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partial sell using avg price

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Co-Authored-By: மனோஜ்குமார் பழனிச்சாமி <smartmanoj42857@gmail.com>
This commit is contained in:
Kavinkumar 2022-03-16 21:39:46 +05:30
parent f9e983e7a3
commit 1e9cbd579f
5 changed files with 50 additions and 91 deletions
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5
freqtrade/freqtradebot.py
View File

@ -489,7 +489,7 @@ class FreqtradeBot(LoggingMixin):
if amount > trade.amount:
logger.info(f"Amount is higher than available. {amount} > {trade.amount}")
return
self.execute_trade_exit(trade, current_rate, sell_reason=SellCheckTuple(
self.execute_trade_exit(trade, current_exit_rate, sell_reason=SellCheckTuple(
sell_type=SellType.CUSTOM_SELL), sub_trade_amt=amount)
def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
@ -1409,9 +1409,6 @@ class FreqtradeBot(LoggingMixin):
self.handle_order_fee(trade, order_obj, order)
trade.update_trade(order_obj)
# TODO: is the below necessary? it's already done in update_trade for filled buys
trade.recalc_trade_from_orders()
Trade.commit()
if order['status'] in constants.NON_OPEN_EXCHANGE_STATES:
# If a buy order was closed, force update on stoploss on exchange

57
freqtrade/persistence/models.py
View File

@ -180,7 +180,6 @@ class Order(_DECL_BASE):
self.amount = order.get('amount', self.amount)
self.filled = order.get('filled', self.filled)
self.average = order.get('average', self.average)
self.initial_average = order.get('average', self.initial_average)
self.remaining = order.get('remaining', self.remaining)
self.cost = order.get('cost', self.cost)
if 'timestamp' in order and order['timestamp'] is not None:
@ -516,46 +515,24 @@ class LocalTrade():
def process_sell_sub_trade(self, order: Order, is_closed: bool = True,
is_non_bt: bool = True) -> None:
orders = (self.select_filled_orders('buy'))
sell_amount = order.safe_filled
sell_amount = order.safe_amount_after_fee
sell_rate = order.safe_price
sell_stake_amount = sell_rate * sell_amount * (1 - self.fee_close)
if is_closed:
if sell_amount == self.amount:
if sell_amount == self.amount:
if is_closed:
self.close(sell_rate)
if is_non_bt:
Trade.commit()
return
realized_profit = 0.0
profit = 0.0
idx = -1
while sell_amount:
b_order = orders[idx]
buy_amount = b_order.safe_amount_after_fee
avg_rate = b_order.safe_price
buy_rate = b_order.initial_average or b_order.price
if sell_amount < buy_amount:
amount = sell_amount
else:
idx -= 1
amount = buy_amount
if is_closed:
b_order.filled -= amount
b_order.order_update_date = datetime.now(timezone.utc)
sell_amount -= amount
profit += self.calc_profit2(avg_rate, sell_rate, amount)
realized_profit += self.calc_profit2(buy_rate, sell_rate, amount)
profit = self.calc_profit2(self.open_rate, sell_rate, sell_amount)
if is_closed:
b_order2 = orders[idx]
amount2 = b_order2.safe_amount_after_fee
b_order2.average = (b_order2.average * amount2 - profit / (1 + self.fee_open)) / amount2
if is_non_bt:
Order.query.session.commit()
self.recalc_trade_from_orders()
self.realized_profit += realized_profit
self.amount -= sell_amount
self.stake_amount = self.open_rate * self.amount
self.realized_profit += profit
self.close_profit_abs = profit
self.close_profit = sell_stake_amount / (sell_stake_amount - profit) - 1
self.recalc_open_trade_value()
if is_non_bt:
Trade.commit()
@ -578,7 +555,7 @@ class LocalTrade():
"""
self.close_rate = rate
self.close_profit = self.calc_profit_ratio()
self.close_profit_abs = self.calc_profit()
self.close_profit_abs = self.calc_profit() + self.realized_profit
self.close_date = self.close_date or datetime.utcnow()
self.is_open = False
self.sell_order_status = 'closed'
@ -699,18 +676,21 @@ class LocalTrade():
def recalc_trade_from_orders(self):
total_amount = 0.0
total_stake = 0.0
avg_price = None
for o in self.orders:
if (o.ft_is_open or
(o.ft_order_side != 'buy') or
not o.filled or
(o.status not in NON_OPEN_EXCHANGE_STATES)):
if o.ft_is_open or not o.filled:
continue
tmp_amount = o.safe_amount_after_fee
tmp_price = o.safe_price
is_sell = o.ft_order_side != 'buy'
side = [1, -1][is_sell]
if tmp_amount > 0.0 and tmp_price is not None:
total_amount += tmp_amount
total_stake += tmp_price * tmp_amount
total_amount += tmp_amount * side
total_stake += [tmp_price, avg_price][is_sell] * tmp_amount * side
if total_amount > 0:
avg_price = total_stake / total_amount
if total_amount > 0:
self.open_rate = total_stake / total_amount
@ -915,6 +895,7 @@ class Trade(_DECL_BASE, LocalTrade):
def __init__(self, **kwargs):
super().__init__(**kwargs)
self.realized_profit = 0
self.recalc_open_trade_value()
def delete(self) -> None:

4
freqtrade/rpc/telegram.py
View File

@ -294,11 +294,11 @@ class Telegram(RPCHandler):
if self._rpc._fiat_converter:
cp_fiat = self._rpc._fiat_converter.convert_amount(
msg['cumulative_profit'], msg['stake_currency'], msg['fiat_currency'])
cp_extra = f" / {cp_fiat:.3f} {msg['fiat_currency']})"
cp_extra = f" / {cp_fiat:.3f} {msg['fiat_currency']}"
else:
cp_extra = ''
cp_extra = f"*Cumulative Profit:* (`{msg['cumulative_profit']:.8f}" \
f"{msg['stake_currency']}{cp_extra}`)\n"
f" {msg['stake_currency']}{cp_extra}`)\n"
else:
cp_extra = ''
message = (

46
tests/test_freqtradebot.py
View File

@ -4588,7 +4588,7 @@ def test_position_adjust(mocker, default_conf_usdt, fee) -> None:
assert trade.open_order_id is None
assert pytest.approx(trade.open_rate) == 9.90909090909
assert trade.amount == 22
assert trade.stake_amount == 218
assert pytest.approx(trade.stake_amount) == 218
orders = Order.query.all()
assert orders
@ -4672,8 +4672,8 @@ def test_position_adjust(mocker, default_conf_usdt, fee) -> None:
assert trade.open_order_id is None
assert trade.is_open
assert trade.amount == 22
assert trade.stake_amount == 203.59850374064837
assert pytest.approx(trade.open_rate) == 9.254477442756745
assert trade.stake_amount == 192.05405405405406
assert pytest.approx(trade.open_rate) == 8.729729729729
orders = Order.query.all()
assert orders
@ -4804,6 +4804,11 @@ def test_position_adjust2(mocker, default_conf_usdt, fee) -> None:
trade = Trade.query.first()
assert trade
assert trade.open_order_id is None
assert trade.amount == 50
assert trade.open_rate == 11
assert trade.stake_amount == 550
assert pytest.approx(trade.realized_profit) == -152.375
assert pytest.approx(trade.close_profit_abs) == -152.375
orders = Order.query.all()
assert orders
@ -4843,8 +4848,11 @@ def test_position_adjust2(mocker, default_conf_usdt, fee) -> None:
trade = Trade.query.first()
assert trade
assert trade.open_order_id is None
assert trade.close_profit_abs == 94.25
assert trade.amount == 50
assert trade.open_rate == 11
assert trade.stake_amount == 550
assert pytest.approx(trade.realized_profit) == -152.375
assert pytest.approx(trade.close_profit_abs) == 94.25
orders = Order.query.all()
assert orders
assert len(orders) == 3
@ -4866,12 +4874,12 @@ def test_position_adjust2(mocker, default_conf_usdt, fee) -> None:
('sell', 50, 5),
),
(
# amount, open_rate, stake_amount, realized_profit, unrealized_profit
(100.0, 10.0, 1000.0, 0.0, -5.0),
(200.0, 12.5, 2500.0, 0.0, 486.25),
(150.0, 12.686616791354945, 1902.9925187032418, -153.375, -112.25),
(50.0, -1.7406483790523748, -87.03241895261874, 588.5, 1084.75),
(50.0, -1.7406483790523748, -87.03241895261874, 588.5, 336.625),
# amount, open_rate, stake_amount, cumulative_profit, realized_profit
(100.0, 10.0, 1000.0, 0.0, None,),
(200.0, 12.5, 2500.0, 0.0, None,),
(150.0, 12.5, 1875.0, -28.0625, -28.0625,),
(50.0, 12.5, 625.0, 713.8125, 741.875,),
(50.0, 12.5, 625.0, 713.8125, 336.625,),
)
),
(
@ -4884,17 +4892,16 @@ def test_position_adjust2(mocker, default_conf_usdt, fee) -> None:
('sell', 150, 23),
),
(
(100.0, 3.0, 300.0, 0.0, -1.5),
(200.0, 5.0, 1000.0, 0.0, 394.0),
(100.0, -0.9451371571072332, -94.51371571072332, 395.5, 1192.0),
(250.0, 8.621945137157107, 2155.4862842892767, 395.5, 1579.75),
(150.0, 1.766417290108061, 264.96259351620915, 787.0, 2577.25),
(150.0, 1.766417290108061, 264.96259351620915, 787.0, 3175.75),
(100.0, 3.0, 300.0, 0.0, None,),
(200.0, 5.0, 1000.0, 0.0, None,),
(100.0, 5.0, 500.0, 596.0, 596.0,),
(250.0, 11.0, 2750.0, 596.0, 596.0,),
(150.0, 11.0, 1650.0, 1388.5, 792.5,),
(150.0, 11.0, 1650.0, 1388.5, 3175.75,),
)
),
])
def test_position_adjust3(mocker, default_conf_usdt, fee, orders, res) -> None:
default_conf_usdt.update({
"position_adjustment_enable": True,
"dry_run": False,
@ -4965,7 +4972,7 @@ def test_position_adjust3(mocker, default_conf_usdt, fee, orders, res) -> None:
assert trade.open_rate == res[idx][1]
assert trade.stake_amount == res[idx][2]
assert pytest.approx(trade.realized_profit) == res[idx][3]
assert trade.calc_profit(order[2]) == res[idx][4]
assert pytest.approx(trade.close_profit_abs) == res[idx][4]
order_obj = trade.select_order(order[0], False)
assert order_obj.order_id == f'60{idx}'
@ -4973,7 +4980,6 @@ def test_position_adjust3(mocker, default_conf_usdt, fee, orders, res) -> None:
trade = Trade.query.first()
assert trade
assert trade.open_order_id is None
assert trade.close_profit_abs == res[idx][4]
assert trade.is_open is False

29
tests/test_persistence.py
View File

@ -1484,7 +1484,8 @@ def test_recalc_trade_from_orders(fee):
assert pytest.approx(trade.fee_open_cost) == o1_fee_cost + o2_fee_cost + o3_fee_cost
assert pytest.approx(trade.open_trade_value) == o1_trade_val + o2_trade_val + o3_trade_val
# Just to make sure sell orders are ignored, let's calculate one more time.
# Just to make sure non partial sell orders are ignored, let's calculate one more time.
sell1 = Order(
ft_order_side='sell',
ft_pair=trade.pair,
@ -1641,32 +1642,6 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
assert trade.open_trade_value == 2 * o1_trade_val
assert trade.nr_of_successful_buys == 2
# Just to make sure sell orders are ignored, let's calculate one more time.
sell1 = Order(
ft_order_side='sell',
ft_pair=trade.pair,
ft_is_open=False,
status="closed",
symbol=trade.pair,
order_type="market",
side="sell",
price=4,
average=3,
filled=2,
remaining=1,
cost=5,
order_date=trade.open_date,
order_filled_date=trade.open_date,
)
trade.orders.append(sell1)
trade.recalc_trade_from_orders()
assert trade.amount == 2 * o1_amount
assert trade.stake_amount == 2 * o1_amount
assert trade.open_rate == o1_rate
assert trade.fee_open_cost == 2 * o1_fee_cost
assert trade.open_trade_value == 2 * o1_trade_val
assert trade.nr_of_successful_buys == 2
# Check with 1 order
order_noavg = Order(
ft_order_side='buy',