Simplify usage of amount_to_contract precision
This commit is contained in:
Matthias
parent
9e48e6a40b
commit
6636f17e0f
@ -9,11 +9,11 @@ from freqtrade.exchange.bitpanda import Bitpanda
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from freqtrade.exchange.bittrex import Bittrex
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from freqtrade.exchange.bybit import Bybit
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from freqtrade.exchange.coinbasepro import Coinbasepro
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from freqtrade.exchange.exchange import (amount_to_contracts, amount_to_precision,
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available_exchanges, ccxt_exchanges, contracts_to_amount,
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date_minus_candles, is_exchange_known_ccxt,
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is_exchange_officially_supported, market_is_active,
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price_to_precision, timeframe_to_minutes,
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from freqtrade.exchange.exchange import (amount_to_contract_precision, amount_to_contracts,
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amount_to_precision, available_exchanges, ccxt_exchanges,
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contracts_to_amount, date_minus_candles,
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is_exchange_known_ccxt, is_exchange_officially_supported,
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market_is_active, price_to_precision, timeframe_to_minutes,
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timeframe_to_msecs, timeframe_to_next_date,
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timeframe_to_prev_date, timeframe_to_seconds,
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validate_exchange, validate_exchanges)
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@ -2943,6 +2943,29 @@ def amount_to_precision(amount: float, amount_precision: Optional[float],
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return amount
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def amount_to_contract_precision(
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amount, amount_precision: Optional[float], precisionMode: Optional[int],
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contract_size: Optional[float]) -> float:
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"""
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Returns the amount to buy or sell to a precision the Exchange accepts
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including calculation to and from contracts.
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Re-implementation of ccxt internal methods - ensuring we can test the result is correct
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based on our definitions.
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:param amount: amount to truncate
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:param amount_precision: amount precision to use.
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should be retrieved from markets[pair]['precision']['amount']
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:param precisionMode: precision mode to use. Should be used from precisionMode
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one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
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:param contract_size: contract size - taken from exchange.get_contract_size(pair)
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:return: truncated amount
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"""
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if amount_precision is not None and precisionMode is not None:
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contracts = amount_to_contracts(amount, contract_size)
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amount_p = amount_to_precision(contracts, amount_precision, precisionMode)
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return contracts_to_amount(amount_p, contract_size)
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return amount
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def price_to_precision(price: float, price_precision: Optional[float],
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precisionMode: Optional[int]) -> float:
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"""
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@ -23,9 +23,8 @@ from freqtrade.data.dataprovider import DataProvider
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from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType, RunMode,
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TradingMode)
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.exchange.exchange import (amount_to_contracts, amount_to_precision,
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contracts_to_amount, price_to_precision)
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from freqtrade.exchange import (amount_to_contract_precision, price_to_precision,
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timeframe_to_minutes, timeframe_to_seconds)
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from freqtrade.mixins import LoggingMixin
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from freqtrade.optimize.backtest_caching import get_strategy_run_id
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from freqtrade.optimize.bt_progress import BTProgress
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@ -659,11 +658,8 @@ class Backtesting:
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exit_candle_time = sell_row[DATE_IDX].to_pydatetime()
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order_type = self.strategy.order_types['exit']
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# amount = amount or trade.amount
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amount = contracts_to_amount(
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amount_to_precision(
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amount_to_contracts(amount or trade.amount, trade.contract_size),
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trade.amount_precision, self.precision_mode),
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trade.contract_size)
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amount = amount_to_contract_precision(amount or trade.amount, trade.amount_precision,
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self.precision_mode, trade.contract_size)
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rate = price_to_precision(close_rate, trade.price_precision, self.precision_mode)
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order = Order(
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id=self.order_id_counter,
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@ -835,11 +831,8 @@ class Backtesting:
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contract_size = self.exchange.get_contract_size(pair)
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precision_amount = self.exchange.get_precision_amount(pair)
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amount = contracts_to_amount(
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amount_to_precision(
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amount_to_contracts(amount_p, contract_size),
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precision_amount, self.precision_mode),
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contract_size)
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amount = amount_to_contract_precision(amount_p, precision_amount, self.precision_mode,
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contract_size)
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# Backcalculate actual stake amount.
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stake_amount = amount * propose_rate / leverage
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@ -14,8 +14,7 @@ from freqtrade.constants import (DATETIME_PRINT_FORMAT, MATH_CLOSE_PREC, NON_OPE
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BuySell, LongShort)
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from freqtrade.enums import ExitType, TradingMode
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.exchange import amount_to_precision, price_to_precision
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from freqtrade.exchange.exchange import amount_to_contracts, contracts_to_amount
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from freqtrade.exchange import amount_to_contract_precision, price_to_precision
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from freqtrade.leverage import interest
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from freqtrade.persistence.base import _DECL_BASE
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from freqtrade.util import FtPrecise
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@ -625,11 +624,8 @@ class LocalTrade():
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else:
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logger.warning(
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f'Got different open_order_id {self.open_order_id} != {order.order_id}')
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amount_tr = contracts_to_amount(
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amount_to_precision(
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amount_to_contracts(self.amount, self.contract_size),
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self.amount_precision, self.precision_mode),
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self.contract_size)
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amount_tr = amount_to_contract_precision(self.amount, self.amount_precision,
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self.precision_mode, self.contract_size)
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if isclose(order.safe_amount_after_fee, amount_tr, abs_tol=MATH_CLOSE_PREC):
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self.close(order.safe_price)
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else:
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@ -882,8 +878,8 @@ class LocalTrade():
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self.realized_profit = close_profit_abs
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self.close_profit_abs = profit
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current_amount_tr = amount_to_precision(float(current_amount),
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self.amount_precision, self.precision_mode)
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current_amount_tr = amount_to_contract_precision(
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float(current_amount), self.amount_precision, self.precision_mode, self.contract_size)
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if current_amount_tr > 0.0:
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# Trade is still open
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# Leverage not updated, as we don't allow changing leverage through DCA at the moment.
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@ -18,7 +18,8 @@ from tests.conftest import patch_exchange
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def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> None:
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default_conf['use_exit_signal'] = False
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mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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mocker.patch('freqtrade.optimize.backtesting.amount_to_precision', lambda x, y, z: round(x, 8))
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mocker.patch('freqtrade.optimize.backtesting.amount_to_contract_precision',
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lambda x, *args, **kwargs: round(x, 8))
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mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
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mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
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patch_exchange(mocker)
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