Merge branch 'freqtrade:develop' into develop
This commit is contained in:
hippocritical
GitHub
commit
0fb155d6ee
4
.github/workflows/ci.yml
vendored
4
.github/workflows/ci.yml
vendored
@ -425,7 +425,7 @@ jobs:
|
||||
python setup.py sdist bdist_wheel
|
||||
|
||||
- name: Publish to PyPI (Test)
|
||||
uses: pypa/gh-action-pypi-publish@v1.8.3
|
||||
uses: pypa/gh-action-pypi-publish@v1.8.4
|
||||
if: (github.event_name == 'release')
|
||||
with:
|
||||
user: __token__
|
||||
@ -433,7 +433,7 @@ jobs:
|
||||
repository_url: https://test.pypi.org/legacy/
|
||||
|
||||
- name: Publish to PyPI
|
||||
uses: pypa/gh-action-pypi-publish@v1.8.3
|
||||
uses: pypa/gh-action-pypi-publish@v1.8.4
|
||||
if: (github.event_name == 'release')
|
||||
with:
|
||||
user: __token__
|
||||
|
||||
@ -13,12 +13,12 @@ repos:
|
||||
- id: mypy
|
||||
exclude: build_helpers
|
||||
additional_dependencies:
|
||||
- types-cachetools==5.3.0.4
|
||||
- types-cachetools==5.3.0.5
|
||||
- types-filelock==3.2.7
|
||||
- types-requests==2.28.11.16
|
||||
- types-tabulate==0.9.0.1
|
||||
- types-python-dateutil==2.8.19.10
|
||||
- SQLAlchemy==2.0.7
|
||||
- types-requests==2.28.11.17
|
||||
- types-tabulate==0.9.0.2
|
||||
- types-python-dateutil==2.8.19.11
|
||||
- SQLAlchemy==2.0.8
|
||||
# stages: [push]
|
||||
|
||||
- repo: https://github.com/pycqa/isort
|
||||
|
||||
@ -42,9 +42,9 @@ if [ $? -ne 0 ]; then
|
||||
return 1
|
||||
fi
|
||||
|
||||
docker build --cache-from freqtrade:${TAG_ARM} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG_ARM} -t freqtrade:${TAG_PLOT_ARM} -f docker/Dockerfile.plot .
|
||||
docker build --cache-from freqtrade:${TAG_ARM} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG_ARM} -t freqtrade:${TAG_FREQAI_ARM} -f docker/Dockerfile.freqai .
|
||||
docker build --cache-from freqtrade:${TAG_ARM} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG_ARM} -t freqtrade:${TAG_FREQAI_RL_ARM} -f docker/Dockerfile.freqai_rl .
|
||||
docker build --build-arg sourceimage=freqtrade --build-arg sourcetag=${TAG_ARM} -t freqtrade:${TAG_PLOT_ARM} -f docker/Dockerfile.plot .
|
||||
docker build --build-arg sourceimage=freqtrade --build-arg sourcetag=${TAG_ARM} -t freqtrade:${TAG_FREQAI_ARM} -f docker/Dockerfile.freqai .
|
||||
docker build --build-arg sourceimage=freqtrade --build-arg sourcetag=${TAG_FREQAI_ARM} -t freqtrade:${TAG_FREQAI_RL_ARM} -f docker/Dockerfile.freqai_rl .
|
||||
|
||||
# Tag image for upload and next build step
|
||||
docker tag freqtrade:$TAG_ARM ${CACHE_IMAGE}:$TAG_ARM
|
||||
|
||||
@ -58,9 +58,9 @@ fi
|
||||
# Tag image for upload and next build step
|
||||
docker tag freqtrade:$TAG ${CACHE_IMAGE}:$TAG
|
||||
|
||||
docker build --cache-from freqtrade:${TAG} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG} -t freqtrade:${TAG_PLOT} -f docker/Dockerfile.plot .
|
||||
docker build --cache-from freqtrade:${TAG} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG} -t freqtrade:${TAG_FREQAI} -f docker/Dockerfile.freqai .
|
||||
docker build --cache-from freqtrade:${TAG_FREQAI} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG_FREQAI} -t freqtrade:${TAG_FREQAI_RL} -f docker/Dockerfile.freqai_rl .
|
||||
docker build --build-arg sourceimage=freqtrade --build-arg sourcetag=${TAG} -t freqtrade:${TAG_PLOT} -f docker/Dockerfile.plot .
|
||||
docker build --build-arg sourceimage=freqtrade --build-arg sourcetag=${TAG} -t freqtrade:${TAG_FREQAI} -f docker/Dockerfile.freqai .
|
||||
docker build --build-arg sourceimage=freqtrade --build-arg sourcetag=${TAG_FREQAI} -t freqtrade:${TAG_FREQAI_RL} -f docker/Dockerfile.freqai_rl .
|
||||
|
||||
docker tag freqtrade:$TAG_PLOT ${CACHE_IMAGE}:$TAG_PLOT
|
||||
docker tag freqtrade:$TAG_FREQAI ${CACHE_IMAGE}:$TAG_FREQAI
|
||||
|
||||
@ -6,8 +6,8 @@ Low level feature engineering is performed in the user strategy within a set of
|
||||
|
||||
| Function | Description |
|
||||
|---------------|-------------|
|
||||
| `feature_engineering__expand_all()` | This optional function will automatically expand the defined features on the config defined `indicator_periods_candles`, `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`.
|
||||
| `feature_engineering__expand_basic()` | This optional function will automatically expand the defined features on the config defined `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`. Note: this function does *not* expand across `include_periods_candles`.
|
||||
| `feature_engineering_expand_all()` | This optional function will automatically expand the defined features on the config defined `indicator_periods_candles`, `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`.
|
||||
| `feature_engineering_expand_basic()` | This optional function will automatically expand the defined features on the config defined `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`. Note: this function does *not* expand across `include_periods_candles`.
|
||||
| `feature_engineering_standard()` | This optional function will be called once with the dataframe of the base timeframe. This is the final function to be called, which means that the dataframe entering this function will contain all the features and columns from the base asset created by the other `feature_engineering_expand` functions. This function is a good place to do custom exotic feature extractions (e.g. tsfresh). This function is also a good place for any feature that should not be auto-expanded upon (e.g., day of the week).
|
||||
| `set_freqai_targets()` | Required function to set the targets for the model. All targets must be prepended with `&` to be recognized by the FreqAI internals.
|
||||
|
||||
@ -182,11 +182,11 @@ In total, the number of features the user of the presented example strat has cre
|
||||
$= 3 * 3 * 3 * 2 * 2 = 108$.
|
||||
|
||||
|
||||
### Gain finer control over `feature_engineering_*` functions with `metadata`
|
||||
### Gain finer control over `feature_engineering_*` functions with `metadata`
|
||||
|
||||
All `feature_engineering_*` and `set_freqai_targets()` functions are passed a `metadata` dictionary which contains information about the `pair`, `tf` (timeframe), and `period` that FreqAI is automating for feature building. As such, a user can use `metadata` inside `feature_engineering_*` functions as criteria for blocking/reserving features for certain timeframes, periods, pairs etc.
|
||||
|
||||
```py
|
||||
```python
|
||||
def feature_engineering_expand_all(self, dataframe, period, metadata, **kwargs):
|
||||
if metadata["tf"] == "1h":
|
||||
dataframe["%-roc-period"] = ta.ROC(dataframe, timeperiod=period)
|
||||
|
||||
@ -1,6 +1,6 @@
|
||||
markdown==3.3.7
|
||||
mkdocs==1.4.2
|
||||
mkdocs-material==9.1.4
|
||||
mkdocs-material==9.1.5
|
||||
mdx_truly_sane_lists==1.3
|
||||
pymdown-extensions==9.10
|
||||
jinja2==3.1.2
|
||||
|
||||
@ -1,5 +1,5 @@
|
||||
""" Freqtrade bot """
|
||||
__version__ = '2023.3.dev'
|
||||
__version__ = '2023.4.dev'
|
||||
|
||||
if 'dev' in __version__:
|
||||
from pathlib import Path
|
||||
|
||||
@ -598,7 +598,7 @@ CONF_SCHEMA = {
|
||||
"model_type": {"type": "string", "default": "PPO"},
|
||||
"policy_type": {"type": "string", "default": "MlpPolicy"},
|
||||
"net_arch": {"type": "array", "default": [128, 128]},
|
||||
"randomize_startinng_position": {"type": "boolean", "default": False},
|
||||
"randomize_starting_position": {"type": "boolean", "default": False},
|
||||
"model_reward_parameters": {
|
||||
"type": "object",
|
||||
"properties": {
|
||||
|
||||
@ -8,15 +8,15 @@ from freqtrade.exchange.bitpanda import Bitpanda
|
||||
from freqtrade.exchange.bittrex import Bittrex
|
||||
from freqtrade.exchange.bybit import Bybit
|
||||
from freqtrade.exchange.coinbasepro import Coinbasepro
|
||||
from freqtrade.exchange.exchange_utils import (amount_to_contract_precision, amount_to_contracts,
|
||||
amount_to_precision, available_exchanges,
|
||||
ccxt_exchanges, contracts_to_amount,
|
||||
date_minus_candles, is_exchange_known_ccxt,
|
||||
market_is_active, price_to_precision,
|
||||
timeframe_to_minutes, timeframe_to_msecs,
|
||||
timeframe_to_next_date, timeframe_to_prev_date,
|
||||
timeframe_to_seconds, validate_exchange,
|
||||
validate_exchanges)
|
||||
from freqtrade.exchange.exchange_utils import (ROUND_DOWN, ROUND_UP, amount_to_contract_precision,
|
||||
amount_to_contracts, amount_to_precision,
|
||||
available_exchanges, ccxt_exchanges,
|
||||
contracts_to_amount, date_minus_candles,
|
||||
is_exchange_known_ccxt, market_is_active,
|
||||
price_to_precision, timeframe_to_minutes,
|
||||
timeframe_to_msecs, timeframe_to_next_date,
|
||||
timeframe_to_prev_date, timeframe_to_seconds,
|
||||
validate_exchange, validate_exchanges)
|
||||
from freqtrade.exchange.gate import Gate
|
||||
from freqtrade.exchange.hitbtc import Hitbtc
|
||||
from freqtrade.exchange.huobi import Huobi
|
||||
|
||||
@ -30,13 +30,14 @@ from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFun
|
||||
RetryableOrderError, TemporaryError)
|
||||
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, remove_credentials, retrier,
|
||||
retrier_async)
|
||||
from freqtrade.exchange.exchange_utils import (CcxtModuleType, amount_to_contract_precision,
|
||||
amount_to_contracts, amount_to_precision,
|
||||
contracts_to_amount, date_minus_candles,
|
||||
is_exchange_known_ccxt, market_is_active,
|
||||
price_to_precision, timeframe_to_minutes,
|
||||
timeframe_to_msecs, timeframe_to_next_date,
|
||||
timeframe_to_prev_date, timeframe_to_seconds)
|
||||
from freqtrade.exchange.exchange_utils import (ROUND, ROUND_DOWN, ROUND_UP, CcxtModuleType,
|
||||
amount_to_contract_precision, amount_to_contracts,
|
||||
amount_to_precision, contracts_to_amount,
|
||||
date_minus_candles, is_exchange_known_ccxt,
|
||||
market_is_active, price_to_precision,
|
||||
timeframe_to_minutes, timeframe_to_msecs,
|
||||
timeframe_to_next_date, timeframe_to_prev_date,
|
||||
timeframe_to_seconds)
|
||||
from freqtrade.exchange.types import OHLCVResponse, OrderBook, Ticker, Tickers
|
||||
from freqtrade.misc import (chunks, deep_merge_dicts, file_dump_json, file_load_json,
|
||||
safe_value_fallback2)
|
||||
@ -734,12 +735,14 @@ class Exchange:
|
||||
"""
|
||||
return amount_to_precision(amount, self.get_precision_amount(pair), self.precisionMode)
|
||||
|
||||
def price_to_precision(self, pair: str, price: float) -> float:
|
||||
def price_to_precision(self, pair: str, price: float, *, rounding_mode: int = ROUND) -> float:
|
||||
"""
|
||||
Returns the price rounded up to the precision the Exchange accepts.
|
||||
Rounds up
|
||||
Returns the price rounded to the precision the Exchange accepts.
|
||||
The default price_rounding_mode in conf is ROUND.
|
||||
For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.
|
||||
"""
|
||||
return price_to_precision(price, self.get_precision_price(pair), self.precisionMode)
|
||||
return price_to_precision(price, self.get_precision_price(pair),
|
||||
self.precisionMode, rounding_mode=rounding_mode)
|
||||
|
||||
def price_get_one_pip(self, pair: str, price: float) -> float:
|
||||
"""
|
||||
@ -762,12 +765,12 @@ class Exchange:
|
||||
return self._get_stake_amount_limit(pair, price, stoploss, 'min', leverage)
|
||||
|
||||
def get_max_pair_stake_amount(self, pair: str, price: float, leverage: float = 1.0) -> float:
|
||||
max_stake_amount = self._get_stake_amount_limit(pair, price, 0.0, 'max')
|
||||
max_stake_amount = self._get_stake_amount_limit(pair, price, 0.0, 'max', leverage)
|
||||
if max_stake_amount is None:
|
||||
# * Should never be executed
|
||||
raise OperationalException(f'{self.name}.get_max_pair_stake_amount should'
|
||||
'never set max_stake_amount to None')
|
||||
return max_stake_amount / leverage
|
||||
return max_stake_amount
|
||||
|
||||
def _get_stake_amount_limit(
|
||||
self,
|
||||
@ -785,43 +788,41 @@ class Exchange:
|
||||
except KeyError:
|
||||
raise ValueError(f"Can't get market information for symbol {pair}")
|
||||
|
||||
if isMin:
|
||||
# reserve some percent defined in config (5% default) + stoploss
|
||||
margin_reserve: float = 1.0 + self._config.get('amount_reserve_percent',
|
||||
DEFAULT_AMOUNT_RESERVE_PERCENT)
|
||||
stoploss_reserve = (
|
||||
margin_reserve / (1 - abs(stoploss)) if abs(stoploss) != 1 else 1.5
|
||||
)
|
||||
# it should not be more than 50%
|
||||
stoploss_reserve = max(min(stoploss_reserve, 1.5), 1)
|
||||
else:
|
||||
margin_reserve = 1.0
|
||||
stoploss_reserve = 1.0
|
||||
|
||||
stake_limits = []
|
||||
limits = market['limits']
|
||||
if (limits['cost'][limit] is not None):
|
||||
stake_limits.append(
|
||||
self._contracts_to_amount(
|
||||
pair,
|
||||
limits['cost'][limit]
|
||||
)
|
||||
self._contracts_to_amount(pair, limits['cost'][limit]) * stoploss_reserve
|
||||
)
|
||||
|
||||
if (limits['amount'][limit] is not None):
|
||||
stake_limits.append(
|
||||
self._contracts_to_amount(
|
||||
pair,
|
||||
limits['amount'][limit] * price
|
||||
)
|
||||
self._contracts_to_amount(pair, limits['amount'][limit]) * price * margin_reserve
|
||||
)
|
||||
|
||||
if not stake_limits:
|
||||
return None if isMin else float('inf')
|
||||
|
||||
# reserve some percent defined in config (5% default) + stoploss
|
||||
amount_reserve_percent = 1.0 + self._config.get('amount_reserve_percent',
|
||||
DEFAULT_AMOUNT_RESERVE_PERCENT)
|
||||
amount_reserve_percent = (
|
||||
amount_reserve_percent / (1 - abs(stoploss)) if abs(stoploss) != 1 else 1.5
|
||||
)
|
||||
# it should not be more than 50%
|
||||
amount_reserve_percent = max(min(amount_reserve_percent, 1.5), 1)
|
||||
|
||||
# The value returned should satisfy both limits: for amount (base currency) and
|
||||
# for cost (quote, stake currency), so max() is used here.
|
||||
# See also #2575 at github.
|
||||
return self._get_stake_amount_considering_leverage(
|
||||
max(stake_limits) * amount_reserve_percent,
|
||||
max(stake_limits) if isMin else min(stake_limits),
|
||||
leverage or 1.0
|
||||
) if isMin else min(stake_limits)
|
||||
)
|
||||
|
||||
def _get_stake_amount_considering_leverage(self, stake_amount: float, leverage: float) -> float:
|
||||
"""
|
||||
@ -1185,12 +1186,12 @@ class Exchange:
|
||||
|
||||
user_order_type = order_types.get('stoploss', 'market')
|
||||
ordertype, user_order_type = self._get_stop_order_type(user_order_type)
|
||||
|
||||
stop_price_norm = self.price_to_precision(pair, stop_price)
|
||||
round_mode = ROUND_DOWN if side == 'buy' else ROUND_UP
|
||||
stop_price_norm = self.price_to_precision(pair, stop_price, rounding_mode=round_mode)
|
||||
limit_rate = None
|
||||
if user_order_type == 'limit':
|
||||
limit_rate = self._get_stop_limit_rate(stop_price, order_types, side)
|
||||
limit_rate = self.price_to_precision(pair, limit_rate)
|
||||
limit_rate = self.price_to_precision(pair, limit_rate, rounding_mode=round_mode)
|
||||
|
||||
if self._config['dry_run']:
|
||||
dry_order = self.create_dry_run_order(
|
||||
|
||||
@ -2,11 +2,12 @@
|
||||
Exchange support utils
|
||||
"""
|
||||
from datetime import datetime, timedelta, timezone
|
||||
from math import ceil
|
||||
from math import ceil, floor
|
||||
from typing import Any, Dict, List, Optional, Tuple
|
||||
|
||||
import ccxt
|
||||
from ccxt import ROUND_DOWN, ROUND_UP, TICK_SIZE, TRUNCATE, decimal_to_precision
|
||||
from ccxt import (DECIMAL_PLACES, ROUND, ROUND_DOWN, ROUND_UP, SIGNIFICANT_DIGITS, TICK_SIZE,
|
||||
TRUNCATE, decimal_to_precision)
|
||||
|
||||
from freqtrade.exchange.common import BAD_EXCHANGES, EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED
|
||||
from freqtrade.util import FtPrecise
|
||||
@ -219,35 +220,51 @@ def amount_to_contract_precision(
|
||||
return amount
|
||||
|
||||
|
||||
def price_to_precision(price: float, price_precision: Optional[float],
|
||||
precisionMode: Optional[int]) -> float:
|
||||
def price_to_precision(
|
||||
price: float,
|
||||
price_precision: Optional[float],
|
||||
precisionMode: Optional[int],
|
||||
*,
|
||||
rounding_mode: int = ROUND,
|
||||
) -> float:
|
||||
"""
|
||||
Returns the price rounded up to the precision the Exchange accepts.
|
||||
Returns the price rounded to the precision the Exchange accepts.
|
||||
Partial Re-implementation of ccxt internal method decimal_to_precision(),
|
||||
which does not support rounding up
|
||||
which does not support rounding up.
|
||||
For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.
|
||||
|
||||
TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
|
||||
align with amount_to_precision().
|
||||
!!! Rounds up
|
||||
:param price: price to convert
|
||||
:param price_precision: price precision to use. Used from markets[pair]['precision']['price']
|
||||
:param precisionMode: precision mode to use. Should be used from precisionMode
|
||||
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
|
||||
:param rounding_mode: rounding mode to use. Defaults to ROUND
|
||||
:return: price rounded up to the precision the Exchange accepts
|
||||
|
||||
"""
|
||||
if price_precision is not None and precisionMode is not None:
|
||||
# price = float(decimal_to_precision(price, rounding_mode=ROUND,
|
||||
# precision=price_precision,
|
||||
# counting_mode=self.precisionMode,
|
||||
# ))
|
||||
if precisionMode == TICK_SIZE:
|
||||
if rounding_mode == ROUND:
|
||||
ticks = price / price_precision
|
||||
rounded_ticks = round(ticks)
|
||||
return rounded_ticks * price_precision
|
||||
precision = FtPrecise(price_precision)
|
||||
price_str = FtPrecise(price)
|
||||
missing = price_str % precision
|
||||
if not missing == FtPrecise("0"):
|
||||
price = round(float(str(price_str - missing + precision)), 14)
|
||||
else:
|
||||
symbol_prec = price_precision
|
||||
big_price = price * pow(10, symbol_prec)
|
||||
price = ceil(big_price) / pow(10, symbol_prec)
|
||||
return round(float(str(price_str - missing + precision)), 14)
|
||||
return price
|
||||
elif precisionMode in (SIGNIFICANT_DIGITS, DECIMAL_PLACES):
|
||||
ndigits = round(price_precision)
|
||||
if rounding_mode == ROUND:
|
||||
return round(price, ndigits)
|
||||
ticks = price * (10**ndigits)
|
||||
if rounding_mode == ROUND_UP:
|
||||
return ceil(ticks) / (10**ndigits)
|
||||
if rounding_mode == TRUNCATE:
|
||||
return int(ticks) / (10**ndigits)
|
||||
if rounding_mode == ROUND_DOWN:
|
||||
return floor(ticks) / (10**ndigits)
|
||||
raise ValueError(f"Unknown rounding_mode {rounding_mode}")
|
||||
raise ValueError(f"Unknown precisionMode {precisionMode}")
|
||||
return price
|
||||
|
||||
@ -12,6 +12,7 @@ from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, Invali
|
||||
OperationalException, TemporaryError)
|
||||
from freqtrade.exchange import Exchange
|
||||
from freqtrade.exchange.common import retrier
|
||||
from freqtrade.exchange.exchange_utils import ROUND_DOWN, ROUND_UP
|
||||
from freqtrade.exchange.types import Tickers
|
||||
|
||||
|
||||
@ -109,6 +110,7 @@ class Kraken(Exchange):
|
||||
if self.trading_mode == TradingMode.FUTURES:
|
||||
params.update({'reduceOnly': True})
|
||||
|
||||
round_mode = ROUND_DOWN if side == 'buy' else ROUND_UP
|
||||
if order_types.get('stoploss', 'market') == 'limit':
|
||||
ordertype = "stop-loss-limit"
|
||||
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
|
||||
@ -116,11 +118,11 @@ class Kraken(Exchange):
|
||||
limit_rate = stop_price * limit_price_pct
|
||||
else:
|
||||
limit_rate = stop_price * (2 - limit_price_pct)
|
||||
params['price2'] = self.price_to_precision(pair, limit_rate)
|
||||
params['price2'] = self.price_to_precision(pair, limit_rate, rounding_mode=round_mode)
|
||||
else:
|
||||
ordertype = "stop-loss"
|
||||
|
||||
stop_price = self.price_to_precision(pair, stop_price)
|
||||
stop_price = self.price_to_precision(pair, stop_price, rounding_mode=round_mode)
|
||||
|
||||
if self._config['dry_run']:
|
||||
dry_order = self.create_dry_run_order(
|
||||
|
||||
@ -66,7 +66,7 @@ class Base3ActionRLEnv(BaseEnvironment):
|
||||
elif action == Actions.Sell.value and not self.can_short:
|
||||
self._update_total_profit()
|
||||
self._position = Positions.Neutral
|
||||
trade_type = "neutral"
|
||||
trade_type = "exit"
|
||||
self._last_trade_tick = None
|
||||
else:
|
||||
print("case not defined")
|
||||
@ -74,7 +74,7 @@ class Base3ActionRLEnv(BaseEnvironment):
|
||||
if trade_type is not None:
|
||||
self.trade_history.append(
|
||||
{'price': self.current_price(), 'index': self._current_tick,
|
||||
'type': trade_type})
|
||||
'type': trade_type, 'profit': self.get_unrealized_profit()})
|
||||
|
||||
if (self._total_profit < self.max_drawdown or
|
||||
self._total_unrealized_profit < self.max_drawdown):
|
||||
|
||||
@ -52,16 +52,6 @@ class Base4ActionRLEnv(BaseEnvironment):
|
||||
|
||||
trade_type = None
|
||||
if self.is_tradesignal(action):
|
||||
"""
|
||||
Action: Neutral, position: Long -> Close Long
|
||||
Action: Neutral, position: Short -> Close Short
|
||||
|
||||
Action: Long, position: Neutral -> Open Long
|
||||
Action: Long, position: Short -> Close Short and Open Long
|
||||
|
||||
Action: Short, position: Neutral -> Open Short
|
||||
Action: Short, position: Long -> Close Long and Open Short
|
||||
"""
|
||||
|
||||
if action == Actions.Neutral.value:
|
||||
self._position = Positions.Neutral
|
||||
@ -69,16 +59,16 @@ class Base4ActionRLEnv(BaseEnvironment):
|
||||
self._last_trade_tick = None
|
||||
elif action == Actions.Long_enter.value:
|
||||
self._position = Positions.Long
|
||||
trade_type = "long"
|
||||
trade_type = "enter_long"
|
||||
self._last_trade_tick = self._current_tick
|
||||
elif action == Actions.Short_enter.value:
|
||||
self._position = Positions.Short
|
||||
trade_type = "short"
|
||||
trade_type = "enter_short"
|
||||
self._last_trade_tick = self._current_tick
|
||||
elif action == Actions.Exit.value:
|
||||
self._update_total_profit()
|
||||
self._position = Positions.Neutral
|
||||
trade_type = "neutral"
|
||||
trade_type = "exit"
|
||||
self._last_trade_tick = None
|
||||
else:
|
||||
print("case not defined")
|
||||
@ -86,7 +76,7 @@ class Base4ActionRLEnv(BaseEnvironment):
|
||||
if trade_type is not None:
|
||||
self.trade_history.append(
|
||||
{'price': self.current_price(), 'index': self._current_tick,
|
||||
'type': trade_type})
|
||||
'type': trade_type, 'profit': self.get_unrealized_profit()})
|
||||
|
||||
if (self._total_profit < self.max_drawdown or
|
||||
self._total_unrealized_profit < self.max_drawdown):
|
||||
|
||||
@ -53,16 +53,6 @@ class Base5ActionRLEnv(BaseEnvironment):
|
||||
|
||||
trade_type = None
|
||||
if self.is_tradesignal(action):
|
||||
"""
|
||||
Action: Neutral, position: Long -> Close Long
|
||||
Action: Neutral, position: Short -> Close Short
|
||||
|
||||
Action: Long, position: Neutral -> Open Long
|
||||
Action: Long, position: Short -> Close Short and Open Long
|
||||
|
||||
Action: Short, position: Neutral -> Open Short
|
||||
Action: Short, position: Long -> Close Long and Open Short
|
||||
"""
|
||||
|
||||
if action == Actions.Neutral.value:
|
||||
self._position = Positions.Neutral
|
||||
@ -70,21 +60,21 @@ class Base5ActionRLEnv(BaseEnvironment):
|
||||
self._last_trade_tick = None
|
||||
elif action == Actions.Long_enter.value:
|
||||
self._position = Positions.Long
|
||||
trade_type = "long"
|
||||
trade_type = "enter_long"
|
||||
self._last_trade_tick = self._current_tick
|
||||
elif action == Actions.Short_enter.value:
|
||||
self._position = Positions.Short
|
||||
trade_type = "short"
|
||||
trade_type = "enter_short"
|
||||
self._last_trade_tick = self._current_tick
|
||||
elif action == Actions.Long_exit.value:
|
||||
self._update_total_profit()
|
||||
self._position = Positions.Neutral
|
||||
trade_type = "neutral"
|
||||
trade_type = "exit_long"
|
||||
self._last_trade_tick = None
|
||||
elif action == Actions.Short_exit.value:
|
||||
self._update_total_profit()
|
||||
self._position = Positions.Neutral
|
||||
trade_type = "neutral"
|
||||
trade_type = "exit_short"
|
||||
self._last_trade_tick = None
|
||||
else:
|
||||
print("case not defined")
|
||||
@ -92,7 +82,7 @@ class Base5ActionRLEnv(BaseEnvironment):
|
||||
if trade_type is not None:
|
||||
self.trade_history.append(
|
||||
{'price': self.current_price(), 'index': self._current_tick,
|
||||
'type': trade_type})
|
||||
'type': trade_type, 'profit': self.get_unrealized_profit()})
|
||||
|
||||
if (self._total_profit < self.max_drawdown or
|
||||
self._total_unrealized_profit < self.max_drawdown):
|
||||
|
||||
@ -21,7 +21,8 @@ from freqtrade.enums import (ExitCheckTuple, ExitType, RPCMessageType, RunMode,
|
||||
State, TradingMode)
|
||||
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
|
||||
InvalidOrderException, PricingError)
|
||||
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date, timeframe_to_seconds
|
||||
from freqtrade.exchange import (ROUND_DOWN, ROUND_UP, timeframe_to_minutes, timeframe_to_next_date,
|
||||
timeframe_to_seconds)
|
||||
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
|
||||
from freqtrade.mixins import LoggingMixin
|
||||
from freqtrade.persistence import Order, PairLocks, Trade, init_db
|
||||
@ -853,7 +854,8 @@ class FreqtradeBot(LoggingMixin):
|
||||
logger.info(f"Canceling stoploss on exchange for {trade}")
|
||||
co = self.exchange.cancel_stoploss_order_with_result(
|
||||
trade.stoploss_order_id, trade.pair, trade.amount)
|
||||
trade.update_order(co)
|
||||
self.update_trade_state(trade, trade.stoploss_order_id, co, stoploss_order=True)
|
||||
|
||||
# Reset stoploss order id.
|
||||
trade.stoploss_order_id = None
|
||||
except InvalidOrderException:
|
||||
@ -945,7 +947,7 @@ class FreqtradeBot(LoggingMixin):
|
||||
|
||||
return enter_limit_requested, stake_amount, leverage
|
||||
|
||||
def _notify_enter(self, trade: Trade, order: Order, order_type: Optional[str] = None,
|
||||
def _notify_enter(self, trade: Trade, order: Order, order_type: str,
|
||||
fill: bool = False, sub_trade: bool = False) -> None:
|
||||
"""
|
||||
Sends rpc notification when a entry order occurred.
|
||||
@ -1171,7 +1173,8 @@ class FreqtradeBot(LoggingMixin):
|
||||
logger.warning('Unable to fetch stoploss order: %s', exception)
|
||||
|
||||
if stoploss_order:
|
||||
trade.update_order(stoploss_order)
|
||||
self.update_trade_state(trade, trade.stoploss_order_id, stoploss_order,
|
||||
stoploss_order=True)
|
||||
|
||||
# We check if stoploss order is fulfilled
|
||||
if stoploss_order and stoploss_order['status'] in ('closed', 'triggered'):
|
||||
@ -1235,7 +1238,9 @@ class FreqtradeBot(LoggingMixin):
|
||||
:param order: Current on exchange stoploss order
|
||||
:return: None
|
||||
"""
|
||||
stoploss_norm = self.exchange.price_to_precision(trade.pair, trade.stoploss_or_liquidation)
|
||||
stoploss_norm = self.exchange.price_to_precision(
|
||||
trade.pair, trade.stoploss_or_liquidation,
|
||||
rounding_mode=ROUND_DOWN if trade.is_short else ROUND_UP)
|
||||
|
||||
if self.exchange.stoploss_adjust(stoploss_norm, order, side=trade.exit_side):
|
||||
# we check if the update is necessary
|
||||
@ -1778,6 +1783,7 @@ class FreqtradeBot(LoggingMixin):
|
||||
return False
|
||||
|
||||
# Update trade with order values
|
||||
if not stoploss_order:
|
||||
logger.info(f'Found open order for {trade}')
|
||||
try:
|
||||
order = action_order or self.exchange.fetch_order_or_stoploss_order(order_id,
|
||||
@ -1847,7 +1853,7 @@ class FreqtradeBot(LoggingMixin):
|
||||
self.handle_protections(trade.pair, trade.trade_direction)
|
||||
elif send_msg and not trade.open_order_id and not stoploss_order:
|
||||
# Enter fill
|
||||
self._notify_enter(trade, order, fill=True, sub_trade=sub_trade)
|
||||
self._notify_enter(trade, order, order.order_type, fill=True, sub_trade=sub_trade)
|
||||
|
||||
def handle_protections(self, pair: str, side: LongShort) -> None:
|
||||
# Lock pair for one candle to prevent immediate rebuys
|
||||
|
||||
@ -15,7 +15,8 @@ from freqtrade.constants import (DATETIME_PRINT_FORMAT, MATH_CLOSE_PREC, NON_OPE
|
||||
BuySell, LongShort)
|
||||
from freqtrade.enums import ExitType, TradingMode
|
||||
from freqtrade.exceptions import DependencyException, OperationalException
|
||||
from freqtrade.exchange import amount_to_contract_precision, price_to_precision
|
||||
from freqtrade.exchange import (ROUND_DOWN, ROUND_UP, amount_to_contract_precision,
|
||||
price_to_precision)
|
||||
from freqtrade.leverage import interest
|
||||
from freqtrade.persistence.base import ModelBase, SessionType
|
||||
from freqtrade.util import FtPrecise
|
||||
@ -597,7 +598,8 @@ class LocalTrade():
|
||||
"""
|
||||
Method used internally to set self.stop_loss.
|
||||
"""
|
||||
stop_loss_norm = price_to_precision(stop_loss, self.price_precision, self.precision_mode)
|
||||
stop_loss_norm = price_to_precision(stop_loss, self.price_precision, self.precision_mode,
|
||||
rounding_mode=ROUND_DOWN if self.is_short else ROUND_UP)
|
||||
if not self.stop_loss:
|
||||
self.initial_stop_loss = stop_loss_norm
|
||||
self.stop_loss = stop_loss_norm
|
||||
@ -628,7 +630,8 @@ class LocalTrade():
|
||||
if self.initial_stop_loss_pct is None or refresh:
|
||||
self.__set_stop_loss(new_loss, stoploss)
|
||||
self.initial_stop_loss = price_to_precision(
|
||||
new_loss, self.price_precision, self.precision_mode)
|
||||
new_loss, self.price_precision, self.precision_mode,
|
||||
rounding_mode=ROUND_DOWN if self.is_short else ROUND_UP)
|
||||
self.initial_stop_loss_pct = -1 * abs(stoploss)
|
||||
|
||||
# evaluate if the stop loss needs to be updated
|
||||
@ -692,21 +695,24 @@ class LocalTrade():
|
||||
else:
|
||||
logger.warning(
|
||||
f'Got different open_order_id {self.open_order_id} != {order.order_id}')
|
||||
|
||||
elif order.ft_order_side == 'stoploss' and order.status not in ('open', ):
|
||||
self.stoploss_order_id = None
|
||||
self.close_rate_requested = self.stop_loss
|
||||
self.exit_reason = ExitType.STOPLOSS_ON_EXCHANGE.value
|
||||
if self.is_open:
|
||||
logger.info(f'{order.order_type.upper()} is hit for {self}.')
|
||||
else:
|
||||
raise ValueError(f'Unknown order type: {order.order_type}')
|
||||
|
||||
if order.ft_order_side != self.entry_side:
|
||||
amount_tr = amount_to_contract_precision(self.amount, self.amount_precision,
|
||||
self.precision_mode, self.contract_size)
|
||||
if isclose(order.safe_amount_after_fee, amount_tr, abs_tol=MATH_CLOSE_PREC):
|
||||
self.close(order.safe_price)
|
||||
else:
|
||||
self.recalc_trade_from_orders()
|
||||
elif order.ft_order_side == 'stoploss' and order.status not in ('canceled', 'open'):
|
||||
self.stoploss_order_id = None
|
||||
self.close_rate_requested = self.stop_loss
|
||||
self.exit_reason = ExitType.STOPLOSS_ON_EXCHANGE.value
|
||||
if self.is_open:
|
||||
logger.info(f'{order.order_type.upper()} is hit for {self}.')
|
||||
self.close(order.safe_price)
|
||||
else:
|
||||
raise ValueError(f'Unknown order type: {order.order_type}')
|
||||
|
||||
Trade.commit()
|
||||
|
||||
def close(self, rate: float, *, show_msg: bool = True) -> None:
|
||||
|
||||
@ -6,6 +6,7 @@ from typing import Any, Dict, Optional
|
||||
|
||||
from freqtrade.constants import Config
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.exchange import ROUND_UP
|
||||
from freqtrade.exchange.types import Ticker
|
||||
from freqtrade.plugins.pairlist.IPairList import IPairList
|
||||
|
||||
@ -61,9 +62,10 @@ class PrecisionFilter(IPairList):
|
||||
stop_price = ticker['last'] * self._stoploss
|
||||
|
||||
# Adjust stop-prices to precision
|
||||
sp = self._exchange.price_to_precision(pair, stop_price)
|
||||
sp = self._exchange.price_to_precision(pair, stop_price, rounding_mode=ROUND_UP)
|
||||
|
||||
stop_gap_price = self._exchange.price_to_precision(pair, stop_price * 0.99)
|
||||
stop_gap_price = self._exchange.price_to_precision(pair, stop_price * 0.99,
|
||||
rounding_mode=ROUND_UP)
|
||||
logger.debug(f"{pair} - {sp} : {stop_gap_price}")
|
||||
|
||||
if sp <= stop_gap_price:
|
||||
|
||||
@ -52,7 +52,7 @@ class __RPCBuyMsgBase(RPCSendMsgBase):
|
||||
direction: str
|
||||
limit: float
|
||||
open_rate: float
|
||||
order_type: Optional[str] # TODO: why optional??
|
||||
order_type: str
|
||||
stake_amount: float
|
||||
stake_currency: str
|
||||
fiat_currency: Optional[str]
|
||||
|
||||
@ -7,7 +7,7 @@
|
||||
-r docs/requirements-docs.txt
|
||||
|
||||
coveralls==3.3.1
|
||||
ruff==0.0.259
|
||||
ruff==0.0.260
|
||||
mypy==1.1.1
|
||||
pre-commit==3.2.1
|
||||
pytest==7.2.2
|
||||
@ -25,8 +25,8 @@ httpx==0.23.3
|
||||
nbconvert==7.2.10
|
||||
|
||||
# mypy types
|
||||
types-cachetools==5.3.0.4
|
||||
types-cachetools==5.3.0.5
|
||||
types-filelock==3.2.7
|
||||
types-requests==2.28.11.16
|
||||
types-tabulate==0.9.0.1
|
||||
types-python-dateutil==2.8.19.10
|
||||
types-requests==2.28.11.17
|
||||
types-tabulate==0.9.0.2
|
||||
types-python-dateutil==2.8.19.11
|
||||
|
||||
@ -7,5 +7,5 @@ scikit-learn==1.1.3
|
||||
joblib==1.2.0
|
||||
catboost==1.1.1; platform_machine != 'aarch64' and 'arm' not in platform_machine and python_version < '3.11'
|
||||
lightgbm==3.3.5
|
||||
xgboost==1.7.4
|
||||
tensorboard==2.12.0
|
||||
xgboost==1.7.5
|
||||
tensorboard==2.12.1
|
||||
|
||||
@ -1,4 +1,4 @@
|
||||
# Include all requirements to run the bot.
|
||||
-r requirements.txt
|
||||
|
||||
plotly==5.13.1
|
||||
plotly==5.14.0
|
||||
|
||||
@ -2,10 +2,10 @@ numpy==1.24.2
|
||||
pandas==1.5.3
|
||||
pandas-ta==0.3.14b
|
||||
|
||||
ccxt==3.0.37
|
||||
ccxt==3.0.50
|
||||
cryptography==40.0.1
|
||||
aiohttp==3.8.4
|
||||
SQLAlchemy==2.0.7
|
||||
SQLAlchemy==2.0.8
|
||||
python-telegram-bot==13.15
|
||||
arrow==1.2.3
|
||||
cachetools==4.2.2
|
||||
@ -28,7 +28,7 @@ py_find_1st==1.1.5
|
||||
# Load ticker files 30% faster
|
||||
python-rapidjson==1.10
|
||||
# Properly format api responses
|
||||
orjson==3.8.8
|
||||
orjson==3.8.9
|
||||
|
||||
# Notify systemd
|
||||
sdnotify==0.3.2
|
||||
@ -53,7 +53,7 @@ python-dateutil==2.8.2
|
||||
schedule==1.1.0
|
||||
|
||||
#WS Messages
|
||||
websockets==10.4
|
||||
websockets==11.0
|
||||
janus==1.0.0
|
||||
|
||||
ast-comments==1.0.1
|
||||
|
||||
@ -48,7 +48,7 @@ def test_create_stoploss_order_binance(default_conf, mocker, limitratio, expecte
|
||||
default_conf['margin_mode'] = MarginMode.ISOLATED
|
||||
default_conf['trading_mode'] = trademode
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
|
||||
|
||||
@ -127,7 +127,7 @@ def test_create_stoploss_order_dry_run_binance(default_conf, mocker):
|
||||
order_type = 'stop_loss_limit'
|
||||
default_conf['dry_run'] = True
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'binance')
|
||||
|
||||
|
||||
@ -8,6 +8,7 @@ from unittest.mock import MagicMock, Mock, PropertyMock, patch
|
||||
import arrow
|
||||
import ccxt
|
||||
import pytest
|
||||
from ccxt import DECIMAL_PLACES, ROUND, ROUND_UP, TICK_SIZE, TRUNCATE
|
||||
from pandas import DataFrame
|
||||
|
||||
from freqtrade.enums import CandleType, MarginMode, TradingMode
|
||||
@ -315,35 +316,54 @@ def test_amount_to_precision(amount, precision_mode, precision, expected,):
|
||||
assert amount_to_precision(amount, precision, precision_mode) == expected
|
||||
|
||||
|
||||
@pytest.mark.parametrize("price,precision_mode,precision,expected", [
|
||||
(2.34559, 2, 4, 2.3456),
|
||||
(2.34559, 2, 5, 2.34559),
|
||||
(2.34559, 2, 3, 2.346),
|
||||
(2.9999, 2, 3, 3.000),
|
||||
(2.9909, 2, 3, 2.991),
|
||||
# Tests for Tick_size
|
||||
(2.34559, 4, 0.0001, 2.3456),
|
||||
(2.34559, 4, 0.00001, 2.34559),
|
||||
(2.34559, 4, 0.001, 2.346),
|
||||
(2.9999, 4, 0.001, 3.000),
|
||||
(2.9909, 4, 0.001, 2.991),
|
||||
(2.9909, 4, 0.005, 2.995),
|
||||
(2.9973, 4, 0.005, 3.0),
|
||||
(2.9977, 4, 0.005, 3.0),
|
||||
(234.43, 4, 0.5, 234.5),
|
||||
(234.53, 4, 0.5, 235.0),
|
||||
(0.891534, 4, 0.0001, 0.8916),
|
||||
(64968.89, 4, 0.01, 64968.89),
|
||||
(0.000000003483, 4, 1e-12, 0.000000003483),
|
||||
|
||||
@pytest.mark.parametrize("price,precision_mode,precision,expected,rounding_mode", [
|
||||
# Tests for DECIMAL_PLACES, ROUND_UP
|
||||
(2.34559, 2, 4, 2.3456, ROUND_UP),
|
||||
(2.34559, 2, 5, 2.34559, ROUND_UP),
|
||||
(2.34559, 2, 3, 2.346, ROUND_UP),
|
||||
(2.9999, 2, 3, 3.000, ROUND_UP),
|
||||
(2.9909, 2, 3, 2.991, ROUND_UP),
|
||||
# Tests for DECIMAL_PLACES, ROUND
|
||||
(2.345600000000001, DECIMAL_PLACES, 4, 2.3456, ROUND),
|
||||
(2.345551, DECIMAL_PLACES, 4, 2.3456, ROUND),
|
||||
(2.49, DECIMAL_PLACES, 0, 2., ROUND),
|
||||
(2.51, DECIMAL_PLACES, 0, 3., ROUND),
|
||||
(5.1, DECIMAL_PLACES, -1, 10., ROUND),
|
||||
(4.9, DECIMAL_PLACES, -1, 0., ROUND),
|
||||
# Tests for TICK_SIZE, ROUND_UP
|
||||
(2.34559, TICK_SIZE, 0.0001, 2.3456, ROUND_UP),
|
||||
(2.34559, TICK_SIZE, 0.00001, 2.34559, ROUND_UP),
|
||||
(2.34559, TICK_SIZE, 0.001, 2.346, ROUND_UP),
|
||||
(2.9999, TICK_SIZE, 0.001, 3.000, ROUND_UP),
|
||||
(2.9909, TICK_SIZE, 0.001, 2.991, ROUND_UP),
|
||||
(2.9909, TICK_SIZE, 0.005, 2.995, ROUND_UP),
|
||||
(2.9973, TICK_SIZE, 0.005, 3.0, ROUND_UP),
|
||||
(2.9977, TICK_SIZE, 0.005, 3.0, ROUND_UP),
|
||||
(234.43, TICK_SIZE, 0.5, 234.5, ROUND_UP),
|
||||
(234.53, TICK_SIZE, 0.5, 235.0, ROUND_UP),
|
||||
(0.891534, TICK_SIZE, 0.0001, 0.8916, ROUND_UP),
|
||||
(64968.89, TICK_SIZE, 0.01, 64968.89, ROUND_UP),
|
||||
(0.000000003483, TICK_SIZE, 1e-12, 0.000000003483, ROUND_UP),
|
||||
# Tests for TICK_SIZE, ROUND
|
||||
(2.49, TICK_SIZE, 1., 2., ROUND),
|
||||
(2.51, TICK_SIZE, 1., 3., ROUND),
|
||||
(2.000000051, TICK_SIZE, 0.0000001, 2.0000001, ROUND),
|
||||
(2.000000049, TICK_SIZE, 0.0000001, 2., ROUND),
|
||||
(2.9909, TICK_SIZE, 0.005, 2.990, ROUND),
|
||||
(2.9973, TICK_SIZE, 0.005, 2.995, ROUND),
|
||||
(2.9977, TICK_SIZE, 0.005, 3.0, ROUND),
|
||||
(234.24, TICK_SIZE, 0.5, 234., ROUND),
|
||||
(234.26, TICK_SIZE, 0.5, 234.5, ROUND),
|
||||
# Tests for TRUNCATTE
|
||||
(2.34559, 2, 4, 2.3455, TRUNCATE),
|
||||
(2.34559, 2, 5, 2.34559, TRUNCATE),
|
||||
(2.34559, 2, 3, 2.345, TRUNCATE),
|
||||
(2.9999, 2, 3, 2.999, TRUNCATE),
|
||||
(2.9909, 2, 3, 2.990, TRUNCATE),
|
||||
])
|
||||
def test_price_to_precision(price, precision_mode, precision, expected):
|
||||
# digits counting mode
|
||||
# DECIMAL_PLACES = 2
|
||||
# SIGNIFICANT_DIGITS = 3
|
||||
# TICK_SIZE = 4
|
||||
|
||||
assert price_to_precision(price, precision, precision_mode) == expected
|
||||
def test_price_to_precision(price, precision_mode, precision, expected, rounding_mode):
|
||||
assert price_to_precision(
|
||||
price, precision, precision_mode, rounding_mode=rounding_mode) == expected
|
||||
|
||||
|
||||
@pytest.mark.parametrize("price,precision_mode,precision,expected", [
|
||||
@ -417,7 +437,7 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
|
||||
}
|
||||
mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets))
|
||||
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
|
||||
expected_result = 2 * 2 * (1 + 0.05) / (1 - abs(stoploss))
|
||||
expected_result = 2 * 2 * (1 + 0.05)
|
||||
assert pytest.approx(result) == expected_result
|
||||
# With Leverage
|
||||
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 5.0)
|
||||
@ -426,14 +446,14 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
|
||||
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
|
||||
assert result == 20000
|
||||
|
||||
# min amount and cost are set (cost is minimal)
|
||||
# min amount and cost are set (cost is minimal and therefore ignored)
|
||||
markets["ETH/BTC"]["limits"] = {
|
||||
'cost': {'min': 2, 'max': None},
|
||||
'amount': {'min': 2, 'max': None},
|
||||
}
|
||||
mocker.patch(f'{EXMS}.markets', PropertyMock(return_value=markets))
|
||||
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss)
|
||||
expected_result = max(2, 2 * 2) * (1 + 0.05) / (1 - abs(stoploss))
|
||||
expected_result = max(2, 2 * 2) * (1 + 0.05)
|
||||
assert pytest.approx(result) == expected_result
|
||||
# With Leverage
|
||||
result = exchange.get_min_pair_stake_amount('ETH/BTC', 2, stoploss, 10)
|
||||
@ -476,6 +496,9 @@ def test__get_stake_amount_limit(mocker, default_conf) -> None:
|
||||
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2)
|
||||
assert result == 1000
|
||||
|
||||
result = exchange.get_max_pair_stake_amount('ETH/BTC', 2, 12.0)
|
||||
assert result == 1000 / 12
|
||||
|
||||
markets["ETH/BTC"]["contractSize"] = '0.01'
|
||||
default_conf['trading_mode'] = 'futures'
|
||||
default_conf['margin_mode'] = 'isolated'
|
||||
@ -5281,7 +5304,7 @@ def test_stoploss_contract_size(mocker, default_conf, contract_size, order_amoun
|
||||
})
|
||||
default_conf['dry_run'] = False
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock)
|
||||
exchange.get_contract_size = MagicMock(return_value=contract_size)
|
||||
@ -5301,3 +5324,10 @@ def test_stoploss_contract_size(mocker, default_conf, contract_size, order_amoun
|
||||
assert order['cost'] == 100
|
||||
assert order['filled'] == 100
|
||||
assert order['remaining'] == 100
|
||||
|
||||
|
||||
def test_price_to_precision_with_default_conf(default_conf, mocker):
|
||||
conf = copy.deepcopy(default_conf)
|
||||
patched_ex = get_patched_exchange(mocker, conf)
|
||||
prec_price = patched_ex.price_to_precision("XRP/USDT", 1.0000000101)
|
||||
assert prec_price == 1.00000001
|
||||
|
||||
@ -27,7 +27,7 @@ def test_create_stoploss_order_huobi(default_conf, mocker, limitratio, expected,
|
||||
})
|
||||
default_conf['dry_run'] = False
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'huobi')
|
||||
|
||||
@ -80,7 +80,7 @@ def test_create_stoploss_order_dry_run_huobi(default_conf, mocker):
|
||||
order_type = 'stop-limit'
|
||||
default_conf['dry_run'] = True
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'huobi')
|
||||
|
||||
|
||||
@ -29,7 +29,7 @@ def test_buy_kraken_trading_agreement(default_conf, mocker):
|
||||
default_conf['dry_run'] = False
|
||||
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken")
|
||||
|
||||
order = exchange.create_order(
|
||||
@ -192,7 +192,7 @@ def test_create_stoploss_order_kraken(default_conf, mocker, ordertype, side, adj
|
||||
|
||||
default_conf['dry_run'] = False
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
|
||||
|
||||
@ -263,7 +263,7 @@ def test_create_stoploss_order_dry_run_kraken(default_conf, mocker, side):
|
||||
api_mock = MagicMock()
|
||||
default_conf['dry_run'] = True
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kraken')
|
||||
|
||||
|
||||
@ -27,7 +27,7 @@ def test_create_stoploss_order_kucoin(default_conf, mocker, limitratio, expected
|
||||
})
|
||||
default_conf['dry_run'] = False
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kucoin')
|
||||
if order_type == 'limit':
|
||||
@ -88,7 +88,7 @@ def test_stoploss_order_dry_run_kucoin(default_conf, mocker):
|
||||
order_type = 'market'
|
||||
default_conf['dry_run'] = True
|
||||
mocker.patch(f'{EXMS}.amount_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y: y)
|
||||
mocker.patch(f'{EXMS}.price_to_precision', lambda s, x, y, **kwargs: y)
|
||||
|
||||
exchange = get_patched_exchange(mocker, default_conf, api_mock, 'kucoin')
|
||||
|
||||
|
||||
@ -356,7 +356,7 @@ def test_create_trade_no_stake_amount(default_conf_usdt, ticker_usdt, fee, mocke
|
||||
@pytest.mark.parametrize("is_short", [False, True])
|
||||
@pytest.mark.parametrize('stake_amount,create,amount_enough,max_open_trades', [
|
||||
(5.0, True, True, 99),
|
||||
(0.049, True, False, 99), # Amount will be adjusted to min - which is 0.051
|
||||
(0.042, True, False, 99), # Amount will be adjusted to min - which is 0.051
|
||||
(0, False, True, 99),
|
||||
(UNLIMITED_STAKE_AMOUNT, False, True, 0),
|
||||
])
|
||||
@ -1290,6 +1290,137 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
|
||||
assert trade.exit_reason == str(ExitType.EMERGENCY_EXIT)
|
||||
|
||||
|
||||
@pytest.mark.parametrize("is_short", [False, True])
|
||||
def test_handle_stoploss_on_exchange_partial(
|
||||
mocker, default_conf_usdt, fee, is_short, limit_order) -> None:
|
||||
stop_order_dict = {'id': "101", "status": "open"}
|
||||
stoploss = MagicMock(return_value=stop_order_dict)
|
||||
enter_order = limit_order[entry_side(is_short)]
|
||||
exit_order = limit_order[exit_side(is_short)]
|
||||
patch_RPCManager(mocker)
|
||||
patch_exchange(mocker)
|
||||
mocker.patch.multiple(
|
||||
EXMS,
|
||||
fetch_ticker=MagicMock(return_value={
|
||||
'bid': 1.9,
|
||||
'ask': 2.2,
|
||||
'last': 1.9
|
||||
}),
|
||||
create_order=MagicMock(side_effect=[
|
||||
enter_order,
|
||||
exit_order,
|
||||
]),
|
||||
get_fee=fee,
|
||||
create_stoploss=stoploss
|
||||
)
|
||||
freqtrade = FreqtradeBot(default_conf_usdt)
|
||||
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
|
||||
|
||||
freqtrade.enter_positions()
|
||||
trade = Trade.session.scalars(select(Trade)).first()
|
||||
trade.is_short = is_short
|
||||
trade.is_open = True
|
||||
trade.open_order_id = None
|
||||
trade.stoploss_order_id = None
|
||||
|
||||
assert freqtrade.handle_stoploss_on_exchange(trade) is False
|
||||
assert stoploss.call_count == 1
|
||||
assert trade.stoploss_order_id == "101"
|
||||
assert trade.amount == 30
|
||||
stop_order_dict.update({'id': "102"})
|
||||
# Stoploss on exchange is cancelled on exchange, but filled partially.
|
||||
# Must update trade amount to guarantee successful exit.
|
||||
stoploss_order_hit = MagicMock(return_value={
|
||||
'id': "101",
|
||||
'status': 'canceled',
|
||||
'type': 'stop_loss_limit',
|
||||
'price': 3,
|
||||
'average': 2,
|
||||
'filled': trade.amount / 2,
|
||||
'remaining': trade.amount / 2,
|
||||
'amount': enter_order['amount'],
|
||||
})
|
||||
mocker.patch(f'{EXMS}.fetch_stoploss_order', stoploss_order_hit)
|
||||
assert freqtrade.handle_stoploss_on_exchange(trade) is False
|
||||
# Stoploss filled partially ...
|
||||
assert trade.amount == 15
|
||||
|
||||
assert trade.stoploss_order_id == "102"
|
||||
|
||||
|
||||
@pytest.mark.parametrize("is_short", [False, True])
|
||||
def test_handle_stoploss_on_exchange_partial_cancel_here(
|
||||
mocker, default_conf_usdt, fee, is_short, limit_order, caplog) -> None:
|
||||
stop_order_dict = {'id': "101", "status": "open"}
|
||||
default_conf_usdt['trailing_stop'] = True
|
||||
stoploss = MagicMock(return_value=stop_order_dict)
|
||||
enter_order = limit_order[entry_side(is_short)]
|
||||
exit_order = limit_order[exit_side(is_short)]
|
||||
patch_RPCManager(mocker)
|
||||
patch_exchange(mocker)
|
||||
mocker.patch.multiple(
|
||||
EXMS,
|
||||
fetch_ticker=MagicMock(return_value={
|
||||
'bid': 1.9,
|
||||
'ask': 2.2,
|
||||
'last': 1.9
|
||||
}),
|
||||
create_order=MagicMock(side_effect=[
|
||||
enter_order,
|
||||
exit_order,
|
||||
]),
|
||||
get_fee=fee,
|
||||
create_stoploss=stoploss
|
||||
)
|
||||
freqtrade = FreqtradeBot(default_conf_usdt)
|
||||
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
|
||||
|
||||
freqtrade.enter_positions()
|
||||
trade = Trade.session.scalars(select(Trade)).first()
|
||||
trade.is_short = is_short
|
||||
trade.is_open = True
|
||||
trade.open_order_id = None
|
||||
trade.stoploss_order_id = None
|
||||
|
||||
assert freqtrade.handle_stoploss_on_exchange(trade) is False
|
||||
assert stoploss.call_count == 1
|
||||
assert trade.stoploss_order_id == "101"
|
||||
assert trade.amount == 30
|
||||
stop_order_dict.update({'id': "102"})
|
||||
# Stoploss on exchange is open.
|
||||
# Freqtrade cancels the stop - but cancel returns a partial filled order.
|
||||
stoploss_order_hit = MagicMock(return_value={
|
||||
'id': "101",
|
||||
'status': 'open',
|
||||
'type': 'stop_loss_limit',
|
||||
'price': 3,
|
||||
'average': 2,
|
||||
'filled': 0,
|
||||
'remaining': trade.amount,
|
||||
'amount': enter_order['amount'],
|
||||
})
|
||||
stoploss_order_cancel = MagicMock(return_value={
|
||||
'id': "101",
|
||||
'status': 'canceled',
|
||||
'type': 'stop_loss_limit',
|
||||
'price': 3,
|
||||
'average': 2,
|
||||
'filled': trade.amount / 2,
|
||||
'remaining': trade.amount / 2,
|
||||
'amount': enter_order['amount'],
|
||||
})
|
||||
mocker.patch(f'{EXMS}.fetch_stoploss_order', stoploss_order_hit)
|
||||
mocker.patch(f'{EXMS}.cancel_stoploss_order_with_result', stoploss_order_cancel)
|
||||
trade.stoploss_last_update = arrow.utcnow().shift(minutes=-10).datetime
|
||||
|
||||
assert freqtrade.handle_stoploss_on_exchange(trade) is False
|
||||
# Canceled Stoploss filled partially ...
|
||||
assert log_has_re('Cancelling current stoploss on exchange.*', caplog)
|
||||
|
||||
assert trade.stoploss_order_id == "102"
|
||||
assert trade.amount == 15
|
||||
|
||||
|
||||
@pytest.mark.parametrize("is_short", [False, True])
|
||||
def test_handle_sle_cancel_cant_recreate(mocker, default_conf_usdt, fee, caplog, is_short,
|
||||
limit_order) -> None:
|
||||
@ -1671,7 +1802,7 @@ def test_stoploss_on_exchange_price_rounding(
|
||||
EXMS,
|
||||
get_fee=fee,
|
||||
)
|
||||
price_mock = MagicMock(side_effect=lambda p, s: int(s))
|
||||
price_mock = MagicMock(side_effect=lambda p, s, **kwargs: int(s))
|
||||
stoploss_mock = MagicMock(return_value={'id': '13434334'})
|
||||
adjust_mock = MagicMock(return_value=False)
|
||||
mocker.patch.multiple(
|
||||
|
||||
Loading…
Reference in New Issue
Block a user