Merge pull request #8412 from freqtrade/fix/partial_stops

support partially filled stops

freqtrade/freqtradebot.py

@@ -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'):

freqtrade/persistence/trade_model.py

@@ -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:

tests/test_freqtradebot.py

@@ -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: