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price_last_balance renaming

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This commit is contained in:
Matthias 2022-03-28 19:48:45 +02:00
parent d7c6520268
commit 2d740230f7
16 changed files with 50 additions and 33 deletions
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2
config_examples/config_binance.example.json
View File

@ -15,7 +15,7 @@
},
"entry_pricing": {
"price_side": "same",
"ask_last_balance": 0.0,
"price_last_balance": 0.0,
"use_order_book": true,
"order_book_top": 1,
"check_depth_of_market": {

2
config_examples/config_bittrex.example.json
View File

@ -16,7 +16,7 @@
"entry_pricing": {
"price_side": "same",
"use_order_book": true,
"ask_last_balance": 0.0,
"price_last_balance": 0.0,
"order_book_top": 1,
"check_depth_of_market": {
"enabled": false,

2
config_examples/config_ftx.example.json
View File

@ -15,7 +15,7 @@
},
"entry_pricing": {
"price_side": "same",
"ask_last_balance": 0.0,
"price_last_balance": 0.0,
"use_order_book": true,
"order_book_top": 1,
"check_depth_of_market": {

5
config_examples/config_full.example.json
View File

@ -39,7 +39,7 @@
"price_side": "same",
"use_order_book": true,
"order_book_top": 1,
"ask_last_balance": 0.0,
"price_last_balance": 0.0,
"check_depth_of_market": {
"enabled": false,
"bids_to_ask_delta": 1
@ -48,7 +48,8 @@
"exit_pricing":{
"price_side": "same",
"use_order_book": true,
"order_book_top": 1
"order_book_top": 1,
"price_last_balance": 0.0
},
"order_types": {
"entry": "limit",

2
config_examples/config_kraken.example.json
View File

@ -16,7 +16,7 @@
"entry_pricing": {
"price_side": "same",
"use_order_book": true,
"ask_last_balance": 0.0,
"price_last_balance": 0.0,
"order_book_top": 1,
"check_depth_of_market": {
"enabled": false,

4
docs/configuration.md
View File

@ -107,13 +107,13 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `unfilledtimeout.unit` | Unit to use in unfilledtimeout setting. Note: If you set unfilledtimeout.unit to "seconds", "internals.process_throttle_secs" must be inferior or equal to timeout [Strategy Override](#parameters-in-the-strategy). <br> *Defaults to `minutes`.* <br> **Datatype:** String
| `unfilledtimeout.exit_timeout_count` | How many times can exit orders time out. Once this number of timeouts is reached, an emergency sell is triggered. 0 to disable and allow unlimited order cancels. [Strategy Override](#parameters-in-the-strategy).<br>*Defaults to `0`.* <br> **Datatype:** Integer
| `enter_pricing.price_side` | Select the side of the spread the bot should look at to get the entry rate. [More information below](#buy-price-side).<br> *Defaults to `same`.* <br> **Datatype:** String (either `ask`, `bid`, `same` or `other`).
| `enter_pricing.ask_last_balance` | **Required.** Interpolate the bidding price. More information [below](#buy-price-without-orderbook-enabled).
| `enter_pricing.price_last_balance` | **Required.** Interpolate the bidding price. More information [below](#buy-price-without-orderbook-enabled).
| `enter_pricing.use_order_book` | Enable entering using the rates in [Order Book Bids](#buy-price-with-orderbook-enabled). <br> *Defaults to `True`.*<br> **Datatype:** Boolean
| `enter_pricing.order_book_top` | Bot will use the top N rate in Order Book "price_side" to enter a trade. I.e. a value of 2 will allow the bot to pick the 2nd entry in [Order Book Bids](#buy-price-with-orderbook-enabled). <br>*Defaults to `1`.* <br> **Datatype:** Positive Integer
| `enter_pricing. check_depth_of_market.enabled` | Do not enter if the difference of buy orders and sell orders is met in Order Book. [Check market depth](#check-depth-of-market). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
| `enter_pricing. check_depth_of_market.bids_to_ask_delta` | The difference ratio of buy orders and sell orders found in Order Book. A value below 1 means sell order size is greater, while value greater than 1 means buy order size is higher. [Check market depth](#check-depth-of-market) <br> *Defaults to `0`.* <br> **Datatype:** Float (as ratio)
| `exit_pricing.price_side` | Select the side of the spread the bot should look at to get the exit rate. [More information below](#sell-price-side).<br> *Defaults to `same`.* <br> **Datatype:** String (either `ask`, `bid`, `same` or `other`).
| `exit_pricing.bid_last_balance` | Interpolate the exiting price. More information [below](#sell-price-without-orderbook-enabled).
| `exit_pricing.price_last_balance` | Interpolate the exiting price. More information [below](#sell-price-without-orderbook-enabled).
| `exit_pricing.use_order_book` | Enable exiting of open trades using [Order Book Asks](#sell-price-with-orderbook-enabled). <br> *Defaults to `True`.*<br> **Datatype:** Boolean
| `exit_pricing.order_book_top` | Bot will use the top N rate in Order Book "price_side" to sell. I.e. a value of 2 will allow the bot to pick the 2nd ask rate in [Order Book Asks](#sell-price-with-orderbook-enabled)<br>*Defaults to `1`.* <br> **Datatype:** Positive Integer
| `use_sell_signal` | Use sell signals produced by the strategy in addition to the `minimal_roi`. [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `true`.* <br> **Datatype:** Boolean

8
docs/includes/pricing.md
View File

@ -53,9 +53,9 @@ When buying with the orderbook enabled (`bid_strategy.use_order_book=True`), Fre
The following section uses `side` as the configured `bid_strategy.price_side` (defaults to `"bid"`).
When not using orderbook (`bid_strategy.use_order_book=False`), Freqtrade uses the best `side` price from the ticker if it's below the `last` traded price from the ticker. Otherwise (when the `side` price is above the `last` price), it calculates a rate between `side` and `last` price based on `bid_strategy.ask_last_balance`..
When not using orderbook (`bid_strategy.use_order_book=False`), Freqtrade uses the best `side` price from the ticker if it's below the `last` traded price from the ticker. Otherwise (when the `side` price is above the `last` price), it calculates a rate between `side` and `last` price based on `bid_strategy.price_last_balance`..
The `bid_strategy.ask_last_balance` configuration parameter controls this. A value of `0.0` will use `side` price, while `1.0` will use the `last` price and values between those interpolate between ask and last price.
The `bid_strategy.price_last_balance` configuration parameter controls this. A value of `0.0` will use `side` price, while `1.0` will use the `last` price and values between those interpolate between ask and last price.
### Sell price
@ -90,9 +90,9 @@ When selling with the orderbook enabled (`ask_strategy.use_order_book=True`), Fr
The following section uses `side` as the configured `ask_strategy.price_side` (defaults to `"ask"`).
When not using orderbook (`ask_strategy.use_order_book=False`), Freqtrade uses the best `side` price from the ticker if it's above the `last` traded price from the ticker. Otherwise (when the `side` price is below the `last` price), it calculates a rate between `side` and `last` price based on `ask_strategy.bid_last_balance`.
When not using orderbook (`ask_strategy.use_order_book=False`), Freqtrade uses the best `side` price from the ticker if it's above the `last` traded price from the ticker. Otherwise (when the `side` price is below the `last` price), it calculates a rate between `side` and `last` price based on `ask_strategy.price_last_balance`.
The `ask_strategy.bid_last_balance` configuration parameter controls this. A value of `0.0` will use `side` price, while `1.0` will use the last price and values between those interpolate between `side` and last price.
The `ask_strategy.price_last_balance` configuration parameter controls this. A value of `0.0` will use `side` price, while `1.0` will use the last price and values between those interpolate between `side` and last price.
### Market order pricing

13
docs/strategy_migration.md
View File

@ -337,10 +337,11 @@ unfilledtimeout = {
#### `order pricing`
Order pricing changed in 2 ways. `bid_strategy` was renamed to `entry_strategy` and `ask_strategy` was renamed to `exit_strategy`.
The attributes `ask_last_balance` -> `price_last_balance` and `bid_last_balance` -> `price_last_balance` were renamed as well.
Also, price-side can now be defined as `ask`, `bid`, `same` or `other`.
Please refer to the [pricing documentation](configuration.md) for more information.
``` json hl_lines="2-3 12-13"
``` json hl_lines="2-3 6 12-13 16"
{
"bid_strategy": {
"price_side": "bid",
@ -355,20 +356,21 @@ Please refer to the [pricing documentation](configuration.md) for more informati
"ask_strategy":{
"price_side": "ask",
"use_order_book": true,
"order_book_top": 1
"order_book_top": 1,
"bid_last_balance": 0.0
}
}
```
after:
``` json hl_lines="2-3 12-13"
``` json hl_lines="2-3 6 12-13 16"
{
"entry_pricing": {
"price_side": "same",
"use_order_book": true,
"order_book_top": 1,
"ask_last_balance": 0.0,
"price_last_balance": 0.0,
"check_depth_of_market": {
"enabled": false,
"bids_to_ask_delta": 1
@ -377,7 +379,8 @@ after:
"exit_pricing":{
"price_side": "same",
"use_order_book": true,
"order_book_top": 1
"order_book_top": 1,
"price_last_balance": 0.0
}
}
```

13
freqtrade/configuration/config_validation.py
View File

@ -297,9 +297,18 @@ def _validate_pricing_rules(conf: Dict[str, Any]) -> None:
)
conf['entry_pricing'] = {}
for obj in list(conf.get('bid_strategy', {}).keys()):
process_deprecated_setting(conf, 'bid_strategy', obj, 'entry_pricing', obj)
if obj == 'ask_last_balance':
process_deprecated_setting(conf, 'bid_strategy', obj,
'entry_pricing', 'price_last_balance')
else:
process_deprecated_setting(conf, 'bid_strategy', obj, 'entry_pricing', obj)
del conf['bid_strategy']
conf['exit_pricing'] = {}
for obj in list(conf.get('ask_strategy', {}).keys()):
process_deprecated_setting(conf, 'ask_strategy', obj, 'exit_pricing', obj)
if obj == 'bid_last_balance':
process_deprecated_setting(conf, 'ask_strategy', obj,
'exit_pricing', 'price_last_balance')
else:
process_deprecated_setting(conf, 'ask_strategy', obj, 'exit_pricing', obj)
del conf['ask_strategy']

4
freqtrade/constants.py
View File

@ -174,7 +174,7 @@ CONF_SCHEMA = {
'entry_pricing': {
'type': 'object',
'properties': {
'ask_last_balance': {
'price_last_balance': {
'type': 'number',
'minimum': 0,
'maximum': 1,
@ -197,7 +197,7 @@ CONF_SCHEMA = {
'type': 'object',
'properties': {
'price_side': {'type': 'string', 'enum': PRICING_SIDES, 'default': 'same'},
'bid_last_balance': {
'price_last_balance': {
'type': 'number',
'minimum': 0,
'maximum': 1,

4
freqtrade/exchange/exchange.py
View File

@ -1503,10 +1503,10 @@ class Exchange:
ticker_rate = ticker[price_side]
if ticker['last'] and ticker_rate:
if side == 'entry' and ticker_rate > ticker['last']:
balance = conf_strategy.get('ask_last_balance', 0.0)
balance = conf_strategy.get('price_last_balance', 0.0)
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
elif side == 'exit' and ticker_rate < ticker['last']:
balance = conf_strategy.get('bid_last_balance', 0.0)
balance = conf_strategy.get('price_last_balance', 0.0)
ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
rate = ticker_rate

2
freqtrade/templates/base_config.json.j2
View File

@ -23,8 +23,8 @@
},
"entry_pricing": {
"price_side": "same",
"ask_last_balance": 0.0,
"use_order_book": true,
"price_last_balance": 0.0,
"order_book_top": 1,
"check_depth_of_market": {
"enabled": false,

2
tests/conftest.py
View File

@ -420,7 +420,7 @@ def get_default_conf(testdatadir):
"exit": 30
},
"entry_pricing": {
"ask_last_balance": 0.0,
"price_last_balance": 0.0,
"use_order_book": False,
"order_book_top": 1,
"check_depth_of_market": {

14
tests/exchange/test_exchange.py
View File

@ -2283,7 +2283,7 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
('ask', 20, 19, 10, None, 20), # ask_last_balance missing
('ask', 20, 19, 10, None, 20), # price_last_balance missing
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
('ask', 4, 5, None, 1, 4), # last not available - uses ask
@ -2294,7 +2294,7 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
('bid', 21, 20, 10, None, 20), # ask_last_balance missing
('bid', 21, 20, 10, None, 20), # price_last_balance missing
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
@ -2305,9 +2305,9 @@ def test_get_entry_rate(mocker, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
if last_ab is None:
del default_conf['entry_pricing']['ask_last_balance']
del default_conf['entry_pricing']['price_last_balance']
else:
default_conf['entry_pricing']['ask_last_balance'] = last_ab
default_conf['entry_pricing']['price_last_balance'] = last_ab
default_conf['entry_pricing']['price_side'] = side
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
@ -2351,7 +2351,7 @@ def test_get_exit_rate(default_conf, mocker, caplog, side, bid, ask,
default_conf['exit_pricing']['price_side'] = side
if last_ab is not None:
default_conf['exit_pricing']['bid_last_balance'] = last_ab
default_conf['exit_pricing']['price_last_balance'] = last_ab
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'bid': bid, 'last': last})
pair = "ETH/BTC"
@ -2381,10 +2381,10 @@ def test_get_exit_rate(default_conf, mocker, caplog, side, bid, ask,
def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, is_short, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['entry_pricing']['ask_last_balance'] = last_ab
default_conf['entry_pricing']['price_last_balance'] = last_ab
default_conf['entry_pricing']['price_side'] = side
default_conf['exit_pricing']['price_side'] = side
default_conf['exit_pricing']['ask_last_balance'] = last_ab
default_conf['exit_pricing']['price_last_balance'] = last_ab
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'last': last, 'bid': bid})

4
tests/test_configuration.py
View File

@ -1031,10 +1031,12 @@ def test__validate_pricing_rules(default_conf, caplog) -> None:
def_conf['ask_strategy'] = {
'price_side': 'ask',
'use_order_book': True,
'bid_last_balance': 0.5
}
def_conf['bid_strategy'] = {
'price_side': 'bid',
'use_order_book': False,
'ask_last_balance': 0.7
}
conf = deepcopy(def_conf)
@ -1043,8 +1045,10 @@ def test__validate_pricing_rules(default_conf, caplog) -> None:
r"DEPRECATED: Using 'ask_strategy' and 'bid_strategy' is.*", caplog)
assert conf['exit_pricing']['price_side'] == 'ask'
assert conf['exit_pricing']['use_order_book'] is True
assert conf['exit_pricing']['price_last_balance'] == 0.5
assert conf['entry_pricing']['price_side'] == 'bid'
assert conf['entry_pricing']['use_order_book'] is False
assert conf['entry_pricing']['price_last_balance'] == 0.7
assert 'ask_strategy' not in conf
assert 'bid_strategy' not in conf

2
tests/test_freqtradebot.py
View File

@ -4491,7 +4491,7 @@ def test_order_book_entry_pricing1(mocker, default_conf_usdt, order_book_l2, exc
default_conf_usdt['exchange']['name'] = 'binance'
default_conf_usdt['entry_pricing']['use_order_book'] = True
default_conf_usdt['entry_pricing']['order_book_top'] = order_book_top
default_conf_usdt['entry_pricing']['ask_last_balance'] = 0
default_conf_usdt['entry_pricing']['price_last_balance'] = 0
default_conf_usdt['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf_usdt)