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Simplify usage of amount_to_contract precision

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This commit is contained in:
Matthias 2022-08-25 07:08:22 +02:00
parent 9e48e6a40b
commit 6636f17e0f
5 changed files with 41 additions and 28 deletions
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10
freqtrade/exchange/__init__.py
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@ -9,11 +9,11 @@ from freqtrade.exchange.bitpanda import Bitpanda
from freqtrade.exchange.bittrex import Bittrex
from freqtrade.exchange.bybit import Bybit
from freqtrade.exchange.coinbasepro import Coinbasepro
from freqtrade.exchange.exchange import (amount_to_contracts, amount_to_precision,
available_exchanges, ccxt_exchanges, contracts_to_amount,
date_minus_candles, is_exchange_known_ccxt,
is_exchange_officially_supported, market_is_active,
price_to_precision, timeframe_to_minutes,
from freqtrade.exchange.exchange import (amount_to_contract_precision, amount_to_contracts,
amount_to_precision, available_exchanges, ccxt_exchanges,
contracts_to_amount, date_minus_candles,
is_exchange_known_ccxt, is_exchange_officially_supported,
market_is_active, price_to_precision, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds,
validate_exchange, validate_exchanges)

23
freqtrade/exchange/exchange.py
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@ -2943,6 +2943,29 @@ def amount_to_precision(amount: float, amount_precision: Optional[float],
return amount
def amount_to_contract_precision(
amount, amount_precision: Optional[float], precisionMode: Optional[int],
contract_size: Optional[float]) -> float:
"""
Returns the amount to buy or sell to a precision the Exchange accepts
including calculation to and from contracts.
Re-implementation of ccxt internal methods - ensuring we can test the result is correct
based on our definitions.
:param amount: amount to truncate
:param amount_precision: amount precision to use.
should be retrieved from markets[pair]['precision']['amount']
:param precisionMode: precision mode to use. Should be used from precisionMode
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
:param contract_size: contract size - taken from exchange.get_contract_size(pair)
:return: truncated amount
"""
if amount_precision is not None and precisionMode is not None:
contracts = amount_to_contracts(amount, contract_size)
amount_p = amount_to_precision(contracts, amount_precision, precisionMode)
return contracts_to_amount(amount_p, contract_size)
return amount
def price_to_precision(price: float, price_precision: Optional[float],
precisionMode: Optional[int]) -> float:
"""

17
freqtrade/optimize/backtesting.py
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@ -23,9 +23,8 @@ from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType, RunMode,
TradingMode)
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import (amount_to_contracts, amount_to_precision,
contracts_to_amount, price_to_precision)
from freqtrade.exchange import (amount_to_contract_precision, price_to_precision,
timeframe_to_minutes, timeframe_to_seconds)
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.backtest_caching import get_strategy_run_id
from freqtrade.optimize.bt_progress import BTProgress
@ -659,11 +658,8 @@ class Backtesting:
exit_candle_time = sell_row[DATE_IDX].to_pydatetime()
order_type = self.strategy.order_types['exit']
# amount = amount or trade.amount
amount = contracts_to_amount(
amount_to_precision(
amount_to_contracts(amount or trade.amount, trade.contract_size),
trade.amount_precision, self.precision_mode),
trade.contract_size)
amount = amount_to_contract_precision(amount or trade.amount, trade.amount_precision,
self.precision_mode, trade.contract_size)
rate = price_to_precision(close_rate, trade.price_precision, self.precision_mode)
order = Order(
id=self.order_id_counter,
@ -835,10 +831,7 @@ class Backtesting:
contract_size = self.exchange.get_contract_size(pair)
precision_amount = self.exchange.get_precision_amount(pair)
amount = contracts_to_amount(
amount_to_precision(
amount_to_contracts(amount_p, contract_size),
precision_amount, self.precision_mode),
amount = amount_to_contract_precision(amount_p, precision_amount, self.precision_mode,
contract_size)
# Backcalculate actual stake amount.
stake_amount = amount * propose_rate / leverage

14
freqtrade/persistence/trade_model.py
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@ -14,8 +14,7 @@ from freqtrade.constants import (DATETIME_PRINT_FORMAT, MATH_CLOSE_PREC, NON_OPE
BuySell, LongShort)
from freqtrade.enums import ExitType, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import amount_to_precision, price_to_precision
from freqtrade.exchange.exchange import amount_to_contracts, contracts_to_amount
from freqtrade.exchange import amount_to_contract_precision, price_to_precision
from freqtrade.leverage import interest
from freqtrade.persistence.base import _DECL_BASE
from freqtrade.util import FtPrecise
@ -625,11 +624,8 @@ class LocalTrade():
else:
logger.warning(
f'Got different open_order_id {self.open_order_id} != {order.order_id}')
amount_tr = contracts_to_amount(
amount_to_precision(
amount_to_contracts(self.amount, self.contract_size),
self.amount_precision, self.precision_mode),
self.contract_size)
amount_tr = amount_to_contract_precision(self.amount, self.amount_precision,
self.precision_mode, self.contract_size)
if isclose(order.safe_amount_after_fee, amount_tr, abs_tol=MATH_CLOSE_PREC):
self.close(order.safe_price)
else:
@ -882,8 +878,8 @@ class LocalTrade():
self.realized_profit = close_profit_abs
self.close_profit_abs = profit
current_amount_tr = amount_to_precision(float(current_amount),
self.amount_precision, self.precision_mode)
current_amount_tr = amount_to_contract_precision(
float(current_amount), self.amount_precision, self.precision_mode, self.contract_size)
if current_amount_tr > 0.0:
# Trade is still open
# Leverage not updated, as we don't allow changing leverage through DCA at the moment.

3
tests/optimize/test_backtesting_adjust_position.py
View File

@ -18,7 +18,8 @@ from tests.conftest import patch_exchange
def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_exit_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch('freqtrade.optimize.backtesting.amount_to_precision', lambda x, y, z: round(x, 8))
mocker.patch('freqtrade.optimize.backtesting.amount_to_contract_precision',
lambda x, *args, **kwargs: round(x, 8))
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
patch_exchange(mocker)