Merge pull request #7491 from freqtrade/partial_close_leverage

Partial close leverage

docs/strategy-callbacks.md

@@ -643,7 +643,7 @@ This callback is **not** called when there is an open order (either buy or sell)
 
 Additional Buys are ignored once you have reached the maximum amount of extra buys that you have set on `max_entry_position_adjustment`, but the callback is called anyway looking for partial exits.
 
-Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position (negative values will decrease your position), no matter if it's a long or short trade. Modifications to leverage are not possible.
+Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position (negative values will decrease your position), no matter if it's a long or short trade. Modifications to leverage are not possible, and the stake-amount is assumed to be before applying leverage.
 
 !!! Note "About stake size"
     Using fixed stake size means it will be the amount used for the first order, just like without position adjustment.

freqtrade/freqtradebot.py

@@ -597,7 +597,7 @@ class FreqtradeBot(LoggingMixin):
             # We should decrease our position
             amount = self.exchange.amount_to_contract_precision(
                 trade.pair,
-                abs(float(FtPrecise(stake_amount) / FtPrecise(current_exit_rate))))
+                abs(float(FtPrecise(stake_amount * trade.leverage) / FtPrecise(current_exit_rate))))
             if amount > trade.amount:
                 # This is currently ineffective as remaining would become < min tradable
                 # Fixing this would require checking for 0.0 there -

freqtrade/optimize/backtesting.py

@@ -540,7 +540,7 @@ class Backtesting:
 
         if stake_amount is not None and stake_amount < 0.0:
             amount = amount_to_contract_precision(
-                abs(stake_amount) / current_rate, trade.amount_precision,
+                abs(stake_amount * trade.leverage) / current_rate, trade.amount_precision,
                 self.precision_mode, trade.contract_size)
             if amount == 0.0:
                 return trade

tests/optimize/test_backtesting_adjust_position.py

@@ -93,11 +93,16 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
                 t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))
 
 
-def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> None:
+@pytest.mark.parametrize('leverage', [
+    1, 2
+])
+def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, leverage) -> None:
     default_conf['use_exit_signal'] = False
     mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=10)
     mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
+    mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=10)
+
     patch_exchange(mocker)
     default_conf.update({
         "stake_amount": 100.0,
@@ -105,6 +110,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
         "strategy": "StrategyTestV3"
     })
     backtesting = Backtesting(default_conf)
+    backtesting._can_short = True
     backtesting._set_strategy(backtesting.strategylist[0])
     pair = 'XRP/USDT'
     row = [
@@ -120,18 +126,19 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
             '',  # enter_tag
             '',  # exit_tag
             ]
+    backtesting.strategy.leverage = MagicMock(return_value=leverage)
     trade = backtesting._enter_trade(pair, row=row, direction='long')
     trade.orders[0].close_bt_order(row[0], trade)
     assert trade
     assert pytest.approx(trade.stake_amount) == 100.0
-    assert pytest.approx(trade.amount) == 47.61904762
+    assert pytest.approx(trade.amount) == 47.61904762 * leverage
     assert len(trade.orders) == 1
     backtesting.strategy.adjust_trade_position = MagicMock(return_value=None)
 
     trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)
     assert trade
     assert pytest.approx(trade.stake_amount) == 100.0
-    assert pytest.approx(trade.amount) == 47.61904762
+    assert pytest.approx(trade.amount) == 47.61904762 * leverage
     assert len(trade.orders) == 1
     # Increase position by 100
     backtesting.strategy.adjust_trade_position = MagicMock(return_value=100)
@@ -140,7 +147,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
 
     assert trade
     assert pytest.approx(trade.stake_amount) == 200.0
-    assert pytest.approx(trade.amount) == 95.23809524
+    assert pytest.approx(trade.amount) == 95.23809524 * leverage
     assert len(trade.orders) == 2
 
     # Reduce by more than amount - no change to trade.
@@ -150,7 +157,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
 
     assert trade
     assert pytest.approx(trade.stake_amount) == 200.0
-    assert pytest.approx(trade.amount) == 95.23809524
+    assert pytest.approx(trade.amount) == 95.23809524 * leverage
     assert len(trade.orders) == 2
     assert trade.nr_of_successful_entries == 2
 
@@ -160,7 +167,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
 
     assert trade
     assert pytest.approx(trade.stake_amount) == 100.0
-    assert pytest.approx(trade.amount) == 47.61904762
+    assert pytest.approx(trade.amount) == 47.61904762 * leverage
     assert len(trade.orders) == 3
     assert trade.nr_of_successful_entries == 2
     assert trade.nr_of_successful_exits == 1
@@ -171,7 +178,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
 
     assert trade
     assert pytest.approx(trade.stake_amount) == 100.0
-    assert pytest.approx(trade.amount) == 47.61904762
+    assert pytest.approx(trade.amount) == 47.61904762 * leverage
     assert len(trade.orders) == 3
     assert trade.nr_of_successful_entries == 2
     assert trade.nr_of_successful_exits == 1

tests/test_integration.py

@@ -2,7 +2,7 @@ from unittest.mock import MagicMock
 
 import pytest
 
-from freqtrade.enums import ExitCheckTuple, ExitType
+from freqtrade.enums import ExitCheckTuple, ExitType, TradingMode
 from freqtrade.persistence import Trade
 from freqtrade.persistence.models import Order
 from freqtrade.rpc.rpc import RPC
@@ -455,10 +455,12 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
     assert pytest.approx(trade.orders[-1].amount) == 61.538461232
 
 
-def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> None:
+@pytest.mark.parametrize('leverage', [1, 2])
+def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog, leverage) -> None:
     default_conf_usdt['position_adjustment_enable'] = True
 
     freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
+    freqtrade.trading_mode = TradingMode.FUTURES
     mocker.patch.multiple(
         'freqtrade.exchange.Exchange',
         fetch_ticker=ticker_usdt,
@@ -467,15 +469,17 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
         price_to_precision=lambda s, x, y: y,
         get_min_pair_stake_amount=MagicMock(return_value=10),
     )
+    mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=10)
 
     patch_get_signal(freqtrade)
+    freqtrade.strategy.leverage = MagicMock(return_value=leverage)
     freqtrade.enter_positions()
 
     assert len(Trade.get_trades().all()) == 1
     trade = Trade.get_trades().first()
     assert len(trade.orders) == 1
     assert pytest.approx(trade.stake_amount) == 60
-    assert pytest.approx(trade.amount) == 30.0
+    assert pytest.approx(trade.amount) == 30.0 * leverage
     assert trade.open_rate == 2.0
 
     # Too small size
@@ -484,8 +488,9 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
     trade = Trade.get_trades().first()
     assert len(trade.orders) == 1
     assert pytest.approx(trade.stake_amount) == 60
-    assert pytest.approx(trade.amount) == 30.0
+    assert pytest.approx(trade.amount) == 30.0 * leverage
-    assert log_has_re("Remaining amount of 1.6.* would be smaller than the minimum of 10.", caplog)
+    assert log_has_re(
+        r"Remaining amount of \d\.\d+.* would be smaller than the minimum of 10.", caplog)
 
     freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-20)
 
@@ -494,7 +499,7 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
     assert len(trade.orders) == 2
     assert trade.orders[-1].ft_order_side == 'sell'
     assert pytest.approx(trade.stake_amount) == 40.198
-    assert pytest.approx(trade.amount) == 20.099
+    assert pytest.approx(trade.amount) == 20.099 * leverage
     assert trade.open_rate == 2.0
     assert trade.is_open
     caplog.clear()