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stoploss should also use trimmed prices

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This commit is contained in:
Matthias 2022-08-17 09:51:28 +02:00
parent 24690c1918
commit 8d182768f9
3 changed files with 23 additions and 25 deletions
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10
freqtrade/persistence/trade_model.py
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@ -14,7 +14,7 @@ from freqtrade.constants import (DATETIME_PRINT_FORMAT, MATH_CLOSE_PREC, NON_OPE
BuySell, LongShort) BuySell, LongShort)
from freqtrade.enums import ExitType, TradingMode from freqtrade.enums import ExitType, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import amount_to_precision from freqtrade.exchange import amount_to_precision, price_to_precision
from freqtrade.leverage import interest from freqtrade.leverage import interest
from freqtrade.persistence.base import _DECL_BASE from freqtrade.persistence.base import _DECL_BASE
from freqtrade.util import FtPrecise from freqtrade.util import FtPrecise
@ -527,9 +527,10 @@ class LocalTrade():
""" """
Method used internally to set self.stop_loss. Method used internally to set self.stop_loss.
""" """
stop_loss_norm = price_to_precision(stop_loss, self.price_precision, self.precision_mode)
if not self.stop_loss: if not self.stop_loss:
self.initial_stop_loss = stop_loss self.initial_stop_loss = stop_loss_norm
self.stop_loss = stop_loss self.stop_loss = stop_loss_norm
self.stop_loss_pct = -1 * abs(percent) self.stop_loss_pct = -1 * abs(percent)
self.stoploss_last_update = datetime.utcnow() self.stoploss_last_update = datetime.utcnow()
@ -557,7 +558,8 @@ class LocalTrade():
# no stop loss assigned yet # no stop loss assigned yet
if self.initial_stop_loss_pct is None or refresh: if self.initial_stop_loss_pct is None or refresh:
self.__set_stop_loss(new_loss, stoploss) self.__set_stop_loss(new_loss, stoploss)
self.initial_stop_loss = new_loss self.initial_stop_loss = price_to_precision(
new_loss, self.price_precision, self.precision_mode)
self.initial_stop_loss_pct = -1 * abs(stoploss) self.initial_stop_loss_pct = -1 * abs(stoploss)
# evaluate if the stop loss needs to be updated # evaluate if the stop loss needs to be updated

22
tests/rpc/test_rpc.py
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@ -96,20 +96,20 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
'profit_pct': -0.41, 'profit_pct': -0.41,
'profit_abs': -4.09e-06, 'profit_abs': -4.09e-06,
'profit_fiat': ANY, 'profit_fiat': ANY,
'stop_loss_abs': 9.882e-06, 'stop_loss_abs': 9.89e-06,
'stop_loss_pct': -10.0, 'stop_loss_pct': -10.0,
'stop_loss_ratio': -0.1, 'stop_loss_ratio': -0.1,
'stoploss_order_id': None, 'stoploss_order_id': None,
'stoploss_last_update': ANY, 'stoploss_last_update': ANY,
'stoploss_last_update_timestamp': ANY, 'stoploss_last_update_timestamp': ANY,
'initial_stop_loss_abs': 9.882e-06, 'initial_stop_loss_abs': 9.89e-06,
'initial_stop_loss_pct': -10.0, 'initial_stop_loss_pct': -10.0,
'initial_stop_loss_ratio': -0.1, 'initial_stop_loss_ratio': -0.1,
'stoploss_current_dist': -1.1080000000000002e-06, 'stoploss_current_dist': pytest.approx(-1.0999999e-06),
'stoploss_current_dist_ratio': -0.10081893, 'stoploss_current_dist_ratio': -0.10009099,
'stoploss_current_dist_pct': -10.08, 'stoploss_current_dist_pct': -10.01,
'stoploss_entry_dist': -0.00010475, 'stoploss_entry_dist': -0.00010402,
'stoploss_entry_dist_ratio': -0.10448878, 'stoploss_entry_dist_ratio': -0.10376381,
'open_order': None, 'open_order': None,
'realized_profit': 0.0, 'realized_profit': 0.0,
'exchange': 'binance', 'exchange': 'binance',
@ -181,20 +181,20 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
'profit_pct': ANY, 'profit_pct': ANY,
'profit_abs': ANY, 'profit_abs': ANY,
'profit_fiat': ANY, 'profit_fiat': ANY,
'stop_loss_abs': 9.882e-06, 'stop_loss_abs': 9.89e-06,
'stop_loss_pct': -10.0, 'stop_loss_pct': -10.0,
'stop_loss_ratio': -0.1, 'stop_loss_ratio': -0.1,
'stoploss_order_id': None, 'stoploss_order_id': None,
'stoploss_last_update': ANY, 'stoploss_last_update': ANY,
'stoploss_last_update_timestamp': ANY, 'stoploss_last_update_timestamp': ANY,
'initial_stop_loss_abs': 9.882e-06, 'initial_stop_loss_abs': 9.89e-06,
'initial_stop_loss_pct': -10.0, 'initial_stop_loss_pct': -10.0,
'initial_stop_loss_ratio': -0.1, 'initial_stop_loss_ratio': -0.1,
'stoploss_current_dist': ANY, 'stoploss_current_dist': ANY,
'stoploss_current_dist_ratio': ANY, 'stoploss_current_dist_ratio': ANY,
'stoploss_current_dist_pct': ANY, 'stoploss_current_dist_pct': ANY,
'stoploss_entry_dist': -0.00010475, 'stoploss_entry_dist': -0.00010402,
'stoploss_entry_dist_ratio': -0.10448878, 'stoploss_entry_dist_ratio': -0.10376381,
'open_order': None, 'open_order': None,
'exchange': 'binance', 'exchange': 'binance',
'realized_profit': 0.0, 'realized_profit': 0.0,

16
tests/test_freqtradebot.py
View File

@ -4,7 +4,6 @@
import logging import logging
import time import time
from copy import deepcopy from copy import deepcopy
from math import isclose
from typing import List from typing import List
from unittest.mock import ANY, MagicMock, PropertyMock, patch from unittest.mock import ANY, MagicMock, PropertyMock, patch
@ -12,7 +11,7 @@ import arrow
import pytest import pytest
from pandas import DataFrame from pandas import DataFrame
from freqtrade.constants import CANCEL_REASON, MATH_CLOSE_PREC, UNLIMITED_STAKE_AMOUNT from freqtrade.constants import CANCEL_REASON, UNLIMITED_STAKE_AMOUNT
from freqtrade.enums import (CandleType, ExitCheckTuple, ExitType, RPCMessageType, RunMode, from freqtrade.enums import (CandleType, ExitCheckTuple, ExitType, RPCMessageType, RunMode,
SignalDirection, State) SignalDirection, State)
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError, from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
@ -569,7 +568,7 @@ def test_process_trade_creation(default_conf_usdt, ticker_usdt, limit_order, lim
assert trade.open_date is not None assert trade.open_date is not None
assert trade.exchange == 'binance' assert trade.exchange == 'binance'
assert trade.open_rate == ticker_usdt.return_value[ticker_side] assert trade.open_rate == ticker_usdt.return_value[ticker_side]
assert isclose(trade.amount, 60 / ticker_usdt.return_value[ticker_side]) assert pytest.approx(trade.amount) == 60 / ticker_usdt.return_value[ticker_side]
assert log_has( assert log_has(
f'{"Short" if is_short else "Long"} signal found: about create a new trade for ETH/USDT ' f'{"Short" if is_short else "Long"} signal found: about create a new trade for ETH/USDT '
@ -1801,7 +1800,7 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog,
# stoploss initially at 20% as edge dictated it. # stoploss initially at 20% as edge dictated it.
assert freqtrade.handle_trade(trade) is False assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert isclose(trade.stop_loss, 1.76) assert pytest.approx(trade.stop_loss) == 1.76
cancel_order_mock = MagicMock() cancel_order_mock = MagicMock()
stoploss_order_mock = MagicMock() stoploss_order_mock = MagicMock()
@ -1818,7 +1817,7 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog,
assert freqtrade.handle_stoploss_on_exchange(trade) is False assert freqtrade.handle_stoploss_on_exchange(trade) is False
# stoploss should remain the same # stoploss should remain the same
assert isclose(trade.stop_loss, 1.76) assert pytest.approx(trade.stop_loss) == 1.76
# stoploss on exchange should not be canceled # stoploss on exchange should not be canceled
cancel_order_mock.assert_not_called() cancel_order_mock.assert_not_called()
@ -4524,11 +4523,8 @@ def test_get_real_amount_wrong_amount_rounding(default_conf_usdt, trades_for_ord
order_obj = Order.parse_from_ccxt_object(buy_order_fee, 'LTC/ETH', 'buy') order_obj = Order.parse_from_ccxt_object(buy_order_fee, 'LTC/ETH', 'buy')
# Amount changes by fee amount. # Amount changes by fee amount.
assert isclose( assert pytest.approx(freqtrade.get_real_amount(
freqtrade.get_real_amount(trade, limit_buy_order_usdt, order_obj), trade, limit_buy_order_usdt, order_obj)) == amount - (amount * 0.001)
amount - (amount * 0.001),
abs_tol=MATH_CLOSE_PREC,
)
def test_get_real_amount_open_trade_usdt(default_conf_usdt, fee, mocker): def test_get_real_amount_open_trade_usdt(default_conf_usdt, fee, mocker):