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Merge branch 'feat/short' into pr/samgermain/6467

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This commit is contained in:
Matthias
2022-02-28 20:07:19 +01:00
parent c745f5828c e005439720
commit 1b07ad92cf
10 changed files with 290 additions and 107 deletions
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56
freqtrade/freqtradebot.py
View File

@@ -103,7 +103,6 @@ class FreqtradeBot(LoggingMixin):
self._exit_lock = Lock()
LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
self.liquidation_buffer = float(self.config.get('liquidation_buffer', '0.05'))
self.trading_mode: TradingMode = self.config.get('trading_mode', TradingMode.SPOT)
self.margin_mode_type: Optional[MarginMode] = None
if 'margin_mode' in self.config:
@@ -510,7 +509,7 @@ class FreqtradeBot(LoggingMixin):
"""
# TODO-lev: Check what changes are necessary for DCA in relation to shorts.
if self.strategy.max_entry_position_adjustment > -1:
count_of_buys = trade.nr_of_successful_buys
count_of_buys = trade.nr_of_successful_entries
if count_of_buys > self.strategy.max_entry_position_adjustment:
logger.debug(f"Max adjustment entries for {trade.pair} has been reached.")
return
@@ -533,7 +532,7 @@ class FreqtradeBot(LoggingMixin):
if stake_amount is not None and stake_amount > 0.0:
# We should increase our position
self.execute_entry(trade.pair, stake_amount, trade=trade)
self.execute_entry(trade.pair, stake_amount, trade=trade, is_short=trade.is_short)
if stake_amount is not None and stake_amount < 0.0:
# We should decrease our position
@@ -607,18 +606,21 @@ class FreqtradeBot(LoggingMixin):
if not stake_amount:
return False
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
pair=pair,
current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested,
proposed_leverage=1.0,
max_leverage=max_leverage,
side=trade_side,
) if self.trading_mode != TradingMode.SPOT else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
if not pos_adjust:
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
pair=pair,
current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested,
proposed_leverage=1.0,
max_leverage=max_leverage,
side=trade_side,
) if self.trading_mode != TradingMode.SPOT else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
else:
# Changing leverage currently not possible
leverage = trade.leverage if trade else 1.0
if pos_adjust:
logger.info(f"Position adjust: about to create a new order for {pair} with stake: "
f"{stake_amount} for {trade}")
@@ -688,6 +690,7 @@ class FreqtradeBot(LoggingMixin):
amount = safe_value_fallback(order, 'filled', 'amount')
enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
# TODO: this might be unnecessary, as we're calling it in update_trade_state.
isolated_liq = self.exchange.get_liquidation_price(
leverage=leverage,
pair=pair,
@@ -1030,7 +1033,11 @@ class FreqtradeBot(LoggingMixin):
# If enter order is fulfilled but there is no stoploss, we add a stoploss on exchange
if not stoploss_order:
stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
stoploss = (
self.edge.stoploss(pair=trade.pair)
if self.edge else
self.strategy.stoploss / trade.leverage
)
if trade.is_short:
stop_price = trade.open_rate * (1 - stoploss)
else:
@@ -1557,9 +1564,20 @@ class FreqtradeBot(LoggingMixin):
Trade.commit()
if order['status'] in constants.NON_OPEN_EXCHANGE_STATES:
# If a buy order was closed, force update on stoploss on exchange
if order.get('side', None) == 'buy':
# If a entry order was closed, force update on stoploss on exchange
if order.get('side', None) == trade.enter_side:
trade = self.cancel_stoploss_on_exchange(trade)
# TODO: Margin will need to use interest_rate as well.
# interest_rate = self.exchange.get_interest_rate()
trade.set_isolated_liq(self.exchange.get_liquidation_price(
leverage=trade.leverage,
pair=trade.pair,
amount=trade.amount,
open_rate=trade.open_rate,
is_short=trade.is_short
))
# Updating wallets when order is closed
self.wallets.update()
@@ -1568,7 +1586,7 @@ class FreqtradeBot(LoggingMixin):
self._notify_exit(trade, '', True)
self.handle_protections(trade.pair)
elif send_msg and not trade.open_order_id:
# Buy fill
# Enter fill
self._notify_enter(trade, order, fill=True)
return False

37
freqtrade/optimize/backtesting.py
View File

@@ -465,11 +465,11 @@ class Backtesting:
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
check_adjust_buy = True
check_adjust_entry = True
if self.strategy.max_entry_position_adjustment > -1:
count_of_buys = trade.nr_of_successful_buys
check_adjust_buy = (count_of_buys <= self.strategy.max_entry_position_adjustment)
if check_adjust_buy:
entry_count = trade.nr_of_successful_entries
check_adjust_entry = (entry_count <= self.strategy.max_entry_position_adjustment)
if check_adjust_entry:
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
@@ -640,17 +640,20 @@ class Backtesting:
# If not pos adjust, trade is None
return trade
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
pair=pair,
current_time=current_time,
current_rate=row[OPEN_IDX],
proposed_leverage=1.0,
max_leverage=max_leverage,
side=direction,
) if self._can_short else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
if not pos_adjust:
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
pair=pair,
current_time=current_time,
current_rate=row[OPEN_IDX],
proposed_leverage=1.0,
max_leverage=max_leverage,
side=direction,
) if self._can_short else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
else:
leverage = trade.leverage if trade else 1.0
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['buy']
@@ -745,7 +748,7 @@ class Backtesting:
for pair in open_trades.keys():
if len(open_trades[pair]) > 0:
for trade in open_trades[pair]:
if trade.open_order_id and trade.nr_of_successful_buys == 0:
if trade.open_order_id and trade.nr_of_successful_entries == 0:
# Ignore trade if buy-order did not fill yet
continue
sell_row = data[pair][-1]
@@ -798,7 +801,7 @@ class Backtesting:
if timedout:
if order.side == 'buy':
self.timedout_entry_orders += 1
if trade.nr_of_successful_buys == 0:
if trade.nr_of_successful_entries == 0:
# Remove trade due to buy timeout expiration.
return True
else:

29
freqtrade/persistence/models.py
View File

@@ -568,13 +568,14 @@ class LocalTrade():
# Don't modify if called with initial and nothing to do
return
leverage = self.leverage or 1.0
if self.is_short:
new_loss = float(current_price * (1 + abs(stoploss)))
new_loss = float(current_price * (1 + abs(stoploss / leverage)))
# If trading with leverage, don't set the stoploss below the liquidation price
if self.isolated_liq:
new_loss = min(self.isolated_liq, new_loss)
else:
new_loss = float(current_price * (1 - abs(stoploss)))
new_loss = float(current_price * (1 - abs(stoploss / leverage)))
# If trading with leverage, don't set the stoploss below the liquidation price
if self.isolated_liq:
new_loss = max(self.isolated_liq, new_loss)
@@ -868,7 +869,7 @@ class LocalTrade():
def recalc_trade_from_orders(self):
# We need at least 2 entry orders for averaging amounts and rates.
if len(self.select_filled_orders('buy')) < 2:
if len(self.select_filled_orders(self.enter_side)) < 2:
# Just in case, still recalc open trade value
self.recalc_open_trade_value()
return
@@ -890,8 +891,9 @@ class LocalTrade():
total_stake += tmp_price * tmp_amount
if total_amount > 0:
# Leverage not updated, as we don't allow changing leverage through DCA at the moment.
self.open_rate = total_stake / total_amount
self.stake_amount = total_stake
self.stake_amount = total_stake / (self.leverage or 1.0)
self.amount = total_amount
self.fee_open_cost = self.fee_open * self.stake_amount
self.recalc_open_trade_value()
@@ -937,10 +939,28 @@ class LocalTrade():
(o.filled or 0) > 0 and
o.status in NON_OPEN_EXCHANGE_STATES]
@property
def nr_of_successful_entries(self) -> int:
"""
Helper function to count the number of entry orders that have been filled.
:return: int count of entry orders that have been filled for this trade.
"""
return len(self.select_filled_orders(self.enter_side))
@property
def nr_of_successful_exits(self) -> int:
"""
Helper function to count the number of exit orders that have been filled.
:return: int count of exit orders that have been filled for this trade.
"""
return len(self.select_filled_orders(self.exit_side))
@property
def nr_of_successful_buys(self) -> int:
"""
Helper function to count the number of buy orders that have been filled.
WARNING: Please use nr_of_successful_entries for short support.
:return: int count of buy orders that have been filled for this trade.
"""
@@ -950,6 +970,7 @@ class LocalTrade():
def nr_of_successful_sells(self) -> int:
"""
Helper function to count the number of sell orders that have been filled.
WARNING: Please use nr_of_successful_exits for short support.
:return: int count of sell orders that have been filled for this trade.
"""
return len(self.select_filled_orders('sell'))

21
freqtrade/rpc/rpc.py
View File

@@ -261,11 +261,11 @@ class RPC:
profit_str
]
if self._config.get('position_adjustment_enable', False):
max_buy_str = ''
max_entry_str = ''
if self._config.get('max_entry_position_adjustment', -1) > 0:
max_buy_str = f"/{self._config['max_entry_position_adjustment'] + 1}"
filled_buys = trade.nr_of_successful_buys
detail_trade.append(f"{filled_buys}{max_buy_str}")
max_entry_str = f"/{self._config['max_entry_position_adjustment'] + 1}"
filled_entries = trade.nr_of_successful_entries
detail_trade.append(f"{filled_entries}{max_entry_str}")
trades_list.append(detail_trade)
profitcol = "Profit"
if self._fiat_converter:
@@ -696,19 +696,18 @@ class RPC:
if trade.open_order_id:
order = self._freqtrade.exchange.fetch_order(trade.open_order_id, trade.pair)
if order['side'] == 'buy':
if order['side'] == trade.enter_side:
fully_canceled = self._freqtrade.handle_cancel_enter(
trade, order, CANCEL_REASON['FORCE_SELL'])
if order['side'] == 'sell':
if order['side'] == trade.exit_side:
# Cancel order - so it is placed anew with a fresh price.
self._freqtrade.handle_cancel_exit(trade, order, CANCEL_REASON['FORCE_SELL'])
if not fully_canceled:
# Get current rate and execute sell
closing_side = "buy" if trade.is_short else "sell"
current_rate = self._freqtrade.exchange.get_rate(
trade.pair, refresh=False, side=closing_side)
trade.pair, refresh=False, side=trade.exit_side)
sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL)
order_type = ordertype or self._freqtrade.strategy.order_types.get(
"forcesell", self._freqtrade.strategy.order_types["sell"])
@@ -769,8 +768,10 @@ class RPC:
# check if valid pair
# check if pair already has an open pair
trade = Trade.get_trades([Trade.is_open.is_(True), Trade.pair == pair]).first()
trade: Trade = Trade.get_trades([Trade.is_open.is_(True), Trade.pair == pair]).first()
is_short = (order_side == SignalDirection.SHORT)
if trade:
is_short = trade.is_short
if not self._freqtrade.strategy.position_adjustment_enable:
raise RPCException(f'position for {pair} already open - id: {trade.id}')
@@ -784,7 +785,7 @@ class RPC:
'forcebuy', self._freqtrade.strategy.order_types['buy'])
if self._freqtrade.execute_entry(pair, stake_amount, price,
ordertype=order_type, trade=trade,
is_short=(order_side == SignalDirection.SHORT),
is_short=is_short,
enter_tag=enter_tag,
):
Trade.commit()