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Added changed to persistance/migrations

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Sam Germain 2021-06-20 02:25:22 -06:00
parent 69e81100e4
commit 20dcd9a1a2
2 changed files with 60 additions and 47 deletions
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20
freqtrade/persistence/migrations.py
View File

@ -47,6 +47,13 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
min_rate = get_column_def(cols, 'min_rate', 'null') min_rate = get_column_def(cols, 'min_rate', 'null')
close_reason = get_column_def(cols, 'close_reason', 'null') close_reason = get_column_def(cols, 'close_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null') strategy = get_column_def(cols, 'strategy', 'null')
leverage = get_column_def(cols, 'leverage', '0.0')
borrowed = get_column_def(cols, 'borrowed', '0.0')
borrowed_currency = get_column_def(cols, 'borrowed_currency', 'null')
interest_rate = get_column_def(cols, 'interest_rate', '0.0')
min_stoploss = get_column_def(cols, 'min_stoploss', 'null')
is_short = get_column_def(cols, 'is_short', 'False')
# If ticker-interval existed use that, else null. # If ticker-interval existed use that, else null.
if has_column(cols, 'ticker_interval'): if has_column(cols, 'ticker_interval'):
timeframe = get_column_def(cols, 'timeframe', 'ticker_interval') timeframe = get_column_def(cols, 'timeframe', 'ticker_interval')
@ -81,7 +88,8 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct, stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
stoploss_order_id, stoploss_last_update, stoploss_order_id, stoploss_last_update,
max_rate, min_rate, close_reason, close_order_status, strategy, max_rate, min_rate, close_reason, close_order_status, strategy,
timeframe, open_trade_value, close_profit_abs timeframe, open_trade_value, close_profit_abs,
leverage, borrowed, borrowed_currency, interest_rate, min_stoploss, is_short
) )
select id, lower(exchange), select id, lower(exchange),
case case
@ -104,11 +112,13 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{max_rate} max_rate, {min_rate} min_rate, {close_reason} close_reason, {max_rate} max_rate, {min_rate} min_rate, {close_reason} close_reason,
{close_order_status} close_order_status, {close_order_status} close_order_status,
{strategy} strategy, {timeframe} timeframe, {strategy} strategy, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs {open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
{leverage} leverage, {borrowed} borrowed, {borrowed_currency} borrowed_currency,
{interest_rate} interest_rate, {min_stoploss} min_stoploss, {is_short} is_short
from {table_back_name} from {table_back_name}
""")) """))
#TODO: Does leverage go in here?
def migrate_open_orders_to_trades(engine): def migrate_open_orders_to_trades(engine):
with engine.begin() as connection: with engine.begin() as connection:
connection.execute(text(""" connection.execute(text("""
@ -141,10 +151,10 @@ def migrate_orders_table(decl_base, inspector, engine, table_back_name: str, col
connection.execute(text(f""" connection.execute(text(f"""
insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, average, remaining, cost, status, symbol, order_type, side, price, amount, filled, average, remaining, cost,
order_date, order_filled_date, order_update_date) order_date, order_filled_date, order_update_date, leverage)
select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, null average, remaining, cost, status, symbol, order_type, side, price, amount, filled, null average, remaining, cost,
order_date, order_filled_date, order_update_date order_date, order_filled_date, order_update_date, leverage
from {table_back_name} from {table_back_name}
""")) """))

75
freqtrade/persistence/models.py
View File

@ -132,7 +132,7 @@ class Order(_DECL_BASE):
order_filled_date = Column(DateTime, nullable=True) order_filled_date = Column(DateTime, nullable=True)
order_update_date = Column(DateTime, nullable=True) order_update_date = Column(DateTime, nullable=True)
leverage = Column(Float, nullable=True) leverage = Column(Float, nullable=True, default=0.0)
def __repr__(self): def __repr__(self):
return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, ' return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
@ -262,16 +262,28 @@ class LocalTrade():
strategy: str = '' strategy: str = ''
timeframe: Optional[int] = None timeframe: Optional[int] = None
#Margin trading properties # Margin trading properties
leverage: Optional[float] = None leverage: Optional[float] = 0.0
borrowed: float = 0 borrowed: float = 0.0
borrowed_currency: float = None borrowed_currency: float = None
interest_rate: float = 0 interest_rate: float = 0.0
min_stoploss: float = None min_stoploss: float = None
isShort: boolean = False is_short: bool = False
#End of margin trading properties # End of margin trading properties
def __init__(self, **kwargs): def __init__(self, **kwargs):
lev = kwargs.get('leverage')
bor = kwargs.get('borrowed')
amount = kwargs.get('amount')
if lev and bor:
# TODO: should I raise an error?
raise OperationalException('Cannot pass both borrowed and leverage to Trade')
elif lev:
self.amount = amount * lev
self.borrowed = amount * (lev-1)
elif bor:
self.lev = (bor + amount)/amount
for key in kwargs: for key in kwargs:
setattr(self, key, kwargs[key]) setattr(self, key, kwargs[key])
self.recalc_open_trade_value() self.recalc_open_trade_value()
@ -398,8 +410,8 @@ class LocalTrade():
return return
new_loss = float(current_price * (1 - abs(stoploss))) new_loss = float(current_price * (1 - abs(stoploss)))
#TODO: Could maybe move this if into the new stoploss if branch # TODO: Could maybe move this if into the new stoploss if branch
if (self.min_stoploss): #If trading on margin, don't set the stoploss below the liquidation price if (self.min_stoploss): # If trading on margin, don't set the stoploss below the liquidation price
new_loss = min(self.min_stoploss, new_loss) new_loss = min(self.min_stoploss, new_loss)
# no stop loss assigned yet # no stop loss assigned yet
@ -411,7 +423,8 @@ class LocalTrade():
# evaluate if the stop loss needs to be updated # evaluate if the stop loss needs to be updated
else: else:
if (new_loss > self.stop_loss and not self.isShort) or (new_loss < self.stop_loss and self.isShort): # stop losses only walk up, never down!, #TODO: But adding more to a margin account would create a lower liquidation price, decreasing the minimum stoploss # stop losses only walk up, never down!, #TODO: But adding more to a margin account would create a lower liquidation price, decreasing the minimum stoploss
if (new_loss > self.stop_loss and not self.is_short) or (new_loss < self.stop_loss and self.is_short):
logger.debug(f"{self.pair} - Adjusting stoploss...") logger.debug(f"{self.pair} - Adjusting stoploss...")
self._set_new_stoploss(new_loss, stoploss) self._set_new_stoploss(new_loss, stoploss)
else: else:
@ -430,14 +443,14 @@ class LocalTrade():
Determines if the trade is an opening (long buy or short sell) trade Determines if the trade is an opening (long buy or short sell) trade
:param side (string): the side (buy/sell) that order happens on :param side (string): the side (buy/sell) that order happens on
""" """
return (side == 'buy' and not self.isShort) or (side == 'sell' and self.isShort) return (side == 'buy' and not self.is_short) or (side == 'sell' and self.is_short)
def is_closing_trade(self, side) -> bool: def is_closing_trade(self, side) -> bool:
""" """
Determines if the trade is an closing (long sell or short buy) trade Determines if the trade is an closing (long sell or short buy) trade
:param side (string): the side (buy/sell) that order happens on :param side (string): the side (buy/sell) that order happens on
""" """
return (side == 'sell' and not self.isShort) or (side == 'buy' and self.isShort) return (side == 'sell' and not self.is_short) or (side == 'buy' and self.is_short)
def update(self, order: Dict) -> None: def update(self, order: Dict) -> None:
""" """
@ -458,14 +471,14 @@ class LocalTrade():
self.amount = float(safe_value_fallback(order, 'filled', 'amount')) self.amount = float(safe_value_fallback(order, 'filled', 'amount'))
self.recalc_open_trade_value() self.recalc_open_trade_value()
if self.is_open: if self.is_open:
payment = "SELL" if self.isShort else "BUY" payment = "SELL" if self.is_short else "BUY"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.') logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.')
self.open_order_id = None self.open_order_id = None
elif order_type in ('market', 'limit') and self.isClosingTrade(order['side']): elif order_type in ('market', 'limit') and self.isClosingTrade(order['side']):
if self.is_open: if self.is_open:
payment = "BUY" if self.isShort else "SELL" payment = "BUY" if self.is_short else "SELL"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.') logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price')) #TODO: Double check this self.close(safe_value_fallback(order, 'average', 'price')) # TODO: Double check this
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'): elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
self.stoploss_order_id = None self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss self.close_rate_requested = self.stop_loss
@ -534,12 +547,11 @@ class LocalTrade():
""" """
open_trade = Decimal(self.amount) * Decimal(self.open_rate) open_trade = Decimal(self.amount) * Decimal(self.open_rate)
fees = open_trade * Decimal(self.fee_open) fees = open_trade * Decimal(self.fee_open)
if (self.isShort): if (self.is_short):
return float(open_trade - fees) return float(open_trade - fees)
else: else:
return float(open_trade + fees) return float(open_trade + fees)
def recalc_open_trade_value(self) -> None: def recalc_open_trade_value(self) -> None:
""" """
Recalculate open_trade_value. Recalculate open_trade_value.
@ -562,8 +574,9 @@ class LocalTrade():
close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close) fees = close_trade * Decimal(fee or self.fee_close)
interest = ((self.interest_rate * Decimal(borrowed or self.borrowed)) * (datetime.utcnow() - self.open_date).days) or 0 #Interest/day * num of days interest = ((self.interest_rate * Decimal(borrowed or self.borrowed)) *
if (self.isShort): (datetime.utcnow() - self.open_date).days) or 0 # Interest/day * num of days
if (self.is_short):
return float(close_trade + fees + interest) return float(close_trade + fees + interest)
else: else:
return float(close_trade - fees - interest) return float(close_trade - fees - interest)
@ -583,7 +596,7 @@ class LocalTrade():
fee=(fee or self.fee_close) fee=(fee or self.fee_close)
) )
if self.isShort: if self.is_short:
profit = self.open_trade_value - close_trade_value profit = self.open_trade_value - close_trade_value
else: else:
profit = close_trade_value - self.open_trade_value profit = close_trade_value - self.open_trade_value
@ -604,7 +617,7 @@ class LocalTrade():
) )
if self.open_trade_value == 0.0: if self.open_trade_value == 0.0:
return 0.0 return 0.0
if self.isShort: if self.is_short:
profit_ratio = (close_trade_value / self.open_trade_value) - 1 profit_ratio = (close_trade_value / self.open_trade_value) - 1
else: else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1 profit_ratio = (self.open_trade_value / close_trade_value) - 1
@ -657,7 +670,7 @@ class LocalTrade():
sel_trades = [trade for trade in sel_trades if trade.close_date sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date] and trade.close_date > close_date]
return sel_trades #TODO: What is sel_trades does it mean sell_trades? If so, update this for margin return sel_trades # TODO: What is sel_trades does it mean sell_trades? If so, update this for margin
@staticmethod @staticmethod
def close_bt_trade(trade): def close_bt_trade(trade):
@ -758,26 +771,16 @@ class Trade(_DECL_BASE, LocalTrade):
strategy = Column(String(100), nullable=True) strategy = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True) timeframe = Column(Integer, nullable=True)
#Margin trading properties # Margin trading properties
leverage = Column(Float, nullable=True) leverage = Column(Float, nullable=True, default=0.0)
borrowed = Column(Float, nullable=False, default=0.0) borrowed = Column(Float, nullable=False, default=0.0)
borrowed_currency = Column(Float, nullable=True) borrowed_currency = Column(Float, nullable=True)
interest_rate = Column(Float, nullable=False, default=0.0) interest_rate = Column(Float, nullable=False, default=0.0)
min_stoploss = Column(Float, nullable=True) min_stoploss = Column(Float, nullable=True)
isShort = Column(Boolean, nullable=False, default=False) is_short = Column(Boolean, nullable=False, default=False)
#End of margin trading properties # End of margin trading properties
def __init__(self, **kwargs): def __init__(self, **kwargs):
lev = kwargs.get('leverage')
bor = kwargs.get('borrowed')
amount = kwargs.get('amount')
if lev and bor:
raise OperationalException('Cannot pass both borrowed and leverage to Trade') #TODO: should I raise an error?
elif lev:
self.amount = amount * lev
self.borrowed = amount * (lev-1)
elif bor:
self.lev = (bor + amount)/amount
super().__init__(**kwargs) super().__init__(**kwargs)
self.recalc_open_trade_value() self.recalc_open_trade_value()