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Merge pull request #8412 from freqtrade/fix/partial_stops

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support partially filled stops
This commit is contained in:
Matthias 2023-04-01 15:18:42 +02:00 committed by GitHub
commit 916e1bbc7c
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3 changed files with 147 additions and 11 deletions
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6
freqtrade/freqtradebot.py
View File

@ -854,7 +854,8 @@ class FreqtradeBot(LoggingMixin):
logger.info(f"Canceling stoploss on exchange for {trade}")
co = self.exchange.cancel_stoploss_order_with_result(
trade.stoploss_order_id, trade.pair, trade.amount)
trade.update_order(co)
self.update_trade_state(trade, trade.stoploss_order_id, co, stoploss_order=True)
# Reset stoploss order id.
trade.stoploss_order_id = None
except InvalidOrderException:
@ -1172,7 +1173,8 @@ class FreqtradeBot(LoggingMixin):
logger.warning('Unable to fetch stoploss order: %s', exception)
if stoploss_order:
trade.update_order(stoploss_order)
self.update_trade_state(trade, trade.stoploss_order_id, stoploss_order,
stoploss_order=True)
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] in ('closed', 'triggered'):

21
freqtrade/persistence/trade_model.py
View File

@ -695,21 +695,24 @@ class LocalTrade():
else:
logger.warning(
f'Got different open_order_id {self.open_order_id} != {order.order_id}')
elif order.ft_order_side == 'stoploss' and order.status not in ('open', ):
self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss
self.exit_reason = ExitType.STOPLOSS_ON_EXCHANGE.value
if self.is_open:
logger.info(f'{order.order_type.upper()} is hit for {self}.')
else:
raise ValueError(f'Unknown order type: {order.order_type}')
if order.ft_order_side != self.entry_side:
amount_tr = amount_to_contract_precision(self.amount, self.amount_precision,
self.precision_mode, self.contract_size)
if isclose(order.safe_amount_after_fee, amount_tr, abs_tol=MATH_CLOSE_PREC):
self.close(order.safe_price)
else:
self.recalc_trade_from_orders()
elif order.ft_order_side == 'stoploss' and order.status not in ('canceled', 'open'):
self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss
self.exit_reason = ExitType.STOPLOSS_ON_EXCHANGE.value
if self.is_open:
logger.info(f'{order.order_type.upper()} is hit for {self}.')
self.close(order.safe_price)
else:
raise ValueError(f'Unknown order type: {order.order_type}')
Trade.commit()
def close(self, rate: float, *, show_msg: bool = True) -> None:

131
tests/test_freqtradebot.py
View File

@ -1290,6 +1290,137 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_
assert trade.exit_reason == str(ExitType.EMERGENCY_EXIT)
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_stoploss_on_exchange_partial(
mocker, default_conf_usdt, fee, is_short, limit_order) -> None:
stop_order_dict = {'id': "101", "status": "open"}
stoploss = MagicMock(return_value=stop_order_dict)
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={
'bid': 1.9,
'ask': 2.2,
'last': 1.9
}),
create_order=MagicMock(side_effect=[
enter_order,
exit_order,
]),
get_fee=fee,
create_stoploss=stoploss
)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
trade.open_order_id = None
trade.stoploss_order_id = None
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert stoploss.call_count == 1
assert trade.stoploss_order_id == "101"
assert trade.amount == 30
stop_order_dict.update({'id': "102"})
# Stoploss on exchange is cancelled on exchange, but filled partially.
# Must update trade amount to guarantee successful exit.
stoploss_order_hit = MagicMock(return_value={
'id': "101",
'status': 'canceled',
'type': 'stop_loss_limit',
'price': 3,
'average': 2,
'filled': trade.amount / 2,
'remaining': trade.amount / 2,
'amount': enter_order['amount'],
})
mocker.patch(f'{EXMS}.fetch_stoploss_order', stoploss_order_hit)
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# Stoploss filled partially ...
assert trade.amount == 15
assert trade.stoploss_order_id == "102"
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_stoploss_on_exchange_partial_cancel_here(
mocker, default_conf_usdt, fee, is_short, limit_order, caplog) -> None:
stop_order_dict = {'id': "101", "status": "open"}
default_conf_usdt['trailing_stop'] = True
stoploss = MagicMock(return_value=stop_order_dict)
enter_order = limit_order[entry_side(is_short)]
exit_order = limit_order[exit_side(is_short)]
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
EXMS,
fetch_ticker=MagicMock(return_value={
'bid': 1.9,
'ask': 2.2,
'last': 1.9
}),
create_order=MagicMock(side_effect=[
enter_order,
exit_order,
]),
get_fee=fee,
create_stoploss=stoploss
)
freqtrade = FreqtradeBot(default_conf_usdt)
patch_get_signal(freqtrade, enter_short=is_short, enter_long=not is_short)
freqtrade.enter_positions()
trade = Trade.session.scalars(select(Trade)).first()
trade.is_short = is_short
trade.is_open = True
trade.open_order_id = None
trade.stoploss_order_id = None
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert stoploss.call_count == 1
assert trade.stoploss_order_id == "101"
assert trade.amount == 30
stop_order_dict.update({'id': "102"})
# Stoploss on exchange is open.
# Freqtrade cancels the stop - but cancel returns a partial filled order.
stoploss_order_hit = MagicMock(return_value={
'id': "101",
'status': 'open',
'type': 'stop_loss_limit',
'price': 3,
'average': 2,
'filled': 0,
'remaining': trade.amount,
'amount': enter_order['amount'],
})
stoploss_order_cancel = MagicMock(return_value={
'id': "101",
'status': 'canceled',
'type': 'stop_loss_limit',
'price': 3,
'average': 2,
'filled': trade.amount / 2,
'remaining': trade.amount / 2,
'amount': enter_order['amount'],
})
mocker.patch(f'{EXMS}.fetch_stoploss_order', stoploss_order_hit)
mocker.patch(f'{EXMS}.cancel_stoploss_order_with_result', stoploss_order_cancel)
trade.stoploss_last_update = arrow.utcnow().shift(minutes=-10).datetime
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# Canceled Stoploss filled partially ...
assert log_has_re('Cancelling current stoploss on exchange.*', caplog)
assert trade.stoploss_order_id == "102"
assert trade.amount == 15
@pytest.mark.parametrize("is_short", [False, True])
def test_handle_sle_cancel_cant_recreate(mocker, default_conf_usdt, fee, caplog, is_short,
limit_order) -> None: