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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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4
freqtrade/freqtradebot.py
View File

@ -1553,8 +1553,8 @@ class FreqtradeBot(LoggingMixin):
# TODO: Need to get "prediction" here (without persisting)
# trade.process_exit_sub_trade(order, is_closed=False)
pass
profit_ratio = trade.close_profit or 0.0
profit = trade.close_profit_abs or 0.0
profit = trade.calc_profit(rate=profit_rate, amount=amount, open_rate=trade.open_rate)
profit_ratio = trade.calc_profit_ratio(profit_rate, amount, trade.open_rate)
else:
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit = trade.calc_profit(rate=profit_rate) + trade.realized_profit

47
freqtrade/persistence/trade_model.py
View File

@ -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

2
tests/test_persistence.py
View File

@ -853,7 +853,7 @@ def test_calc_close_trade_price(
('binance', False, 1, 1.9, 0.003, -3.3209999, -0.055211970, spot, 0),
('binance', False, 1, 2.2, 0.003, 5.6520000, 0.093965087, spot, 0),
# # FUTURES, funding_fee=1
# FUTURES, funding_fee=1
('binance', False, 1, 2.1, 0.0025, 3.6925, 0.06138819, futures, 1),
('binance', False, 3, 2.1, 0.0025, 3.6925, 0.18416458, futures, 1),
('binance', True, 1, 2.1, 0.0025, -2.3074999, -0.03855472, futures, 1),