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Maintain existing order. Update functionality and documentation

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eSeR1805 2022-04-29 00:10:17 +03:00
parent eb23170c43
commit 17650d7e60
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4 changed files with 53 additions and 37 deletions
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18
docs/strategy-callbacks.md
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@ -698,6 +698,9 @@ Be aware that `custom_entry_price()` is still the one dictating initial entry li
!!! Note "Simple Order Cancelation"
This also allows simple cancelation without an replacement order. This behavior occurs when `None` is returned.
!!! Note "Maintaining Order"
Maintaining existing order on exchange is facilitated. This behavior occurs when `order.price` is returned.
!!! Warning
Entry `unfilledtimeout` mechanism takes precedence over this. Be sure to update timeout values to match your expectancy.
@ -709,19 +712,24 @@ class AwesomeStrategy(IStrategy):
# ... populate_* methods
def adjust_entry_price(self, trade: Trade, order: Order, pair: str,
current_time: datetime, proposed_rate: float,
def adjust_entry_price(self, trade: Trade, order: Optional[Order], pair: str,
current_time: datetime, proposed_rate: float, current_order_rate: float,
entry_tag: Optional[str], side: str, **kwargs) -> float:
"""
Entry price re-adjustment logic, returning the user desired limit price.
This only executes when a order was already placed, still open(unfilled fully or partially)
and not timed out on subsequent candles after entry trigger.
When not implemented by a strategy, returns current_order_rate as default.
If current_order_rate is returned then the existing order is maintained.
If None is returned then order gets canceled but not replaced by a new one.
:param pair: Pair that's currently analyzed
:param trade: Trade object.
:param order: Order object
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
:param proposed_rate: Rate, calculated based on pricing settings in entry_pricing.
:param current_order_rate: Rate of the existing order in place.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param side: 'long' or 'short' - indicating the direction of the proposed trade
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
@ -736,8 +744,10 @@ class AwesomeStrategy(IStrategy):
else:
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
current_candle = dataframe.iloc[-1].squeeze()
# desired price
return current_candle['sma_200']
return proposed_rate
# default: maintain existing order
return current_order_rate
```
## Leverage Callback

14
freqtrade/freqtradebot.py
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@ -1165,9 +1165,10 @@ class FreqtradeBot(LoggingMixin):
def replace_order(self, order: Dict, order_obj: Optional[Order], trade: Trade) -> None:
"""
Check if current analyzed entry order should be replaced. Analyzed order is canceled
if adjust_entry_price() returned price differs from proposed_rate.
New order is only placed if adjust_entry_price() returned price is not None.
Check if current analyzed entry order should be replaced or simply cancelled.
To simply cancel the existing order(no replacement) adjust_entry_price() should return None
To maintain existing order adjust_entry_price() should return order_obj.price
To replace existing order adjust_entry_price() should return desired price for limit order
:param order: Order dict grabbed with exchange.fetch_order()
:param order_obj: Order object.
:param trade: Trade object.
@ -1184,17 +1185,18 @@ class FreqtradeBot(LoggingMixin):
proposed_rate = self.exchange.get_rate(
trade.pair, side='entry', is_short=trade.is_short, refresh=True)
adjusted_entry_price = strategy_safe_wrapper(self.strategy.adjust_entry_price,
default_retval=proposed_rate)(
default_retval=order_obj.price)(
trade=trade, order=order_obj, pair=trade.pair,
current_time=datetime.now(timezone.utc), proposed_rate=proposed_rate,
entry_tag=trade.enter_tag, side=trade.entry_side)
current_order_rate=order_obj.price, entry_tag=trade.enter_tag,
side=trade.entry_side)
full_cancel = False
cancel_reason = constants.CANCEL_REASON['REPLACE']
if not adjusted_entry_price:
full_cancel = True
cancel_reason = constants.CANCEL_REASON['USER_CANCEL']
if proposed_rate != adjusted_entry_price:
if order_obj.price != adjusted_entry_price:
# cancel existing order if new price is supplied or None
self.handle_cancel_enter(trade, order, cancel_reason,
allow_full_cancel=full_cancel)

12
freqtrade/strategy/interface.py
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@ -465,30 +465,32 @@ class IStrategy(ABC, HyperStrategyMixin):
return None
def adjust_entry_price(self, trade: Trade, order: Optional[Order], pair: str,
current_time: datetime, proposed_rate: float,
current_time: datetime, proposed_rate: float, current_order_rate: float,
entry_tag: Optional[str], side: str, **kwargs) -> float:
"""
Entry price re-adjustment logic, returning the user desired limit price.
This only executes when a order was already placed, still open(unfilled fully or partially)
and not timed out on subsequent candles after entry trigger.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-callbacks/
When not implemented by a strategy, returns proposed_stake.
When not implemented by a strategy, returns current_order_rate as default.
If current_order_rate is returned then the existing order is maintained.
If None is returned then order gets canceled but not replaced by a new one.
:param pair: Pair that's currently analyzed
:param trade: Trade object.
:param order: Order object
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
:param proposed_rate: Rate, calculated based on pricing settings in entry_pricing.
:param current_order_rate: Rate of the existing order in place.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param side: 'long' or 'short' - indicating the direction of the proposed trade
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New entry price value if provided
"""
return proposed_rate
return current_order_rate
def leverage(self, pair: str, current_time: datetime, current_rate: float,
proposed_leverage: float, max_leverage: float, side: str,

10
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
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@ -30,8 +30,8 @@ def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate:
"""
return proposed_rate
def adjust_entry_price(self, trade: Trade, order: Order, pair: str,
current_time: datetime, proposed_rate: float,
def adjust_entry_price(self, trade: Trade, order: Optional[Order], pair: str,
current_time: datetime, proposed_rate: float, current_order_rate: float,
entry_tag: Optional[str], side: str, **kwargs) -> float:
"""
Entry price re-adjustment logic, returning the user desired limit price.
@ -40,7 +40,8 @@ def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate:
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-callbacks/
When not implemented by a strategy, returns proposed_stake.
When not implemented by a strategy, returns current_order_rate as default.
If current_order_rate is returned then the existing order is maintained.
If None is returned then order gets canceled but not replaced by a new one.
:param pair: Pair that's currently analyzed
@ -48,13 +49,14 @@ def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate:
:param order: Order object
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in entry_pricing.
:param current_order_rate: Rate of the existing order in place.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param side: 'long' or 'short' - indicating the direction of the proposed trade
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New entry price value if provided
"""
return proposed_rate
return current_order_rate
def custom_exit_price(self, pair: str, trade: 'Trade',
current_time: 'datetime', proposed_rate: float,