diff --git a/docs/strategy-callbacks.md b/docs/strategy-callbacks.md index 59d221bfc..18de3513b 100644 --- a/docs/strategy-callbacks.md +++ b/docs/strategy-callbacks.md @@ -629,7 +629,7 @@ class AwesomeStrategy(IStrategy): The `position_adjustment_enable` strategy property enables the usage of `adjust_trade_position()` callback in the strategy. For performance reasons, it's disabled by default and freqtrade will show a warning message on startup if enabled. -`adjust_trade_position()` can be used to perform additional orders, for example to manage risk with DCA (Dollar Cost Averaging). +`adjust_trade_position()` can be used to perform additional orders, for example to manage risk with DCA (Dollar Cost Averaging) or to increase or decrease positions. `max_entry_position_adjustment` property is used to limit the number of additional buys per trade (on top of the first buy) that the bot can execute. By default, the value is -1 which means the bot have no limit on number of adjustment buys. @@ -637,10 +637,13 @@ The strategy is expected to return a stake_amount (in stake currency) between `m If there are not enough funds in the wallet (the return value is above `max_stake`) then the signal will be ignored. Additional orders also result in additional fees and those orders don't count towards `max_open_trades`. -This callback is **not** called when there is an open order (either buy or sell) waiting for execution, or when you have reached the maximum amount of extra buys that you have set on `max_entry_position_adjustment`. +This callback is **not** called when there is an open order (either buy or sell) waiting for execution. + `adjust_trade_position()` is called very frequently for the duration of a trade, so you must keep your implementation as performant as possible. -Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position, no matter if it's a long or short trade. Modifications to leverage are not possible. +Additional Buys are ignored once you have reached the maximum amount of extra buys that you have set on `max_entry_position_adjustment`, but the callback is called anyway looking for partial exits. + +Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position (negative values will decrease your position), no matter if it's a long or short trade. Modifications to leverage are not possible. !!! Note "About stake size" Using fixed stake size means it will be the amount used for the first order, just like without position adjustment. @@ -649,12 +652,12 @@ Position adjustments will always be applied in the direction of the trade, so a !!! Warning Stoploss is still calculated from the initial opening price, not averaged price. + Regular stoploss rules still apply (cannot move down). -!!! Warning "/stopbuy" While `/stopbuy` command stops the bot from entering new trades, the position adjustment feature will continue buying new orders on existing trades. !!! Warning "Backtesting" - During backtesting this callback is called for each candle in `timeframe` or `timeframe_detail`, so performance will be affected. + During backtesting this callback is called for each candle in `timeframe` or `timeframe_detail`, so run-time performance will be affected. ``` python from freqtrade.persistence import Trade @@ -675,7 +678,7 @@ class DigDeeperStrategy(IStrategy): max_dca_multiplier = 5.5 # This is called when placing the initial order (opening trade) -def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float, + def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float, proposed_stake: float, min_stake: Optional[float], max_stake: float, leverage: float, entry_tag: Optional[str], side: str, **kwargs) -> float: @@ -685,22 +688,41 @@ def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: f return proposed_stake / self.max_dca_multiplier def adjust_trade_position(self, trade: Trade, current_time: datetime, - current_rate: float, current_profit: float, min_stake: Optional[float], - max_stake: float, **kwargs): + current_rate: float, current_profit: float, + min_stake: Optional[float], max_stake: float, + current_entry_rate: float, current_exit_rate: float, + current_entry_profit: float, current_exit_profit: float, + **kwargs) -> Optional[float]: """ - Custom trade adjustment logic, returning the stake amount that a trade should be increased. - This means extra buy orders with additional fees. + Custom trade adjustment logic, returning the stake amount that a trade should be + increased or decreased. + This means extra buy or sell orders with additional fees. + Only called when `position_adjustment_enable` is set to True. + + For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/ + + When not implemented by a strategy, returns None :param trade: trade object. :param current_time: datetime object, containing the current datetime :param current_rate: Current buy rate. :param current_profit: Current profit (as ratio), calculated based on current_rate. - :param min_stake: Minimal stake size allowed by exchange. - :param max_stake: Balance available for trading. + :param min_stake: Minimal stake size allowed by exchange (for both entries and exits) + :param max_stake: Maximum stake allowed (either through balance, or by exchange limits). + :param current_entry_rate: Current rate using entry pricing. + :param current_exit_rate: Current rate using exit pricing. + :param current_entry_profit: Current profit using entry pricing. + :param current_exit_profit: Current profit using exit pricing. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. - :return float: Stake amount to adjust your trade + :return float: Stake amount to adjust your trade, + Positive values to increase position, Negative values to decrease position. + Return None for no action. """ + if current_profit > 0.05 and trade.nr_of_successful_exits == 0: + # Take half of the profit at +5% + return -(trade.amount / 2) + if current_profit > -0.05: return None @@ -735,6 +757,25 @@ def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: f ``` +### Position adjust calculations + +* Entry rates are calculated using weighted averages. +* Exits will not influence the average entry rate. +* Partial exit relative profit is relative to the average entry price at this point. +* Final exit relative profit is calculated based on the total invested capital. (See example below) + +??? example "Calculation example" + *This example assumes 0 fees for simplicity, and a long position on an imaginary coin.* + + * Buy 100@8\$ + * Buy 100@9\$ -> Avg price: 8.5\$ + * Sell 100@10\$ -> Avg price: 8.5\$, realized profit 150\$, 17.65% + * Buy 150@11\$ -> Avg price: 10\$, realized profit 150\$, 17.65% + * Sell 100@12\$ -> Avg price: 10\$, total realized profit 350\$, 20% + * Sell 150@14\$ -> Avg price: 10\$, total realized profit 950\$, 40% + + The total profit for this trade was 950$ on a 3350$ investment (`100@8$ + 100@9$ + 150@11$`). As such - the final relative profit is 28.35% (`950 / 3350`). + ## Adjust Entry Price The `adjust_entry_price()` callback may be used by strategy developer to refresh/replace limit orders upon arrival of new candles. diff --git a/freqtrade/enums/exittype.py b/freqtrade/enums/exittype.py index 1e15e70cd..b025230ba 100644 --- a/freqtrade/enums/exittype.py +++ b/freqtrade/enums/exittype.py @@ -14,6 +14,7 @@ class ExitType(Enum): FORCE_EXIT = "force_exit" EMERGENCY_EXIT = "emergency_exit" CUSTOM_EXIT = "custom_exit" + PARTIAL_EXIT = "partial_exit" NONE = "" def __str__(self): diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index e180c90b2..b6996211f 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -1507,7 +1507,8 @@ class Exchange: return price_side def get_rate(self, pair: str, refresh: bool, - side: EntryExit, is_short: bool) -> float: + side: EntryExit, is_short: bool, + order_book: Optional[dict] = None, ticker: Optional[dict] = None) -> float: """ Calculates bid/ask target bid rate - between current ask price and last price @@ -1539,22 +1540,24 @@ class Exchange: if conf_strategy.get('use_order_book', False): order_book_top = conf_strategy.get('order_book_top', 1) - order_book = self.fetch_l2_order_book(pair, order_book_top) + if order_book is None: + order_book = self.fetch_l2_order_book(pair, order_book_top) logger.debug('order_book %s', order_book) # top 1 = index 0 try: rate = order_book[f"{price_side}s"][order_book_top - 1][0] except (IndexError, KeyError) as e: logger.warning( - f"{name} Price at location {order_book_top} from orderbook could not be " - f"determined. Orderbook: {order_book}" + f"{pair} - {name} Price at location {order_book_top} from orderbook " + f"could not be determined. Orderbook: {order_book}" ) raise PricingError from e - logger.debug(f"{name} price from orderbook {price_side_word}" + logger.debug(f"{pair} - {name} price from orderbook {price_side_word}" f"side - top {order_book_top} order book {side} rate {rate:.8f}") else: logger.debug(f"Using Last {price_side_word} / Last Price") - ticker = self.fetch_ticker(pair) + if ticker is None: + ticker = self.fetch_ticker(pair) ticker_rate = ticker[price_side] if ticker['last'] and ticker_rate: if side == 'entry' and ticker_rate > ticker['last']: @@ -1571,6 +1574,33 @@ class Exchange: return rate + def get_rates(self, pair: str, refresh: bool, is_short: bool) -> Tuple[float, float]: + entry_rate = None + exit_rate = None + if not refresh: + entry_rate = self._entry_rate_cache.get(pair) + exit_rate = self._exit_rate_cache.get(pair) + if entry_rate: + logger.debug(f"Using cached buy rate for {pair}.") + if exit_rate: + logger.debug(f"Using cached sell rate for {pair}.") + + entry_pricing = self._config.get('entry_pricing', {}) + exit_pricing = self._config.get('exit_pricing', {}) + order_book = ticker = None + if not entry_rate and entry_pricing.get('use_order_book', False): + order_book_top = max(entry_pricing.get('order_book_top', 1), + exit_pricing.get('order_book_top', 1)) + order_book = self.fetch_l2_order_book(pair, order_book_top) + entry_rate = self.get_rate(pair, refresh, 'entry', is_short, order_book=order_book) + elif not entry_rate: + ticker = self.fetch_ticker(pair) + entry_rate = self.get_rate(pair, refresh, 'entry', is_short, ticker=ticker) + if not exit_rate: + exit_rate = self.get_rate(pair, refresh, 'exit', + is_short, order_book=order_book, ticker=ticker) + return entry_rate, exit_rate + # Fee handling @retrier @@ -1989,7 +2019,7 @@ class Exchange: else: logger.debug( "Fetching trades for pair %s, since %s %s...", - pair, since, + pair, since, '(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else '' ) trades = await self._api_async.fetch_trades(pair, since=since, limit=1000) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 50cfb9d7b..757449c8c 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -5,6 +5,7 @@ import copy import logging import traceback from datetime import datetime, time, timedelta, timezone +from decimal import Decimal from math import isclose from threading import Lock from typing import Any, Dict, List, Optional, Tuple @@ -525,39 +526,61 @@ class FreqtradeBot(LoggingMixin): If the strategy triggers the adjustment, a new order gets issued. Once that completes, the existing trade is modified to match new data. """ - if self.strategy.max_entry_position_adjustment > -1: - count_of_buys = trade.nr_of_successful_entries - if count_of_buys > self.strategy.max_entry_position_adjustment: - logger.debug(f"Max adjustment entries for {trade.pair} has been reached.") - return - else: - logger.debug("Max adjustment entries is set to unlimited.") - current_rate = self.exchange.get_rate( - trade.pair, side='entry', is_short=trade.is_short, refresh=True) - current_profit = trade.calc_profit_ratio(current_rate) + current_entry_rate, current_exit_rate = self.exchange.get_rates( + trade.pair, True, trade.is_short) - min_stake_amount = self.exchange.get_min_pair_stake_amount(trade.pair, - current_rate, - self.strategy.stoploss) - max_stake_amount = self.exchange.get_max_pair_stake_amount(trade.pair, current_rate) + current_entry_profit = trade.calc_profit_ratio(current_entry_rate) + current_exit_profit = trade.calc_profit_ratio(current_exit_rate) + + min_entry_stake = self.exchange.get_min_pair_stake_amount(trade.pair, + current_entry_rate, + self.strategy.stoploss) + min_exit_stake = self.exchange.get_min_pair_stake_amount(trade.pair, + current_exit_rate, + self.strategy.stoploss) + max_entry_stake = self.exchange.get_max_pair_stake_amount(trade.pair, current_entry_rate) stake_available = self.wallets.get_available_stake_amount() logger.debug(f"Calling adjust_trade_position for pair {trade.pair}") stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position, default_retval=None)( - trade=trade, current_time=datetime.now(timezone.utc), current_rate=current_rate, - current_profit=current_profit, min_stake=min_stake_amount, - max_stake=min(max_stake_amount, stake_available)) + trade=trade, + current_time=datetime.now(timezone.utc), current_rate=current_entry_rate, + current_profit=current_entry_profit, min_stake=min_entry_stake, + max_stake=min(max_entry_stake, stake_available), + current_entry_rate=current_entry_rate, current_exit_rate=current_exit_rate, + current_entry_profit=current_entry_profit, current_exit_profit=current_exit_profit + ) if stake_amount is not None and stake_amount > 0.0: # We should increase our position - self.execute_entry(trade.pair, stake_amount, price=current_rate, + if self.strategy.max_entry_position_adjustment > -1: + count_of_entries = trade.nr_of_successful_entries + if count_of_entries > self.strategy.max_entry_position_adjustment: + logger.debug(f"Max adjustment entries for {trade.pair} has been reached.") + return + else: + logger.debug("Max adjustment entries is set to unlimited.") + self.execute_entry(trade.pair, stake_amount, price=current_entry_rate, trade=trade, is_short=trade.is_short) if stake_amount is not None and stake_amount < 0.0: # We should decrease our position - # TODO: Selling part of the trade not implemented yet. - logger.error(f"Unable to decrease trade position / sell partially" - f" for pair {trade.pair}, feature not implemented.") + amount = abs(float(Decimal(stake_amount) / Decimal(current_exit_rate))) + if amount > trade.amount: + # This is currently ineffective as remaining would become < min tradable + # Fixing this would require checking for 0.0 there - + # if we decide that this callback is allowed to "fully exit" + logger.info( + f"Adjusting amount to trade.amount as it is higher. {amount} > {trade.amount}") + amount = trade.amount + + remaining = (trade.amount - amount) * current_exit_rate + if remaining < min_exit_stake: + logger.info(f'Remaining amount of {remaining} would be too small.') + return + + self.execute_trade_exit(trade, current_exit_rate, exit_check=ExitCheckTuple( + exit_type=ExitType.PARTIAL_EXIT), sub_trade_amt=amount) def _check_depth_of_market(self, pair: str, conf: Dict, side: SignalDirection) -> bool: """ @@ -731,7 +754,7 @@ class FreqtradeBot(LoggingMixin): # Updating wallets self.wallets.update() - self._notify_enter(trade, order, order_type) + self._notify_enter(trade, order_obj, order_type, sub_trade=pos_adjust) if pos_adjust: if order_status == 'closed': @@ -740,8 +763,8 @@ class FreqtradeBot(LoggingMixin): else: logger.info(f"DCA order {order_status}, will wait for resolution: {trade}") - # Update fees if order is closed - if order_status == 'closed': + # Update fees if order is non-opened + if order_status in constants.NON_OPEN_EXCHANGE_STATES: self.update_trade_state(trade, order_id, order) return True @@ -830,13 +853,14 @@ class FreqtradeBot(LoggingMixin): return enter_limit_requested, stake_amount, leverage - def _notify_enter(self, trade: Trade, order: Dict, order_type: Optional[str] = None, - fill: bool = False) -> None: + def _notify_enter(self, trade: Trade, order: Order, order_type: Optional[str] = None, + fill: bool = False, sub_trade: bool = False) -> None: """ Sends rpc notification when a entry order occurred. """ msg_type = RPCMessageType.ENTRY_FILL if fill else RPCMessageType.ENTRY - open_rate = safe_value_fallback(order, 'average', 'price') + open_rate = order.safe_price + if open_rate is None: open_rate = trade.open_rate @@ -860,15 +884,17 @@ class FreqtradeBot(LoggingMixin): 'stake_amount': trade.stake_amount, 'stake_currency': self.config['stake_currency'], 'fiat_currency': self.config.get('fiat_display_currency', None), - 'amount': safe_value_fallback(order, 'filled', 'amount') or trade.amount, + 'amount': order.safe_amount_after_fee, 'open_date': trade.open_date or datetime.utcnow(), 'current_rate': current_rate, + 'sub_trade': sub_trade, } # Send the message self.rpc.send_msg(msg) - def _notify_enter_cancel(self, trade: Trade, order_type: str, reason: str) -> None: + def _notify_enter_cancel(self, trade: Trade, order_type: str, reason: str, + sub_trade: bool = False) -> None: """ Sends rpc notification when a entry order cancel occurred. """ @@ -893,6 +919,7 @@ class FreqtradeBot(LoggingMixin): 'open_date': trade.open_date, 'current_rate': current_rate, 'reason': reason, + 'sub_trade': sub_trade, } # Send the message @@ -1366,16 +1393,22 @@ class FreqtradeBot(LoggingMixin): trade.open_order_id = None trade.exit_reason = None cancelled = True + self.wallets.update() else: # TODO: figure out how to handle partially complete sell orders reason = constants.CANCEL_REASON['PARTIALLY_FILLED_KEEP_OPEN'] cancelled = False - self.wallets.update() + order_obj = trade.select_order_by_order_id(order['id']) + if not order_obj: + raise DependencyException( + f"Order_obj not found for {order['id']}. This should not have happened.") + + sub_trade = order_obj.amount != trade.amount self._notify_exit_cancel( trade, order_type=self.strategy.order_types['exit'], - reason=reason + reason=reason, order=order_obj, sub_trade=sub_trade ) return cancelled @@ -1416,6 +1449,7 @@ class FreqtradeBot(LoggingMixin): *, exit_tag: Optional[str] = None, ordertype: Optional[str] = None, + sub_trade_amt: float = None, ) -> bool: """ Executes a trade exit for the given trade and limit @@ -1439,7 +1473,7 @@ class FreqtradeBot(LoggingMixin): # if stoploss is on exchange and we are on dry_run mode, # we consider the sell price stop price if (self.config['dry_run'] and exit_type == 'stoploss' - and self.strategy.order_types['stoploss_on_exchange']): + and self.strategy.order_types['stoploss_on_exchange']): limit = trade.stoploss_or_liquidation # set custom_exit_price if available @@ -1462,15 +1496,17 @@ class FreqtradeBot(LoggingMixin): # Emergency sells (default to market!) order_type = self.strategy.order_types.get("emergency_exit", "market") - amount = self._safe_exit_amount(trade.pair, trade.amount) + amount = self._safe_exit_amount(trade.pair, sub_trade_amt or trade.amount) time_in_force = self.strategy.order_time_in_force['exit'] - if (exit_check.exit_type != ExitType.LIQUIDATION and not strategy_safe_wrapper( - self.strategy.confirm_trade_exit, default_retval=True)( - pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit, - time_in_force=time_in_force, exit_reason=exit_reason, - sell_reason=exit_reason, # sellreason -> compatibility - current_time=datetime.now(timezone.utc))): + if (exit_check.exit_type != ExitType.LIQUIDATION + and not sub_trade_amt + and not strategy_safe_wrapper( + self.strategy.confirm_trade_exit, default_retval=True)( + pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit, + time_in_force=time_in_force, exit_reason=exit_reason, + sell_reason=exit_reason, # sellreason -> compatibility + current_time=datetime.now(timezone.utc))): logger.info(f"User denied exit for {trade.pair}.") return False @@ -1504,7 +1540,7 @@ class FreqtradeBot(LoggingMixin): self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc), reason='Auto lock') - self._notify_exit(trade, order_type) + self._notify_exit(trade, order_type, sub_trade=bool(sub_trade_amt), order=order_obj) # In case of market sell orders the order can be closed immediately if order.get('status', 'unknown') in ('closed', 'expired'): self.update_trade_state(trade, trade.open_order_id, order) @@ -1512,16 +1548,27 @@ class FreqtradeBot(LoggingMixin): return True - def _notify_exit(self, trade: Trade, order_type: str, fill: bool = False) -> None: + def _notify_exit(self, trade: Trade, order_type: str, fill: bool = False, + sub_trade: bool = False, order: Order = None) -> None: """ Sends rpc notification when a sell occurred. """ - profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested - profit_trade = trade.calc_profit(rate=profit_rate) # Use cached rates here - it was updated seconds ago. current_rate = self.exchange.get_rate( trade.pair, side='exit', is_short=trade.is_short, refresh=False) if not fill else None - profit_ratio = trade.calc_profit_ratio(profit_rate) + + # second condition is for mypy only; order will always be passed during sub trade + if sub_trade and order is not None: + amount = order.safe_filled if fill else order.amount + profit_rate = order.safe_price + + profit = trade.calc_profit(rate=profit_rate, amount=amount, open_rate=trade.open_rate) + profit_ratio = trade.calc_profit_ratio(profit_rate, amount, trade.open_rate) + else: + profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested + profit = trade.calc_profit(rate=profit_rate) + trade.realized_profit + profit_ratio = trade.calc_profit_ratio(profit_rate) + amount = trade.amount gain = "profit" if profit_ratio > 0 else "loss" msg = { @@ -1535,11 +1582,11 @@ class FreqtradeBot(LoggingMixin): 'gain': gain, 'limit': profit_rate, 'order_type': order_type, - 'amount': trade.amount, + 'amount': amount, 'open_rate': trade.open_rate, - 'close_rate': trade.close_rate, + 'close_rate': profit_rate, 'current_rate': current_rate, - 'profit_amount': profit_trade, + 'profit_amount': profit, 'profit_ratio': profit_ratio, 'buy_tag': trade.enter_tag, 'enter_tag': trade.enter_tag, @@ -1547,19 +1594,18 @@ class FreqtradeBot(LoggingMixin): 'exit_reason': trade.exit_reason, 'open_date': trade.open_date, 'close_date': trade.close_date or datetime.utcnow(), + 'stake_amount': trade.stake_amount, 'stake_currency': self.config['stake_currency'], 'fiat_currency': self.config.get('fiat_display_currency'), + 'sub_trade': sub_trade, + 'cumulative_profit': trade.realized_profit, } - if 'fiat_display_currency' in self.config: - msg.update({ - 'fiat_currency': self.config['fiat_display_currency'], - }) - # Send the message self.rpc.send_msg(msg) - def _notify_exit_cancel(self, trade: Trade, order_type: str, reason: str) -> None: + def _notify_exit_cancel(self, trade: Trade, order_type: str, reason: str, + order: Order, sub_trade: bool = False) -> None: """ Sends rpc notification when a sell cancel occurred. """ @@ -1585,7 +1631,7 @@ class FreqtradeBot(LoggingMixin): 'gain': gain, 'limit': profit_rate or 0, 'order_type': order_type, - 'amount': trade.amount, + 'amount': order.safe_amount_after_fee, 'open_rate': trade.open_rate, 'current_rate': current_rate, 'profit_amount': profit_trade, @@ -1599,6 +1645,8 @@ class FreqtradeBot(LoggingMixin): 'stake_currency': self.config['stake_currency'], 'fiat_currency': self.config.get('fiat_display_currency', None), 'reason': reason, + 'sub_trade': sub_trade, + 'stake_amount': trade.stake_amount, } if 'fiat_display_currency' in self.config: @@ -1653,14 +1701,18 @@ class FreqtradeBot(LoggingMixin): self.handle_order_fee(trade, order_obj, order) trade.update_trade(order_obj) - # TODO: is the below necessary? it's already done in update_trade for filled buys - trade.recalc_trade_from_orders() Trade.commit() - if order['status'] in constants.NON_OPEN_EXCHANGE_STATES: + if order.get('status') in constants.NON_OPEN_EXCHANGE_STATES: # If a entry order was closed, force update on stoploss on exchange if order.get('side') == trade.entry_side: trade = self.cancel_stoploss_on_exchange(trade) + if not self.edge: + # TODO: should shorting/leverage be supported by Edge, + # then this will need to be fixed. + trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True) + if order.get('side') == trade.entry_side or trade.amount > 0: + # Must also run for partial exits # TODO: Margin will need to use interest_rate as well. # interest_rate = self.exchange.get_interest_rate() trade.set_liquidation_price(self.exchange.get_liquidation_price( @@ -1670,24 +1722,30 @@ class FreqtradeBot(LoggingMixin): open_rate=trade.open_rate, is_short=trade.is_short )) - if not self.edge: - # TODO: should shorting/leverage be supported by Edge, - # then this will need to be fixed. - trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True) # Updating wallets when order is closed self.wallets.update() - if not trade.is_open: - if send_msg and not stoploss_order and not trade.open_order_id: - self._notify_exit(trade, '', True) - self.handle_protections(trade.pair, trade.trade_direction) - elif send_msg and not trade.open_order_id and not stoploss_order: - # Enter fill - self._notify_enter(trade, order, fill=True) + self.order_close_notify(trade, order_obj, stoploss_order, send_msg) return False + def order_close_notify( + self, trade: Trade, order: Order, stoploss_order: bool, send_msg: bool): + """send "fill" notifications""" + + sub_trade = not isclose(order.safe_amount_after_fee, + trade.amount, abs_tol=constants.MATH_CLOSE_PREC) + if order.ft_order_side == trade.exit_side: + # Exit notification + if send_msg and not stoploss_order and not trade.open_order_id: + self._notify_exit(trade, '', fill=True, sub_trade=sub_trade, order=order) + if not trade.is_open: + self.handle_protections(trade.pair, trade.trade_direction) + elif send_msg and not trade.open_order_id and not stoploss_order: + # Enter fill + self._notify_enter(trade, order, fill=True, sub_trade=sub_trade) + def handle_protections(self, pair: str, side: LongShort) -> None: prot_trig = self.protections.stop_per_pair(pair, side=side) if prot_trig: diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py old mode 100755 new mode 100644 index 2c6cfb0e9..46774e8a5 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -287,8 +287,8 @@ class Backtesting: if unavailable_pairs: raise OperationalException( - f"Pairs {', '.join(unavailable_pairs)} got no leverage tiers available. " - "It is therefore impossible to backtest with this pair at the moment.") + f"Pairs {', '.join(unavailable_pairs)} got no leverage tiers available. " + "It is therefore impossible to backtest with this pair at the moment.") else: self.futures_data = {} @@ -503,16 +503,20 @@ class Backtesting: def _get_adjust_trade_entry_for_candle(self, trade: LocalTrade, row: Tuple ) -> LocalTrade: - current_profit = trade.calc_profit_ratio(row[OPEN_IDX]) - min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, row[OPEN_IDX], -0.1) - max_stake = self.exchange.get_max_pair_stake_amount(trade.pair, row[OPEN_IDX]) + current_rate = row[OPEN_IDX] + current_date = row[DATE_IDX].to_pydatetime() + current_profit = trade.calc_profit_ratio(current_rate) + min_stake = self.exchange.get_min_pair_stake_amount(trade.pair, current_rate, -0.1) + max_stake = self.exchange.get_max_pair_stake_amount(trade.pair, current_rate) stake_available = self.wallets.get_available_stake_amount() stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position, default_retval=None)( trade=trade, # type: ignore[arg-type] - current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX], + current_time=current_date, current_rate=current_rate, current_profit=current_profit, min_stake=min_stake, - max_stake=min(max_stake, stake_available)) + max_stake=min(max_stake, stake_available), + current_entry_rate=current_rate, current_exit_rate=current_rate, + current_entry_profit=current_profit, current_exit_profit=current_profit) # Check if we should increase our position if stake_amount is not None and stake_amount > 0.0: @@ -523,6 +527,24 @@ class Backtesting: self.wallets.update() return pos_trade + if stake_amount is not None and stake_amount < 0.0: + amount = abs(stake_amount) / current_rate + if amount > trade.amount: + # This is currently ineffective as remaining would become < min tradable + amount = trade.amount + remaining = (trade.amount - amount) * current_rate + if remaining < min_stake: + # Remaining stake is too low to be sold. + return trade + pos_trade = self._exit_trade(trade, row, current_rate, amount) + if pos_trade is not None: + order = pos_trade.orders[-1] + if self._get_order_filled(order.price, row): + order.close_bt_order(current_date, trade) + trade.recalc_trade_from_orders() + self.wallets.update() + return pos_trade + return trade def _get_order_filled(self, rate: float, row: Tuple) -> bool: @@ -602,7 +624,7 @@ class Backtesting: self.strategy.confirm_trade_exit, default_retval=True)( pair=trade.pair, trade=trade, # type: ignore[arg-type] - order_type='limit', + order_type=order_type, amount=trade.amount, rate=close_rate, time_in_force=time_in_force, @@ -613,32 +635,38 @@ class Backtesting: trade.exit_reason = exit_reason - self.order_id_counter += 1 - order = Order( - id=self.order_id_counter, - ft_trade_id=trade.id, - order_date=exit_candle_time, - order_update_date=exit_candle_time, - ft_is_open=True, - ft_pair=trade.pair, - order_id=str(self.order_id_counter), - symbol=trade.pair, - ft_order_side=trade.exit_side, - side=trade.exit_side, - order_type=order_type, - status="open", - price=close_rate, - average=close_rate, - amount=trade.amount, - filled=0, - remaining=trade.amount, - cost=trade.amount * close_rate, - ) - trade.orders.append(order) - return trade - + return self._exit_trade(trade, row, close_rate, trade.amount) return None + def _exit_trade(self, trade: LocalTrade, sell_row: Tuple, + close_rate: float, amount: float = None) -> Optional[LocalTrade]: + self.order_id_counter += 1 + exit_candle_time = sell_row[DATE_IDX].to_pydatetime() + order_type = self.strategy.order_types['exit'] + amount = amount or trade.amount + order = Order( + id=self.order_id_counter, + ft_trade_id=trade.id, + order_date=exit_candle_time, + order_update_date=exit_candle_time, + ft_is_open=True, + ft_pair=trade.pair, + order_id=str(self.order_id_counter), + symbol=trade.pair, + ft_order_side=trade.exit_side, + side=trade.exit_side, + order_type=order_type, + status="open", + price=close_rate, + average=close_rate, + amount=amount, + filled=0, + remaining=amount, + cost=amount * close_rate, + ) + trade.orders.append(order) + return trade + def _get_exit_trade_entry(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]: exit_candle_time: datetime = row[DATE_IDX].to_pydatetime() @@ -865,6 +893,8 @@ class Backtesting: # Ignore trade if entry-order did not fill yet continue exit_row = data[pair][-1] + self._exit_trade(trade, exit_row, exit_row[OPEN_IDX], trade.amount) + trade.orders[-1].close_bt_order(exit_row[DATE_IDX].to_pydatetime(), trade) trade.close_date = exit_row[DATE_IDX].to_pydatetime() trade.exit_reason = ExitType.FORCE_EXIT.value @@ -1006,7 +1036,7 @@ class Backtesting: return None return row - def backtest(self, processed: Dict, + def backtest(self, processed: Dict, # noqa: max-complexity: 13 start_date: datetime, end_date: datetime, max_open_trades: int = 0, position_stacking: bool = False, enable_protections: bool = False) -> Dict[str, Any]: @@ -1108,14 +1138,19 @@ class Backtesting: if order and self._get_order_filled(order.price, row): order.close_bt_order(current_time, trade) trade.open_order_id = None - trade.close_date = current_time - trade.close(order.price, show_msg=False) + sub_trade = order.safe_amount_after_fee != trade.amount + if sub_trade: + order.close_bt_order(current_time, trade) + trade.recalc_trade_from_orders() + else: + trade.close_date = current_time + trade.close(order.price, show_msg=False) - # logger.debug(f"{pair} - Backtesting exit {trade}") - open_trade_count -= 1 - open_trades[pair].remove(trade) - LocalTrade.close_bt_trade(trade) - trades.append(trade) + # logger.debug(f"{pair} - Backtesting exit {trade}") + open_trade_count -= 1 + open_trades[pair].remove(trade) + LocalTrade.close_bt_trade(trade) + trades.append(trade) self.wallets.update() self.run_protections( enable_protections, pair, current_time, trade.trade_direction) diff --git a/freqtrade/persistence/migrations.py b/freqtrade/persistence/migrations.py index 2a8e34cdf..81757a7de 100644 --- a/freqtrade/persistence/migrations.py +++ b/freqtrade/persistence/migrations.py @@ -95,6 +95,7 @@ def migrate_trades_and_orders_table( exit_reason = get_column_def(cols, 'sell_reason', get_column_def(cols, 'exit_reason', 'null')) strategy = get_column_def(cols, 'strategy', 'null') enter_tag = get_column_def(cols, 'buy_tag', get_column_def(cols, 'enter_tag', 'null')) + realized_profit = get_column_def(cols, 'realized_profit', '0.0') trading_mode = get_column_def(cols, 'trading_mode', 'null') @@ -155,7 +156,7 @@ def migrate_trades_and_orders_table( max_rate, min_rate, exit_reason, exit_order_status, strategy, enter_tag, timeframe, open_trade_value, close_profit_abs, trading_mode, leverage, liquidation_price, is_short, - interest_rate, funding_fees + interest_rate, funding_fees, realized_profit ) select id, lower(exchange), pair, {base_currency} base_currency, {stake_currency} stake_currency, @@ -181,7 +182,7 @@ def migrate_trades_and_orders_table( {open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs, {trading_mode} trading_mode, {leverage} leverage, {liquidation_price} liquidation_price, {is_short} is_short, {interest_rate} interest_rate, - {funding_fees} funding_fees + {funding_fees} funding_fees, {realized_profit} realized_profit from {trade_back_name} """)) @@ -297,8 +298,9 @@ def check_migrate(engine, decl_base, previous_tables) -> None: # Check if migration necessary # Migrates both trades and orders table! - if not has_column(cols_orders, 'stop_price'): - # if not has_column(cols_trades, 'base_currency'): + # if ('orders' not in previous_tables + # or not has_column(cols_orders, 'stop_price')): + if not has_column(cols_trades, 'realized_profit'): logger.info(f"Running database migration for trades - " f"backup: {table_back_name}, {order_table_bak_name}") migrate_trades_and_orders_table( diff --git a/freqtrade/persistence/trade_model.py b/freqtrade/persistence/trade_model.py index 44e148a0c..fcb84a59a 100644 --- a/freqtrade/persistence/trade_model.py +++ b/freqtrade/persistence/trade_model.py @@ -4,13 +4,15 @@ This module contains the class to persist trades into SQLite import logging from datetime import datetime, timedelta, timezone from decimal import Decimal +from math import isclose from typing import Any, Dict, List, Optional from sqlalchemy import (Boolean, Column, DateTime, Enum, Float, ForeignKey, Integer, String, UniqueConstraint, desc, func) from sqlalchemy.orm import Query, lazyload, relationship -from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES, BuySell, LongShort +from freqtrade.constants import (DATETIME_PRINT_FORMAT, MATH_CLOSE_PREC, NON_OPEN_EXCHANGE_STATES, + BuySell, LongShort) from freqtrade.enums import ExitType, TradingMode from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.leverage import interest @@ -176,10 +178,9 @@ class Order(_DECL_BASE): self.remaining = 0 self.status = 'closed' self.ft_is_open = False - if (self.ft_order_side == trade.entry_side - and len(trade.select_filled_orders(trade.entry_side)) == 1): + if (self.ft_order_side == trade.entry_side): trade.open_rate = self.price - trade.recalc_open_trade_value() + trade.recalc_trade_from_orders() trade.adjust_stop_loss(trade.open_rate, trade.stop_loss_pct, refresh=True) @staticmethod @@ -237,6 +238,7 @@ class LocalTrade(): trades: List['LocalTrade'] = [] trades_open: List['LocalTrade'] = [] total_profit: float = 0 + realized_profit: float = 0 id: int = 0 @@ -447,6 +449,7 @@ class LocalTrade(): if self.close_date else None), 'close_timestamp': int(self.close_date.replace( tzinfo=timezone.utc).timestamp() * 1000) if self.close_date else None, + 'realized_profit': self.realized_profit or 0.0, 'close_rate': self.close_rate, 'close_rate_requested': self.close_rate_requested, 'close_profit': self.close_profit, # Deprecated @@ -596,14 +599,28 @@ class LocalTrade(): if self.is_open: payment = "SELL" if self.is_short else "BUY" logger.info(f'{order.order_type.upper()}_{payment} has been fulfilled for {self}.') - self.open_order_id = None + # condition to avoid reset value when updating fees + if self.open_order_id == order.order_id: + self.open_order_id = None + else: + logger.warning( + f'Got different open_order_id {self.open_order_id} != {order.order_id}') self.recalc_trade_from_orders() elif order.ft_order_side == self.exit_side: if self.is_open: payment = "BUY" if self.is_short else "SELL" # * On margin shorts, you buy a little bit more than the amount (amount + interest) logger.info(f'{order.order_type.upper()}_{payment} has been fulfilled for {self}.') - self.close(order.safe_price) + # condition to avoid reset value when updating fees + if self.open_order_id == order.order_id: + self.open_order_id = None + else: + logger.warning( + f'Got different open_order_id {self.open_order_id} != {order.order_id}') + if isclose(order.safe_amount_after_fee, self.amount, abs_tol=MATH_CLOSE_PREC): + self.close(order.safe_price) + else: + self.recalc_trade_from_orders() elif order.ft_order_side == 'stoploss': self.stoploss_order_id = None self.close_rate_requested = self.stop_loss @@ -622,11 +639,11 @@ class LocalTrade(): """ self.close_rate = rate self.close_date = self.close_date or datetime.utcnow() - self.close_profit = self.calc_profit_ratio(rate) - self.close_profit_abs = self.calc_profit(rate) + self.close_profit_abs = self.calc_profit(rate) + self.realized_profit self.is_open = False self.exit_order_status = 'closed' self.open_order_id = None + self.recalc_trade_from_orders(is_closing=True) if show_msg: logger.info( 'Marking %s as closed as the trade is fulfilled and found no open orders for it.', @@ -672,12 +689,12 @@ class LocalTrade(): """ return len([o for o in self.orders if o.ft_order_side == self.exit_side]) - def _calc_open_trade_value(self) -> float: + def _calc_open_trade_value(self, amount: float, open_rate: float) -> float: """ Calculate the open_rate including open_fee. :return: Price in of the open trade incl. Fees """ - open_trade = Decimal(self.amount) * Decimal(self.open_rate) + open_trade = Decimal(amount) * Decimal(open_rate) fees = open_trade * Decimal(self.fee_open) if self.is_short: return float(open_trade - fees) @@ -689,7 +706,7 @@ class LocalTrade(): Recalculate open_trade_value. Must be called whenever open_rate, fee_open is changed. """ - self.open_trade_value = self._calc_open_trade_value() + self.open_trade_value = self._calc_open_trade_value(self.amount, self.open_rate) def calculate_interest(self) -> Decimal: """ @@ -721,7 +738,7 @@ class LocalTrade(): else: return close_trade - fees - def calc_close_trade_value(self, rate: float) -> float: + def calc_close_trade_value(self, rate: float, amount: float = None) -> float: """ Calculate the Trade's close value including fees :param rate: rate to compare with. @@ -730,96 +747,143 @@ class LocalTrade(): if rate is None and not self.close_rate: return 0.0 - amount = Decimal(self.amount) + amount1 = Decimal(amount or self.amount) trading_mode = self.trading_mode or TradingMode.SPOT if trading_mode == TradingMode.SPOT: - return float(self._calc_base_close(amount, rate, self.fee_close)) + return float(self._calc_base_close(amount1, rate, self.fee_close)) elif (trading_mode == TradingMode.MARGIN): total_interest = self.calculate_interest() if self.is_short: - amount = amount + total_interest - return float(self._calc_base_close(amount, rate, self.fee_close)) + amount1 = amount1 + total_interest + return float(self._calc_base_close(amount1, rate, self.fee_close)) else: # Currency already owned for longs, no need to purchase - return float(self._calc_base_close(amount, rate, self.fee_close) - total_interest) + return float(self._calc_base_close(amount1, rate, self.fee_close) - total_interest) elif (trading_mode == TradingMode.FUTURES): funding_fees = self.funding_fees or 0.0 # Positive funding_fees -> Trade has gained from fees. # Negative funding_fees -> Trade had to pay the fees. if self.is_short: - return float(self._calc_base_close(amount, rate, self.fee_close)) - funding_fees + return float(self._calc_base_close(amount1, rate, self.fee_close)) - funding_fees else: - return float(self._calc_base_close(amount, rate, self.fee_close)) + funding_fees + return float(self._calc_base_close(amount1, rate, self.fee_close)) + funding_fees else: raise OperationalException( f"{self.trading_mode.value} trading is not yet available using freqtrade") - def calc_profit(self, rate: float) -> float: + def calc_profit(self, rate: float, amount: float = None, open_rate: float = None) -> float: """ Calculate the absolute profit in stake currency between Close and Open trade :param rate: close rate to compare with. + :param amount: Amount to use for the calculation. Falls back to trade.amount if not set. + :param open_rate: open_rate to use. Defaults to self.open_rate if not provided. :return: profit in stake currency as float """ - close_trade_value = self.calc_close_trade_value(rate) + close_trade_value = self.calc_close_trade_value(rate, amount) + if amount is None or open_rate is None: + open_trade_value = self.open_trade_value + else: + open_trade_value = self._calc_open_trade_value(amount, open_rate) if self.is_short: - profit = self.open_trade_value - close_trade_value + profit = open_trade_value - close_trade_value else: - profit = close_trade_value - self.open_trade_value + profit = close_trade_value - open_trade_value return float(f"{profit:.8f}") - def calc_profit_ratio(self, rate: float) -> float: + def calc_profit_ratio( + self, rate: float, amount: float = None, open_rate: float = None) -> float: """ Calculates the profit as ratio (including fee). :param rate: rate to compare with. + :param amount: Amount to use for the calculation. Falls back to trade.amount if not set. + :param open_rate: open_rate to use. Defaults to self.open_rate if not provided. :return: profit ratio as float """ - close_trade_value = self.calc_close_trade_value(rate) + close_trade_value = self.calc_close_trade_value(rate, amount) + + if amount is None or open_rate is None: + open_trade_value = self.open_trade_value + else: + open_trade_value = self._calc_open_trade_value(amount, open_rate) short_close_zero = (self.is_short and close_trade_value == 0.0) - long_close_zero = (not self.is_short and self.open_trade_value == 0.0) + long_close_zero = (not self.is_short and open_trade_value == 0.0) leverage = self.leverage or 1.0 if (short_close_zero or long_close_zero): return 0.0 else: if self.is_short: - profit_ratio = (1 - (close_trade_value / self.open_trade_value)) * leverage + profit_ratio = (1 - (close_trade_value / open_trade_value)) * leverage else: - profit_ratio = ((close_trade_value / self.open_trade_value) - 1) * leverage + profit_ratio = ((close_trade_value / open_trade_value) - 1) * leverage return float(f"{profit_ratio:.8f}") - def recalc_trade_from_orders(self): + def recalc_trade_from_orders(self, is_closing: bool = False): + + current_amount = 0.0 + current_stake = 0.0 + total_stake = 0.0 # Total stake after all buy orders (does not subtract!) + avg_price = 0.0 + close_profit = 0.0 + close_profit_abs = 0.0 - total_amount = 0.0 - total_stake = 0.0 for o in self.orders: - if (o.ft_is_open or - (o.ft_order_side != self.entry_side) or - (o.status not in NON_OPEN_EXCHANGE_STATES)): + if o.ft_is_open or not o.filled: continue tmp_amount = o.safe_amount_after_fee - tmp_price = o.average or o.price - if tmp_amount > 0.0 and tmp_price is not None: - total_amount += tmp_amount - total_stake += tmp_price * tmp_amount + tmp_price = o.safe_price - if total_amount > 0: + is_exit = o.ft_order_side != self.entry_side + side = -1 if is_exit else 1 + if tmp_amount > 0.0 and tmp_price is not None: + current_amount += tmp_amount * side + price = avg_price if is_exit else tmp_price + current_stake += price * tmp_amount * side + + if current_amount > 0: + avg_price = current_stake / current_amount + + if is_exit: + # Process partial exits + exit_rate = o.safe_price + exit_amount = o.safe_amount_after_fee + profit = self.calc_profit(rate=exit_rate, amount=exit_amount, open_rate=avg_price) + close_profit_abs += profit + close_profit = self.calc_profit_ratio( + exit_rate, amount=exit_amount, open_rate=avg_price) + if current_amount <= 0: + profit = close_profit_abs + else: + total_stake = total_stake + self._calc_open_trade_value(tmp_amount, price) + + if close_profit: + self.close_profit = close_profit + self.realized_profit = close_profit_abs + self.close_profit_abs = profit + + if current_amount > 0: + # Trade is still open # Leverage not updated, as we don't allow changing leverage through DCA at the moment. - self.open_rate = total_stake / total_amount - self.stake_amount = total_stake / (self.leverage or 1.0) - self.amount = total_amount - self.fee_open_cost = self.fee_open * total_stake + self.open_rate = current_stake / current_amount + self.stake_amount = current_stake / (self.leverage or 1.0) + self.amount = current_amount + self.fee_open_cost = self.fee_open * current_stake self.recalc_open_trade_value() if self.stop_loss_pct is not None and self.open_rate is not None: self.adjust_stop_loss(self.open_rate, self.stop_loss_pct) + elif is_closing and total_stake > 0: + # Close profit abs / maximum owned + # Fees are considered as they are part of close_profit_abs + self.close_profit = (close_profit_abs / total_stake) * self.leverage def select_order_by_order_id(self, order_id: str) -> Optional[Order]: """ @@ -841,7 +905,7 @@ class LocalTrade(): """ orders = self.orders if order_side: - orders = [o for o in self.orders if o.ft_order_side == order_side] + orders = [o for o in orders if o.ft_order_side == order_side] if is_open is not None: orders = [o for o in orders if o.ft_is_open == is_open] if len(orders) > 0: @@ -856,9 +920,9 @@ class LocalTrade(): :return: array of Order objects """ return [o for o in self.orders if ((o.ft_order_side == order_side) or (order_side is None)) - and o.ft_is_open is False and - (o.filled or 0) > 0 and - o.status in NON_OPEN_EXCHANGE_STATES] + and o.ft_is_open is False + and o.filled + and o.status in NON_OPEN_EXCHANGE_STATES] def select_filled_or_open_orders(self) -> List['Order']: """ @@ -1023,6 +1087,7 @@ class Trade(_DECL_BASE, LocalTrade): open_trade_value = Column(Float) close_rate: Optional[float] = Column(Float) close_rate_requested = Column(Float) + realized_profit = Column(Float, default=0.0) close_profit = Column(Float) close_profit_abs = Column(Float) stake_amount = Column(Float, nullable=False) @@ -1068,6 +1133,7 @@ class Trade(_DECL_BASE, LocalTrade): def __init__(self, **kwargs): super().__init__(**kwargs) + self.realized_profit = 0 self.recalc_open_trade_value() def delete(self) -> None: diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py index e6948c9e2..9d6696803 100644 --- a/freqtrade/rpc/rpc.py +++ b/freqtrade/rpc/rpc.py @@ -201,7 +201,7 @@ class RPC: trade_dict = trade.to_json() trade_dict.update(dict( - close_profit=trade.close_profit if trade.close_profit is not None else None, + close_profit=trade.close_profit if not trade.is_open else None, current_rate=current_rate, current_profit=current_profit, # Deprecated current_profit_pct=round(current_profit * 100, 2), # Deprecated diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index 121324d90..66192fb16 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -274,7 +274,7 @@ class Telegram(RPCHandler): f"{emoji} *{self._exchange_from_msg(msg)}:*" f" {entry_side['entered'] if is_fill else entry_side['enter']} {msg['pair']}" f" (#{msg['trade_id']})\n" - ) + ) message += self._add_analyzed_candle(msg['pair']) message += f"*Enter Tag:* `{msg['enter_tag']}`\n" if msg.get('enter_tag') else "" message += f"*Amount:* `{msg['amount']:.8f}`\n" @@ -315,20 +315,36 @@ class Telegram(RPCHandler): msg['profit_fiat'] = self._rpc._fiat_converter.convert_amount( msg['profit_amount'], msg['stake_currency'], msg['fiat_currency']) msg['profit_extra'] = ( - f" ({msg['gain']}: {msg['profit_amount']:.8f} {msg['stake_currency']}" - f" / {msg['profit_fiat']:.3f} {msg['fiat_currency']})") + f" / {msg['profit_fiat']:.3f} {msg['fiat_currency']}") else: msg['profit_extra'] = '' + msg['profit_extra'] = ( + f" ({msg['gain']}: {msg['profit_amount']:.8f} {msg['stake_currency']}" + f"{msg['profit_extra']})") is_fill = msg['type'] == RPCMessageType.EXIT_FILL + is_sub_trade = msg.get('sub_trade') + is_sub_profit = msg['profit_amount'] != msg.get('cumulative_profit') + profit_prefix = ('Sub ' if is_sub_profit + else 'Cumulative ') if is_sub_trade else '' + cp_extra = '' + if is_sub_profit and is_sub_trade: + if self._rpc._fiat_converter: + cp_fiat = self._rpc._fiat_converter.convert_amount( + msg['cumulative_profit'], msg['stake_currency'], msg['fiat_currency']) + cp_extra = f" / {cp_fiat:.3f} {msg['fiat_currency']}" + else: + cp_extra = '' + cp_extra = f"*Cumulative Profit:* (`{msg['cumulative_profit']:.8f} " \ + f"{msg['stake_currency']}{cp_extra}`)\n" message = ( f"{msg['emoji']} *{self._exchange_from_msg(msg)}:* " f"{'Exited' if is_fill else 'Exiting'} {msg['pair']} (#{msg['trade_id']})\n" f"{self._add_analyzed_candle(msg['pair'])}" - f"*{'Profit' if is_fill else 'Unrealized Profit'}:* " + f"*{f'{profit_prefix}Profit' if is_fill else f'Unrealized {profit_prefix}Profit'}:* " f"`{msg['profit_ratio']:.2%}{msg['profit_extra']}`\n" + f"{cp_extra}" f"*Enter Tag:* `{msg['enter_tag']}`\n" f"*Exit Reason:* `{msg['exit_reason']}`\n" - f"*Duration:* `{msg['duration']} ({msg['duration_min']:.1f} min)`\n" f"*Direction:* `{msg['direction']}`\n" f"{msg['leverage_text']}" f"*Amount:* `{msg['amount']:.8f}`\n" @@ -336,11 +352,25 @@ class Telegram(RPCHandler): ) if msg['type'] == RPCMessageType.EXIT: message += (f"*Current Rate:* `{msg['current_rate']:.8f}`\n" - f"*Close Rate:* `{msg['limit']:.8f}`") + f"*Exit Rate:* `{msg['limit']:.8f}`") elif msg['type'] == RPCMessageType.EXIT_FILL: - message += f"*Close Rate:* `{msg['close_rate']:.8f}`" + message += f"*Exit Rate:* `{msg['close_rate']:.8f}`" + if msg.get('sub_trade'): + if self._rpc._fiat_converter: + msg['stake_amount_fiat'] = self._rpc._fiat_converter.convert_amount( + msg['stake_amount'], msg['stake_currency'], msg['fiat_currency']) + else: + msg['stake_amount_fiat'] = 0 + rem = round_coin_value(msg['stake_amount'], msg['stake_currency']) + message += f"\n*Remaining:* `({rem}" + if msg.get('fiat_currency', None): + message += f", {round_coin_value(msg['stake_amount_fiat'], msg['fiat_currency'])}" + + message += ")`" + else: + message += f"\n*Duration:* `{msg['duration']} ({msg['duration_min']:.1f} min)`" return message def compose_message(self, msg: Dict[str, Any], msg_type: RPCMessageType) -> str: @@ -353,7 +383,8 @@ class Telegram(RPCHandler): elif msg_type in (RPCMessageType.ENTRY_CANCEL, RPCMessageType.EXIT_CANCEL): msg['message_side'] = 'enter' if msg_type in [RPCMessageType.ENTRY_CANCEL] else 'exit' message = (f"\N{WARNING SIGN} *{self._exchange_from_msg(msg)}:* " - f"Cancelling {msg['message_side']} Order for {msg['pair']} " + f"Cancelling {'partial ' if msg.get('sub_trade') else ''}" + f"{msg['message_side']} Order for {msg['pair']} " f"(#{msg['trade_id']}). Reason: {msg['reason']}.") elif msg_type == RPCMessageType.PROTECTION_TRIGGER: @@ -424,7 +455,7 @@ class Telegram(RPCHandler): else: return "\N{CROSS MARK}" - def _prepare_entry_details(self, filled_orders: List, quote_currency: str, is_open: bool): + def _prepare_order_details(self, filled_orders: List, quote_currency: str, is_open: bool): """ Prepare details of trade with entry adjustment enabled """ @@ -433,44 +464,51 @@ class Telegram(RPCHandler): first_avg = filled_orders[0]["safe_price"] for x, order in enumerate(filled_orders): - if not order['ft_is_entry'] or order['is_open'] is True: + if order['is_open'] is True: continue + wording = 'Entry' if order['ft_is_entry'] else 'Exit' + cur_entry_datetime = arrow.get(order["order_filled_date"]) - cur_entry_amount = order["amount"] + cur_entry_amount = order["filled"] or order["amount"] cur_entry_average = order["safe_price"] lines.append(" ") if x == 0: - lines.append(f"*Entry #{x+1}:*") + lines.append(f"*{wording} #{x+1}:*") lines.append( - f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})") - lines.append(f"*Average Entry Price:* {cur_entry_average}") + f"*Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})") + lines.append(f"*Average Price:* {cur_entry_average}") else: sumA = 0 sumB = 0 for y in range(x): - sumA += (filled_orders[y]["amount"] * filled_orders[y]["safe_price"]) - sumB += filled_orders[y]["amount"] + amount = filled_orders[y]["filled"] or filled_orders[y]["amount"] + sumA += amount * filled_orders[y]["safe_price"] + sumB += amount prev_avg_price = sumA / sumB + # TODO: This calculation ignores fees. price_to_1st_entry = ((cur_entry_average - first_avg) / first_avg) minus_on_entry = 0 if prev_avg_price: minus_on_entry = (cur_entry_average - prev_avg_price) / prev_avg_price - dur_entry = cur_entry_datetime - arrow.get( - filled_orders[x - 1]["order_filled_date"]) - days = dur_entry.days - hours, remainder = divmod(dur_entry.seconds, 3600) - minutes, seconds = divmod(remainder, 60) - lines.append(f"*Entry #{x+1}:* at {minus_on_entry:.2%} avg profit") + lines.append(f"*{wording} #{x+1}:* at {minus_on_entry:.2%} avg profit") if is_open: lines.append("({})".format(cur_entry_datetime .humanize(granularity=["day", "hour", "minute"]))) lines.append( - f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})") - lines.append(f"*Average Entry Price:* {cur_entry_average} " + f"*Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})") + lines.append(f"*Average {wording} Price:* {cur_entry_average} " f"({price_to_1st_entry:.2%} from 1st entry rate)") - lines.append(f"*Order filled at:* {order['order_filled_date']}") - lines.append(f"({days}d {hours}h {minutes}m {seconds}s from previous entry)") + lines.append(f"*Order filled:* {order['order_filled_date']}") + + # TODO: is this really useful? + # dur_entry = cur_entry_datetime - arrow.get( + # filled_orders[x - 1]["order_filled_date"]) + # days = dur_entry.days + # hours, remainder = divmod(dur_entry.seconds, 3600) + # minutes, seconds = divmod(remainder, 60) + # lines.append( + # f"({days}d {hours}h {minutes}m {seconds}s from previous {wording.lower()})") return lines @authorized_only @@ -486,7 +524,14 @@ class Telegram(RPCHandler): if context.args and 'table' in context.args: self._status_table(update, context) return + else: + self._status_msg(update, context) + def _status_msg(self, update: Update, context: CallbackContext) -> None: + """ + handler for `/status` and `/status `. + + """ try: # Check if there's at least one numerical ID provided. @@ -529,6 +574,8 @@ class Telegram(RPCHandler): ]) if r['is_open']: + if r.get('realized_profit'): + lines.append("*Realized Profit:* `{realized_profit:.8f}`") if (r['stop_loss_abs'] != r['initial_stop_loss_abs'] and r['initial_stop_loss_ratio'] is not None): # Adding initial stoploss only if it is different from stoploss @@ -546,7 +593,7 @@ class Telegram(RPCHandler): else: lines.append("*Open Order:* `{open_order}`") - lines_detail = self._prepare_entry_details( + lines_detail = self._prepare_order_details( r['orders'], r['quote_currency'], r['is_open']) lines.extend(lines_detail if lines_detail else "") diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 824f31258..5e0aba2fe 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -463,10 +463,13 @@ class IStrategy(ABC, HyperStrategyMixin): def adjust_trade_position(self, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, min_stake: Optional[float], max_stake: float, + current_entry_rate: float, current_exit_rate: float, + current_entry_profit: float, current_exit_profit: float, **kwargs) -> Optional[float]: """ - Custom trade adjustment logic, returning the stake amount that a trade should be increased. - This means extra buy orders with additional fees. + Custom trade adjustment logic, returning the stake amount that a trade should be + increased or decreased. + This means extra buy or sell orders with additional fees. Only called when `position_adjustment_enable` is set to True. For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/ @@ -477,10 +480,16 @@ class IStrategy(ABC, HyperStrategyMixin): :param current_time: datetime object, containing the current datetime :param current_rate: Current buy rate. :param current_profit: Current profit (as ratio), calculated based on current_rate. - :param min_stake: Minimal stake size allowed by exchange. - :param max_stake: Balance available for trading. + :param min_stake: Minimal stake size allowed by exchange (for both entries and exits) + :param max_stake: Maximum stake allowed (either through balance, or by exchange limits). + :param current_entry_rate: Current rate using entry pricing. + :param current_exit_rate: Current rate using exit pricing. + :param current_entry_profit: Current profit using entry pricing. + :param current_exit_profit: Current profit using exit pricing. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. - :return float: Stake amount to adjust your trade + :return float: Stake amount to adjust your trade, + Positive values to increase position, Negative values to decrease position. + Return None for no action. """ return None diff --git a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 index 989f1d37a..488ca2fd7 100644 --- a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 +++ b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 @@ -247,12 +247,16 @@ def check_exit_timeout(self, pair: str, trade: 'Trade', order: 'Order', """ return False -def adjust_trade_position(self, trade: 'Trade', current_time: 'datetime', - current_rate: float, current_profit: float, min_stake: Optional[float], - max_stake: float, **kwargs) -> 'Optional[float]': +def adjust_trade_position(self, trade: 'Trade', current_time: datetime, + current_rate: float, current_profit: float, + min_stake: Optional[float], max_stake: float, + current_entry_rate: float, current_exit_rate: float, + current_entry_profit: float, current_exit_profit: float, + **kwargs) -> Optional[float]: """ - Custom trade adjustment logic, returning the stake amount that a trade should be increased. - This means extra buy orders with additional fees. + Custom trade adjustment logic, returning the stake amount that a trade should be + increased or decreased. + This means extra buy or sell orders with additional fees. Only called when `position_adjustment_enable` is set to True. For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/ @@ -263,10 +267,16 @@ def adjust_trade_position(self, trade: 'Trade', current_time: 'datetime', :param current_time: datetime object, containing the current datetime :param current_rate: Current buy rate. :param current_profit: Current profit (as ratio), calculated based on current_rate. - :param min_stake: Minimal stake size allowed by exchange. - :param max_stake: Balance available for trading. + :param min_stake: Minimal stake size allowed by exchange (for both entries and exits) + :param max_stake: Maximum stake allowed (either through balance, or by exchange limits). + :param current_entry_rate: Current rate using entry pricing. + :param current_exit_rate: Current rate using exit pricing. + :param current_entry_profit: Current profit using entry pricing. + :param current_exit_profit: Current profit using exit pricing. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. - :return float: Stake amount to adjust your trade + :return float: Stake amount to adjust your trade, + Positive values to increase position, Negative values to decrease position. + Return None for no action. """ return None diff --git a/tests/conftest.py b/tests/conftest.py index ff3e1007f..a02fc4566 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -1627,8 +1627,8 @@ def limit_buy_order_open(): 'timestamp': arrow.utcnow().int_timestamp * 1000, 'datetime': arrow.utcnow().isoformat(), 'price': 0.00001099, + 'average': 0.00001099, 'amount': 90.99181073, - 'average': None, 'filled': 0.0, 'cost': 0.0009999, 'remaining': 90.99181073, @@ -2817,6 +2817,7 @@ def limit_buy_order_usdt_open(): 'datetime': arrow.utcnow().isoformat(), 'timestamp': arrow.utcnow().int_timestamp * 1000, 'price': 2.00, + 'average': 2.00, 'amount': 30.0, 'filled': 0.0, 'cost': 60.0, diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index e968b12c2..d73e26683 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -27,6 +27,57 @@ from tests.conftest import get_mock_coro, get_patched_exchange, log_has, log_has # Make sure to always keep one exchange here which is NOT subclassed!! EXCHANGES = ['bittrex', 'binance', 'kraken', 'ftx', 'gateio'] +get_entry_rate_data = [ + ('other', 20, 19, 10, 0.0, 20), # Full ask side + ('ask', 20, 19, 10, 0.0, 20), # Full ask side + ('ask', 20, 19, 10, 1.0, 10), # Full last side + ('ask', 20, 19, 10, 0.5, 15), # Between ask and last + ('ask', 20, 19, 10, 0.7, 13), # Between ask and last + ('ask', 20, 19, 10, 0.3, 17), # Between ask and last + ('ask', 5, 6, 10, 1.0, 5), # last bigger than ask + ('ask', 5, 6, 10, 0.5, 5), # last bigger than ask + ('ask', 20, 19, 10, None, 20), # price_last_balance missing + ('ask', 10, 20, None, 0.5, 10), # last not available - uses ask + ('ask', 4, 5, None, 0.5, 4), # last not available - uses ask + ('ask', 4, 5, None, 1, 4), # last not available - uses ask + ('ask', 4, 5, None, 0, 4), # last not available - uses ask + ('same', 21, 20, 10, 0.0, 20), # Full bid side + ('bid', 21, 20, 10, 0.0, 20), # Full bid side + ('bid', 21, 20, 10, 1.0, 10), # Full last side + ('bid', 21, 20, 10, 0.5, 15), # Between bid and last + ('bid', 21, 20, 10, 0.7, 13), # Between bid and last + ('bid', 21, 20, 10, 0.3, 17), # Between bid and last + ('bid', 6, 5, 10, 1.0, 5), # last bigger than bid + ('bid', 21, 20, 10, None, 20), # price_last_balance missing + ('bid', 6, 5, 10, 0.5, 5), # last bigger than bid + ('bid', 21, 20, None, 0.5, 20), # last not available - uses bid + ('bid', 6, 5, None, 0.5, 5), # last not available - uses bid + ('bid', 6, 5, None, 1, 5), # last not available - uses bid + ('bid', 6, 5, None, 0, 5), # last not available - uses bid +] + +get_sell_rate_data = [ + ('bid', 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side + ('bid', 12.0, 11.0, 11.5, 1.0, 11.5), # full last side + ('bid', 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat + ('bid', 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid + ('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid + ('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid + ('bid', 0.003, 0.002, 0.005, 0.0, 0.002), + ('bid', 0.003, 0.002, 0.005, None, 0.002), + ('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side + ('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side + ('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat + ('ask', 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask + ('ask', 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask + ('ask', 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask + ('ask', 10.0, 11.0, 11.0, 0.0, 10.0), + ('ask', 10.11, 11.2, 11.0, 0.0, 10.11), + ('ask', 0.001, 0.002, 11.0, 0.0, 0.001), + ('ask', 0.006, 1.0, 11.0, 0.0, 0.006), + ('ask', 0.006, 1.0, 11.0, None, 0.006), +] + def ccxt_exceptionhandlers(mocker, default_conf, api_mock, exchange_name, fun, mock_ccxt_fun, retries=API_RETRY_COUNT + 1, **kwargs): @@ -2360,34 +2411,7 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name): exchange.fetch_l2_order_book(pair='ETH/BTC', limit=50) -@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", [ - ('other', 20, 19, 10, 0.0, 20), # Full ask side - ('ask', 20, 19, 10, 0.0, 20), # Full ask side - ('ask', 20, 19, 10, 1.0, 10), # Full last side - ('ask', 20, 19, 10, 0.5, 15), # Between ask and last - ('ask', 20, 19, 10, 0.7, 13), # Between ask and last - ('ask', 20, 19, 10, 0.3, 17), # Between ask and last - ('ask', 5, 6, 10, 1.0, 5), # last bigger than ask - ('ask', 5, 6, 10, 0.5, 5), # last bigger than ask - ('ask', 20, 19, 10, None, 20), # price_last_balance missing - ('ask', 10, 20, None, 0.5, 10), # last not available - uses ask - ('ask', 4, 5, None, 0.5, 4), # last not available - uses ask - ('ask', 4, 5, None, 1, 4), # last not available - uses ask - ('ask', 4, 5, None, 0, 4), # last not available - uses ask - ('same', 21, 20, 10, 0.0, 20), # Full bid side - ('bid', 21, 20, 10, 0.0, 20), # Full bid side - ('bid', 21, 20, 10, 1.0, 10), # Full last side - ('bid', 21, 20, 10, 0.5, 15), # Between bid and last - ('bid', 21, 20, 10, 0.7, 13), # Between bid and last - ('bid', 21, 20, 10, 0.3, 17), # Between bid and last - ('bid', 6, 5, 10, 1.0, 5), # last bigger than bid - ('bid', 21, 20, 10, None, 20), # price_last_balance missing - ('bid', 6, 5, 10, 0.5, 5), # last bigger than bid - ('bid', 21, 20, None, 0.5, 20), # last not available - uses bid - ('bid', 6, 5, None, 0.5, 5), # last not available - uses bid - ('bid', 6, 5, None, 1, 5), # last not available - uses bid - ('bid', 6, 5, None, 0, 5), # last not available - uses bid -]) +@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data) def test_get_entry_rate(mocker, default_conf, caplog, side, ask, bid, last, last_ab, expected) -> None: caplog.set_level(logging.DEBUG) @@ -2411,27 +2435,7 @@ def test_get_entry_rate(mocker, default_conf, caplog, side, ask, bid, assert not log_has("Using cached entry rate for ETH/BTC.", caplog) -@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', [ - ('bid', 12.0, 11.0, 11.5, 0.0, 11.0), # full bid side - ('bid', 12.0, 11.0, 11.5, 1.0, 11.5), # full last side - ('bid', 12.0, 11.0, 11.5, 0.5, 11.25), # between bid and lat - ('bid', 12.0, 11.2, 10.5, 0.0, 11.2), # Last smaller than bid - ('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid - ('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid - ('bid', 0.003, 0.002, 0.005, 0.0, 0.002), - ('bid', 0.003, 0.002, 0.005, None, 0.002), - ('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side - ('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side - ('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat - ('ask', 12.2, 11.2, 10.5, 0.0, 12.2), # Last smaller than ask - ('ask', 12.0, 11.0, 10.5, 1.0, 12.0), # Last smaller than ask - uses ask - ('ask', 12.0, 11.2, 10.5, 0.5, 12.0), # Last smaller than ask - uses ask - ('ask', 10.0, 11.0, 11.0, 0.0, 10.0), - ('ask', 10.11, 11.2, 11.0, 0.0, 10.11), - ('ask', 0.001, 0.002, 11.0, 0.0, 0.001), - ('ask', 0.006, 1.0, 11.0, 0.0, 0.006), - ('ask', 0.006, 1.0, 11.0, None, 0.006), -]) +@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', get_sell_rate_data) def test_get_exit_rate(default_conf, mocker, caplog, side, bid, ask, last, last_ab, expected) -> None: caplog.set_level(logging.DEBUG) @@ -2481,14 +2485,14 @@ def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, is_sho @pytest.mark.parametrize('is_short,side,expected', [ - (False, 'bid', 0.043936), # Value from order_book_l2 fitxure - bids side - (False, 'ask', 0.043949), # Value from order_book_l2 fitxure - asks side - (False, 'other', 0.043936), # Value from order_book_l2 fitxure - bids side - (False, 'same', 0.043949), # Value from order_book_l2 fitxure - asks side - (True, 'bid', 0.043936), # Value from order_book_l2 fitxure - bids side - (True, 'ask', 0.043949), # Value from order_book_l2 fitxure - asks side - (True, 'other', 0.043949), # Value from order_book_l2 fitxure - asks side - (True, 'same', 0.043936), # Value from order_book_l2 fitxure - bids side + (False, 'bid', 0.043936), # Value from order_book_l2 fixture - bids side + (False, 'ask', 0.043949), # Value from order_book_l2 fixture - asks side + (False, 'other', 0.043936), # Value from order_book_l2 fixture - bids side + (False, 'same', 0.043949), # Value from order_book_l2 fixture - asks side + (True, 'bid', 0.043936), # Value from order_book_l2 fixture - bids side + (True, 'ask', 0.043949), # Value from order_book_l2 fixture - asks side + (True, 'other', 0.043949), # Value from order_book_l2 fixture - asks side + (True, 'same', 0.043936), # Value from order_book_l2 fixture - bids side ]) def test_get_exit_rate_orderbook( default_conf, mocker, caplog, is_short, side, expected, order_book_l2): @@ -2521,7 +2525,8 @@ def test_get_exit_rate_orderbook_exception(default_conf, mocker, caplog): exchange = get_patched_exchange(mocker, default_conf) with pytest.raises(PricingError): exchange.get_rate(pair, refresh=True, side="exit", is_short=False) - assert log_has_re(r"Exit Price at location 1 from orderbook could not be determined\..*", + assert log_has_re(rf"{pair} - Exit Price at location 1 from orderbook " + rf"could not be determined\..*", caplog) @@ -2548,6 +2553,84 @@ def test_get_exit_rate_exception(default_conf, mocker, is_short): assert exchange.get_rate(pair, refresh=True, side="exit", is_short=is_short) == 0.13 +@pytest.mark.parametrize("side,ask,bid,last,last_ab,expected", get_entry_rate_data) +@pytest.mark.parametrize("side2", ['bid', 'ask']) +@pytest.mark.parametrize("use_order_book", [True, False]) +def test_get_rates_testing_buy(mocker, default_conf, caplog, side, ask, bid, + last, last_ab, expected, + side2, use_order_book, order_book_l2) -> None: + caplog.set_level(logging.DEBUG) + if last_ab is None: + del default_conf['entry_pricing']['price_last_balance'] + else: + default_conf['entry_pricing']['price_last_balance'] = last_ab + default_conf['entry_pricing']['price_side'] = side + default_conf['exit_pricing']['price_side'] = side2 + default_conf['exit_pricing']['use_order_book'] = use_order_book + api_mock = MagicMock() + api_mock.fetch_l2_order_book = order_book_l2 + api_mock.fetch_ticker = MagicMock( + return_value={'ask': ask, 'last': last, 'bid': bid}) + exchange = get_patched_exchange(mocker, default_conf, api_mock) + + assert exchange.get_rates('ETH/BTC', refresh=True, is_short=False)[0] == expected + assert not log_has("Using cached buy rate for ETH/BTC.", caplog) + + api_mock.fetch_l2_order_book.reset_mock() + api_mock.fetch_ticker.reset_mock() + assert exchange.get_rates('ETH/BTC', refresh=False, is_short=False)[0] == expected + assert log_has("Using cached buy rate for ETH/BTC.", caplog) + assert api_mock.fetch_l2_order_book.call_count == 0 + assert api_mock.fetch_ticker.call_count == 0 + # Running a 2nd time with Refresh on! + caplog.clear() + + assert exchange.get_rates('ETH/BTC', refresh=True, is_short=False)[0] == expected + assert not log_has("Using cached buy rate for ETH/BTC.", caplog) + + assert api_mock.fetch_l2_order_book.call_count == int(use_order_book) + assert api_mock.fetch_ticker.call_count == 1 + + +@pytest.mark.parametrize('side,ask,bid,last,last_ab,expected', get_sell_rate_data) +@pytest.mark.parametrize("side2", ['bid', 'ask']) +@pytest.mark.parametrize("use_order_book", [True, False]) +def test_get_rates_testing_sell(default_conf, mocker, caplog, side, bid, ask, + last, last_ab, expected, + side2, use_order_book, order_book_l2) -> None: + caplog.set_level(logging.DEBUG) + + default_conf['exit_pricing']['price_side'] = side + if last_ab is not None: + default_conf['exit_pricing']['price_last_balance'] = last_ab + + default_conf['entry_pricing']['price_side'] = side2 + default_conf['entry_pricing']['use_order_book'] = use_order_book + api_mock = MagicMock() + api_mock.fetch_l2_order_book = order_book_l2 + api_mock.fetch_ticker = MagicMock( + return_value={'ask': ask, 'last': last, 'bid': bid}) + exchange = get_patched_exchange(mocker, default_conf, api_mock) + + pair = "ETH/BTC" + + # Test regular mode + rate = exchange.get_rates(pair, refresh=True, is_short=False)[1] + assert not log_has("Using cached sell rate for ETH/BTC.", caplog) + assert isinstance(rate, float) + assert rate == expected + # Use caching + api_mock.fetch_l2_order_book.reset_mock() + api_mock.fetch_ticker.reset_mock() + + rate = exchange.get_rates(pair, refresh=False, is_short=False)[1] + assert rate == expected + assert log_has("Using cached sell rate for ETH/BTC.", caplog) + + assert api_mock.fetch_l2_order_book.call_count == 0 + assert api_mock.fetch_ticker.call_count == 0 + + @pytest.mark.parametrize("exchange_name", EXCHANGES) @pytest.mark.asyncio async def test___async_get_candle_history_sort(default_conf, mocker, exchange_name): diff --git a/tests/optimize/test_backtesting_adjust_position.py b/tests/optimize/test_backtesting_adjust_position.py index fca9c01b2..2bb7de574 100644 --- a/tests/optimize/test_backtesting_adjust_position.py +++ b/tests/optimize/test_backtesting_adjust_position.py @@ -1,8 +1,10 @@ # pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument from copy import deepcopy +from unittest.mock import MagicMock import pandas as pd +import pytest from arrow import Arrow from freqtrade.configuration import TimeRange @@ -87,3 +89,87 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) -> assert (round(ln.iloc[0]["open"], 6) == round(t["close_rate"], 6) or round(ln.iloc[0]["low"], 6) < round( t["close_rate"], 6) < round(ln.iloc[0]["high"], 6)) + + +def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> None: + default_conf['use_exit_signal'] = False + mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) + mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=10) + mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf')) + patch_exchange(mocker) + default_conf.update({ + "stake_amount": 100.0, + "dry_run_wallet": 1000.0, + "strategy": "StrategyTestV3" + }) + backtesting = Backtesting(default_conf) + backtesting._set_strategy(backtesting.strategylist[0]) + pair = 'XRP/USDT' + row = [ + pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0), + 2.1, # Open + 2.2, # High + 1.9, # Low + 2.1, # Close + 1, # enter_long + 0, # exit_long + 0, # enter_short + 0, # exit_short + '', # enter_tag + '', # exit_tag + ] + trade = backtesting._enter_trade(pair, row=row, direction='long') + trade.orders[0].close_bt_order(row[0], trade) + assert trade + assert pytest.approx(trade.stake_amount) == 100.0 + assert pytest.approx(trade.amount) == 47.61904762 + assert len(trade.orders) == 1 + backtesting.strategy.adjust_trade_position = MagicMock(return_value=None) + + trade = backtesting._get_adjust_trade_entry_for_candle(trade, row) + assert trade + assert pytest.approx(trade.stake_amount) == 100.0 + assert pytest.approx(trade.amount) == 47.61904762 + assert len(trade.orders) == 1 + # Increase position by 100 + backtesting.strategy.adjust_trade_position = MagicMock(return_value=100) + + trade = backtesting._get_adjust_trade_entry_for_candle(trade, row) + + assert trade + assert pytest.approx(trade.stake_amount) == 200.0 + assert pytest.approx(trade.amount) == 95.23809524 + assert len(trade.orders) == 2 + + # Reduce by more than amount - no change to trade. + backtesting.strategy.adjust_trade_position = MagicMock(return_value=-500) + + trade = backtesting._get_adjust_trade_entry_for_candle(trade, row) + + assert trade + assert pytest.approx(trade.stake_amount) == 200.0 + assert pytest.approx(trade.amount) == 95.23809524 + assert len(trade.orders) == 2 + assert trade.nr_of_successful_entries == 2 + + # Reduce position by 50 + backtesting.strategy.adjust_trade_position = MagicMock(return_value=-100) + trade = backtesting._get_adjust_trade_entry_for_candle(trade, row) + + assert trade + assert pytest.approx(trade.stake_amount) == 100.0 + assert pytest.approx(trade.amount) == 47.61904762 + assert len(trade.orders) == 3 + assert trade.nr_of_successful_entries == 2 + assert trade.nr_of_successful_exits == 1 + + # Adjust below minimum + backtesting.strategy.adjust_trade_position = MagicMock(return_value=-99) + trade = backtesting._get_adjust_trade_entry_for_candle(trade, row) + + assert trade + assert pytest.approx(trade.stake_amount) == 100.0 + assert pytest.approx(trade.amount) == 47.61904762 + assert len(trade.orders) == 3 + assert trade.nr_of_successful_entries == 2 + assert trade.nr_of_successful_exits == 1 diff --git a/tests/rpc/test_rpc.py b/tests/rpc/test_rpc.py index 6e19fcaf3..02c62e337 100644 --- a/tests/rpc/test_rpc.py +++ b/tests/rpc/test_rpc.py @@ -111,6 +111,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None: 'stoploss_entry_dist': -0.00010475, 'stoploss_entry_dist_ratio': -0.10448878, 'open_order': None, + 'realized_profit': 0.0, 'exchange': 'binance', 'leverage': 1.0, 'interest_rate': 0.0, @@ -196,6 +197,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None: 'stoploss_entry_dist_ratio': -0.10448878, 'open_order': None, 'exchange': 'binance', + 'realized_profit': 0.0, 'leverage': 1.0, 'interest_rate': 0.0, 'liquidation_price': None, @@ -841,7 +843,8 @@ def test_rpc_force_exit(default_conf, ticker, fee, mocker) -> None: 'side': 'sell', 'amount': amount, 'remaining': amount, - 'filled': 0.0 + 'filled': 0.0, + 'id': trade.orders[0].order_id, } ) msg = rpc._rpc_force_exit('3') diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index 8d244f3fd..98c06c8e9 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -272,7 +272,7 @@ def test_telegram_status_multi_entry(default_conf, update, mocker, fee) -> None: msg = msg_mock.call_args_list[0][0][0] assert re.search(r'Number of Entries.*2', msg) assert re.search(r'Average Entry Price', msg) - assert re.search(r'Order filled at', msg) + assert re.search(r'Order filled', msg) assert re.search(r'Close Date:', msg) is None assert re.search(r'Close Profit:', msg) is None @@ -959,6 +959,9 @@ def test_telegram_forceexit_handle(default_conf, update, ticker, fee, 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'stake_amount': 0.0009999999999054, + 'sub_trade': False, + 'cumulative_profit': 0.0, } == last_msg @@ -1028,6 +1031,9 @@ def test_telegram_force_exit_down_handle(default_conf, update, ticker, fee, 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'stake_amount': 0.0009999999999054, + 'sub_trade': False, + 'cumulative_profit': 0.0, } == last_msg @@ -1087,6 +1093,9 @@ def test_forceexit_all_handle(default_conf, update, ticker, fee, mocker) -> None 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'stake_amount': 0.0009999999999054, + 'sub_trade': False, + 'cumulative_profit': 0.0, } == msg @@ -1437,7 +1446,7 @@ def test_whitelist_static(default_conf, update, mocker) -> None: def test_whitelist_dynamic(default_conf, update, mocker) -> None: mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) default_conf['pairlists'] = [{'method': 'VolumePairList', - 'number_assets': 4 + 'number_assets': 4 }] telegram, _, msg_mock = get_telegram_testobject(mocker, default_conf) @@ -1789,7 +1798,6 @@ def test_send_msg_entry_fill_notification(default_conf, mocker, message_type, en 'leverage': leverage, 'stake_amount': 0.01465333, 'direction': entered, - # 'stake_amount_fiat': 0.0, 'stake_currency': 'BTC', 'fiat_currency': 'USD', 'open_rate': 1.099e-05, @@ -1806,6 +1814,33 @@ def test_send_msg_entry_fill_notification(default_conf, mocker, message_type, en '*Total:* `(0.01465333 BTC, 180.895 USD)`' ) + msg_mock.reset_mock() + telegram.send_msg({ + 'type': message_type, + 'trade_id': 1, + 'enter_tag': enter_signal, + 'exchange': 'Binance', + 'pair': 'ETH/BTC', + 'leverage': leverage, + 'stake_amount': 0.01465333, + 'sub_trade': True, + 'direction': entered, + 'stake_currency': 'BTC', + 'fiat_currency': 'USD', + 'open_rate': 1.099e-05, + 'amount': 1333.3333333333335, + 'open_date': arrow.utcnow().shift(hours=-1) + }) + + assert msg_mock.call_args[0][0] == ( + f'\N{CHECK MARK} *Binance (dry):* {entered}ed ETH/BTC (#1)\n' + f'*Enter Tag:* `{enter_signal}`\n' + '*Amount:* `1333.33333333`\n' + f"{leverage_text}" + '*Open Rate:* `0.00001099`\n' + '*Total:* `(0.01465333 BTC, 180.895 USD)`' + ) + def test_send_msg_sell_notification(default_conf, mocker) -> None: @@ -1840,14 +1875,53 @@ def test_send_msg_sell_notification(default_conf, mocker) -> None: '*Unrealized Profit:* `-57.41% (loss: -0.05746268 ETH / -24.812 USD)`\n' '*Enter Tag:* `buy_signal1`\n' '*Exit Reason:* `stop_loss`\n' - '*Duration:* `1:00:00 (60.0 min)`\n' '*Direction:* `Long`\n' '*Amount:* `1333.33333333`\n' '*Open Rate:* `0.00007500`\n' '*Current Rate:* `0.00003201`\n' - '*Close Rate:* `0.00003201`' + '*Exit Rate:* `0.00003201`\n' + '*Duration:* `1:00:00 (60.0 min)`' ) + msg_mock.reset_mock() + telegram.send_msg({ + 'type': RPCMessageType.EXIT, + 'trade_id': 1, + 'exchange': 'Binance', + 'pair': 'KEY/ETH', + 'direction': 'Long', + 'gain': 'loss', + 'limit': 3.201e-05, + 'amount': 1333.3333333333335, + 'order_type': 'market', + 'open_rate': 7.5e-05, + 'current_rate': 3.201e-05, + 'cumulative_profit': -0.15746268, + 'profit_amount': -0.05746268, + 'profit_ratio': -0.57405275, + 'stake_currency': 'ETH', + 'fiat_currency': 'USD', + 'enter_tag': 'buy_signal1', + 'exit_reason': ExitType.STOP_LOSS.value, + 'open_date': arrow.utcnow().shift(days=-1, hours=-2, minutes=-30), + 'close_date': arrow.utcnow(), + 'stake_amount': 0.01, + 'sub_trade': True, + }) + assert msg_mock.call_args[0][0] == ( + '\N{WARNING SIGN} *Binance (dry):* Exiting KEY/ETH (#1)\n' + '*Unrealized Sub Profit:* `-57.41% (loss: -0.05746268 ETH / -24.812 USD)`\n' + '*Cumulative Profit:* (`-0.15746268 ETH / -24.812 USD`)\n' + '*Enter Tag:* `buy_signal1`\n' + '*Exit Reason:* `stop_loss`\n' + '*Direction:* `Long`\n' + '*Amount:* `1333.33333333`\n' + '*Open Rate:* `0.00007500`\n' + '*Current Rate:* `0.00003201`\n' + '*Exit Rate:* `0.00003201`\n' + '*Remaining:* `(0.01 ETH, -24.812 USD)`' + ) + msg_mock.reset_mock() telegram.send_msg({ 'type': RPCMessageType.EXIT, @@ -1871,15 +1945,15 @@ def test_send_msg_sell_notification(default_conf, mocker) -> None: }) assert msg_mock.call_args[0][0] == ( '\N{WARNING SIGN} *Binance (dry):* Exiting KEY/ETH (#1)\n' - '*Unrealized Profit:* `-57.41%`\n' + '*Unrealized Profit:* `-57.41% (loss: -0.05746268 ETH)`\n' '*Enter Tag:* `buy_signal1`\n' '*Exit Reason:* `stop_loss`\n' - '*Duration:* `1 day, 2:30:00 (1590.0 min)`\n' '*Direction:* `Long`\n' '*Amount:* `1333.33333333`\n' '*Open Rate:* `0.00007500`\n' '*Current Rate:* `0.00003201`\n' - '*Close Rate:* `0.00003201`' + '*Exit Rate:* `0.00003201`\n' + '*Duration:* `1 day, 2:30:00 (1590.0 min)`' ) # Reset singleton function to avoid random breaks telegram._rpc._fiat_converter.convert_amount = old_convamount @@ -1954,15 +2028,15 @@ def test_send_msg_sell_fill_notification(default_conf, mocker, direction, leverage_text = f'*Leverage:* `{leverage}`\n' if leverage and leverage != 1.0 else '' assert msg_mock.call_args[0][0] == ( '\N{WARNING SIGN} *Binance (dry):* Exited KEY/ETH (#1)\n' - '*Profit:* `-57.41%`\n' + '*Profit:* `-57.41% (loss: -0.05746268 ETH)`\n' f'*Enter Tag:* `{enter_signal}`\n' '*Exit Reason:* `stop_loss`\n' - '*Duration:* `1 day, 2:30:00 (1590.0 min)`\n' f"*Direction:* `{direction}`\n" f"{leverage_text}" '*Amount:* `1333.33333333`\n' '*Open Rate:* `0.00007500`\n' - '*Close Rate:* `0.00003201`' + '*Exit Rate:* `0.00003201`\n' + '*Duration:* `1 day, 2:30:00 (1590.0 min)`' ) @@ -2090,16 +2164,16 @@ def test_send_msg_sell_notification_no_fiat( leverage_text = f'*Leverage:* `{leverage}`\n' if leverage and leverage != 1.0 else '' assert msg_mock.call_args[0][0] == ( '\N{WARNING SIGN} *Binance (dry):* Exiting KEY/ETH (#1)\n' - '*Unrealized Profit:* `-57.41%`\n' + '*Unrealized Profit:* `-57.41% (loss: -0.05746268 ETH)`\n' f'*Enter Tag:* `{enter_signal}`\n' '*Exit Reason:* `stop_loss`\n' - '*Duration:* `2:35:03 (155.1 min)`\n' f'*Direction:* `{direction}`\n' f'{leverage_text}' '*Amount:* `1333.33333333`\n' '*Open Rate:* `0.00007500`\n' '*Current Rate:* `0.00003201`\n' - '*Close Rate:* `0.00003201`' + '*Exit Rate:* `0.00003201`\n' + '*Duration:* `2:35:03 (155.1 min)`' ) diff --git a/tests/strategy/strats/strategy_test_v3.py b/tests/strategy/strats/strategy_test_v3.py index 2c7ccbdf2..088ab21d4 100644 --- a/tests/strategy/strats/strategy_test_v3.py +++ b/tests/strategy/strats/strategy_test_v3.py @@ -185,9 +185,12 @@ class StrategyTestV3(IStrategy): return 3.0 - def adjust_trade_position(self, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, - min_stake: Optional[float], max_stake: float, **kwargs): + def adjust_trade_position(self, trade: Trade, current_time: datetime, + current_rate: float, current_profit: float, + min_stake: Optional[float], max_stake: float, + current_entry_rate: float, current_exit_rate: float, + current_entry_profit: float, current_exit_profit: float, + **kwargs) -> Optional[float]: if current_profit < -0.0075: orders = trade.select_filled_orders(trade.entry_side) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 438a2704c..0b073a062 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -843,8 +843,8 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order, # In case of closed order order['status'] = 'closed' - order['price'] = 10 - order['cost'] = 100 + order['average'] = 10 + order['cost'] = 300 order['id'] = '444' mocker.patch('freqtrade.exchange.Exchange.create_order', @@ -855,7 +855,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order, assert trade assert trade.open_order_id is None assert trade.open_rate == 10 - assert trade.stake_amount == round(order['price'] * order['filled'] / leverage, 8) + assert trade.stake_amount == round(order['average'] * order['filled'] / leverage, 8) assert pytest.approx(trade.liquidation_price) == liq_price # In case of rejected or expired order and partially filled @@ -863,8 +863,8 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order, order['amount'] = 30.0 order['filled'] = 20.0 order['remaining'] = 10.00 - order['price'] = 0.5 - order['cost'] = 15.0 + order['average'] = 0.5 + order['cost'] = 10.0 order['id'] = '555' mocker.patch('freqtrade.exchange.Exchange.create_order', MagicMock(return_value=order)) @@ -872,9 +872,9 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order, trade = Trade.query.all()[3] trade.is_short = is_short assert trade - assert trade.open_order_id == '555' + assert trade.open_order_id is None assert trade.open_rate == 0.5 - assert trade.stake_amount == round(order['price'] * order['filled'] / leverage, 8) + assert trade.stake_amount == round(order['average'] * order['filled'] / leverage, 8) # Test with custom stake order['status'] = 'open' @@ -901,7 +901,7 @@ def test_execute_entry(mocker, default_conf_usdt, fee, limit_order, order['amount'] = 30.0 * leverage order['filled'] = 0.0 order['remaining'] = 30.0 - order['price'] = 0.5 + order['average'] = 0.5 order['cost'] = 0.0 order['id'] = '66' mocker.patch('freqtrade.exchange.Exchange.create_order', @@ -1083,7 +1083,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_ 'last': 1.9 }), create_order=MagicMock(side_effect=[ - {'id': enter_order['id']}, + enter_order, exit_order, ]), get_fee=fee, @@ -1109,20 +1109,20 @@ def test_handle_stoploss_on_exchange(mocker, default_conf_usdt, fee, caplog, is_ # should do nothing and return false trade.is_open = True trade.open_order_id = None - trade.stoploss_order_id = 100 + trade.stoploss_order_id = "100" hanging_stoploss_order = MagicMock(return_value={'status': 'open'}) mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', hanging_stoploss_order) assert freqtrade.handle_stoploss_on_exchange(trade) is False - assert trade.stoploss_order_id == 100 + assert trade.stoploss_order_id == "100" # Third case: when stoploss was set but it was canceled for some reason # should set a stoploss immediately and return False caplog.clear() trade.is_open = True trade.open_order_id = None - trade.stoploss_order_id = 100 + trade.stoploss_order_id = "100" canceled_stoploss_order = MagicMock(return_value={'status': 'canceled'}) mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', canceled_stoploss_order) @@ -2039,6 +2039,7 @@ def test_update_trade_state_exception(mocker, default_conf_usdt, is_short, limit trade = MagicMock() trade.open_order_id = '123' + trade.amount = 123 # Test raise of OperationalException exception mocker.patch( @@ -2352,9 +2353,9 @@ def test_close_trade( trade.is_short = is_short assert trade - oobj = Order.parse_from_ccxt_object(enter_order, enter_order['symbol'], 'buy') + oobj = Order.parse_from_ccxt_object(enter_order, enter_order['symbol'], trade.enter_side) trade.update_trade(oobj) - oobj = Order.parse_from_ccxt_object(exit_order, exit_order['symbol'], 'sell') + oobj = Order.parse_from_ccxt_object(exit_order, exit_order['symbol'], trade.exit_side) trade.update_trade(oobj) assert trade.is_open is False @@ -2397,8 +2398,8 @@ def test_manage_open_orders_entry_usercustom( 'freqtrade.exchange.Exchange', fetch_ticker=ticker_usdt, fetch_order=MagicMock(return_value=old_order), - cancel_order_with_result=cancel_order_wr_mock, cancel_order=cancel_order_mock, + cancel_order_with_result=cancel_order_wr_mock, get_fee=fee ) freqtrade = FreqtradeBot(default_conf_usdt) @@ -2446,7 +2447,9 @@ def test_manage_open_orders_entry( ) -> None: old_order = limit_sell_order_old if is_short else limit_buy_order_old rpc_mock = patch_RPCManager(mocker) - old_order['id'] = open_trade.open_order_id + open_trade.open_order_id = old_order['id'] + order = Order.parse_from_ccxt_object(old_order, 'mocked', 'buy') + open_trade.orders[0] = order limit_buy_cancel = deepcopy(old_order) limit_buy_cancel['status'] = 'canceled' cancel_order_mock = MagicMock(return_value=limit_buy_cancel) @@ -2637,7 +2640,9 @@ def test_manage_open_orders_exit_usercustom( is_short, open_trade_usdt, caplog ) -> None: default_conf_usdt["unfilledtimeout"] = {"entry": 1440, "exit": 1440, "exit_timeout_count": 1} - limit_sell_order_old['id'] = open_trade_usdt.open_order_id + open_trade_usdt.open_order_id = limit_sell_order_old['id'] + order = Order.parse_from_ccxt_object(limit_sell_order_old, 'mocked', 'sell') + open_trade_usdt.orders[0] = order if is_short: limit_sell_order_old['side'] = 'buy' open_trade_usdt.is_short = is_short @@ -3250,6 +3255,9 @@ def test_execute_trade_exit_up(default_conf_usdt, ticker_usdt, fee, ticker_usdt_ 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'sub_trade': False, + 'cumulative_profit': 0.0, + 'stake_amount': pytest.approx(60), } == last_msg @@ -3310,6 +3318,9 @@ def test_execute_trade_exit_down(default_conf_usdt, ticker_usdt, fee, ticker_usd 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'sub_trade': False, + 'cumulative_profit': 0.0, + 'stake_amount': pytest.approx(60), } == last_msg @@ -3391,6 +3402,9 @@ def test_execute_trade_exit_custom_exit_price( 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'sub_trade': False, + 'cumulative_profit': 0.0, + 'stake_amount': pytest.approx(60), } == last_msg @@ -3459,6 +3473,9 @@ def test_execute_trade_exit_down_stoploss_on_exchange_dry_run( 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'sub_trade': False, + 'cumulative_profit': 0.0, + 'stake_amount': pytest.approx(60), } == last_msg @@ -3690,7 +3707,7 @@ def test_execute_trade_exit_market_order( ) assert not trade.is_open - assert trade.close_profit == profit_ratio + assert pytest.approx(trade.close_profit) == profit_ratio assert rpc_mock.call_count == 4 last_msg = rpc_mock.call_args_list[-2][0][0] @@ -3718,6 +3735,9 @@ def test_execute_trade_exit_market_order( 'open_date': ANY, 'close_date': ANY, 'close_rate': ANY, + 'sub_trade': False, + 'cumulative_profit': 0.0, + 'stake_amount': pytest.approx(60), } == last_msg @@ -3789,7 +3809,7 @@ def test_exit_profit_only( 'last': bid }), create_order=MagicMock(side_effect=[ - limit_order_open[eside], + limit_order[eside], {'id': 1234553382}, ]), get_fee=fee, @@ -4081,7 +4101,7 @@ def test_trailing_stop_loss_positive( 'last': enter_price - (-0.01 if is_short else 0.01), }), create_order=MagicMock(side_effect=[ - limit_order_open[eside], + limit_order[eside], {'id': 1234553382}, ]), get_fee=fee, @@ -4632,7 +4652,7 @@ def test_order_book_entry_pricing1(mocker, default_conf_usdt, order_book_l2, exc with pytest.raises(PricingError): freqtrade.exchange.get_rate('ETH/USDT', side="entry", is_short=False, refresh=True) assert log_has_re( - r'Entry Price at location 1 from orderbook could not be determined.', caplog) + r'ETH/USDT - Entry Price at location 1 from orderbook could not be determined.', caplog) else: assert freqtrade.exchange.get_rate( 'ETH/USDT', side="entry", is_short=False, refresh=True) == 0.043935 @@ -4711,8 +4731,9 @@ def test_order_book_exit_pricing( return_value={'bids': [[]], 'asks': [[]]}) with pytest.raises(PricingError): freqtrade.handle_trade(trade) - assert log_has_re(r'Exit Price at location 1 from orderbook could not be determined\..*', - caplog) + assert log_has_re( + r"ETH/USDT - Exit Price at location 1 from orderbook could not be determined\..*", + caplog) def test_startup_state(default_conf_usdt, mocker): @@ -5385,7 +5406,7 @@ def test_position_adjust(mocker, default_conf_usdt, fee) -> None: 'status': None, 'price': 9, 'amount': 12, - 'cost': 100, + 'cost': 108, 'ft_is_open': True, 'id': '651', 'order_id': '651' @@ -5480,7 +5501,7 @@ def test_position_adjust(mocker, default_conf_usdt, fee) -> None: assert trade.open_order_id is None assert pytest.approx(trade.open_rate) == 9.90909090909 assert trade.amount == 22 - assert trade.stake_amount == 218 + assert pytest.approx(trade.stake_amount) == 218 orders = Order.query.all() assert orders @@ -5533,6 +5554,329 @@ def test_position_adjust(mocker, default_conf_usdt, fee) -> None: # Make sure the closed order is found as the second order. order = trade.select_order('buy', False) assert order.order_id == '652' + closed_sell_dca_order_1 = { + 'ft_pair': pair, + 'status': 'closed', + 'ft_order_side': 'sell', + 'side': 'sell', + 'type': 'limit', + 'price': 8, + 'average': 8, + 'amount': 15, + 'filled': 15, + 'cost': 120, + 'ft_is_open': False, + 'id': '653', + 'order_id': '653' + } + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=closed_sell_dca_order_1)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order', + MagicMock(return_value=closed_sell_dca_order_1)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order_or_stoploss_order', + MagicMock(return_value=closed_sell_dca_order_1)) + assert freqtrade.execute_trade_exit(trade=trade, limit=8, + exit_check=ExitCheckTuple(exit_type=ExitType.PARTIAL_EXIT), + sub_trade_amt=15) + + # Assert trade is as expected (averaged dca) + trade = Trade.query.first() + assert trade + assert trade.open_order_id is None + assert trade.is_open + assert trade.amount == 22 + assert trade.stake_amount == 192.05405405405406 + assert pytest.approx(trade.open_rate) == 8.729729729729 + + orders = Order.query.all() + assert orders + assert len(orders) == 4 + + # Make sure the closed order is found as the second order. + order = trade.select_order('sell', False) + assert order.order_id == '653' + + +def test_position_adjust2(mocker, default_conf_usdt, fee) -> None: + """ + TODO: Should be adjusted to test both long and short + buy 100 @ 11 + sell 50 @ 8 + sell 50 @ 16 + """ + patch_RPCManager(mocker) + patch_exchange(mocker) + patch_wallet(mocker, free=10000) + default_conf_usdt.update({ + "position_adjustment_enable": True, + "dry_run": False, + "stake_amount": 200.0, + "dry_run_wallet": 1000.0, + }) + freqtrade = FreqtradeBot(default_conf_usdt) + freqtrade.strategy.confirm_trade_entry = MagicMock(return_value=True) + bid = 11 + amount = 100 + buy_rate_mock = MagicMock(return_value=bid) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_rate=buy_rate_mock, + fetch_ticker=MagicMock(return_value={ + 'bid': 10, + 'ask': 12, + 'last': 11 + }), + get_min_pair_stake_amount=MagicMock(return_value=1), + get_fee=fee, + ) + pair = 'ETH/USDT' + # Initial buy + closed_successful_buy_order = { + 'pair': pair, + 'ft_pair': pair, + 'ft_order_side': 'buy', + 'side': 'buy', + 'type': 'limit', + 'status': 'closed', + 'price': bid, + 'average': bid, + 'cost': bid * amount, + 'amount': amount, + 'filled': amount, + 'ft_is_open': False, + 'id': '600', + 'order_id': '600' + } + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=closed_successful_buy_order)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order_or_stoploss_order', + MagicMock(return_value=closed_successful_buy_order)) + assert freqtrade.execute_entry(pair, amount) + # Should create an closed trade with an no open order id + # Order is filled and trade is open + orders = Order.query.all() + assert orders + assert len(orders) == 1 + trade = Trade.query.first() + assert trade + assert trade.is_open is True + assert trade.open_order_id is None + assert trade.open_rate == bid + assert trade.stake_amount == bid * amount + + # Assume it does nothing since order is closed and trade is open + freqtrade.update_closed_trades_without_assigned_fees() + + trade = Trade.query.first() + assert trade + assert trade.is_open is True + assert trade.open_order_id is None + assert trade.open_rate == bid + assert trade.stake_amount == bid * amount + assert not trade.fee_updated(trade.entry_side) + + freqtrade.manage_open_orders() + + trade = Trade.query.first() + assert trade + assert trade.is_open is True + assert trade.open_order_id is None + assert trade.open_rate == bid + assert trade.stake_amount == bid * amount + assert not trade.fee_updated(trade.entry_side) + + amount = 50 + ask = 8 + closed_sell_dca_order_1 = { + 'ft_pair': pair, + 'status': 'closed', + 'ft_order_side': 'sell', + 'side': 'sell', + 'type': 'limit', + 'price': ask, + 'average': ask, + 'amount': amount, + 'filled': amount, + 'cost': amount * ask, + 'ft_is_open': False, + 'id': '601', + 'order_id': '601' + } + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=closed_sell_dca_order_1)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order', + MagicMock(return_value=closed_sell_dca_order_1)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order_or_stoploss_order', + MagicMock(return_value=closed_sell_dca_order_1)) + assert freqtrade.execute_trade_exit(trade=trade, limit=ask, + exit_check=ExitCheckTuple(exit_type=ExitType.PARTIAL_EXIT), + sub_trade_amt=amount) + trades: List[Trade] = trade.get_open_trades_without_assigned_fees() + assert len(trades) == 1 + # Assert trade is as expected (averaged dca) + + trade = Trade.query.first() + assert trade + assert trade.open_order_id is None + assert trade.amount == 50 + assert trade.open_rate == 11 + assert trade.stake_amount == 550 + assert pytest.approx(trade.realized_profit) == -152.375 + assert pytest.approx(trade.close_profit_abs) == -152.375 + + orders = Order.query.all() + assert orders + assert len(orders) == 2 + # Make sure the closed order is found as the second order. + order = trade.select_order('sell', False) + assert order.order_id == '601' + + amount = 50 + ask = 16 + closed_sell_dca_order_2 = { + 'ft_pair': pair, + 'status': 'closed', + 'ft_order_side': 'sell', + 'side': 'sell', + 'type': 'limit', + 'price': ask, + 'average': ask, + 'amount': amount, + 'filled': amount, + 'cost': amount * ask, + 'ft_is_open': False, + 'id': '602', + 'order_id': '602' + } + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=closed_sell_dca_order_2)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order', + MagicMock(return_value=closed_sell_dca_order_2)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order_or_stoploss_order', + MagicMock(return_value=closed_sell_dca_order_2)) + assert freqtrade.execute_trade_exit(trade=trade, limit=ask, + exit_check=ExitCheckTuple(exit_type=ExitType.PARTIAL_EXIT), + sub_trade_amt=amount) + # Assert trade is as expected (averaged dca) + + trade = Trade.query.first() + assert trade + assert trade.open_order_id is None + assert trade.amount == 50 + assert trade.open_rate == 11 + assert trade.stake_amount == 550 + # Trade fully realized + assert pytest.approx(trade.realized_profit) == 94.25 + assert pytest.approx(trade.close_profit_abs) == 94.25 + orders = Order.query.all() + assert orders + assert len(orders) == 3 + + # Make sure the closed order is found as the second order. + order = trade.select_order('sell', False) + assert order.order_id == '602' + assert trade.is_open is False + + +@pytest.mark.parametrize('data', [ + ( + # tuple 1 - side amount, price + # tuple 2 - amount, open_rate, stake_amount, cumulative_profit, realized_profit, rel_profit + (('buy', 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)), + (('buy', 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)), + (('sell', 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625, -0.044788)), + (('sell', 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875, 0.59201995)), + (('sell', 50, 5), (50.0, 12.5, 625.0, 336.625, 336.625, 0.1343142)), # final profit (sum) + ), + ( + (('buy', 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)), + (('buy', 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)), + (('sell', 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0, 1.189027)), + (('buy', 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0, 1.189027)), + (('sell', 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5, 0.7186579)), + (('sell', 150, 23), (150.0, 11.0, 1650.0, 3175.75, 3175.75, 0.9747170)), # final profit + ) +]) +def test_position_adjust3(mocker, default_conf_usdt, fee, data) -> None: + default_conf_usdt.update({ + "position_adjustment_enable": True, + "dry_run": False, + "stake_amount": 200.0, + "dry_run_wallet": 1000.0, + }) + patch_RPCManager(mocker) + patch_exchange(mocker) + patch_wallet(mocker, free=10000) + freqtrade = FreqtradeBot(default_conf_usdt) + trade = None + freqtrade.strategy.confirm_trade_entry = MagicMock(return_value=True) + for idx, (order, result) in enumerate(data): + amount = order[1] + price = order[2] + price_mock = MagicMock(return_value=price) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_rate=price_mock, + fetch_ticker=MagicMock(return_value={ + 'bid': 10, + 'ask': 12, + 'last': 11 + }), + get_min_pair_stake_amount=MagicMock(return_value=1), + get_fee=fee, + ) + pair = 'ETH/USDT' + closed_successful_order = { + 'pair': pair, + 'ft_pair': pair, + 'ft_order_side': order[0], + 'side': order[0], + 'type': 'limit', + 'status': 'closed', + 'price': price, + 'average': price, + 'cost': price * amount, + 'amount': amount, + 'filled': amount, + 'ft_is_open': False, + 'id': f'60{idx}', + 'order_id': f'60{idx}' + } + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=closed_successful_order)) + mocker.patch('freqtrade.exchange.Exchange.fetch_order_or_stoploss_order', + MagicMock(return_value=closed_successful_order)) + if order[0] == 'buy': + assert freqtrade.execute_entry(pair, amount, trade=trade) + else: + assert freqtrade.execute_trade_exit( + trade=trade, limit=price, + exit_check=ExitCheckTuple(exit_type=ExitType.PARTIAL_EXIT), + sub_trade_amt=amount) + + orders1 = Order.query.all() + assert orders1 + assert len(orders1) == idx + 1 + + trade = Trade.query.first() + assert trade + if idx < len(data) - 1: + assert trade.is_open is True + assert trade.open_order_id is None + assert trade.amount == result[0] + assert trade.open_rate == result[1] + assert trade.stake_amount == result[2] + assert pytest.approx(trade.realized_profit) == result[3] + assert pytest.approx(trade.close_profit_abs) == result[4] + assert pytest.approx(trade.close_profit) == result[5] + + order_obj = trade.select_order(order[0], False) + assert order_obj.order_id == f'60{idx}' + + trade = Trade.query.first() + assert trade + assert trade.open_order_id is None + assert trade.is_open is False def test_process_open_trade_positions_exception(mocker, default_conf_usdt, fee, caplog) -> None: @@ -5556,9 +5900,25 @@ def test_check_and_call_adjust_trade_position(mocker, default_conf_usdt, fee, ca "max_entry_position_adjustment": 0, }) freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt) - + buy_rate_mock = MagicMock(return_value=10) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_rate=buy_rate_mock, + fetch_ticker=MagicMock(return_value={ + 'bid': 10, + 'ask': 12, + 'last': 11 + }), + get_min_pair_stake_amount=MagicMock(return_value=1), + get_fee=fee, + ) create_mock_trades(fee) caplog.set_level(logging.DEBUG) - + freqtrade.strategy.adjust_trade_position = MagicMock(return_value=10) freqtrade.process_open_trade_positions() assert log_has_re(r"Max adjustment entries for .* has been reached\.", caplog) + + caplog.clear() + freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-10) + freqtrade.process_open_trade_positions() + assert log_has_re(r"LIMIT_SELL has been fulfilled.*", caplog) diff --git a/tests/test_integration.py b/tests/test_integration.py index 83f54becb..40fdb4277 100644 --- a/tests/test_integration.py +++ b/tests/test_integration.py @@ -6,7 +6,7 @@ from freqtrade.enums import ExitCheckTuple, ExitType from freqtrade.persistence import Trade from freqtrade.persistence.models import Order from freqtrade.rpc.rpc import RPC -from tests.conftest import get_patched_freqtradebot, patch_get_signal +from tests.conftest import get_patched_freqtradebot, log_has_re, patch_get_signal def test_may_execute_exit_stoploss_on_exchange_multi(default_conf, ticker, fee, @@ -455,3 +455,60 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None: # Check the 2 filled orders equal the above amount assert pytest.approx(trade.orders[1].amount) == 30.150753768 assert pytest.approx(trade.orders[-1].amount) == 61.538461232 + + +def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> None: + default_conf_usdt['position_adjustment_enable'] = True + + freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + fetch_ticker=ticker_usdt, + get_fee=fee, + amount_to_precision=lambda s, x, y: y, + price_to_precision=lambda s, x, y: y, + get_min_pair_stake_amount=MagicMock(return_value=10), + ) + + patch_get_signal(freqtrade) + freqtrade.enter_positions() + + assert len(Trade.get_trades().all()) == 1 + trade = Trade.get_trades().first() + assert len(trade.orders) == 1 + assert pytest.approx(trade.stake_amount) == 60 + assert pytest.approx(trade.amount) == 30.0 + assert trade.open_rate == 2.0 + + # Too small size + freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-59) + freqtrade.process() + trade = Trade.get_trades().first() + assert len(trade.orders) == 1 + assert pytest.approx(trade.stake_amount) == 60 + assert pytest.approx(trade.amount) == 30.0 + assert log_has_re("Remaining amount of 1.6.* would be too small.", caplog) + + freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-20) + + freqtrade.process() + trade = Trade.get_trades().first() + assert len(trade.orders) == 2 + assert trade.orders[-1].ft_order_side == 'sell' + assert pytest.approx(trade.stake_amount) == 40.198 + assert pytest.approx(trade.amount) == 20.099 + assert trade.open_rate == 2.0 + assert trade.is_open + caplog.clear() + + # Sell more than what we got (we got ~20 coins left) + # First adjusts the amount to 20 - then rejects. + freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-50) + freqtrade.process() + assert log_has_re("Adjusting amount to trade.amount as it is higher.*", caplog) + assert log_has_re("Remaining amount of 0.0 would be too small.", caplog) + trade = Trade.get_trades().first() + assert len(trade.orders) == 2 + assert trade.orders[-1].ft_order_side == 'sell' + assert pytest.approx(trade.stake_amount) == 40.198 + assert trade.is_open diff --git a/tests/test_persistence.py b/tests/test_persistence.py index 0c1fc01a5..42fcc7413 100644 --- a/tests/test_persistence.py +++ b/tests/test_persistence.py @@ -500,7 +500,7 @@ def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_ assert trade.close_profit is None assert trade.close_date is None - trade.open_order_id = 'something' + trade.open_order_id = enter_order['id'] oobj = Order.parse_from_ccxt_object(enter_order, 'ADA/USDT', entry_side) trade.orders.append(oobj) trade.update_trade(oobj) @@ -515,7 +515,7 @@ def test_update_limit_order(fee, caplog, limit_buy_order_usdt, limit_sell_order_ caplog) caplog.clear() - trade.open_order_id = 'something' + trade.open_order_id = enter_order['id'] time_machine.move_to("2022-03-31 21:45:05 +00:00") oobj = Order.parse_from_ccxt_object(exit_order, 'ADA/USDT', exit_side) trade.orders.append(oobj) @@ -550,7 +550,7 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee, leverage=1.0, ) - trade.open_order_id = 'something' + trade.open_order_id = 'mocked_market_buy' oobj = Order.parse_from_ccxt_object(market_buy_order_usdt, 'ADA/USDT', 'buy') trade.orders.append(oobj) trade.update_trade(oobj) @@ -565,7 +565,7 @@ def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee, caplog.clear() trade.is_open = True - trade.open_order_id = 'something' + trade.open_order_id = 'mocked_market_sell' oobj = Order.parse_from_ccxt_object(market_sell_order_usdt, 'ADA/USDT', 'sell') trade.orders.append(oobj) trade.update_trade(oobj) @@ -630,14 +630,14 @@ def test_calc_open_close_trade_price( trade.open_rate = 2.0 trade.close_rate = 2.2 trade.recalc_open_trade_value() - assert isclose(trade._calc_open_trade_value(), open_value) + assert isclose(trade._calc_open_trade_value(trade.amount, trade.open_rate), open_value) assert isclose(trade.calc_close_trade_value(trade.close_rate), close_value) assert isclose(trade.calc_profit(trade.close_rate), round(profit, 8)) assert pytest.approx(trade.calc_profit_ratio(trade.close_rate)) == profit_ratio @pytest.mark.usefixtures("init_persistence") -def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee): +def test_trade_close(fee): trade = Trade( pair='ADA/USDT', stake_amount=60.0, @@ -815,7 +815,7 @@ def test_calc_open_trade_value( trade.update_trade(oobj) # Buy @ 2.0 # Get the open rate price with the standard fee rate - assert trade._calc_open_trade_value() == result + assert trade._calc_open_trade_value(trade.amount, trade.open_rate) == result @pytest.mark.parametrize( @@ -905,7 +905,7 @@ def test_calc_close_trade_price( ('binance', False, 1, 1.9, 0.003, -3.3209999, -0.055211970, spot, 0), ('binance', False, 1, 2.2, 0.003, 5.6520000, 0.093965087, spot, 0), - # # FUTURES, funding_fee=1 + # FUTURES, funding_fee=1 ('binance', False, 1, 2.1, 0.0025, 3.6925, 0.06138819, futures, 1), ('binance', False, 3, 2.1, 0.0025, 3.6925, 0.18416458, futures, 1), ('binance', True, 1, 2.1, 0.0025, -2.3074999, -0.03855472, futures, 1), @@ -1191,6 +1191,11 @@ def test_calc_profit( assert pytest.approx(trade.calc_profit(rate=close_rate)) == round(profit, 8) assert pytest.approx(trade.calc_profit_ratio(rate=close_rate)) == round(profit_ratio, 8) + assert pytest.approx(trade.calc_profit(close_rate, trade.amount, + trade.open_rate)) == round(profit, 8) + assert pytest.approx(trade.calc_profit_ratio(close_rate, trade.amount, + trade.open_rate)) == round(profit_ratio, 8) + def test_migrate_new(mocker, default_conf, fee, caplog): """ @@ -1382,7 +1387,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog): assert log_has("trying trades_bak2", caplog) assert log_has("Running database migration for trades - backup: trades_bak2, orders_bak0", caplog) - assert trade.open_trade_value == trade._calc_open_trade_value() + assert trade.open_trade_value == trade._calc_open_trade_value(trade.amount, trade.open_rate) assert trade.close_profit_abs is None orders = trade.orders @@ -1744,6 +1749,7 @@ def test_to_json(fee): 'stake_amount': 0.001, 'trade_duration': None, 'trade_duration_s': None, + 'realized_profit': 0.0, 'close_profit': None, 'close_profit_pct': None, 'close_profit_abs': None, @@ -1820,6 +1826,7 @@ def test_to_json(fee): 'initial_stop_loss_abs': None, 'initial_stop_loss_pct': None, 'initial_stop_loss_ratio': None, + 'realized_profit': 0.0, 'close_profit': None, 'close_profit_pct': None, 'close_profit_abs': None, @@ -2262,7 +2269,7 @@ def test_update_order_from_ccxt(caplog): 'symbol': 'ADA/USDT', 'type': 'limit', 'price': 1234.5, - 'amount': 20.0, + 'amount': 20.0, 'filled': 9, 'remaining': 11, 'status': 'open', @@ -2421,7 +2428,7 @@ def test_recalc_trade_from_orders(fee): ) assert fee.return_value == 0.0025 - assert trade._calc_open_trade_value() == o1_trade_val + assert trade._calc_open_trade_value(trade.amount, trade.open_rate) == o1_trade_val assert trade.amount == o1_amount assert trade.stake_amount == o1_cost assert trade.open_rate == o1_rate @@ -2533,7 +2540,8 @@ def test_recalc_trade_from_orders(fee): assert pytest.approx(trade.fee_open_cost) == o1_fee_cost + o2_fee_cost + o3_fee_cost assert pytest.approx(trade.open_trade_value) == o1_trade_val + o2_trade_val + o3_trade_val - # Just to make sure sell orders are ignored, let's calculate one more time. + # Just to make sure full sell orders are ignored, let's calculate one more time. + sell1 = Order( ft_order_side='sell', ft_pair=trade.pair, @@ -2695,7 +2703,7 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee, is_short): assert trade.open_trade_value == 2 * o1_trade_val assert trade.nr_of_successful_entries == 2 - # Just to make sure exit orders are ignored, let's calculate one more time. + # Reduce position - this will reduce amount again. sell1 = Order( ft_order_side=exit_side, ft_pair=trade.pair, @@ -2706,7 +2714,7 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee, is_short): side=exit_side, price=4, average=3, - filled=2, + filled=o1_amount, remaining=1, cost=5, order_date=trade.open_date, @@ -2715,11 +2723,11 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee, is_short): trade.orders.append(sell1) trade.recalc_trade_from_orders() - assert trade.amount == 2 * o1_amount - assert trade.stake_amount == 2 * o1_amount + assert trade.amount == o1_amount + assert trade.stake_amount == o1_amount assert trade.open_rate == o1_rate - assert trade.fee_open_cost == 2 * o1_fee_cost - assert trade.open_trade_value == 2 * o1_trade_val + assert trade.fee_open_cost == o1_fee_cost + assert trade.open_trade_value == o1_trade_val assert trade.nr_of_successful_entries == 2 # Check with 1 order @@ -2743,11 +2751,11 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee, is_short): trade.recalc_trade_from_orders() # Calling recalc with single initial order should not change anything - assert trade.amount == 3 * o1_amount - assert trade.stake_amount == 3 * o1_amount + assert trade.amount == 2 * o1_amount + assert trade.stake_amount == 2 * o1_amount assert trade.open_rate == o1_rate - assert trade.fee_open_cost == 3 * o1_fee_cost - assert trade.open_trade_value == 3 * o1_trade_val + assert trade.fee_open_cost == 2 * o1_fee_cost + assert trade.open_trade_value == 2 * o1_trade_val assert trade.nr_of_successful_entries == 3 @@ -2815,3 +2823,144 @@ def test_order_to_ccxt(limit_buy_order_open): del raw_order['stopPrice'] del limit_buy_order_open['datetime'] assert raw_order == limit_buy_order_open + + +@pytest.mark.usefixtures("init_persistence") +@pytest.mark.parametrize('data', [ + { + # tuple 1 - side, amount, price + # tuple 2 - amount, open_rate, stake_amount, cumulative_profit, realized_profit, rel_profit + 'orders': [ + (('buy', 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)), + (('buy', 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)), + (('sell', 50, 12), (150.0, 12.5, 1875.0, -25.0, -25.0, -0.04)), + (('sell', 100, 20), (50.0, 12.5, 625.0, 725.0, 750.0, 0.60)), + (('sell', 50, 5), (50.0, 12.5, 625.0, 350.0, -375.0, -0.60)), + ], + 'end_profit': 350.0, + 'end_profit_ratio': 0.14, + 'fee': 0.0, + }, + { + 'orders': [ + (('buy', 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)), + (('buy', 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)), + (('sell', 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625, -0.044788)), + (('sell', 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875, 0.59201995)), + (('sell', 50, 5), (50.0, 12.5, 625.0, 336.625, -377.1875, -0.60199501)), + ], + 'end_profit': 336.625, + 'end_profit_ratio': 0.1343142, + 'fee': 0.0025, + }, + { + 'orders': [ + (('buy', 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)), + (('buy', 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)), + (('sell', 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0, 1.189027)), + (('buy', 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0, 1.189027)), + (('sell', 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5, 0.7186579)), + (('sell', 150, 23), (150.0, 11.0, 1650.0, 3175.75, 1787.25, 1.08048062)), + ], + 'end_profit': 3175.75, + 'end_profit_ratio': 0.9747170, + 'fee': 0.0025, + }, + { + # Test above without fees + 'orders': [ + (('buy', 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)), + (('buy', 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)), + (('sell', 100, 11), (100.0, 5.0, 500.0, 600.0, 600.0, 1.2)), + (('buy', 150, 15), (250.0, 11.0, 2750.0, 600.0, 600.0, 1.2)), + (('sell', 100, 19), (150.0, 11.0, 1650.0, 1400.0, 800.0, 0.72727273)), + (('sell', 150, 23), (150.0, 11.0, 1650.0, 3200.0, 1800.0, 1.09090909)), + ], + 'end_profit': 3200.0, + 'end_profit_ratio': 0.98461538, + 'fee': 0.0, + }, + { + 'orders': [ + (('buy', 100, 8), (100.0, 8.0, 800.0, 0.0, None, None)), + (('buy', 100, 9), (200.0, 8.5, 1700.0, 0.0, None, None)), + (('sell', 100, 10), (100.0, 8.5, 850.0, 150.0, 150.0, 0.17647059)), + (('buy', 150, 11), (250.0, 10, 2500.0, 150.0, 150.0, 0.17647059)), + (('sell', 100, 12), (150.0, 10.0, 1500.0, 350.0, 350.0, 0.2)), + (('sell', 150, 14), (150.0, 10.0, 1500.0, 950.0, 950.0, 0.40)), + ], + 'end_profit': 950.0, + 'end_profit_ratio': 0.283582, + 'fee': 0.0, + }, +]) +def test_recalc_trade_from_orders_dca(data) -> None: + + pair = 'ETH/USDT' + trade = Trade( + id=2, + pair=pair, + stake_amount=1000, + open_rate=data['orders'][0][0][2], + amount=data['orders'][0][0][1], + is_open=True, + open_date=arrow.utcnow().datetime, + fee_open=data['fee'], + fee_close=data['fee'], + exchange='binance', + is_short=False, + leverage=1.0, + trading_mode=TradingMode.SPOT + ) + Trade.query.session.add(trade) + + for idx, (order, result) in enumerate(data['orders']): + amount = order[1] + price = order[2] + + order_obj = Order( + ft_order_side=order[0], + ft_pair=trade.pair, + order_id=f"order_{order[0]}_{idx}", + ft_is_open=False, + status="closed", + symbol=trade.pair, + order_type="market", + side=order[0], + price=price, + average=price, + filled=amount, + remaining=0, + cost=amount * price, + order_date=arrow.utcnow().shift(hours=-10 + idx).datetime, + order_filled_date=arrow.utcnow().shift(hours=-10 + idx).datetime, + ) + trade.orders.append(order_obj) + trade.recalc_trade_from_orders() + Trade.commit() + + orders1 = Order.query.all() + assert orders1 + assert len(orders1) == idx + 1 + + trade = Trade.query.first() + assert trade + assert len(trade.orders) == idx + 1 + if idx < len(data) - 1: + assert trade.is_open is True + assert trade.open_order_id is None + assert trade.amount == result[0] + assert trade.open_rate == result[1] + assert trade.stake_amount == result[2] + # TODO: enable the below. + assert pytest.approx(trade.realized_profit) == result[3] + # assert pytest.approx(trade.close_profit_abs) == result[4] + assert pytest.approx(trade.close_profit) == result[5] + + trade.close(price) + assert pytest.approx(trade.close_profit_abs) == data['end_profit'] + assert pytest.approx(trade.close_profit) == data['end_profit_ratio'] + assert not trade.is_open + trade = Trade.query.first() + assert trade + assert trade.open_order_id is None