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Merge branch 'feat/short' into leverage-tiers

This commit is contained in:
Sam Germain 2022-02-16 08:05:51 -06:00
parent 6f410d3096 de26844578
commit 88a8ff2f4e
10 changed files with 53 additions and 43 deletions
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2
freqtrade/commands/data_commands.py
View File

@ -85,7 +85,7 @@ def start_download_data(args: Dict[str, Any]) -> None:
new_pairs_days=config['new_pairs_days'],
erase=bool(config.get('erase')), data_format=config['dataformat_ohlcv'],
trading_mode=config.get('trading_mode', 'spot'),
)
)
except KeyboardInterrupt:
sys.exit("SIGINT received, aborting ...")

4
freqtrade/enums/candletype.py
View File

@ -8,8 +8,10 @@ class CandleType(str, Enum):
MARK = "mark"
INDEX = "index"
PREMIUMINDEX = "premiumIndex"
# TODO-lev: not sure this belongs here, as the datatype is really different
# TODO: Could take up less memory if these weren't a CandleType
FUNDING_RATE = "funding_rate"
# BORROW_RATE = "borrow_rate" # * unimplemented
@staticmethod
def from_string(value: str) -> 'CandleType':

15
freqtrade/enums/rpcmessagetype.py
View File

@ -10,16 +10,19 @@ class RPCMessageType(Enum):
BUY_FILL = 'buy_fill'
BUY_CANCEL = 'buy_cancel'
SELL = 'sell'
SELL_FILL = 'sell_fill'
SELL_CANCEL = 'sell_cancel'
PROTECTION_TRIGGER = 'protection_trigger'
PROTECTION_TRIGGER_GLOBAL = 'protection_trigger_global'
SHORT = 'short'
SHORT_FILL = 'short_fill'
SHORT_CANCEL = 'short_cancel'
# TODO: The below messagetypes should be renamed to "exit"!
# Careful - has an impact on webhooks, therefore needs proper communication
SELL = 'sell'
SELL_FILL = 'sell_fill'
SELL_CANCEL = 'sell_cancel'
PROTECTION_TRIGGER = 'protection_trigger'
PROTECTION_TRIGGER_GLOBAL = 'protection_trigger_global'
def __repr__(self):
return self.value

3
freqtrade/exchange/exchange.py
View File

@ -503,7 +503,7 @@ class Exchange:
# Note: ccxt has BaseCurrency/QuoteCurrency format for pairs
if self.markets and pair not in self.markets:
raise OperationalException(
f'Pair {pair} is not available on {self.name}. '
f'Pair {pair} is not available on {self.name} {self.trading_mode.value}. '
f'Please remove {pair} from your whitelist.')
# From ccxt Documentation:
@ -1533,7 +1533,6 @@ class Exchange:
:return: Dict of [{(pair, timeframe): Dataframe}]
"""
logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list))
# TODO-lev: maybe depend this on candle type?
drop_incomplete = self._ohlcv_partial_candle if drop_incomplete is None else drop_incomplete
input_coroutines = []
cached_pairs = []

6
freqtrade/freqtradebot.py
View File

@ -740,6 +740,9 @@ class FreqtradeBot(LoggingMixin):
# in case of FOK the order may be filled immediately and fully
elif order_status == 'closed':
# TODO-lev: Evaluate this. Why is setting stake_amount here necessary?
# it should never change in theory - and in case of leveraged orders,
# may be the leveraged amount.
stake_amount = order['cost']
amount = safe_value_fallback(order, 'filled', 'amount')
enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
@ -1288,6 +1291,7 @@ class FreqtradeBot(LoggingMixin):
# * Check edge cases, we don't want to make leverage > 1.0 if we don't have to
# * (for leverage modes which aren't isolated futures)
# TODO-lev: The below calculation needs to include leverage ...
trade.stake_amount = trade.amount * trade.open_rate
self.update_trade_state(trade, trade.open_order_id, corder)
@ -1736,7 +1740,7 @@ class FreqtradeBot(LoggingMixin):
trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', ''))
if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):
# TODO-lev: leverage?
# * Leverage could be a cause for this warning, leverage hasn't been thoroughly tested
logger.warning(f"Amount {amount} does not match amount {trade.amount}")
raise DependencyException("Half bought? Amounts don't match")

1
freqtrade/optimize/backtesting.py
View File

@ -538,7 +538,6 @@ class Backtesting:
sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
if self.trading_mode == TradingMode.FUTURES:
# TODO-lev: liquidation price?
trade.funding_fees = self.exchange.calculate_funding_fees(
self.futures_data[trade.pair],
amount=trade.amount,

2
freqtrade/templates/sample_short_strategy.py
View File

@ -15,7 +15,7 @@ import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
# TODO-lev: Create a meaningfull short strategy (not just revresed signs).
# TODO: Create a meaningfull short strategy (not just revresed signs).
# This class is a sample. Feel free to customize it.
class SampleShortStrategy(IStrategy):
"""

4
tests/optimize/test_backtest_detail.py
View File

@ -558,7 +558,7 @@ tc35 = BTContainer(data=[
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
custom_entry_price=7200, trades=[
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)
]
]
)
# Test 36: Custom-entry-price around candle low
@ -697,7 +697,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.required_startup = 0
if data.leverage > 1.0:
# TODO-lev: Should we initialize this properly??
# TODO: Should we initialize this properly??
backtesting._can_short = True
backtesting.strategy.advise_entry = lambda a, m: frame
backtesting.strategy.advise_exit = lambda a, m: frame

2
tests/strategy/strats/strategy_test_v3.py
View File

@ -71,7 +71,7 @@ class StrategyTestV3(IStrategy):
protection_enabled = BooleanParameter(default=True)
protection_cooldown_lookback = IntParameter([0, 50], default=30)
# TODO-lev: Can this work with protection tests? (replace HyperoptableStrategy implicitly ... )
# TODO: Can this work with protection tests? (replace HyperoptableStrategy implicitly ... )
# @property
# def protections(self):
# prot = []

57
tests/test_freqtradebot.py
View File

@ -522,13 +522,11 @@ def test_create_trades_preopen(default_conf_usdt, ticker_usdt, fee, mocker,
assert len(trades) == 4
@pytest.mark.parametrize('is_short, open_rate', [
(False, 2.0),
(True, 2.02)
])
@pytest.mark.parametrize('is_short', [False, True])
def test_process_trade_creation(default_conf_usdt, ticker_usdt, limit_order, limit_order_open,
is_short, open_rate, fee, mocker, caplog
is_short, fee, mocker, caplog
) -> None:
ticker_side = 'ask' if is_short else 'bid'
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
@ -554,8 +552,8 @@ def test_process_trade_creation(default_conf_usdt, ticker_usdt, limit_order, lim
assert trade.is_open
assert trade.open_date is not None
assert trade.exchange == 'binance'
assert trade.open_rate == open_rate # TODO-lev: I think? That's what the ticker ask price is
assert isclose(trade.amount, 60 / open_rate)
assert trade.open_rate == ticker_usdt.return_value[ticker_side]
assert isclose(trade.amount, 60 / ticker_usdt.return_value[ticker_side])
assert log_has(
f'{"Short" if is_short else "Long"} signal found: about create a new trade for ETH/USDT '
@ -3275,9 +3273,9 @@ def test_execute_trade_exit_with_stoploss_on_exchange(
assert rpc_mock.call_count == 3
# TODO-lev: add short, RPC short, short fill
def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(default_conf_usdt, ticker_usdt, fee,
mocker) -> None:
@pytest.mark.parametrize("is_short", [False, True])
def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(
default_conf_usdt, ticker_usdt, fee, mocker, is_short) -> None:
default_conf_usdt['exchange']['name'] = 'binance'
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
@ -3301,7 +3299,7 @@ def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(default_conf_usdt
freqtrade = FreqtradeBot(default_conf_usdt)
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
patch_get_signal(freqtrade)
patch_get_signal(freqtrade, enter_long=not is_short, enter_short=is_short)
# Create some test data
freqtrade.enter_positions()
@ -3315,7 +3313,7 @@ def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(default_conf_usdt
assert trade.stoploss_order_id == '123'
assert trade.open_order_id is None
# Assuming stoploss on exchnage is hit
# Assuming stoploss on exchange is hit
# stoploss_order_id should become None
# and trade should be sold at the price of stoploss
stoploss_executed = MagicMock(return_value={
@ -3343,19 +3341,24 @@ def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(default_conf_usdt
assert trade.is_open is False
assert trade.sell_reason == SellType.STOPLOSS_ON_EXCHANGE.value
assert rpc_mock.call_count == 3
assert rpc_mock.call_args_list[0][0][0]['type'] == RPCMessageType.BUY
assert rpc_mock.call_args_list[1][0][0]['type'] == RPCMessageType.BUY_FILL
assert rpc_mock.call_args_list[2][0][0]['type'] == RPCMessageType.SELL
if is_short:
assert rpc_mock.call_args_list[0][0][0]['type'] == RPCMessageType.SHORT
assert rpc_mock.call_args_list[1][0][0]['type'] == RPCMessageType.SHORT_FILL
assert rpc_mock.call_args_list[2][0][0]['type'] == RPCMessageType.SELL
else:
assert rpc_mock.call_args_list[0][0][0]['type'] == RPCMessageType.BUY
assert rpc_mock.call_args_list[1][0][0]['type'] == RPCMessageType.BUY_FILL
assert rpc_mock.call_args_list[2][0][0]['type'] == RPCMessageType.SELL
@pytest.mark.parametrize(
"is_short,amount,open_rate,current_rate,limit,profit_amount,profit_ratio,profit_or_loss", [
(False, 30, 2.0, 2.3, 2.2, 5.685, 0.09451372, 'profit'),
# TODO-lev: Should the current rate be 2.2 for shorts?
(True, 29.70297029, 2.02, 2.2, 2.3, -8.63762376, -0.1443212, 'loss'),
"is_short,amount,current_rate,limit,profit_amount,profit_ratio,profit_or_loss", [
(False, 30, 2.3, 2.2, 5.685, 0.09451372, 'profit'),
(True, 29.70297029, 2.2, 2.3, -8.63762376, -0.1443212, 'loss'),
])
def test_execute_trade_exit_market_order(
default_conf_usdt, ticker_usdt, fee, is_short, current_rate, amount, open_rate,
default_conf_usdt, ticker_usdt, fee, is_short, current_rate, amount,
limit, profit_amount, profit_ratio, profit_or_loss, ticker_usdt_sell_up, mocker
) -> None:
"""
@ -3375,6 +3378,7 @@ def test_execute_trade_exit_market_order(
long: (65.835/60.15) - 1 = 0.0945137157107232
short: 1 - (68.48762376237624/59.85) = -0.1443211990371971
"""
open_rate = ticker_usdt.return_value['ask' if is_short else 'bid']
rpc_mock = patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
@ -4241,14 +4245,13 @@ def test_apply_fee_conditional(default_conf_usdt, fee, mocker,
(0.1, False),
(100, True),
])
@pytest.mark.parametrize('is_short, open_rate', [
(False, 2.0),
(True, 2.02),
])
@pytest.mark.parametrize('is_short', [False, True])
def test_order_book_depth_of_market(
default_conf_usdt, ticker_usdt, limit_order, limit_order_open,
fee, mocker, order_book_l2, delta, is_high_delta, is_short, open_rate
default_conf_usdt, ticker_usdt, limit_order_open,
fee, mocker, order_book_l2, delta, is_high_delta, is_short
):
ticker_side = 'ask' if is_short else 'bid'
default_conf_usdt['bid_strategy']['check_depth_of_market']['enabled'] = True
default_conf_usdt['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = delta
patch_RPCManager(mocker)
@ -4283,7 +4286,7 @@ def test_order_book_depth_of_market(
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_order_open[enter_side(is_short)])
assert trade.open_rate == open_rate # TODO-lev: double check
assert trade.open_rate == ticker_usdt.return_value[ticker_side]
assert whitelist == default_conf_usdt['exchange']['pair_whitelist']