Merge pull request #6507 from freqtrade/short_order_tif

Update order time in force to use entry/exit wording

config_examples/config_full.example.json

@@ -61,8 +61,8 @@
         "stoploss_on_exchange_interval": 60
     },
     "order_time_in_force": {
-        "buy": "gtc",
+        "entry": "gtc",
-        "sell": "gtc"
+        "exit": "gtc"
     },
     "pairlists": [
         {"method": "StaticPairList"},

docs/configuration.md

@@ -122,7 +122,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
 | `ignore_roi_if_buy_signal` | Do not sell if the buy signal is still active. This setting takes preference over `minimal_roi` and `use_sell_signal`. [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
 | `ignore_buying_expired_candle_after` | Specifies the number of seconds until a buy signal is no longer used. <br> **Datatype:** Integer
 | `order_types` | Configure order-types depending on the action (`"buy"`, `"sell"`, `"stoploss"`, `"stoploss_on_exchange"`). [More information below](#understand-order_types). [Strategy Override](#parameters-in-the-strategy).<br> **Datatype:** Dict
-| `order_time_in_force` | Configure time in force for buy and sell orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy). <br> **Datatype:** Dict
+| `order_time_in_force` | Configure time in force for entry and exit orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy). <br> **Datatype:** Dict
 | `custom_price_max_distance_ratio` | Configure maximum distance ratio between current and custom entry or exit price. <br>*Defaults to `0.02` 2%).*<br> **Datatype:** Positive float
 | `exchange.name` | **Required.** Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename). <br> **Datatype:** String
 | `exchange.sandbox` | Use the 'sandbox' version of the exchange, where the exchange provides a sandbox for risk-free integration. See [here](sandbox-testing.md) in more details.<br> **Datatype:** Boolean
@@ -465,8 +465,8 @@ The possible values are: `gtc` (default), `fok` or `ioc`.
 
 ``` python
 "order_time_in_force": {
-    "buy": "gtc",
+    "entry": "gtc",
-    "sell": "gtc"
+    "exit": "gtc"
 },
 ```
 

freqtrade/configuration/config_validation.py

@@ -6,7 +6,7 @@ from jsonschema import Draft4Validator, validators
 from jsonschema.exceptions import ValidationError, best_match
 
 from freqtrade import constants
-from freqtrade.enums import RunMode
+from freqtrade.enums import RunMode, TradingMode
 from freqtrade.exceptions import OperationalException
 
 
@@ -80,6 +80,7 @@ def validate_config_consistency(conf: Dict[str, Any]) -> None:
     _validate_protections(conf)
     _validate_unlimited_amount(conf)
     _validate_ask_orderbook(conf)
+    validate_migrated_strategy_settings(conf)
 
     # validate configuration before returning
     logger.info('Validating configuration ...')
@@ -207,3 +208,24 @@ def _validate_ask_orderbook(conf: Dict[str, Any]) -> None:
                 "Please use `order_book_top` instead of `order_book_min` and `order_book_max` "
                 "for your `ask_strategy` configuration."
             )
+
+
+def validate_migrated_strategy_settings(conf: Dict[str, Any]) -> None:
+
+    _validate_time_in_force(conf)
+
+
+def _validate_time_in_force(conf: Dict[str, Any]) -> None:
+
+    time_in_force = conf.get('order_time_in_force', {})
+    if 'buy' in time_in_force or 'sell' in time_in_force:
+        if conf.get('trading_mode', TradingMode.SPOT) != TradingMode.SPOT:
+            raise OperationalException(
+                "Please migrate your time_in_force settings to use 'entry' and 'exit'.")
+        else:
+            logger.warning(
+                "DEPRECATED: Using 'buy' and 'sell' for time_in_force is deprecated."
+                "Please migrate your time_in_force settings to use 'entry' and 'exit'."
+            )
+            time_in_force['entry'] = time_in_force.pop('buy')
+            time_in_force['exit'] = time_in_force.pop('sell')

freqtrade/constants.py

@@ -19,7 +19,7 @@ DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
 DEFAULT_DB_DRYRUN_URL = 'sqlite:///tradesv3.dryrun.sqlite'
 UNLIMITED_STAKE_AMOUNT = 'unlimited'
 DEFAULT_AMOUNT_RESERVE_PERCENT = 0.05
-REQUIRED_ORDERTIF = ['buy', 'sell']
+REQUIRED_ORDERTIF = ['entry', 'exit']
 REQUIRED_ORDERTYPES = ['buy', 'sell', 'stoploss', 'stoploss_on_exchange']
 ORDERBOOK_SIDES = ['ask', 'bid']
 ORDERTYPE_POSSIBILITIES = ['limit', 'market']
@@ -233,10 +233,10 @@ CONF_SCHEMA = {
         'order_time_in_force': {
             'type': 'object',
             'properties': {
-                'buy': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES},
+                'entry': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES},
-                'sell': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES}
+                'exit': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES}
             },
-            'required': ['buy', 'sell']
+            'required': REQUIRED_ORDERTIF
         },
         'exchange': {'$ref': '#/definitions/exchange'},
         'edge': {'$ref': '#/definitions/edge'},

freqtrade/freqtradebot.py

@@ -595,7 +595,7 @@ class FreqtradeBot(LoggingMixin):
         :param leverage: amount of leverage applied to this trade
         :return: True if a buy order is created, false if it fails.
         """
-        time_in_force = self.strategy.order_time_in_force['buy']
+        time_in_force = self.strategy.order_time_in_force['entry']
 
         [side, name] = ['sell', 'Short'] if is_short else ['buy', 'Long']
         trade_side = 'short' if is_short else 'long'
@@ -659,13 +659,12 @@ class FreqtradeBot(LoggingMixin):
         amount_requested = amount
 
         if order_status == 'expired' or order_status == 'rejected':
-            order_tif = self.strategy.order_time_in_force['buy']
 
             # return false if the order is not filled
             if float(order['filled']) == 0:
-                logger.warning('%s %s order with time in force %s for %s is %s by %s.'
+                logger.warning(f'{name} {time_in_force} order with time in force {order_type} '
-                               ' zero amount is fulfilled.',
+                               f'for {pair} is {order_status} by {self.exchange.name}.'
-                               name, order_tif, order_type, pair, order_status, self.exchange.name)
+                               ' zero amount is fulfilled.')
                 return False
             else:
                 # the order is partially fulfilled
@@ -673,8 +672,9 @@ class FreqtradeBot(LoggingMixin):
                 # if the order is fulfilled fully or partially
                 logger.warning('%s %s order with time in force %s for %s is %s by %s.'
                                ' %s amount fulfilled out of %s (%s remaining which is canceled).',
-                               name, order_tif, order_type, pair, order_status, self.exchange.name,
+                               name, time_in_force, order_type, pair, order_status,
-                               order['filled'], order['amount'], order['remaining']
+                               self.exchange.name, order['filled'], order['amount'],
+                               order['remaining']
                                )
                 stake_amount = order['cost']
                 amount = safe_value_fallback(order, 'filled', 'amount')
@@ -1382,7 +1382,7 @@ class FreqtradeBot(LoggingMixin):
             order_type = self.strategy.order_types.get("emergencysell", "market")
 
         amount = self._safe_exit_amount(trade.pair, trade.amount)
-        time_in_force = self.strategy.order_time_in_force['sell']
+        time_in_force = self.strategy.order_time_in_force['exit']
 
         if 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,

freqtrade/optimize/backtesting.py

@@ -504,7 +504,7 @@ class Backtesting:
                     # freqtrade does not support this in live, and the order would fill immediately
                     closerate = max(closerate, sell_row[LOW_IDX])
             # Confirm trade exit:
-            time_in_force = self.strategy.order_time_in_force['sell']
+            time_in_force = self.strategy.order_time_in_force['exit']
 
             if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
                     pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
@@ -640,7 +640,7 @@ class Backtesting:
             # If not pos adjust, trade is None
             return trade
         order_type = self.strategy.order_types['buy']
-        time_in_force = self.strategy.order_time_in_force['buy']
+        time_in_force = self.strategy.order_time_in_force['entry']
 
         if not pos_adjust:
             max_leverage = self.exchange.get_max_leverage(pair, stake_amount)

freqtrade/resolvers/strategy_resolver.py

@@ -10,6 +10,7 @@ from inspect import getfullargspec
 from pathlib import Path
 from typing import Any, Dict, Optional
 
+from freqtrade.configuration.config_validation import validate_migrated_strategy_settings
 from freqtrade.constants import REQUIRED_ORDERTIF, REQUIRED_ORDERTYPES, USERPATH_STRATEGIES
 from freqtrade.exceptions import OperationalException
 from freqtrade.resolvers import IResolver
@@ -160,10 +161,12 @@ class StrategyResolver(IResolver):
 
     @staticmethod
     def _strategy_sanity_validations(strategy):
+        # Ensure necessary migrations are performed first.
+        validate_migrated_strategy_settings(strategy.config)
+
         if not all(k in strategy.order_types for k in REQUIRED_ORDERTYPES):
             raise ImportError(f"Impossible to load Strategy '{strategy.__class__.__name__}'. "
                               f"Order-types mapping is incomplete.")
-
         if not all(k in strategy.order_time_in_force for k in REQUIRED_ORDERTIF):
             raise ImportError(f"Impossible to load Strategy '{strategy.__class__.__name__}'. "
                               f"Order-time-in-force mapping is incomplete.")

freqtrade/strategy/interface.py

@@ -96,8 +96,8 @@ class IStrategy(ABC, HyperStrategyMixin):
 
     # Optional time in force
     order_time_in_force: Dict = {
-        'buy': 'gtc',
+        'entry': 'gtc',
-        'sell': 'gtc',
+        'exit': 'gtc',
     }
 
     # run "populate_indicators" only for new candle

freqtrade/templates/base_strategy.py.j2

@@ -83,8 +83,8 @@ class {{ strategy }}(IStrategy):
 
     # Optional order time in force.
     order_time_in_force = {
-        'buy': 'gtc',
+        'entry': 'gtc',
-        'sell': 'gtc'
+        'exit': 'gtc'
     }
     {{ plot_config | indent(4) }}
 

freqtrade/templates/sample_short_strategy.py

@@ -84,8 +84,8 @@ class SampleShortStrategy(IStrategy):
 
     # Optional order time in force.
     order_time_in_force = {
-        'buy': 'gtc',
+        'entry': 'gtc',
-        'sell': 'gtc'
+        'exit': 'gtc'
     }
 
     plot_config = {

freqtrade/templates/sample_strategy.py

@@ -85,8 +85,8 @@ class SampleStrategy(IStrategy):
 
     # Optional order time in force.
     order_time_in_force = {
-        'buy': 'gtc',
+        'entry': 'gtc',
-        'sell': 'gtc'
+        'exit': 'gtc'
     }
 
     plot_config = {

tests/optimize/test_backtesting.py

@@ -319,6 +319,7 @@ def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
     del default_conf['timeframe']
     default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY,
                                      'SampleStrategy']
+    # TODO: This refers to the sampleStrategy in user_data if it exists...
 
     mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
     with pytest.raises(OperationalException):

tests/strategy/strats/hyperoptable_strategy.py

@@ -45,8 +45,8 @@ class HyperoptableStrategy(IStrategy):
 
     # Optional time in force for orders
     order_time_in_force = {
-        'buy': 'gtc',
+        'entry': 'gtc',
-        'sell': 'gtc',
+        'exit': 'gtc',
     }
 
     buy_params = {

tests/strategy/strats/strategy_test_v2.py

@@ -47,8 +47,8 @@ class StrategyTestV2(IStrategy):
 
     # Optional time in force for orders
     order_time_in_force = {
-        'buy': 'gtc',
+        'entry': 'gtc',
-        'sell': 'gtc',
+        'exit': 'gtc',
     }
 
     # By default this strategy does not use Position Adjustments

tests/strategy/strats/strategy_test_v3.py

@@ -48,8 +48,8 @@ class StrategyTestV3(IStrategy):
 
     # Optional time in force for orders
     order_time_in_force = {
-        'buy': 'gtc',
+        'entry': 'gtc',
-        'sell': 'gtc',
+        'exit': 'gtc',
     }
 
     buy_params = {

tests/strategy/test_strategy_loading.py

@@ -257,8 +257,8 @@ def test_strategy_override_order_tif(caplog, default_conf):
     caplog.set_level(logging.INFO)
 
     order_time_in_force = {
-        'buy': 'fok',
+        'entry': 'fok',
-        'sell': 'gtc',
+        'exit': 'gtc',
     }
 
     default_conf.update({
@@ -268,15 +268,15 @@ def test_strategy_override_order_tif(caplog, default_conf):
     strategy = StrategyResolver.load_strategy(default_conf)
 
     assert strategy.order_time_in_force
-    for method in ['buy', 'sell']:
+    for method in ['entry', 'exit']:
         assert strategy.order_time_in_force[method] == order_time_in_force[method]
 
     assert log_has("Override strategy 'order_time_in_force' with value in config file:"
-                   " {'buy': 'fok', 'sell': 'gtc'}.", caplog)
+                   " {'entry': 'fok', 'exit': 'gtc'}.", caplog)
 
     default_conf.update({
         'strategy': CURRENT_TEST_STRATEGY,
-        'order_time_in_force': {'buy': 'fok'}
+        'order_time_in_force': {'entry': 'fok'}
     })
     # Raise error for invalid configuration
     with pytest.raises(ImportError,

tests/test_configuration.py

@@ -941,6 +941,28 @@ def test_validate_ask_orderbook(default_conf, caplog) -> None:
         validate_config_consistency(conf)
 
 
+def test_validate_time_in_force(default_conf, caplog) -> None:
+    conf = deepcopy(default_conf)
+    conf['order_time_in_force'] = {
+        'buy': 'gtc',
+        'sell': 'gtc',
+    }
+    validate_config_consistency(conf)
+    assert log_has_re(r"DEPRECATED: Using 'buy' and 'sell' for time_in_force is.*", caplog)
+    assert conf['order_time_in_force']['entry'] == 'gtc'
+    assert conf['order_time_in_force']['exit'] == 'gtc'
+
+    conf = deepcopy(default_conf)
+    conf['order_time_in_force'] = {
+        'buy': 'gtc',
+        'sell': 'gtc',
+    }
+    conf['trading_mode'] = 'futures'
+    with pytest.raises(OperationalException,
+                       match=r"Please migrate your time_in_force settings .* 'entry' and 'exit'\."):
+        validate_config_consistency(conf)
+
+
 def test_load_config_test_comments() -> None:
     """
     Load config with comments