adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #6870 from freqtrade/should_exit_list

Browse Source 
Should exit list
This commit is contained in:
Matthias
2022-05-24 06:57:50 +02:00
committed by GitHub
parent 42ae8ba6fb 938a66511a
commit 23e089061b
8 changed files with 152 additions and 44 deletions
Download Patch File Download Diff File Expand all files Collapse all files

6
freqtrade/enums/exitchecktuple.py
View File

@@ -15,3 +15,9 @@ class ExitCheckTuple:
@property
def exit_flag(self):
return self.exit_type != ExitType.NONE
def __eq__(self, other):
return self.exit_type == other.exit_type and self.exit_reason == other.exit_reason
def __repr__(self):
return f"ExitCheckTuple({self.exit_type}, {self.exit_reason})"

19
freqtrade/freqtradebot.py
View File

@@ -1106,7 +1106,7 @@ class FreqtradeBot(LoggingMixin):
"""
Check and execute trade exit
"""
should_exit: ExitCheckTuple = self.strategy.should_exit(
exits: List[ExitCheckTuple] = self.strategy.should_exit(
trade,
exit_rate,
datetime.now(timezone.utc),
@@ -1114,12 +1114,13 @@ class FreqtradeBot(LoggingMixin):
exit_=exit_,
force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0
)
if should_exit.exit_flag:
logger.info(f'Exit for {trade.pair} detected. Reason: {should_exit.exit_type}'
f'Tag: {exit_tag if exit_tag is not None else "None"}')
self.execute_trade_exit(trade, exit_rate, should_exit, exit_tag=exit_tag)
return True
for should_exit in exits:
if should_exit.exit_flag:
logger.info(f'Exit for {trade.pair} detected. Reason: {should_exit.exit_type}'
f'{f" Tag: {exit_tag}" if exit_tag is not None else ""}')
exited = self.execute_trade_exit(trade, exit_rate, should_exit, exit_tag=exit_tag)
if exited:
return True
return False
def manage_open_orders(self) -> None:
@@ -1406,7 +1407,7 @@ class FreqtradeBot(LoggingMixin):
:param trade: Trade instance
:param limit: limit rate for the sell order
:param exit_check: CheckTuple with signal and reason
:return: True if it succeeds (supported) False (not supported)
:return: True if it succeeds False
"""
trade.funding_fees = self.exchange.get_funding_fees(
pair=trade.pair,
@@ -1453,7 +1454,7 @@ class FreqtradeBot(LoggingMixin):
time_in_force=time_in_force, exit_reason=exit_reason,
sell_reason=exit_reason, # sellreason -> compatibility
current_time=datetime.now(timezone.utc)):
logger.info(f"User requested abortion of exiting {trade.pair}")
logger.info(f"User requested abortion of {trade.pair} exit.")
return False
try:

14
freqtrade/optimize/backtesting.py
View File

@@ -531,15 +531,23 @@ class Backtesting:
if check_adjust_entry:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exit_ = self.strategy.should_exit(
trade, row[OPEN_IDX], exit_candle_time, # type: ignore
exits = self.strategy.should_exit(
trade, row[OPEN_IDX], row[DATE_IDX].to_pydatetime(), # type: ignore
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
for exit_ in exits:
t = self._get_exit_for_signal(trade, row, exit_)
if t:
return t
return None
def _get_exit_for_signal(self, trade: LocalTrade, row: Tuple,
exit_: ExitCheckTuple) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if exit_.exit_flag:
trade.close_date = exit_candle_time
exit_reason = exit_.exit_reason

31
freqtrade/strategy/interface.py
View File

@@ -878,16 +878,16 @@ class IStrategy(ABC, HyperStrategyMixin):
def should_exit(self, trade: Trade, rate: float, current_time: datetime, *,
enter: bool, exit_: bool,
low: float = None, high: float = None,
force_stoploss: float = 0) -> ExitCheckTuple:
force_stoploss: float = 0) -> List[ExitCheckTuple]:
"""
This function evaluates if one of the conditions required to trigger an exit order
has been reached, which can either be a stop-loss, ROI or exit-signal.
:param low: Only used during backtesting to simulate (long)stoploss/(short)ROI
:param high: Only used during backtesting, to simulate (short)stoploss/(long)ROI
:param force_stoploss: Externally provided stoploss
:return: True if trade should be exited, False otherwise
:return: List of exit reasons - or empty list.
"""
exits: List[ExitCheckTuple] = []
current_rate = rate
current_profit = trade.calc_profit_ratio(current_rate)
@@ -938,24 +938,29 @@ class IStrategy(ABC, HyperStrategyMixin):
logger.debug(f"{trade.pair} - Sell signal received. "
f"exit_type=ExitType.{exit_signal.name}" +
(f", custom_reason={custom_reason}" if custom_reason else ""))
return ExitCheckTuple(exit_type=exit_signal, exit_reason=custom_reason)
exits.append(ExitCheckTuple(exit_type=exit_signal, exit_reason=custom_reason))
# Sequence:
# Exit-signal
# ROI (if not stoploss)
# Stoploss
if roi_reached and stoplossflag.exit_type != ExitType.STOP_LOSS:
logger.debug(f"{trade.pair} - Required profit reached. exit_type=ExitType.ROI")
return ExitCheckTuple(exit_type=ExitType.ROI)
# ROI
# Trailing stoploss
if stoplossflag.exit_flag:
if stoplossflag.exit_type == ExitType.STOP_LOSS:
logger.debug(f"{trade.pair} - Stoploss hit. exit_type={stoplossflag.exit_type}")
return stoplossflag
exits.append(stoplossflag)
# This one is noisy, commented out...
# logger.debug(f"{trade.pair} - No exit signal.")
return ExitCheckTuple(exit_type=ExitType.NONE)
if roi_reached:
logger.debug(f"{trade.pair} - Required profit reached. exit_type=ExitType.ROI")
exits.append(ExitCheckTuple(exit_type=ExitType.ROI))
if stoplossflag.exit_type == ExitType.TRAILING_STOP_LOSS:
logger.debug(f"{trade.pair} - Trailing stoploss hit.")
exits.append(stoplossflag)
return exits
def stop_loss_reached(self, current_rate: float, trade: Trade,
current_time: datetime, current_profit: float,