Fix some unit-tests. Use common trade entry code.
This commit is contained in:
Reigo Reinmets
parent
98255c18cf
commit
1017b68af9
@ -479,15 +479,15 @@ class FreqtradeBot(LoggingMixin):
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logger.debug(f"adjust_trade_position for pair {trade.pair}")
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sell_rate = self.exchange.get_rate(trade.pair, refresh=True, side="sell")
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current_profit = trade.calc_profit_ratio(sell_rate)
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stake_to_adjust = strategy_safe_wrapper(self.strategy.adjust_trade_position, default_retval=None)(
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stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position, default_retval=None)(
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pair=trade.pair, trade=trade, current_time=datetime.now(timezone.utc),
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current_rate=sell_rate, current_profit=current_profit)
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if stake_to_adjust != None and stake_to_adjust > 0.0:
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if stake_amount != None and stake_amount > 0.0:
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# We should increase our position
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self.execute_trade_position_change(trade.pair, stake_to_adjust, trade)
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self.execute_entry(trade.pair, stake_amount, trade=trade)
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if stake_to_adjust != None and stake_to_adjust < 0.0:
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if stake_amount != None and stake_amount < 0.0:
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# We should decrease our position
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# TODO: Selling part of the trade not implemented yet.
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logger.error(f"Unable to decrease trade position / sell partially for pair {trade.pair}, feature not implemented.")
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@ -495,90 +495,6 @@ class FreqtradeBot(LoggingMixin):
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return
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def execute_trade_position_change(self, pair: str, stake_amount: float, trade: Trade):
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"""
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Executes a buy order for the given pair using specific amount
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:param pair: pair for which we want to create a buy order
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:param amount: amount of tradable pair to buy
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"""
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time_in_force = self.strategy.order_time_in_force['buy']
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# Calculate price
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proposed_enter_rate = self.exchange.get_rate(pair, refresh=True, side="buy")
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custom_entry_price = strategy_safe_wrapper(self.strategy.custom_entry_price,
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default_retval=proposed_enter_rate)(
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pair=pair, current_time=datetime.now(timezone.utc),
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proposed_rate=proposed_enter_rate)
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enter_limit_requested = self.get_valid_price(custom_entry_price, proposed_enter_rate)
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if not enter_limit_requested:
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raise PricingError('Could not determine buy price.')
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min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, enter_limit_requested,
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self.strategy.stoploss)
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stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
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amount = self.exchange.amount_to_precision(pair, stake_amount / enter_limit_requested)
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if not stake_amount:
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logger.info(f'Additional order failed to get stake amount for pair {pair}, amount={amount}, price={enter_limit_requested}')
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return False
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logger.debug(f'Executing additional order: amount={amount}, stake={stake_amount}, price={enter_limit_requested}')
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order_type = self.strategy.order_types['buy']
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order = self.exchange.create_order(pair=pair, ordertype=order_type, side="buy",
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amount=amount, rate=enter_limit_requested,
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time_in_force=time_in_force)
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order_obj = Order.parse_from_ccxt_object(order, pair, 'buy')
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order_status = order.get('status', None)
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if order_status == 'expired' or order_status == 'rejected':
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order_tif = self.strategy.order_time_in_force['buy']
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# return false if the order is not filled
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if float(order['filled']) == 0:
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logger.warning('Buy(adjustment) %s order with time in force %s for %s is %s by %s.'
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' zero amount is fulfilled.',
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order_tif, order_type, pair, order_status, self.exchange.name)
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return False
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else:
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# the order is partially fulfilled
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# in case of IOC orders we can check immediately
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# if the order is fulfilled fully or partially
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logger.warning('Buy(adjustment) %s order with time in force %s for %s is %s by %s.'
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' %s amount fulfilled out of %s (%s remaining which is canceled).',
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order_tif, order_type, pair, order_status, self.exchange.name,
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order['filled'], order['amount'], order['remaining']
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)
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stake_amount = order['cost']
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amount = safe_value_fallback(order, 'filled', 'amount')
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# in case of FOK the order may be filled immediately and fully
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elif order_status == 'closed':
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stake_amount = order['cost']
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amount = safe_value_fallback(order, 'filled', 'amount')
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# Fee is applied only once because we make a LIMIT_BUY but the final trade will apply the sell fee.
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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logger.info(f"Trade {pair} adjustment order status {order_status}")
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trade.orders.append(order_obj)
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trade.recalc_trade_from_orders()
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Trade.commit()
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# Updating wallets
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self.wallets.update()
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self._notify_additional_buy(trade, order_obj, order_type)
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return True
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def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
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"""
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Checks depth of market before executing a buy
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@ -604,7 +520,8 @@ class FreqtradeBot(LoggingMixin):
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return False
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def execute_entry(self, pair: str, stake_amount: float, price: Optional[float] = None, *,
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ordertype: Optional[str] = None, buy_tag: Optional[str] = None) -> bool:
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ordertype: Optional[str] = None, buy_tag: Optional[str] = None,
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trade: Optional[Trade] = None) -> bool:
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"""
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Executes a limit buy for the given pair
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:param pair: pair for which we want to create a LIMIT_BUY
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@ -631,7 +548,7 @@ class FreqtradeBot(LoggingMixin):
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min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, enter_limit_requested,
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self.strategy.stoploss)
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if not self.edge:
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if not self.edge and trade is None:
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max_stake_amount = self.wallets.get_available_stake_amount()
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stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
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default_retval=stake_amount)(
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@ -641,15 +558,20 @@ class FreqtradeBot(LoggingMixin):
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stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
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if not stake_amount:
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logger.error(f"No stake amount? {pair} {stake_amount} {max_stake_amount}")
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return False
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logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: "
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f"{stake_amount} ...")
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if trade is None:
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logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: "
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f"{stake_amount} ...")
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else:
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logger.info(f"Position adjust: about create a new order for {pair} with stake_amount: "
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f"{stake_amount} ...")
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amount = stake_amount / enter_limit_requested
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order_type = ordertype or self.strategy.order_types['buy']
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if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
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if trade is None and not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
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pair=pair, order_type=order_type, amount=amount, rate=enter_limit_requested,
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time_in_force=time_in_force, current_time=datetime.now(timezone.utc)):
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logger.info(f"User requested abortion of buying {pair}")
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@ -696,32 +618,33 @@ class FreqtradeBot(LoggingMixin):
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# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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trade = Trade(
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pair=pair,
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stake_amount=stake_amount,
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amount=amount,
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is_open=True,
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amount_requested=amount_requested,
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fee_open=fee,
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fee_close=fee,
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open_rate=enter_limit_filled_price,
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open_rate_requested=enter_limit_requested,
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open_date=datetime.utcnow(),
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exchange=self.exchange.id,
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open_order_id=order_id,
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strategy=self.strategy.get_strategy_name(),
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buy_tag=buy_tag,
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timeframe=timeframe_to_minutes(self.config['timeframe'])
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)
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if trade is None:
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trade = Trade(
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pair=pair,
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stake_amount=stake_amount,
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amount=amount,
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is_open=True,
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amount_requested=amount_requested,
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fee_open=fee,
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fee_close=fee,
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open_rate=enter_limit_filled_price,
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open_rate_requested=enter_limit_requested,
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open_date=datetime.utcnow(),
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exchange=self.exchange.id,
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open_order_id=order_id,
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strategy=self.strategy.get_strategy_name(),
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buy_tag=buy_tag,
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timeframe=timeframe_to_minutes(self.config['timeframe'])
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)
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trade.orders.append(order_obj)
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trade.recalc_trade_from_orders()
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Trade.query.session.add(trade)
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Trade.commit()
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# Updating wallets
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self.wallets.update()
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self._notify_enter(trade, order_type)
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self._notify_enter(trade, order, order_type)
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# Update fees if order is closed
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if order_status == 'closed':
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@ -729,32 +652,7 @@ class FreqtradeBot(LoggingMixin):
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return True
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def _notify_additional_buy(self, trade: Trade, order: Order, order_type: Optional[str] = None,
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fill: bool = False) -> None:
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"""
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Sends rpc notification when a buy occurred.
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"""
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msg = {
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'trade_id': trade.id,
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'type': RPCMessageType.BUY_FILL if fill else RPCMessageType.BUY,
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'buy_tag': "adjust_trade_position",
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'exchange': self.exchange.name.capitalize(),
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'pair': trade.pair,
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'limit': order.price, # Deprecated (?)
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'open_rate': order.price,
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'order_type': order_type,
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'stake_amount': order.cost,
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'stake_currency': self.config['stake_currency'],
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'fiat_currency': self.config.get('fiat_display_currency', None),
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'amount': order.amount,
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'open_date': order.order_filled_date or datetime.utcnow(),
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'current_rate': order.price,
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}
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# Send the message
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self.rpc.send_msg(msg)
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def _notify_enter(self, trade: Trade, order_type: Optional[str] = None,
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def _notify_enter(self, trade: Trade, order: Dict, order_type: Optional[str] = None,
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fill: bool = False) -> None:
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"""
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Sends rpc notification when a buy occurred.
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@ -765,13 +663,13 @@ class FreqtradeBot(LoggingMixin):
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'buy_tag': trade.buy_tag,
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'exchange': self.exchange.name.capitalize(),
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'pair': trade.pair,
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'limit': trade.open_rate, # Deprecated (?)
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'open_rate': trade.open_rate,
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'limit': safe_value_fallback(order, 'average', 'price'), # Deprecated (?)
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'open_rate': safe_value_fallback(order, 'average', 'price'),
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'order_type': order_type,
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'stake_amount': trade.stake_amount,
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'stake_currency': self.config['stake_currency'],
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'fiat_currency': self.config.get('fiat_display_currency', None),
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'amount': trade.amount,
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'amount': safe_value_fallback(order, 'filled', 'amount') or trade.amount,
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'open_date': trade.open_date or datetime.utcnow(),
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'current_rate': trade.open_rate_requested,
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}
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@ -1462,7 +1360,7 @@ class FreqtradeBot(LoggingMixin):
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self.wallets.update()
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elif send_msg and not trade.open_order_id:
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# Buy fill
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self._notify_enter(trade, fill=True)
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self._notify_enter(trade, order, fill=True)
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return False
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@ -35,7 +35,7 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
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"position_adjustment_enable": True,
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"stake_amount": 100.0,
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"dry_run_wallet": 1000.0,
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"strategy": "StrategyTestPositionAdjust"
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"strategy": "StrategyTestV2"
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})
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backtesting = Backtesting(default_conf)
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backtesting._set_strategy(backtesting.strategylist[0])
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@ -1,165 +0,0 @@
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# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
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import talib.abstract as ta
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from pandas import DataFrame
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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from freqtrade.strategy.interface import IStrategy
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from freqtrade.persistence import Trade
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from datetime import datetime
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class StrategyTestPositionAdjust(IStrategy):
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"""
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Strategy used by tests freqtrade bot.
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Please do not modify this strategy, it's intended for internal use only.
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Please look at the SampleStrategy in the user_data/strategy directory
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or strategy repository https://github.com/freqtrade/freqtrade-strategies
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for samples and inspiration.
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"""
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INTERFACE_VERSION = 2
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# Minimal ROI designed for the strategy
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minimal_roi = {
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"40": 0.0,
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"30": 0.01,
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"20": 0.02,
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"0": 0.04
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}
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# Optimal stoploss designed for the strategy
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stoploss = -0.10
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# Optimal timeframe for the strategy
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timeframe = '5m'
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# Optional order type mapping
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order_types = {
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'buy': 'limit',
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'sell': 'limit',
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'stoploss': 'limit',
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'stoploss_on_exchange': False
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}
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# Number of candles the strategy requires before producing valid signals
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startup_candle_count: int = 20
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# Optional time in force for orders
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order_time_in_force = {
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'buy': 'gtc',
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'sell': 'gtc',
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}
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def informative_pairs(self):
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"""
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Define additional, informative pair/interval combinations to be cached from the exchange.
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These pair/interval combinations are non-tradeable, unless they are part
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of the whitelist as well.
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For more information, please consult the documentation
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:return: List of tuples in the format (pair, interval)
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Sample: return [("ETH/USDT", "5m"),
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("BTC/USDT", "15m"),
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]
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"""
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return []
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Adds several different TA indicators to the given DataFrame
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Performance Note: For the best performance be frugal on the number of indicators
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you are using. Let uncomment only the indicator you are using in your strategies
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or your hyperopt configuration, otherwise you will waste your memory and CPU usage.
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:param dataframe: Dataframe with data from the exchange
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:param metadata: Additional information, like the currently traded pair
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:return: a Dataframe with all mandatory indicators for the strategies
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"""
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# Momentum Indicator
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# ------------------------------------
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# ADX
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dataframe['adx'] = ta.ADX(dataframe)
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# MACD
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macd = ta.MACD(dataframe)
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dataframe['macd'] = macd['macd']
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dataframe['macdsignal'] = macd['macdsignal']
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dataframe['macdhist'] = macd['macdhist']
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# Minus Directional Indicator / Movement
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dataframe['minus_di'] = ta.MINUS_DI(dataframe)
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# Plus Directional Indicator / Movement
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dataframe['plus_di'] = ta.PLUS_DI(dataframe)
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# RSI
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dataframe['rsi'] = ta.RSI(dataframe)
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# Stoch fast
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stoch_fast = ta.STOCHF(dataframe)
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dataframe['fastd'] = stoch_fast['fastd']
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dataframe['fastk'] = stoch_fast['fastk']
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# Bollinger bands
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bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
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dataframe['bb_lowerband'] = bollinger['lower']
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dataframe['bb_middleband'] = bollinger['mid']
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dataframe['bb_upperband'] = bollinger['upper']
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# EMA - Exponential Moving Average
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dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
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return dataframe
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def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the buy signal for the given dataframe
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:param dataframe: DataFrame
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:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
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"""
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dataframe.loc[
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(
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(dataframe['rsi'] < 35) &
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(dataframe['fastd'] < 35) &
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(dataframe['adx'] > 30) &
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(dataframe['plus_di'] > 0.5)
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) |
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(
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(dataframe['adx'] > 65) &
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(dataframe['plus_di'] > 0.5)
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),
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'buy'] = 1
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return dataframe
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def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the sell signal for the given dataframe
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:param dataframe: DataFrame
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:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
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"""
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dataframe.loc[
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(
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(
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(qtpylib.crossed_above(dataframe['rsi'], 70)) |
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(qtpylib.crossed_above(dataframe['fastd'], 70))
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) &
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(dataframe['adx'] > 10) &
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(dataframe['minus_di'] > 0)
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) |
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(
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(dataframe['adx'] > 70) &
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(dataframe['minus_di'] > 0.5)
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),
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'sell'] = 1
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return dataframe
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def adjust_trade_position(self, pair: str, trade: Trade, current_time: datetime,
|
||||
current_rate: float, current_profit: float, **kwargs):
|
||||
|
||||
if current_profit < -0.0075:
|
||||
return self.wallets.get_trade_stake_amount(pair, None)
|
||||
|
||||
return None
|
||||
@ -5,7 +5,8 @@ from pandas import DataFrame
|
||||
|
||||
import freqtrade.vendor.qtpylib.indicators as qtpylib
|
||||
from freqtrade.strategy.interface import IStrategy
|
||||
|
||||
from freqtrade.persistence import Trade
|
||||
from datetime import datetime
|
||||
|
||||
class StrategyTestV2(IStrategy):
|
||||
"""
|
||||
@ -154,3 +155,11 @@ class StrategyTestV2(IStrategy):
|
||||
),
|
||||
'sell'] = 1
|
||||
return dataframe
|
||||
|
||||
def adjust_trade_position(self, pair: str, trade: Trade, current_time: datetime,
|
||||
current_rate: float, current_profit: float, **kwargs):
|
||||
|
||||
if current_profit < -0.0075:
|
||||
return self.wallets.get_trade_stake_amount(pair, None)
|
||||
|
||||
return None
|
||||
|
||||
Loading…
Reference in New Issue
Block a user