Added checks for making sure stop_loss doesn't go below liquidation_price

freqtrade/persistence/models.py

@@ -294,8 +294,30 @@ class LocalTrade():
     def __init__(self, **kwargs):
         for key in kwargs:
             setattr(self, key, kwargs[key])
+        self.set_liquidation_price(self.liquidation_price)
         self.recalc_open_trade_value()
 
+    def set_stop_loss_helper(self, stop_loss: Optional[float], liquidation_price: Optional[float]):
+        # Stoploss would be better as a computed variable, but that messes up the database so it might not be possible
+        # TODO-mg: What should be done about initial_stop_loss
+        if liquidation_price is not None:
+            if stop_loss is not None:
+                if self.is_short:
+                    self.stop_loss = min(stop_loss, liquidation_price)
+                else:
+                    self.stop_loss = max(stop_loss, liquidation_price)
+            else:
+                self.stop_loss = liquidation_price
+            self.liquidation_price = liquidation_price
+        else:
+            self.stop_loss = stop_loss
+
+    def set_stop_loss(self, stop_loss: float):
+        self.set_stop_loss_helper(stop_loss=stop_loss, liquidation_price=self.liquidation_price)
+
+    def set_liquidation_price(self, liquidation_price: float):
+        self.set_stop_loss_helper(stop_loss=self.stop_loss, liquidation_price=liquidation_price)
+
     def __repr__(self):
         open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed'
 
@@ -390,7 +412,7 @@ class LocalTrade():
 
     def _set_new_stoploss(self, new_loss: float, stoploss: float):
         """Assign new stop value"""
-        self.stop_loss = new_loss
+        self.set_stop_loss(new_loss)
         if self.is_short:
             self.stop_loss_pct = abs(stoploss)
         else:
@@ -484,6 +506,9 @@ class LocalTrade():
             self.amount = float(safe_value_fallback(order, 'filled', 'amount'))
             if 'leverage' in order:
                 self.leverage = order['leverage']
+            if 'liquidation_price' in order:
+                self.liquidation_price = order['liquidation_price']
+                self.set_stop_loss(self.stop_loss)
             self.recalc_open_trade_value()
             if self.is_open:
                 payment = "SELL" if self.is_short else "BUY"

tests/conftest.py

@@ -2132,7 +2132,8 @@ def limit_short_order_open():
         'cost': 0.00106733393,
         'remaining': 90.99181073,
         'status': 'open',
-        'is_short': True
+        'is_short': True,
+        'liquidation_price': 0.00001300
     }
 
 
@@ -2185,7 +2186,8 @@ def market_short_order():
         'remaining': 0.0,
         'status': 'closed',
         'is_short': True,
-        'leverage': 3.0
+        'leverage': 3.0,
+        'liquidation_price': 0.00004300
     }
 
 
@@ -2223,7 +2225,8 @@ def limit_leveraged_buy_order_open():
         'remaining': 272.97543219,
         'leverage': 3.0,
         'status': 'open',
-        'exchange': 'binance'
+        'exchange': 'binance',
+        'liquidation_price': 0.00001000
     }
 
 
@@ -2277,7 +2280,8 @@ def market_leveraged_buy_order():
         'filled': 275.97543219,
         'remaining': 0.0,
         'status': 'closed',
-        'exchange': 'kraken'
+        'exchange': 'kraken',
+        'liquidation_price': 0.00004000
     }
 
 

tests/persistence/test_persistence_leverage.py

@@ -428,6 +428,8 @@ def test_update_limit_order_lev(limit_leveraged_buy_order, limit_leveraged_sell_
     assert trade.close_profit is None
     assert trade.close_date is None
     assert trade.borrowed == 0.0019999999998453998
+    assert trade.stop_loss == 0.00001000
+    assert trade.liquidation_price == 0.00001000
     assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
                       r"pair=ETH/BTC, amount=272.97543219, open_rate=0.00001099, open_since=.*\).",
                       caplog)
@@ -494,6 +496,8 @@ def test_update_market_order_lev(market_leveraged_buy_order, market_leveraged_se
     assert trade.close_profit is None
     assert trade.close_date is None
     assert trade.interest_rate == 0.0005
+    assert trade.stop_loss == 0.00004000
+    assert trade.liquidation_price == 0.00004000
     # TODO: Uncomment the next assert and make it work.
     # The logger also has the exact same but there's some spacing in there
     assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, "

tests/persistence/test_persistence_short.py

@@ -433,6 +433,8 @@ def test_update_with_binance_short(limit_short_order, limit_exit_short_order, fe
     assert trade.close_date is None
     assert trade.borrowed == 90.99181073
     assert trade.is_short is True
+    assert trade.stop_loss == 0.00001300
+    assert trade.liquidation_price == 0.00001300
     assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, "
                       r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
                       caplog)
@@ -506,6 +508,8 @@ def test_update_market_order_short(
     assert trade.close_profit is None
     assert trade.close_date is None
     assert trade.interest_rate == 0.0005
+    assert trade.stop_loss == 0.00004300
+    assert trade.liquidation_price == 0.00004300
     # The logger also has the exact same but there's some spacing in there
     assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, "
                       r"pair=ETH/BTC, amount=275.97543219, open_rate=0.00004173, open_since=.*\).",
@@ -670,7 +674,10 @@ def test_adjust_stop_loss_short(fee):
     assert trade.initial_stop_loss == 1.05
     assert trade.initial_stop_loss_pct == 0.05
     assert trade.stop_loss_pct == 0.1
-    trade.liquidation_price == 1.03
+    trade.set_liquidation_price(0.63)
+    trade.adjust_stop_loss(0.59, -0.1)
+    assert trade.stop_loss == 0.63
+    assert trade.liquidation_price == 0.63
 
     # TODO-mg: Do a test with a trade that has a liquidation price