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Implement strategy-controlled stake sizes. Expose self.wallet to a strategy.

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This commit is contained in:
Rokas Kupstys 2021-07-11 12:20:31 +03:00
parent 2f33b97b95
commit 0e4466ca1e
7 changed files with 136 additions and 19 deletions
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31
docs/strategy-advanced.md
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@ -521,6 +521,37 @@ class AwesomeStrategy(IStrategy):
```
### Stake size management
It is possible to manage your risk by reducing or increasing or reducing stake amount when placing a new trade.
```python
class AwesomeStrategy(IStrategy):
def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
**kwargs) -> float:
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
current_candle = dataframe.iloc[-1].squeeze()
if current_candle['fastk_rsi_1h'] > current_candle['fastd_rsi_1h']:
if self.config['stake_amount'] == 'unlimited':
# Use entire available wallet during favorable conditions when in compounding mode.
return max_stake
else:
# Compound profits during favorable conditions instead of using a static stake.
return self.wallets.get_total_stake_amount() / self.config['max_open_trades']
# Use default stake amount.
return proposed_stake
```
!!! Tip
You do not _have_ to ensure that `min_stake <= returned_value <= max_stake`. Trades will succeed, as returned value will be clamped to supported range and this acton will be logged.
!!! Tip
Returning `0` or `None` will prevent trades from being placed.
---
## Derived strategies

27
freqtrade/freqtradebot.py
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@ -424,16 +424,10 @@ class FreqtradeBot(LoggingMixin):
if buy and not sell:
stake_amount = self.wallets.get_trade_stake_amount(pair, self.edge)
if not stake_amount:
logger.debug(f"Stake amount is 0, ignoring possible trade for {pair}.")
return False
logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: "
f"{stake_amount} ...")
bid_check_dom = self.config.get('bid_strategy', {}).get('check_depth_of_market', {})
if ((bid_check_dom.get('enabled', False)) and
(bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
(bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
if self._check_depth_of_market_buy(pair, bid_check_dom):
return self.execute_buy(pair, stake_amount)
else:
@ -488,13 +482,22 @@ class FreqtradeBot(LoggingMixin):
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, buy_limit_requested,
self.strategy.stoploss)
if min_stake_amount is not None and min_stake_amount > stake_amount:
logger.warning(
f"Can't open a new trade for {pair}: stake amount "
f"is too small ({stake_amount} < {min_stake_amount})"
)
if not self.edge:
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=None)(
pair=pair, current_time=datetime.now(timezone.utc),
current_rate=buy_limit_requested, proposed_stake=stake_amount,
min_stake=min_stake_amount, max_stake=max_stake_amount)
stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
if not stake_amount:
return False
logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: "
f"{stake_amount} ...")
amount = stake_amount / buy_limit_requested
order_type = self.strategy.order_types['buy']
if forcebuy:

15
freqtrade/optimize/backtesting.py
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@ -129,6 +129,8 @@ class Backtesting:
"""
self.strategy: IStrategy = strategy
strategy.dp = self.dataprovider
# Attach Wallets to Strategy baseclass
IStrategy.wallets = self.wallets
# Set stoploss_on_exchange to false for backtesting,
# since a "perfect" stoploss-sell is assumed anyway
# And the regular "stoploss" function would not apply to that case
@ -312,7 +314,18 @@ class Backtesting:
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
except DependencyException:
return None
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05)
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=None)(
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount)
stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
if not stake_amount:
return None
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['sell']

17
freqtrade/strategy/interface.py
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@ -304,6 +304,23 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
return None
def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
**kwargs) -> float:
"""
Customize stake size for each new trade. This method is not called when edge module is
enabled.
:param pair: Pair that's currently analyzed
:param current_time: datetime object, containing the current datetime
:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
:param proposed_stake: A stake amount proposed by the bot.
:param min_stake: Minimal stake size allowed by exchange.
:param max_stake: Balance available for trading.
:return: A stake size, which is between min_stake and max_stake.
"""
return proposed_stake
def informative_pairs(self) -> ListPairsWithTimeframes:
"""
Define additional, informative pair/interval combinations to be cached from the exchange.

43
freqtrade/wallets.py
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@ -131,7 +131,22 @@ class Wallets:
def get_all_balances(self) -> Dict[str, Any]:
return self._wallets
def _get_available_stake_amount(self, val_tied_up: float) -> float:
def get_total_stake_amount(self):
"""
Return the total currently available balance in stake currency, including tied up stake and
respecting tradable_balance_ratio.
Calculated as
(<open_trade stakes> + free amount) * tradable_balance_ratio
"""
# Ensure <tradable_balance_ratio>% is used from the overall balance
# Otherwise we'd risk lowering stakes with each open trade.
# (tied up + current free) * ratio) - tied up
val_tied_up = Trade.total_open_trades_stakes()
available_amount = ((val_tied_up + self.get_free(self._config['stake_currency'])) *
self._config['tradable_balance_ratio'])
return available_amount
def get_available_stake_amount(self) -> float:
"""
Return the total currently available balance in stake currency,
respecting tradable_balance_ratio.
@ -142,9 +157,7 @@ class Wallets:
# Ensure <tradable_balance_ratio>% is used from the overall balance
# Otherwise we'd risk lowering stakes with each open trade.
# (tied up + current free) * ratio) - tied up
available_amount = ((val_tied_up + self.get_free(self._config['stake_currency'])) *
self._config['tradable_balance_ratio']) - val_tied_up
return available_amount
return self.get_total_stake_amount() - Trade.total_open_trades_stakes()
def _calculate_unlimited_stake_amount(self, available_amount: float,
val_tied_up: float) -> float:
@ -193,7 +206,7 @@ class Wallets:
# Ensure wallets are uptodate.
self.update()
val_tied_up = Trade.total_open_trades_stakes()
available_amount = self._get_available_stake_amount(val_tied_up)
available_amount = self.get_available_stake_amount()
if edge:
stake_amount = edge.stake_amount(
@ -209,3 +222,23 @@ class Wallets:
available_amount, val_tied_up)
return self._check_available_stake_amount(stake_amount, available_amount)
def _validate_stake_amount(self, pair, stake_amount, min_stake_amount):
if not stake_amount:
logger.debug(f"Stake amount is {stake_amount}, ignoring possible trade for {pair}.")
return 0
max_stake_amount = self.get_available_stake_amount()
if min_stake_amount is not None and stake_amount < min_stake_amount:
stake_amount = min_stake_amount
logger.info(
f"Stake amount for pair {pair} is too small ({stake_amount} < {min_stake_amount}), "
f"adjusting to {min_stake_amount}."
)
if stake_amount > max_stake_amount:
stake_amount = max_stake_amount
logger.info(
f"Stake amount for pair {pair} is too big ({stake_amount} > {max_stake_amount}), "
f"adjusting to {max_stake_amount}."
)
return stake_amount

2
tests/rpc/test_rpc.py
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@ -886,7 +886,7 @@ def test_rpcforcebuy(mocker, default_conf, ticker, fee, limit_buy_order_open) ->
# Test not buying
freqtradebot = get_patched_freqtradebot(mocker, default_conf)
freqtradebot.config['stake_amount'] = 0.0000001
freqtradebot.config['stake_amount'] = 0
patch_get_signal(freqtradebot, (True, False))
rpc = RPC(freqtradebot)
pair = 'TKN/BTC'

20
tests/test_freqtradebot.py
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@ -413,6 +413,26 @@ def test_create_trade_too_small_stake_amount(default_conf, ticker, limit_buy_ord
patch_get_signal(freqtrade)
assert freqtrade.create_trade('ETH/BTC')
def test_create_trade_zero_stake_amount(default_conf, ticker, limit_buy_order_open,
fee, mocker) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
buy_mock = MagicMock(return_value=limit_buy_order_open)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker,
buy=buy_mock,
get_fee=fee,
)
freqtrade = FreqtradeBot(default_conf)
freqtrade.config['stake_amount'] = 0
patch_get_signal(freqtrade)
assert not freqtrade.create_trade('ETH/BTC')