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fix trade recalculation from orders to work for partial exits

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This commit is contained in:
Matthias 2022-06-15 06:43:36 +02:00
parent fbee18d334
commit 2c12558baa
2 changed files with 53 additions and 21 deletions
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22
freqtrade/persistence/trade_model.py
View File

@ -880,6 +880,8 @@ class LocalTrade():
total_amount = 0.0
total_stake = 0.0
avg_price = None
close_profit = 0.0
close_profit_abs = 0.0
for o in self.orders:
if o.ft_is_open or not o.filled:
@ -887,6 +889,7 @@ class LocalTrade():
tmp_amount = o.safe_amount_after_fee
tmp_price = o.safe_price
is_exit = o.ft_order_side != self.enter_side
side = -1 if is_exit else 1
if tmp_amount > 0.0 and tmp_price is not None:
@ -896,6 +899,25 @@ class LocalTrade():
if total_amount > 0:
avg_price = total_stake / total_amount
if is_exit:
# Process partial exits
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)
if total_amount > 0:
# Exclude final (closing) trade
close_profit_abs += profit
if self.is_short:
close_profit += (exit_stake_amount - profit) / exit_stake_amount - 1
else:
close_profit += exit_stake_amount / (exit_stake_amount - profit) - 1
if close_profit:
self.close_profit = close_profit
self.realized_profit = close_profit_abs
self.close_profit_abs = profit
if total_amount > 0:
# Leverage not updated, as we don't allow changing leverage through DCA at the moment.
self.open_rate = total_stake / total_amount

34
tests/test_persistence.py
View File

@ -2696,23 +2696,31 @@ def test_order_to_ccxt(limit_buy_order_open):
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize('data', [
(
{
# tuple 1 - side, amount, price
# tuple 2 - amount, open_rate, stake_amount, cumulative_profit, realized_profit
'orders': [
(('buy', 100, 10), (100.0, 10.0, 1000.0, 0.0, None)),
(('buy', 100, 15), (200.0, 12.5, 2500.0, 0.0, None)),
(('sell', 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625)),
(('sell', 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875)),
(('sell', 50, 5), (50.0, 12.5, 625.0, 713.8125, 336.625)),
),
(
(('sell', 50, 5), (50.0, 12.5, 625.0, 713.8125, -377.1875)),
],
'end_profit': 336.625,
'end_profit_ratio': -0.601995,
},
{
'orders': [
(('buy', 100, 3), (100.0, 3.0, 300.0, 0.0, None)),
(('buy', 100, 7), (200.0, 5.0, 1000.0, 0.0, None)),
(('sell', 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0)),
(('buy', 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0)),
(('sell', 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5)),
(('sell', 150, 23), (150.0, 11.0, 1650.0, 1388.5, 3175.75)),
)
(('sell', 150, 23), (150.0, 11.0, 1650.0, 1388.5, 1787.25)),
],
'end_profit': 3175.75,
'end_profit_ratio': 1.08048,
}
])
def test_recalc_trade_from_orders_dca(fee, data) -> None:
@ -2721,8 +2729,8 @@ def test_recalc_trade_from_orders_dca(fee, data) -> None:
id=2,
pair=pair,
stake_amount=1000,
open_rate=data[0][0][2],
amount=data[0][0][1],
open_rate=data['orders'][0][0][2],
amount=data['orders'][0][0][1],
is_open=True,
open_date=arrow.utcnow().datetime,
fee_open=fee.return_value,
@ -2734,7 +2742,7 @@ def test_recalc_trade_from_orders_dca(fee, data) -> None:
)
Trade.query.session.add(trade)
for idx, (order, result) in enumerate(data):
for idx, (order, result) in enumerate(data['orders']):
amount = order[1]
price = order[2]
@ -2756,8 +2764,6 @@ def test_recalc_trade_from_orders_dca(fee, data) -> None:
order_filled_date=arrow.utcnow().shift(hours=-10 + idx).datetime,
)
trade.orders.append(order_obj)
if order[0] == 'sell' and idx != len(data) - 1:
trade.process_exit_sub_trade(order_obj, True)
trade.recalc_trade_from_orders()
Trade.commit()
@ -2775,8 +2781,12 @@ def test_recalc_trade_from_orders_dca(fee, data) -> None:
assert trade.open_rate == result[1]
assert trade.stake_amount == result[2]
assert pytest.approx(trade.realized_profit) == result[3]
# assert pytest.approx(trade.close_profit_abs) == result[4]
assert pytest.approx(trade.close_profit_abs) == result[4]
trade.close(price)
assert pytest.approx(trade.close_profit_abs) == data['end_profit']
assert pytest.approx(trade.close_profit) == data['end_profit_ratio']
assert not trade.is_open
trade = Trade.query.first()
assert trade
assert trade.open_order_id is None