Call leverage before custom_stake_amount to properly determine min-stake-amount
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Matthias
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35607ae03b
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b292f28b35
@ -42,8 +42,8 @@ By default, loop runs every few seconds (`internals.process_throttle_secs`) and
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* Check if trade-slots are still available (if `max_open_trades` is reached).
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* Verifies buy signal trying to enter new positions.
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* Determine buy-price based on `bid_strategy` configuration setting, or by using the `custom_entry_price()` callback.
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* Determine stake size by calling the `custom_stake_amount()` callback.
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* In Margin and Futures mode, `leverage()` strategy callback is called to determine the desired leverage.
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* Determine stake size by calling the `custom_stake_amount()` callback.
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* Before a buy order is placed, `confirm_trade_entry()` strategy callback is called.
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This loop will be repeated again and again until the bot is stopped.
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@ -59,8 +59,8 @@ This loop will be repeated again and again until the bot is stopped.
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* Loops per candle simulating entry and exit points.
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* Confirm trade buy / sell (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy).
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* Call `custom_entry_price()` (if implemented in the strategy) to determine entry price (Prices are moved to be within the opening candle).
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* Determine stake size by calling the `custom_stake_amount()` callback.
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* In Margin and Futures mode, `leverage()` strategy callback is called to determine the desired leverage.
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* Determine stake size by calling the `custom_stake_amount()` callback.
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* Check position adjustments for open trades if enabled and call `adjust_trade_position()` to determine if an additional order is requested.
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* Call `custom_stoploss()` and `custom_sell()` to find custom exit points.
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* For sells based on sell-signal and custom-sell: Call `custom_exit_price()` to determine exit price (Prices are moved to be within the closing candle).
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@ -600,26 +600,12 @@ class FreqtradeBot(LoggingMixin):
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trade_side = 'short' if is_short else 'long'
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pos_adjust = trade is not None
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enter_limit_requested, stake_amount = self.get_valid_enter_price_and_stake(
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enter_limit_requested, stake_amount, leverage = self.get_valid_enter_price_and_stake(
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pair, price, stake_amount, side, trade_side, enter_tag, trade)
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if not stake_amount:
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return False
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if not pos_adjust:
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max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
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leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
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pair=pair,
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current_time=datetime.now(timezone.utc),
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current_rate=enter_limit_requested,
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proposed_leverage=1.0,
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max_leverage=max_leverage,
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side=trade_side,
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) if self.trading_mode != TradingMode.SPOT else 1.0
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# Cap leverage between 1.0 and max_leverage.
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leverage = min(max(leverage, 1.0), max_leverage)
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else:
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# Changing leverage currently not possible
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leverage = trade.leverage if trade else 1.0
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if pos_adjust:
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logger.info(f"Position adjust: about to create a new order for {pair} with stake: "
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f"{stake_amount} for {trade}")
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@ -775,7 +761,7 @@ class FreqtradeBot(LoggingMixin):
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side: str, trade_side: str,
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entry_tag: Optional[str],
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trade: Optional[Trade]
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) -> Tuple[float, float]:
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) -> Tuple[float, float, float]:
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if price:
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enter_limit_requested = price
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@ -792,13 +778,30 @@ class FreqtradeBot(LoggingMixin):
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if not enter_limit_requested:
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raise PricingError(f'Could not determine {side} price.')
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if trade is None:
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max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
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leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
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pair=pair,
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current_time=datetime.now(timezone.utc),
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current_rate=enter_limit_requested,
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proposed_leverage=1.0,
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max_leverage=max_leverage,
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side=trade_side,
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) if self.trading_mode != TradingMode.SPOT else 1.0
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# Cap leverage between 1.0 and max_leverage.
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leverage = min(max(leverage, 1.0), max_leverage)
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else:
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# Changing leverage currently not possible
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leverage = trade.leverage if trade else 1.0
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# Min-stake-amount should actually include Leverage - this way our "minimal"
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# stake- amount might be higher than necessary.
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# We do however also need min-stake to determine leverage, therefore this is ignored as
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# edge-case for now.
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min_stake_amount = self.exchange.get_min_pair_stake_amount(
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pair, enter_limit_requested, self.strategy.stoploss)
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max_stake_amount = self.exchange.get_max_pair_stake_amount(pair, enter_limit_requested)
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pair, enter_limit_requested, self.strategy.stoploss, leverage)
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max_stake_amount = self.exchange.get_max_pair_stake_amount(
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pair, enter_limit_requested, leverage)
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if not self.edge and trade is None:
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stake_available = self.wallets.get_available_stake_amount()
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@ -817,7 +820,7 @@ class FreqtradeBot(LoggingMixin):
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max_stake_amount=max_stake_amount,
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)
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return enter_limit_requested, stake_amount
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return enter_limit_requested, stake_amount, leverage
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def _notify_enter(self, trade: Trade, order: Dict, order_type: Optional[str] = None,
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fill: bool = False) -> None:
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@ -656,11 +656,27 @@ class Backtesting:
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else:
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propose_rate = min(propose_rate, row[HIGH_IDX])
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min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
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max_stake_amount = self.exchange.get_max_pair_stake_amount(pair, propose_rate)
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pos_adjust = trade is not None
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if not pos_adjust:
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max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
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leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
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pair=pair,
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current_time=current_time,
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current_rate=row[OPEN_IDX],
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proposed_leverage=1.0,
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max_leverage=max_leverage,
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side=direction,
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) if self._can_short else 1.0
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# Cap leverage between 1.0 and max_leverage.
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leverage = min(max(leverage, 1.0), max_leverage)
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min_stake_amount = self.exchange.get_min_pair_stake_amount(
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pair, propose_rate, -0.05, leverage=leverage) or 0
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max_stake_amount = self.exchange.get_max_pair_stake_amount(
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pair, propose_rate, leverage=leverage)
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stake_available = self.wallets.get_available_stake_amount()
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pos_adjust = trade is not None
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if not pos_adjust:
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try:
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stake_amount = self.wallets.get_trade_stake_amount(pair, None, update=False)
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@ -689,18 +705,6 @@ class Backtesting:
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time_in_force = self.strategy.order_time_in_force['entry']
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if not pos_adjust:
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max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
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leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
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pair=pair,
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current_time=current_time,
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current_rate=row[OPEN_IDX],
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proposed_leverage=1.0,
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max_leverage=max_leverage,
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side=direction,
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) if self._can_short else 1.0
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# Cap leverage between 1.0 and max_leverage.
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leverage = min(max(leverage, 1.0), max_leverage)
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# Confirm trade entry:
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if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
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pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
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