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enter_tag can be used to determine roi

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Sam Germain
2022-04-03 02:41:29 -06:00
parent 9029833c8c
commit 0310d1cdf2
5 changed files with 57 additions and 17 deletions
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35
freqtrade/strategy/interface.py
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@@ -843,7 +843,7 @@ class IStrategy(ABC, HyperStrategyMixin):
def should_exit(self, trade: Trade, rate: float, current_time: datetime, *,
enter: bool, exit_: bool,
low: float = None, high: float = None,
force_stoploss: float = 0) -> ExitCheckTuple:
force_stoploss: float = 0, enter_tag: Optional[str] = None) -> ExitCheckTuple:
"""
This function evaluates if one of the conditions required to trigger an exit order
has been reached, which can either be a stop-loss, ROI or exit-signal.
@@ -868,9 +868,15 @@ class IStrategy(ABC, HyperStrategyMixin):
current_profit = trade.calc_profit_ratio(current_rate)
# if enter signal and ignore_roi is set, we don't need to evaluate min_roi.
roi_reached = (not (enter and self.ignore_roi_if_entry_signal)
and self.min_roi_reached(trade=trade, current_profit=current_profit,
current_time=current_time))
roi_reached = (
not (enter and self.ignore_roi_if_entry_signal) and
self.min_roi_reached(
trade=trade,
current_profit=current_profit,
current_time=current_time,
enter_tag=enter_tag,
)
)
exit_signal = ExitType.NONE
custom_reason = ''
@@ -1007,20 +1013,31 @@ class IStrategy(ABC, HyperStrategyMixin):
return ExitCheckTuple(exit_type=ExitType.NONE)
def min_roi_reached_entry(self, trade_dur: int) -> Tuple[Optional[int], Optional[float]]:
def min_roi_reached_entry(
self,
trade_dur: int,
enter_tag: Optional[str] = None,
) -> Tuple[Optional[int], Optional[float]]:
"""
Based on trade duration defines the ROI entry that may have been reached.
:param trade_dur: trade duration in minutes
:return: minimal ROI entry value or None if none proper ROI entry was found.
"""
minimal_roi = self.minimal_roi[enter_tag] if enter_tag else self.minimal_roi
# Get highest entry in ROI dict where key <= trade-duration
roi_list = list(filter(lambda x: x <= trade_dur, self.minimal_roi.keys()))
roi_list = list(filter(lambda x: x <= trade_dur, minimal_roi.keys()))
if not roi_list:
return None, None
roi_entry = max(roi_list)
return roi_entry, self.minimal_roi[roi_entry]
return roi_entry, minimal_roi[roi_entry]
def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool:
def min_roi_reached(
self,
trade: Trade,
current_profit: float,
current_time: datetime,
enter_tag: Optional[str] = None,
) -> bool:
"""
Based on trade duration, current profit of the trade and ROI configuration,
decides whether bot should exit.
@@ -1029,7 +1046,7 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
# Check if time matches and current rate is above threshold
trade_dur = int((current_time.timestamp() - trade.open_date_utc.timestamp()) // 60)
_, roi = self.min_roi_reached_entry(trade_dur)
_, roi = self.min_roi_reached_entry(trade_dur, enter_tag)
if roi is None:
return False
else: