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Merge pull request #2674 from freqtrade/bt_trade_open_price

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Pre-calculate open_trade_price
This commit is contained in:
hroff-1902
2019-12-17 21:51:13 +03:00
committed by GitHub
parent b07d29b1af c5e6a34f25
commit 3a542bce62
10 changed files with 144 additions and 70 deletions
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2
freqtrade/data/btanalysis.py
View File

@@ -108,7 +108,7 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame:
trades = pd.DataFrame([(t.pair,
t.open_date.replace(tzinfo=timezone.utc),
t.close_date.replace(tzinfo=timezone.utc) if t.close_date else None,
t.calc_profit(), t.calc_profit_percent(),
t.calc_profit(), t.calc_profit_ratio(),
t.open_rate, t.close_rate, t.amount,
(round((t.close_date.timestamp() - t.open_date.timestamp()) / 60, 2)
if t.close_date else None),

4
freqtrade/freqtradebot.py
View File

@@ -555,6 +555,7 @@ class FreqtradeBot:
order['amount'] = new_amount
# Fee was applied, so set to 0
trade.fee_open = 0
trade.recalc_open_trade_price()
except DependencyException as exception:
logger.warning("Could not update trade amount: %s", exception)
@@ -850,6 +851,7 @@ class FreqtradeBot:
trade.amount = new_amount
# Fee was applied, so set to 0
trade.fee_open = 0
trade.recalc_open_trade_price()
except DependencyException as e:
logger.warning("Could not update trade amount: %s", e)
@@ -948,7 +950,7 @@ class FreqtradeBot:
profit_trade = trade.calc_profit(rate=profit_rate)
# Use cached ticker here - it was updated seconds ago.
current_rate = self.get_sell_rate(trade.pair, False)
profit_percent = trade.calc_profit_percent(profit_rate)
profit_percent = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_percent > 0 else "loss"
msg = {

4
freqtrade/optimize/backtesting.py
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@@ -329,7 +329,7 @@ class Backtesting:
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=closerate),
profit_percent=trade.calc_profit_ratio(rate=closerate),
profit_abs=trade.calc_profit(rate=closerate),
open_time=buy_row.date,
close_time=sell_row.date,
@@ -345,7 +345,7 @@ class Backtesting:
# no sell condition found - trade stil open at end of backtest period
sell_row = partial_ticker[-1]
bt_res = BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.open),
profit_percent=trade.calc_profit_ratio(rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.open),
open_time=buy_row.date,
close_time=sell_row.date,

61
freqtrade/persistence.py
View File

@@ -86,7 +86,7 @@ def check_migrate(engine) -> None:
logger.debug(f'trying {table_back_name}')
# Check for latest column
if not has_column(cols, 'stop_loss_pct'):
if not has_column(cols, 'open_trade_price'):
logger.info(f'Running database migration - backup available as {table_back_name}')
fee_open = get_column_def(cols, 'fee_open', 'fee')
@@ -104,6 +104,8 @@ def check_migrate(engine) -> None:
sell_reason = get_column_def(cols, 'sell_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null')
ticker_interval = get_column_def(cols, 'ticker_interval', 'null')
open_trade_price = get_column_def(cols, 'open_trade_price',
f'amount * open_rate * (1 + {fee_open})')
# Schema migration necessary
engine.execute(f"alter table trades rename to {table_back_name}")
@@ -121,7 +123,7 @@ def check_migrate(engine) -> None:
stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
stoploss_order_id, stoploss_last_update,
max_rate, min_rate, sell_reason, strategy,
ticker_interval
ticker_interval, open_trade_price
)
select id, lower(exchange),
case
@@ -140,7 +142,8 @@ def check_migrate(engine) -> None:
{initial_stop_loss_pct} initial_stop_loss_pct,
{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
{strategy} strategy, {ticker_interval} ticker_interval
{strategy} strategy, {ticker_interval} ticker_interval,
{open_trade_price} open_trade_price
from {table_back_name}
""")
@@ -182,6 +185,8 @@ class Trade(_DECL_BASE):
fee_close = Column(Float, nullable=False, default=0.0)
open_rate = Column(Float)
open_rate_requested = Column(Float)
# open_trade_price - calcuated via _calc_open_trade_price
open_trade_price = Column(Float)
close_rate = Column(Float)
close_rate_requested = Column(Float)
close_profit = Column(Float)
@@ -210,6 +215,10 @@ class Trade(_DECL_BASE):
strategy = Column(String, nullable=True)
ticker_interval = Column(Integer, nullable=True)
def __init__(self, **kwargs):
super().__init__(**kwargs)
self.recalc_open_trade_price()
def __repr__(self):
open_since = self.open_date.strftime('%Y-%m-%d %H:%M:%S') if self.is_open else 'closed'
@@ -302,6 +311,7 @@ class Trade(_DECL_BASE):
# Update open rate and actual amount
self.open_rate = Decimal(order['price'])
self.amount = Decimal(order['amount'])
self.recalc_open_trade_price()
logger.info('%s_BUY has been fulfilled for %s.', order_type.upper(), self)
self.open_order_id = None
elif order_type in ('market', 'limit') and order['side'] == 'sell':
@@ -322,7 +332,7 @@ class Trade(_DECL_BASE):
and marks trade as closed
"""
self.close_rate = Decimal(rate)
self.close_profit = self.calc_profit_percent()
self.close_profit = self.calc_profit_ratio()
self.close_date = datetime.utcnow()
self.is_open = False
self.open_order_id = None
@@ -331,31 +341,36 @@ class Trade(_DECL_BASE):
self
)
def calc_open_trade_price(self, fee: Optional[float] = None) -> float:
def _calc_open_trade_price(self) -> float:
"""
Calculate the open_rate including fee.
:param fee: fee to use on the open rate (optional).
If rate is not set self.fee will be used
Calculate the open_rate including open_fee.
:return: Price in of the open trade incl. Fees
"""
buy_trade = (Decimal(self.amount) * Decimal(self.open_rate))
fees = buy_trade * Decimal(fee or self.fee_open)
buy_trade = Decimal(self.amount) * Decimal(self.open_rate)
fees = buy_trade * Decimal(self.fee_open)
return float(buy_trade + fees)
def recalc_open_trade_price(self) -> None:
"""
Recalculate open_trade_price.
Must be called whenever open_rate or fee_open is changed.
"""
self.open_trade_price = self._calc_open_trade_price()
def calc_close_trade_price(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
"""
Calculate the close_rate including fee
:param fee: fee to use on the close rate (optional).
If rate is not set self.fee will be used
If rate is not set self.fee will be used
:param rate: rate to compare with (optional).
If rate is not set self.close_rate will be used
If rate is not set self.close_rate will be used
:return: Price in BTC of the open trade
"""
if rate is None and not self.close_rate:
return 0.0
sell_trade = (Decimal(self.amount) * Decimal(rate or self.close_rate))
sell_trade = Decimal(self.amount) * Decimal(rate or self.close_rate)
fees = sell_trade * Decimal(fee or self.fee_close)
return float(sell_trade - fees)
@@ -364,34 +379,32 @@ class Trade(_DECL_BASE):
"""
Calculate the absolute profit in stake currency between Close and Open trade
:param fee: fee to use on the close rate (optional).
If rate is not set self.fee will be used
If rate is not set self.fee will be used
:param rate: close rate to compare with (optional).
If rate is not set self.close_rate will be used
If rate is not set self.close_rate will be used
:return: profit in stake currency as float
"""
open_trade_price = self.calc_open_trade_price()
close_trade_price = self.calc_close_trade_price(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
)
profit = close_trade_price - open_trade_price
profit = close_trade_price - self.open_trade_price
return float(f"{profit:.8f}")
def calc_profit_percent(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
def calc_profit_ratio(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
"""
Calculates the profit in percentage (including fee).
Calculates the profit as ratio (including fee).
:param rate: rate to compare with (optional).
If rate is not set self.close_rate will be used
If rate is not set self.close_rate will be used
:param fee: fee to use on the close rate (optional).
:return: profit in percentage as float
:return: profit ratio as float
"""
open_trade_price = self.calc_open_trade_price()
close_trade_price = self.calc_close_trade_price(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
)
profit_percent = (close_trade_price / open_trade_price) - 1
profit_percent = (close_trade_price / self.open_trade_price) - 1
return float(f"{profit_percent:.8f}")
@staticmethod

8
freqtrade/rpc/rpc.py
View File

@@ -123,7 +123,7 @@ class RPC:
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
except DependencyException:
current_rate = NAN
current_profit = trade.calc_profit_percent(current_rate)
current_profit = trade.calc_profit_ratio(current_rate)
fmt_close_profit = (f'{round(trade.close_profit * 100, 2):.2f}%'
if trade.close_profit else None)
trade_dict = trade.to_json()
@@ -151,7 +151,7 @@ class RPC:
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
except DependencyException:
current_rate = NAN
trade_perc = (100 * trade.calc_profit_percent(current_rate))
trade_perc = (100 * trade.calc_profit_ratio(current_rate))
trade_profit = trade.calc_profit(current_rate)
profit_str = f'{trade_perc:.2f}%'
if self._fiat_converter:
@@ -240,7 +240,7 @@ class RPC:
durations.append((trade.close_date - trade.open_date).total_seconds())
if not trade.is_open:
profit_percent = trade.calc_profit_percent()
profit_percent = trade.calc_profit_ratio()
profit_closed_coin.append(trade.calc_profit())
profit_closed_perc.append(profit_percent)
else:
@@ -249,7 +249,7 @@ class RPC:
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
except DependencyException:
current_rate = NAN
profit_percent = trade.calc_profit_percent(rate=current_rate)
profit_percent = trade.calc_profit_ratio(rate=current_rate)
profit_all_coin.append(
trade.calc_profit(rate=trade.close_rate or current_rate)

6
freqtrade/strategy/interface.py
View File

@@ -296,7 +296,7 @@ class IStrategy(ABC):
"""
# Set current rate to low for backtesting sell
current_rate = low or rate
current_profit = trade.calc_profit_percent(current_rate)
current_profit = trade.calc_profit_ratio(current_rate)
trade.adjust_min_max_rates(high or current_rate)
@@ -311,7 +311,7 @@ class IStrategy(ABC):
# Set current rate to high for backtesting sell
current_rate = high or rate
current_profit = trade.calc_profit_percent(current_rate)
current_profit = trade.calc_profit_ratio(current_rate)
config_ask_strategy = self.config.get('ask_strategy', {})
if buy and config_ask_strategy.get('ignore_roi_if_buy_signal', False):
@@ -360,7 +360,7 @@ class IStrategy(ABC):
sl_offset = self.trailing_stop_positive_offset
# Make sure current_profit is calculated using high for backtesting.
high_profit = current_profit if not high else trade.calc_profit_percent(high)
high_profit = current_profit if not high else trade.calc_profit_ratio(high)
# Don't update stoploss if trailing_only_offset_is_reached is true.
if not (self.trailing_only_offset_is_reached and high_profit < sl_offset):