adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

check for max stake limit in freqtradebot and backtesting

Browse Source
This commit is contained in:
Sam Germain 2022-02-01 20:39:22 -06:00
parent 55d91f018f
commit 6b6b35ac1c
6 changed files with 47 additions and 15 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

22
freqtrade/freqtradebot.py
View File

@ -543,12 +543,19 @@ class FreqtradeBot(LoggingMixin):
min_stake_amount = self.exchange.get_min_pair_stake_amount(trade.pair,
current_rate,
self.strategy.stoploss)
max_stake_amount = self.wallets.get_available_stake_amount()
max_stake_amount = self.exchange.get_max_pair_stake_amount(trade.pair,
current_rate,
self.strategy.stoploss)
if max_stake_amount is None:
# * Should never be executed
raise OperationalException(f'max_stake_amount is None for {trade}')
stake_available = self.wallets.get_available_stake_amount()
logger.debug(f"Calling adjust_trade_position for pair {trade.pair}")
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
trade=trade, current_time=datetime.now(timezone.utc), current_rate=current_rate,
current_profit=current_profit, min_stake=min_stake_amount, max_stake=max_stake_amount)
current_profit=current_profit, min_stake=min_stake_amount,
max_stake=min(max_stake_amount, stake_available))
if stake_amount is not None and stake_amount > 0.0:
# We should increase our position
@ -845,15 +852,20 @@ class FreqtradeBot(LoggingMixin):
# We do however also need min-stake to determine leverage, therefore this is ignored as
# edge-case for now.
min_stake_amount = self.exchange.get_min_pair_stake_amount(
pair, enter_limit_requested, self.strategy.stoploss,)
pair, enter_limit_requested, self.strategy.stoploss)
max_stake_amount = self.exchange.get_max_pair_stake_amount(
pair, enter_limit_requested, self.strategy.stoploss)
if not self.edge and trade is None:
max_stake_amount = self.wallets.get_available_stake_amount()
stake_available = self.wallets.get_available_stake_amount()
if max_stake_amount is None:
# * Should never be executed
raise OperationalException(f'max_stake_amount is None for {trade}')
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested, proposed_stake=stake_amount,
min_stake=min_stake_amount, max_stake=max_stake_amount,
min_stake=min_stake_amount, max_stake=min(max_stake_amount, stake_available),
entry_tag=entry_tag, side=trade_side
)

18
freqtrade/optimize/backtesting.py
View File

@ -413,11 +413,16 @@ class Backtesting:
current_profit = trade.calc_profit_ratio(row[OPEN_IDX])
min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, row[OPEN_IDX], -0.1)
max_stake = self.wallets.get_available_stake_amount()
max_stake = self.exchange.get_max_pair_stake_amount(trade.pair, row[OPEN_IDX], -0.1)
if max_stake is None:
# * Should never be executed
raise OperationalException(f'max_stake_amount is None for {trade}')
stake_available = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
trade=trade, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
current_profit=current_profit, min_stake=min_stake, max_stake=max_stake)
current_profit=current_profit, min_stake=min_stake,
max_stake=min(max_stake, stake_available))
# Check if we should increase our position
if stake_amount is not None and stake_amount > 0.0:
@ -551,7 +556,11 @@ class Backtesting:
propose_rate = min(max(propose_rate, row[LOW_IDX]), row[HIGH_IDX])
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount()
max_stake_amount = self.exchange.get_max_pair_stake_amount(pair, propose_rate, -0.05) or 0
if max_stake_amount is None:
# * Should never be executed
raise OperationalException(f'max_stake_amount is None for {trade}')
stake_available = self.wallets.get_available_stake_amount()
pos_adjust = trade is not None
if not pos_adjust:
@ -563,7 +572,8 @@ class Backtesting:
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=current_time, current_rate=propose_rate,
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount,
proposed_stake=stake_amount, min_stake=min_stake_amount,
max_stake=min(stake_available, max_stake_amount),
entry_tag=entry_tag, side=direction)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)

12
tests/conftest.py
View File

@ -587,7 +587,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@ -622,7 +622,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@ -690,7 +690,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@ -725,7 +725,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@ -760,7 +760,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000,
},
'price': {
'min': None,
@ -988,7 +988,7 @@ def get_markets():
'limits': {
'amount': {
'min': 0.01,
'max': 1000,
'max': 100000000000,
},
'price': {
'min': None,

1
tests/optimize/test_backtest_detail.py
View File

@ -609,6 +609,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
mocker.patch("freqtrade.exchange.Exchange.get_fee", return_value=0.0)
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'))
mocker.patch("freqtrade.exchange.Binance.get_max_leverage", return_value=100)
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)

8
tests/optimize/test_backtesting.py
View File

@ -500,6 +500,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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)
default_conf['stake_amount'] = 'unlimited'
default_conf['max_open_trades'] = 2
@ -566,6 +567,7 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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)
default_conf['timeframe_detail'] = '1m'
default_conf['max_open_trades'] = 2
@ -659,6 +661,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@ -724,6 +727,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
@ -772,6 +776,7 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad
default_conf['enable_protections'] = True
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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'))
tests = [
['sine', 9],
['raise', 10],
@ -806,6 +811,7 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir,
default_conf['enable_protections'] = True
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'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
# While buy-signals are unrealistic, running backtesting
# over and over again should not cause different results
@ -846,6 +852,7 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
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'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
backtest_conf = _make_backtest_conf(mocker, conf=default_conf,
pair='UNITTEST/BTC', datadir=testdatadir)
@ -892,6 +899,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
return dataframe
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'))
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
patch_exchange(mocker)

1
tests/optimize/test_backtesting_adjust_position.py
View File

@ -17,6 +17,7 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
default_conf['use_sell_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
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)
default_conf.update({
"stake_amount": 100.0,