Merge pull request #5189 from rokups/rk/custom-stake

Implement strategy-controlled stake sizes

docs/strategy-advanced.md

@@ -521,6 +521,39 @@ class AwesomeStrategy(IStrategy):
 
 ```
 
+### Stake size management
+
+It is possible to manage your risk by reducing or increasing stake amount when placing a new trade.
+
+```python
+class AwesomeStrategy(IStrategy):
+    def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
+                            proposed_stake: float, min_stake: float, max_stake: float,
+                            **kwargs) -> float:
+
+        dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
+        current_candle = dataframe.iloc[-1].squeeze()
+
+        if current_candle['fastk_rsi_1h'] > current_candle['fastd_rsi_1h']:
+            if self.config['stake_amount'] == 'unlimited':
+                # Use entire available wallet during favorable conditions when in compounding mode.
+                return max_stake
+            else:
+                # Compound profits during favorable conditions instead of using a static stake.
+                return self.wallets.get_total_stake_amount() / self.config['max_open_trades']
+
+        # Use default stake amount.
+        return proposed_stake
+```
+
+Freqtrade will fall back to the `proposed_stake` value should your code raise an exception. The exception itself will be logged.
+
+!!! Tip
+    You do not _have_ to ensure that `min_stake <= returned_value <= max_stake`. Trades will succeed as the returned value will be clamped to supported range and this acton will be logged.
+
+!!! Tip
+    Returning `0` or `None` will prevent trades from being placed.
+
 ---
 
 ## Derived strategies

freqtrade/freqtradebot.py

@@ -424,16 +424,10 @@ class FreqtradeBot(LoggingMixin):
 
         if buy and not sell:
             stake_amount = self.wallets.get_trade_stake_amount(pair, self.edge)
-            if not stake_amount:
-                logger.debug(f"Stake amount is 0, ignoring possible trade for {pair}.")
-                return False
-
-            logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: "
-                        f"{stake_amount} ...")
 
             bid_check_dom = self.config.get('bid_strategy', {}).get('check_depth_of_market', {})
             if ((bid_check_dom.get('enabled', False)) and
-                    (bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
+               (bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
                 if self._check_depth_of_market_buy(pair, bid_check_dom):
                     return self.execute_buy(pair, stake_amount)
                 else:
@@ -488,13 +482,22 @@ class FreqtradeBot(LoggingMixin):
 
         min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, buy_limit_requested,
                                                                    self.strategy.stoploss)
-        if min_stake_amount is not None and min_stake_amount > stake_amount:
-            logger.warning(
-                f"Can't open a new trade for {pair}: stake amount "
-                f"is too small ({stake_amount} < {min_stake_amount})"
-            )
+
+        if not self.edge:
+            max_stake_amount = self.wallets.get_available_stake_amount()
+            stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
+                                                 default_retval=stake_amount)(
+                pair=pair, current_time=datetime.now(timezone.utc),
+                current_rate=buy_limit_requested, proposed_stake=stake_amount,
+                min_stake=min_stake_amount, max_stake=max_stake_amount)
+        stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
+
+        if not stake_amount:
             return False
 
+        logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: "
+                    f"{stake_amount} ...")
+
         amount = stake_amount / buy_limit_requested
         order_type = self.strategy.order_types['buy']
         if forcebuy:

freqtrade/optimize/backtesting.py

@@ -129,6 +129,8 @@ class Backtesting:
         """
         self.strategy: IStrategy = strategy
         strategy.dp = self.dataprovider
+        # Attach Wallets to Strategy baseclass
+        IStrategy.wallets = self.wallets
         # Set stoploss_on_exchange to false for backtesting,
         # since a "perfect" stoploss-sell is assumed anyway
         # And the regular "stoploss" function would not apply to that case
@@ -312,7 +314,18 @@ class Backtesting:
             stake_amount = self.wallets.get_trade_stake_amount(pair, None)
         except DependencyException:
             return None
-        min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05)
+
+        min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) or 0
+        max_stake_amount = self.wallets.get_available_stake_amount()
+
+        stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
+                                             default_retval=stake_amount)(
+            pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
+            proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount)
+        stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
+
+        if not stake_amount:
+            return None
 
         order_type = self.strategy.order_types['buy']
         time_in_force = self.strategy.order_time_in_force['sell']

freqtrade/strategy/interface.py

@@ -304,6 +304,23 @@ class IStrategy(ABC, HyperStrategyMixin):
         """
         return None
 
+    def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
+                            proposed_stake: float, min_stake: float, max_stake: float,
+                            **kwargs) -> float:
+        """
+        Customize stake size for each new trade. This method is not called when edge module is
+        enabled.
+
+        :param pair: Pair that's currently analyzed
+        :param current_time: datetime object, containing the current datetime
+        :param current_rate: Rate, calculated based on pricing settings in ask_strategy.
+        :param proposed_stake: A stake amount proposed by the bot.
+        :param min_stake: Minimal stake size allowed by exchange.
+        :param max_stake: Balance available for trading.
+        :return: A stake size, which is between min_stake and max_stake.
+        """
+        return proposed_stake
+
     def informative_pairs(self) -> ListPairsWithTimeframes:
         """
         Define additional, informative pair/interval combinations to be cached from the exchange.

freqtrade/wallets.py

@@ -131,7 +131,22 @@ class Wallets:
     def get_all_balances(self) -> Dict[str, Any]:
         return self._wallets
 
-    def _get_available_stake_amount(self, val_tied_up: float) -> float:
+    def get_total_stake_amount(self):
+        """
+        Return the total currently available balance in stake currency, including tied up stake and
+        respecting tradable_balance_ratio.
+        Calculated as
+        (<open_trade stakes> + free amount) * tradable_balance_ratio
+        """
+        # 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
+
+    def get_available_stake_amount(self) -> float:
         """
         Return the total currently available balance in stake currency,
         respecting tradable_balance_ratio.
@@ -142,9 +157,7 @@ class Wallets:
         # 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
-        available_amount = ((val_tied_up + self.get_free(self._config['stake_currency'])) *
-                            self._config['tradable_balance_ratio']) - val_tied_up
-        return available_amount
+        return self.get_total_stake_amount() - Trade.total_open_trades_stakes()
 
     def _calculate_unlimited_stake_amount(self, available_amount: float,
                                           val_tied_up: float) -> float:
@@ -193,7 +206,7 @@ class Wallets:
         # Ensure wallets are uptodate.
         self.update()
         val_tied_up = Trade.total_open_trades_stakes()
-        available_amount = self._get_available_stake_amount(val_tied_up)
+        available_amount = self.get_available_stake_amount()
 
         if edge:
             stake_amount = edge.stake_amount(
@@ -209,3 +222,23 @@ class Wallets:
                     available_amount, val_tied_up)
 
         return self._check_available_stake_amount(stake_amount, available_amount)
+
+    def _validate_stake_amount(self, pair, stake_amount, min_stake_amount):
+        if not stake_amount:
+            logger.debug(f"Stake amount is {stake_amount}, ignoring possible trade for {pair}.")
+            return 0
+
+        max_stake_amount = self.get_available_stake_amount()
+        if min_stake_amount is not None and stake_amount < min_stake_amount:
+            stake_amount = min_stake_amount
+            logger.info(
+                f"Stake amount for pair {pair} is too small ({stake_amount} < {min_stake_amount}), "
+                f"adjusting to {min_stake_amount}."
+            )
+        if stake_amount > max_stake_amount:
+            stake_amount = max_stake_amount
+            logger.info(
+                f"Stake amount for pair {pair} is too big ({stake_amount} > {max_stake_amount}), "
+                f"adjusting to {max_stake_amount}."
+            )
+        return stake_amount

tests/optimize/test_backtesting.py

@@ -496,6 +496,17 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
     trade = backtesting._enter_trade(pair, row=row)
     assert trade is not None
 
+    backtesting.strategy.custom_stake_amount = lambda **kwargs: 123.5
+    trade = backtesting._enter_trade(pair, row=row)
+    assert trade
+    assert trade.stake_amount == 123.5
+
+    # In case of error - use proposed stake
+    backtesting.strategy.custom_stake_amount = lambda **kwargs: 20 / 0
+    trade = backtesting._enter_trade(pair, row=row)
+    assert trade
+    assert trade.stake_amount == 495
+
     # Stake-amount too high!
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)
 

tests/rpc/test_rpc.py

@@ -886,7 +886,7 @@ def test_rpcforcebuy(mocker, default_conf, ticker, fee, limit_buy_order_open) ->
 
     # Test not buying
     freqtradebot = get_patched_freqtradebot(mocker, default_conf)
-    freqtradebot.config['stake_amount'] = 0.0000001
+    freqtradebot.config['stake_amount'] = 0
     patch_get_signal(freqtradebot, (True, False))
     rpc = RPC(freqtradebot)
     pair = 'TKN/BTC'

tests/test_freqtradebot.py

@@ -397,7 +397,7 @@ def test_create_trade_minimal_amount(default_conf, ticker, limit_buy_order_open,
 
 
 def test_create_trade_too_small_stake_amount(default_conf, ticker, limit_buy_order_open,
-                                             fee, mocker) -> None:
+                                             fee, mocker, caplog) -> None:
     patch_RPCManager(mocker)
     patch_exchange(mocker)
     buy_mock = MagicMock(return_value=limit_buy_order_open)
@@ -413,6 +413,27 @@ def test_create_trade_too_small_stake_amount(default_conf, ticker, limit_buy_ord
 
     patch_get_signal(freqtrade)
 
+    assert freqtrade.create_trade('ETH/BTC')
+    assert log_has_re(r"Stake amount for pair .* is too small.*", caplog)
+
+
+def test_create_trade_zero_stake_amount(default_conf, ticker, limit_buy_order_open,
+                                        fee, mocker) -> None:
+    patch_RPCManager(mocker)
+    patch_exchange(mocker)
+    buy_mock = MagicMock(return_value=limit_buy_order_open)
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        fetch_ticker=ticker,
+        buy=buy_mock,
+        get_fee=fee,
+    )
+
+    freqtrade = FreqtradeBot(default_conf)
+    freqtrade.config['stake_amount'] = 0
+
+    patch_get_signal(freqtrade)
+
     assert not freqtrade.create_trade('ETH/BTC')
 
 
@@ -842,6 +863,24 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order
     assert trade.open_rate == 0.5
     assert trade.stake_amount == 40.495905365
 
+    # Test with custom stake
+    limit_buy_order['status'] = 'open'
+    limit_buy_order['id'] = '556'
+
+    freqtrade.strategy.custom_stake_amount = lambda **kwargs: 150.0
+    assert freqtrade.execute_buy(pair, stake_amount)
+    trade = Trade.query.all()[4]
+    assert trade
+    assert trade.stake_amount == 150
+
+    # Exception case
+    limit_buy_order['id'] = '557'
+    freqtrade.strategy.custom_stake_amount = lambda **kwargs: 20 / 0
+    assert freqtrade.execute_buy(pair, stake_amount)
+    trade = Trade.query.all()[5]
+    assert trade
+    assert trade.stake_amount == 2.0
+
     # In case of the order is rejected and not filled at all
     limit_buy_order['status'] = 'rejected'
     limit_buy_order['amount'] = 90.99181073