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Use proper profit calculations

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This commit is contained in:
Matthias
2022-06-17 20:23:25 +02:00
parent 1250c0a32b
commit 1fdd2e52e7
3 changed files with 11 additions and 42 deletions
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47
freqtrade/persistence/trade_model.py
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@@ -636,29 +636,6 @@ class LocalTrade():
raise ValueError(f'Unknown order type: {order.order_type}')
Trade.commit()
def process_exit_sub_trade(self, order: Order, is_closed: bool = True) -> None:
"""
Recalculate trade amount and realized profit after partial exit
"""
exit_amount = order.safe_amount_after_fee
exit_rate = order.safe_price
exit_stake_amount = exit_rate * exit_amount * (1 - self.fee_close)
profit = self.calc_profit2(self.open_rate, exit_rate, exit_amount) * int(self.leverage)
if self.is_short:
profit *= -1
if is_closed:
self.amount -= exit_amount
self.stake_amount = self.open_rate * self.amount
self.realized_profit += profit
# logger.info(f"Processed exit sub trade for {self}")
self.close_profit_abs = profit
if self.is_short:
self.close_profit = (exit_stake_amount - profit) / exit_stake_amount - 1
else:
self.close_profit = exit_stake_amount / (exit_stake_amount - profit) - 1
self.recalc_open_trade_value()
def close(self, rate: float, *, show_msg: bool = True) -> None:
"""
Sets close_rate to the given rate, calculates total profit
@@ -774,31 +751,31 @@ class LocalTrade():
if rate is None and not self.close_rate:
return 0.0
amount = Decimal(amount or self.amount)
amount1 = Decimal(amount or self.amount)
trading_mode = self.trading_mode or TradingMode.SPOT
if trading_mode == TradingMode.SPOT:
return float(self._calc_base_close(amount, rate, self.fee_close))
return float(self._calc_base_close(amount1, rate, self.fee_close))
elif (trading_mode == TradingMode.MARGIN):
total_interest = self.calculate_interest()
if self.is_short:
amount = amount + total_interest
return float(self._calc_base_close(amount, rate, self.fee_close))
amount1 = amount1 + total_interest
return float(self._calc_base_close(amount1, rate, self.fee_close))
else:
# Currency already owned for longs, no need to purchase
return float(self._calc_base_close(amount, rate, self.fee_close) - total_interest)
return float(self._calc_base_close(amount1, rate, self.fee_close) - total_interest)
elif (trading_mode == TradingMode.FUTURES):
funding_fees = self.funding_fees or 0.0
# Positive funding_fees -> Trade has gained from fees.
# Negative funding_fees -> Trade had to pay the fees.
if self.is_short:
return float(self._calc_base_close(amount, rate, self.fee_close)) - funding_fees
return float(self._calc_base_close(amount1, rate, self.fee_close)) - funding_fees
else:
return float(self._calc_base_close(amount, rate, self.fee_close)) + funding_fees
return float(self._calc_base_close(amount1, rate, self.fee_close)) + funding_fees
else:
raise OperationalException(
f"{self.trading_mode.value} trading is not yet available using freqtrade")
@@ -823,14 +800,6 @@ class LocalTrade():
profit = close_trade_value - open_trade_value
return float(f"{profit:.8f}")
def calc_profit2(self, open_rate: float, close_rate: float,
amount: float) -> float:
# TODO: This is almost certainly wrong for margin/short scenarios.
# Needs investigation.
return float(Decimal(amount)
* (Decimal(1 - self.fee_close) * Decimal(close_rate)
- Decimal(1 + self.fee_open) * Decimal(open_rate)))
def calc_profit_ratio(
self, rate: float, amount: float = None, open_rate: float = None) -> float:
"""
@@ -890,7 +859,7 @@ class LocalTrade():
exit_rate = o.safe_price
exit_amount = o.safe_amount_after_fee
exit_stake_amount = exit_rate * exit_amount * (1 - self.fee_close)
profit = self.calc_profit2(avg_price, exit_rate, exit_amount) * int(self.leverage)
profit = self.calc_profit(rate=exit_rate, amount=exit_amount, open_rate=avg_price)
if total_amount > 0:
# Exclude final (closing) trade
close_profit_abs += profit