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Merge branch 'develop' into plugins/protections_backtest

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This commit is contained in:
Matthias
2020-12-13 10:31:33 +01:00
parent 8a2fbf6592 1436dc58f5
commit 7eab33de08
24 changed files with 332 additions and 93 deletions
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10
freqtrade/persistence/migrations.py
View File

@@ -53,11 +53,11 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
else:
timeframe = get_column_def(cols, 'timeframe', 'null')
open_trade_price = get_column_def(cols, 'open_trade_price',
open_trade_value = get_column_def(cols, 'open_trade_value',
f'amount * open_rate * (1 + {fee_open})')
close_profit_abs = get_column_def(
cols, 'close_profit_abs',
f"(amount * close_rate * (1 - {fee_close})) - {open_trade_price}")
f"(amount * close_rate * (1 - {fee_close})) - {open_trade_value}")
sell_order_status = get_column_def(cols, 'sell_order_status', 'null')
amount_requested = get_column_def(cols, 'amount_requested', 'amount')
@@ -79,7 +79,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
stoploss_order_id, stoploss_last_update,
max_rate, min_rate, sell_reason, sell_order_status, strategy,
timeframe, open_trade_price, close_profit_abs
timeframe, open_trade_value, close_profit_abs
)
select id, lower(exchange),
case
@@ -102,7 +102,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
{sell_order_status} sell_order_status,
{strategy} strategy, {timeframe} timeframe,
{open_trade_price} open_trade_price, {close_profit_abs} close_profit_abs
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs
from {table_back_name}
""")
@@ -134,7 +134,7 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
table_back_name = get_backup_name(tabs, 'trades_bak')
# Check for latest column
if not has_column(cols, 'amount_requested'):
if not has_column(cols, 'open_trade_value'):
logger.info(f'Running database migration for trades - backup: {table_back_name}')
migrate_trades_table(decl_base, inspector, engine, table_back_name, cols)
# Reread columns - the above recreated the table!

28
freqtrade/persistence/models.py
View File

@@ -221,8 +221,8 @@ class Trade(_DECL_BASE):
fee_close_currency = Column(String, nullable=True)
open_rate = Column(Float)
open_rate_requested = Column(Float)
# open_trade_price - calculated via _calc_open_trade_price
open_trade_price = Column(Float)
# open_trade_value - calculated via _calc_open_trade_value
open_trade_value = Column(Float)
close_rate = Column(Float)
close_rate_requested = Column(Float)
close_profit = Column(Float)
@@ -256,7 +256,7 @@ class Trade(_DECL_BASE):
def __init__(self, **kwargs):
super().__init__(**kwargs)
self.recalc_open_trade_price()
self.recalc_open_trade_value()
def __repr__(self):
open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed'
@@ -288,7 +288,7 @@ class Trade(_DECL_BASE):
'open_timestamp': int(self.open_date.replace(tzinfo=timezone.utc).timestamp() * 1000),
'open_rate': self.open_rate,
'open_rate_requested': self.open_rate_requested,
'open_trade_price': round(self.open_trade_price, 8),
'open_trade_value': round(self.open_trade_value, 8),
'close_date_hum': (arrow.get(self.close_date).humanize()
if self.close_date else None),
@@ -401,7 +401,7 @@ class Trade(_DECL_BASE):
# Update open rate and actual amount
self.open_rate = Decimal(safe_value_fallback(order, 'average', 'price'))
self.amount = Decimal(safe_value_fallback(order, 'filled', 'amount'))
self.recalc_open_trade_price()
self.recalc_open_trade_value()
if self.is_open:
logger.info(f'{order_type.upper()}_BUY has been fulfilled for {self}.')
self.open_order_id = None
@@ -477,7 +477,7 @@ class Trade(_DECL_BASE):
Trade.session.delete(self)
Trade.session.flush()
def _calc_open_trade_price(self) -> float:
def _calc_open_trade_value(self) -> float:
"""
Calculate the open_rate including open_fee.
:return: Price in of the open trade incl. Fees
@@ -486,14 +486,14 @@ class Trade(_DECL_BASE):
fees = buy_trade * Decimal(self.fee_open)
return float(buy_trade + fees)
def recalc_open_trade_price(self) -> None:
def recalc_open_trade_value(self) -> None:
"""
Recalculate open_trade_price.
Recalculate open_trade_value.
Must be called whenever open_rate or fee_open is changed.
"""
self.open_trade_price = self._calc_open_trade_price()
self.open_trade_value = self._calc_open_trade_value()
def calc_close_trade_price(self, rate: Optional[float] = None,
def calc_close_trade_value(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
"""
Calculate the close_rate including fee
@@ -520,11 +520,11 @@ class Trade(_DECL_BASE):
If rate is not set self.close_rate will be used
:return: profit in stake currency as float
"""
close_trade_price = self.calc_close_trade_price(
close_trade_value = self.calc_close_trade_value(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
)
profit = close_trade_price - self.open_trade_price
profit = close_trade_value - self.open_trade_value
return float(f"{profit:.8f}")
def calc_profit_ratio(self, rate: Optional[float] = None,
@@ -536,11 +536,11 @@ class Trade(_DECL_BASE):
:param fee: fee to use on the close rate (optional).
:return: profit ratio as float
"""
close_trade_price = self.calc_close_trade_price(
close_trade_value = self.calc_close_trade_value(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
)
profit_ratio = (close_trade_price / self.open_trade_price) - 1
profit_ratio = (close_trade_value / self.open_trade_value) - 1
return float(f"{profit_ratio:.8f}")
def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]: