Merge branch 'feat/short' into leverage-tiers

freqtrade/enums/candletype.py

@@ -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':

freqtrade/enums/rpcmessagetype.py

@@ -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
 

freqtrade/exchange/exchange.py

@@ -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 = []

freqtrade/freqtradebot.py

@@ -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")
 

freqtrade/optimize/backtesting.py

@@ -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,

freqtrade/templates/sample_short_strategy.py

@@ -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):
     """

tests/optimize/test_backtest_detail.py

@@ -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

tests/strategy/strats/strategy_test_v3.py

@@ -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 = []

tests/test_freqtradebot.py

@@ -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', [
+@pytest.mark.parametrize('is_short', [False, True])
-    (False, 2.0),
-    (True, 2.02)
-])
 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 trade.open_rate == ticker_usdt.return_value[ticker_side]
-    assert isclose(trade.amount, 60 / open_rate)
+    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
+@pytest.mark.parametrize("is_short", [False, True])
-def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(default_conf_usdt, ticker_usdt, fee,
+def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(
-                                                               mocker) -> None:
+        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
+    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", [
+    "is_short,amount,current_rate,limit,profit_amount,profit_ratio,profit_or_loss", [
-        (False, 30, 2.0, 2.3, 2.2, 5.685, 0.09451372, 'profit'),
+        (False, 30, 2.3, 2.2, 5.685, 0.09451372, 'profit'),
-        # TODO-lev: Should the current rate be 2.2 for shorts?
+        (True, 29.70297029, 2.2, 2.3, -8.63762376, -0.1443212, 'loss'),
-        (True, 29.70297029, 2.02, 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', [
+@pytest.mark.parametrize('is_short', [False, True])
-    (False, 2.0),
-    (True, 2.02),
-])
 def test_order_book_depth_of_market(
-    default_conf_usdt, ticker_usdt, limit_order, limit_order_open,
+    default_conf_usdt, ticker_usdt, limit_order_open,
-    fee, mocker, order_book_l2, delta, is_high_delta, is_short, open_rate
+    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']