell_reason']), default_noti)
else:
noti = self._config['telegram'] \
.get('notification_settings', {}).get(str(msg_type), default_noti)
@ -318,7 +318,7 @@ class Telegram(RPCHandler):
return "\N{ROCKET}"
elif float(msg['profit_percent']) >= 0.0:
return "\N{EIGHT SPOKED ASTERISK}"
elif msg['close_reason'] == "stop_loss":
elif msg['sell_reason'] == "stop_loss":
return"\N{WARNING SIGN}"
else:
return "\N{CROSS MARK}"
@ -372,8 +372,8 @@ class Telegram(RPCHandler):
lines.append("*Stoploss distance:* `{stoploss_current_dist:.8f}` "
"`({stoploss_current_dist_pct:.2f}%)`")
if r['open_order']:
if r['close_order_status']:
lines.append("*Open Order:* `{open_order}` - `{close_order_status}`")
if r['sell_order_status']:
lines.append("*Open Order:* `{open_order}` - `{sell_order_status}`")
else:
lines.append("*Open Order:* `{open_order}`")
@ -554,16 +554,16 @@ class Telegram(RPCHandler):
'force_sell': 'Forcesell',
'emergency_sell': 'Emergency Sell',
}
close_reasons_tabulate = [
sell_reasons_tabulate = [
[
reason_map.get(reason, reason),
sum(count.values()),
count['wins'],
count['losses']
] for reason, count in stats['close_reasons'].items()
] for reason, count in stats['sell_reasons'].items()
]
close_reasons_msg = tabulate(
close_reasons_tabulate,
sell_reasons_msg = tabulate(
sell_reasons_tabulate,
headers=['Sell Reason', 'Sells', 'Wins', 'Losses']
)
durations = stats['durations']
@ -575,7 +575,7 @@ class Telegram(RPCHandler):
],
headers=['', 'Avg. Duration']
)
msg = (f"""```\n{close_reasons_msg}```\n```\n{duration_msg}```""")
msg = (f"""```\n{sell_reasons_msg}```\n```\n{duration_msg}```""")
self._send_msg(msg, ParseMode.MARKDOWN)

12
freqtrade/strategy/interface.py
View File

@ -32,11 +32,11 @@ class SellCheckTuple(object):
NamedTuple for Sell type + reason
"""
sell_type: SellType
close_reason: str = ''
sell_reason: str = ''
def __init__(self, sell_type: SellType, close_reason: str = ''):
def __init__(self, sell_type: SellType, sell_reason: str = ''):
self.sell_type = sell_type
self.close_reason = close_reason or sell_type.value
self.sell_reason = sell_reason or sell_type.value
@property
def sell_flag(self):
@ -225,7 +225,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return True
def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float,
rate: float, time_in_force: str, close_reason: str,
rate: float, time_in_force: str, sell_reason: str,
current_time: datetime, **kwargs) -> bool:
"""
Called right before placing a regular sell order.
@ -242,7 +242,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param amount: Amount in quote currency.
:param rate: Rate that's going to be used when using limit orders
:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
:param close_reason: Sell reason.
:param sell_reason: Sell reason.
Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss',
'sell_signal', 'force_sell', 'emergency_sell']
:param current_time: datetime object, containing the current datetime
@ -592,7 +592,7 @@ class IStrategy(ABC, HyperStrategyMixin):
logger.debug(f"{trade.pair} - Sell signal received. "
f"sell_type=SellType.{sell_signal.name}" +
(f", custom_reason={custom_reason}" if custom_reason else ""))
return SellCheckTuple(sell_type=sell_signal, close_reason=custom_reason)
return SellCheckTuple(sell_type=sell_signal, sell_reason=custom_reason)
if stoplossflag.sell_flag:

4
freqtrade/templates/strategy_analysis_example.ipynb
View File

@ -185,7 +185,7 @@
"trades = load_backtest_data(backtest_dir)\n",
"\n",
"# Show value-counts per pair\n",
"trades.groupby(\"pair\")[\"close_reason\"].value_counts()"
"trades.groupby(\"pair\")[\"sell_reason\"].value_counts()"
]
},
{
@ -209,7 +209,7 @@
"trades = load_trades_from_db(\"sqlite:///tradesv3.sqlite\")\n",
"\n",
"# Display results\n",
"trades.groupby(\"pair\")[\"close_reason\"].value_counts()"
"trades.groupby(\"pair\")[\"sell_reason\"].value_counts()"
]
},
{

4
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@ -62,7 +62,7 @@ def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: f
return True
def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount: float,
rate: float, time_in_force: str, close_reason: str,
rate: float, time_in_force: str, sell_reason: str,
current_time: 'datetime', **kwargs) -> bool:
"""
Called right before placing a regular sell order.
@ -79,7 +79,7 @@ def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount:
:param amount: Amount in quote currency.
:param rate: Rate that's going to be used when using limit orders
:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
:param close_reason: Sell reason.
:param sell_reason: Sell reason.
Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss',
'sell_signal', 'force_sell', 'emergency_sell']
:param current_time: datetime object, containing the current datetime