Merge pull request #2734 from freqtrade/relative_stake

Relative stake maximum tradable amount

freqtrade/configuration/config_validation.py

@@ -78,12 +78,24 @@ def validate_config_consistency(conf: Dict[str, Any]) -> None:
     _validate_trailing_stoploss(conf)
     _validate_edge(conf)
     _validate_whitelist(conf)
+    _validate_unlimited_amount(conf)
 
     # validate configuration before returning
     logger.info('Validating configuration ...')
     validate_config_schema(conf)
 
 
+def _validate_unlimited_amount(conf: Dict[str, Any]) -> None:
+    """
+    If edge is disabled, either max_open_trades or stake_amount need to be set.
+    :raise: OperationalException if config validation failed
+    """
+    if (not conf.get('edge', {}).get('enabled')
+       and conf.get('max_open_trades') == float('inf')
+       and conf.get('stake_amount') == constants.UNLIMITED_STAKE_AMOUNT):
+        raise OperationalException("`max_open_trades` and `stake_amount` cannot both be unlimited.")
+
+
 def _validate_trailing_stoploss(conf: Dict[str, Any]) -> None:
 
     if conf.get('stoploss') == 0.0:

freqtrade/configuration/deprecated_settings.py

@@ -80,3 +80,13 @@ def process_temporary_deprecated_settings(config: Dict[str, Any]) -> None:
             f"Using precision_filter setting is deprecated and has been replaced by"
             "PrecisionFilter. Please refer to the docs on configuration details")
         config['pairlists'].append({'method': 'PrecisionFilter'})
+
+    if (config.get('edge', {}).get('enabled', False)
+       and 'capital_available_percentage' in config.get('edge', {})):
+        logger.warning(
+            "DEPRECATED: "
+            "Using 'edge.capital_available_percentage' has been deprecated in favor of "
+            "'tradable_balance_ratio'. Please migrate your configuration to "
+            "'tradable_balance_ratio' and remove 'capital_available_percentage' "
+            "from the edge configuration."
+        )

freqtrade/constants.py

@@ -73,6 +73,16 @@ CONF_SCHEMA = {
             'minimum': 0.0001,
             'pattern': UNLIMITED_STAKE_AMOUNT
         },
+        'tradable_balance_ratio': {
+            'type': 'number',
+            'minimum': 0.1,
+            'maximum': 1,
+            'default': 0.99
+        },
+        'amend_last_stake_amount': {'type': 'boolean', 'default': False},
+        'last_stake_amount_min_ratio': {
+            'type': 'number', 'minimum': 0.0, 'maximum': 1.0, 'default': 0.5
+            },
         'fiat_display_currency': {'type': 'string', 'enum': SUPPORTED_FIAT},
         'dry_run': {'type': 'boolean'},
         'dry_run_wallet': {'type': 'number', 'default': DRY_RUN_WALLET},
@@ -266,7 +276,7 @@ CONF_SCHEMA = {
                 'max_trade_duration_minute': {'type': 'integer'},
                 'remove_pumps': {'type': 'boolean'}
             },
-            'required': ['process_throttle_secs', 'allowed_risk', 'capital_available_percentage']
+            'required': ['process_throttle_secs', 'allowed_risk']
         }
     },
 }
@@ -276,6 +286,8 @@ SCHEMA_TRADE_REQUIRED = [
     'max_open_trades',
     'stake_currency',
     'stake_amount',
+    'tradable_balance_ratio',
+    'last_stake_amount_min_ratio',
     'dry_run',
     'dry_run_wallet',
     'bid_strategy',

freqtrade/edge/__init__.py

@@ -57,7 +57,9 @@ class Edge:
         if self.config['stake_amount'] != constants.UNLIMITED_STAKE_AMOUNT:
             raise OperationalException('Edge works only with unlimited stake amount')
 
-        self._capital_percentage: float = self.edge_config.get('capital_available_percentage')
+        # Deprecated capital_available_percentage. Will use tradable_balance_ratio in the future.
+        self._capital_percentage: float = self.edge_config.get(
+            'capital_available_percentage', self.config['tradable_balance_ratio'])
         self._allowed_risk: float = self.edge_config.get('allowed_risk')
         self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
         self._last_updated: int = 0  # Timestamp of pairs last updated time

freqtrade/freqtradebot.py

@@ -250,12 +250,16 @@ class FreqtradeBot:
 
         return used_rate
 
-    def get_trade_stake_amount(self, pair) -> Optional[float]:
+    def get_trade_stake_amount(self, pair) -> float:
         """
         Calculate stake amount for the trade
         :return: float: Stake amount
+        :raise: DependencyException if the available stake amount is too low
         """
-        stake_amount: Optional[float]
+        stake_amount: float
+        # Ensure wallets are uptodate.
+        self.wallets.update()
+
         if self.edge:
             stake_amount = self.edge.stake_amount(
                 pair,
@@ -270,26 +274,52 @@ class FreqtradeBot:
 
         return self._check_available_stake_amount(stake_amount)
 
-    def _calculate_unlimited_stake_amount(self) -> Optional[float]:
+    def _get_available_stake_amount(self) -> float:
+        """
+        Return the total currently available balance in stake currency,
+        respecting tradable_balance_ratio.
+        Calculated as
+        <open_trade stakes> + free amount ) * tradable_balance_ratio - <open_trade stakes>
+        """
+        val_tied_up = Trade.total_open_trades_stakes()
+
+        # Ensure <tradable_balance_ratio>% is used from the overall balance
+        # Otherwise we'd risk lowering stakes with each open trade.
+        # (tied up + current free) * ratio) - tied up
+        available_amount = ((val_tied_up + self.wallets.get_free(self.config['stake_currency'])) *
+                            self.config['tradable_balance_ratio']) - val_tied_up
+        return available_amount
+
+    def _calculate_unlimited_stake_amount(self) -> float:
         """
         Calculate stake amount for "unlimited" stake amount
-        :return: None if max number of trades reached
+        :return: 0 if max number of trades reached, else stake_amount to use.
         """
         free_open_trades = self.get_free_open_trades()
         if not free_open_trades:
-            return None
-        available_amount = self.wallets.get_free(self.config['stake_currency'])
+            return 0
+
+        available_amount = self._get_available_stake_amount()
+
         return available_amount / free_open_trades
 
-    def _check_available_stake_amount(self, stake_amount: Optional[float]) -> Optional[float]:
+    def _check_available_stake_amount(self, stake_amount: float) -> float:
         """
         Check if stake amount can be fulfilled with the available balance
         for the stake currency
         :return: float: Stake amount
         """
-        available_amount = self.wallets.get_free(self.config['stake_currency'])
+        available_amount = self._get_available_stake_amount()
 
-        if stake_amount is not None and available_amount < stake_amount:
+        if self.config['amend_last_stake_amount']:
+            # Remaining amount needs to be at least stake_amount * last_stake_amount_min_ratio
+            # Otherwise the remaining amount is too low to trade.
+            if available_amount > (stake_amount * self.config['last_stake_amount_min_ratio']):
+                stake_amount = min(stake_amount, available_amount)
+            else:
+                stake_amount = 0
+
+        if available_amount < stake_amount:
             raise DependencyException(
                 f"Available balance ({available_amount} {self.config['stake_currency']}) is "
                 f"lower than stake amount ({stake_amount} {self.config['stake_currency']})"