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Merge pull request #5255 from freqtrade/improve_dynamic_stake

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Improve dynamic stake with multiple bots on the same exchange
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Matthias 2021-07-14 06:45:48 +02:00 committed by GitHub
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6 changed files with 78 additions and 18 deletions
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17
docs/configuration.md
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@ -52,6 +52,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `stake_currency` | **Required.** Crypto-currency used for trading. <br> **Datatype:** String
| `stake_amount` | **Required.** Amount of crypto-currency your bot will use for each trade. Set it to `"unlimited"` to allow the bot to use all available balance. [More information below](#configuring-amount-per-trade). <br> **Datatype:** Positive float or `"unlimited"`.
| `tradable_balance_ratio` | Ratio of the total account balance the bot is allowed to trade. [More information below](#configuring-amount-per-trade). <br>*Defaults to `0.99` 99%).*<br> **Datatype:** Positive float between `0.1` and `1.0`.
| `available_capital` | Available starting capital for the bot. Useful when running multiple bots on the same exchange account.[More information below](#configuring-amount-per-trade). <br> **Datatype:** Positive float.
| `amend_last_stake_amount` | Use reduced last stake amount if necessary. [More information below](#configuring-amount-per-trade). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
| `last_stake_amount_min_ratio` | Defines minimum stake amount that has to be left and executed. Applies only to the last stake amount when it's amended to a reduced value (i.e. if `amend_last_stake_amount` is set to `true`). [More information below](#configuring-amount-per-trade). <br>*Defaults to `0.5`.* <br> **Datatype:** Float (as ratio)
| `amount_reserve_percent` | Reserve some amount in min pair stake amount. The bot will reserve `amount_reserve_percent` + stoploss value when calculating min pair stake amount in order to avoid possible trade refusals. <br>*Defaults to `0.05` (5%).* <br> **Datatype:** Positive Float as ratio.
@ -192,9 +193,25 @@ You can configure the "untouched" amount by using the `tradable_balance_ratio` s
For example, if you have 10 ETH available in your wallet on the exchange and `tradable_balance_ratio=0.5` (which is 50%), then the bot will use a maximum amount of 5 ETH for trading and considers this as available balance. The rest of the wallet is untouched by the trades.
!!! Danger
This setting should **not** be used when running multiple bots on the same account. Please look at [Available Capital to the bot](#assign-available-capital) instead.
!!! Warning
The `tradable_balance_ratio` setting applies to the current balance (free balance + tied up in trades). Therefore, assuming the starting balance of 1000, a configuration with `tradable_balance_ratio=0.99` will not guarantee that 10 currency units will always remain available on the exchange. For example, the free amount may reduce to 5 units if the total balance is reduced to 500 (either by a losing streak, or by withdrawing balance).
#### Assign available Capital
To fully utilize compounding profits when using multiple bots on the same exchange account, you'll want to limit each bot to a certain starting balance.
This can be accomplished by setting `available_capital` to the desired starting balance.
Assuming your account has 10.000 USDT and you want to run 2 different strategies on this exchange.
You'd set `available_capital=5000` - granting each bot an initial capital of 5000 USDT.
The bot will then split this starting balance equally into `max_open_trades` buckets.
Profitable trades will result in increased stake-sizes for this bot - without affecting stake-sizes of the other bot.
!!! Warning "Incompatible with `tradable_balance_ratio`"
Setting this option will replace any configuration of `tradable_balance_ratio`.
#### Amend last stake amount
Assuming we have the tradable balance of 1000 USDT, `stake_amount=400`, and `max_open_trades=3`.

4
freqtrade/constants.py
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@ -113,6 +113,10 @@ CONF_SCHEMA = {
'maximum': 1,
'default': 0.99
},
'available_capital': {
'type': 'number',
'minimum': 0,
},
'amend_last_stake_amount': {'type': 'boolean', 'default': False},
'last_stake_amount_min_ratio': {
'type': 'number', 'minimum': 0.0, 'maximum': 1.0, 'default': 0.5

13
freqtrade/persistence/models.py
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@ -801,6 +801,19 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.is_open.is_(False),
]).all()
@staticmethod
def get_total_closed_profit() -> float:
"""
Retrieves total realized profit
"""
if Trade.use_db:
total_profit = Trade.query.with_entities(
func.sum(Trade.close_profit_abs)).filter(Trade.is_open.is_(False)).scalar()
else:
total_profit = sum(
t.close_profit_abs for t in LocalTrade.get_trades_proxy(is_open=False))
return total_profit or 0
@staticmethod
def total_open_trades_stakes() -> float:
"""

18
freqtrade/wallets.py
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@ -70,9 +70,7 @@ class Wallets:
# If not backtesting...
# TODO: potentially remove the ._log workaround to determine backtest mode.
if self._log:
closed_trades = Trade.get_trades_proxy(is_open=False)
tot_profit = sum(
[trade.close_profit_abs for trade in closed_trades if trade.close_profit_abs])
tot_profit = Trade.get_total_closed_profit()
else:
tot_profit = LocalTrade.total_profit
tot_in_trades = sum([trade.stake_amount for trade in open_trades])
@ -138,10 +136,16 @@ class Wallets:
Calculated as
(<open_trade stakes> + free amount) * tradable_balance_ratio
"""
val_tied_up = Trade.total_open_trades_stakes()
if "available_capital" in self._config:
starting_balance = self._config['available_capital']
tot_profit = Trade.get_total_closed_profit()
available_amount = starting_balance + tot_profit
else:
# Ensure <tradable_balance_ratio>% is used from the overall balance
# Otherwise we'd risk lowering stakes with each open trade.
# (tied up + current free) * ratio) - tied up
val_tied_up = Trade.total_open_trades_stakes()
available_amount = ((val_tied_up + self.get_free(self._config['stake_currency'])) *
self._config['tradable_balance_ratio'])
return available_amount
@ -154,10 +158,8 @@ class Wallets:
(<open_trade stakes> + free amount) * tradable_balance_ratio - <open_trade stakes>
"""
# Ensure <tradable_balance_ratio>% is used from the overall balance
# Otherwise we'd risk lowering stakes with each open trade.
# (tied up + current free) * ratio) - tied up
return self.get_total_stake_amount() - Trade.total_open_trades_stakes()
free = self.get_free(self._config['stake_currency'])
return min(self.get_total_stake_amount() - Trade.total_open_trades_stakes(), free)
def _calculate_unlimited_stake_amount(self, available_amount: float,
val_tied_up: float) -> float:

16
tests/test_persistence.py
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@ -1124,6 +1124,21 @@ def test_total_open_trades_stakes(fee, use_db):
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize('use_db', [True, False])
def test_get_total_closed_profit(fee, use_db):
Trade.use_db = use_db
Trade.reset_trades()
res = Trade.get_total_closed_profit()
assert res == 0
create_mock_trades(fee, use_db)
res = Trade.get_total_closed_profit()
assert res == 0.000739127
Trade.use_db = True
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize('use_db', [True, False])
def test_get_trades_proxy(fee, use_db):
@ -1298,6 +1313,7 @@ def test_Trade_object_idem():
'open_date',
'get_best_pair',
'get_overall_performance',
'get_total_closed_profit',
'total_open_trades_stakes',
'get_sold_trades_without_assigned_fees',
'get_open_trades_without_assigned_fees',

20
tests/test_wallets.py
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@ -121,13 +121,19 @@ def test_get_trade_stake_amount_no_stake_amount(default_conf, mocker) -> None:
freqtrade.wallets.get_trade_stake_amount('ETH/BTC')
@pytest.mark.parametrize("balance_ratio,result1,result2", [
(1, 50, 66.66666),
(0.99, 49.5, 66.0),
(0.50, 25, 33.3333),
@pytest.mark.parametrize("balance_ratio,capital,result1,result2", [
(1, None, 50, 66.66666),
(0.99, None, 49.5, 66.0),
(0.50, None, 25, 33.3333),
# Tests with capital ignore balance_ratio
(1, 100, 50, 0.0),
(0.99, 200, 50, 66.66666),
(0.99, 150, 50, 50),
(0.50, 50, 25, 0.0),
(0.50, 10, 5, 0.0),
])
def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_ratio, result1,
result2, limit_buy_order_open,
def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_ratio, capital,
result1, result2, limit_buy_order_open,
fee, mocker) -> None:
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
@ -141,6 +147,8 @@ def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_r
conf['dry_run_wallet'] = 100
conf['max_open_trades'] = 2
conf['tradable_balance_ratio'] = balance_ratio
if capital is not None:
conf['available_capital'] = capital
freqtrade = get_patched_freqtradebot(mocker, conf)