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Merge branch 'feat/short' into lev-freqtradebot

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This commit is contained in:
Sam Germain
2021-10-13 19:02:57 -06:00
parent 437fadc258 bd488cc086
commit bcbe8f229c
53 changed files with 902 additions and 313 deletions
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21
freqtrade/persistence/migrations.py
View File

@@ -49,11 +49,20 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
strategy = get_column_def(cols, 'strategy', 'null')
buy_tag = get_column_def(cols, 'buy_tag', 'null')
trading_mode = get_column_def(cols, 'trading_mode', 'null')
# Leverage Properties
leverage = get_column_def(cols, 'leverage', '1.0')
interest_rate = get_column_def(cols, 'interest_rate', '0.0')
isolated_liq = get_column_def(cols, 'isolated_liq', 'null')
# sqlite does not support literals for booleans
is_short = get_column_def(cols, 'is_short', '0')
# Margin Properties
interest_rate = get_column_def(cols, 'interest_rate', '0.0')
# Futures properties
funding_fees = get_column_def(cols, 'funding_fees', '0.0')
# If ticker-interval existed use that, else null.
if has_column(cols, 'ticker_interval'):
timeframe = get_column_def(cols, 'timeframe', 'ticker_interval')
@@ -91,7 +100,8 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stoploss_order_id, stoploss_last_update,
max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag,
timeframe, open_trade_value, close_profit_abs,
leverage, interest_rate, isolated_liq, is_short
trading_mode, leverage, isolated_liq, is_short,
interest_rate, funding_fees
)
select id, lower(exchange), pair,
is_open, {fee_open} fee_open, {fee_open_cost} fee_open_cost,
@@ -108,8 +118,9 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{sell_order_status} sell_order_status,
{strategy} strategy, {buy_tag} buy_tag, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs,
{leverage} leverage, {interest_rate} interest_rate,
{isolated_liq} isolated_liq, {is_short} is_short
{trading_mode} trading_mode, {leverage} leverage, {isolated_liq} isolated_liq,
{is_short} is_short, {interest_rate} interest_rate,
{funding_fees} funding_fees
from {table_back_name}
"""))
@@ -169,7 +180,7 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
table_back_name = get_backup_name(tabs, 'trades_bak')
# Check for latest column
if not has_column(cols, 'is_short'):
if not has_column(cols, 'funding_fees'):
logger.info(f'Running database migration for trades - backup: {table_back_name}')
migrate_trades_table(decl_base, inspector, engine, table_back_name, cols)
# Reread columns - the above recreated the table!

66
freqtrade/persistence/models.py
View File

@@ -6,7 +6,7 @@ from datetime import datetime, timedelta, timezone
from decimal import Decimal
from typing import Any, Dict, List, Optional
from sqlalchemy import (Boolean, Column, DateTime, Float, ForeignKey, Integer, String,
from sqlalchemy import (Boolean, Column, DateTime, Enum, Float, ForeignKey, Integer, String,
create_engine, desc, func, inspect)
from sqlalchemy.exc import NoSuchModuleError
from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session, sessionmaker
@@ -14,7 +14,7 @@ from sqlalchemy.pool import StaticPool
from sqlalchemy.sql.schema import UniqueConstraint
from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
from freqtrade.enums import SellType
from freqtrade.enums import SellType, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.leverage import interest
from freqtrade.misc import safe_value_fallback
@@ -265,14 +265,19 @@ class LocalTrade():
buy_tag: Optional[str] = None
timeframe: Optional[int] = None
trading_mode: TradingMode = TradingMode.SPOT
# Leverage trading properties
is_short: bool = False
isolated_liq: Optional[float] = None
is_short: bool = False
leverage: float = 1.0
# Margin trading properties
interest_rate: float = 0.0
# Futures properties
funding_fees: Optional[float] = None
@property
def has_no_leverage(self) -> bool:
"""Returns true if this is a non-leverage, non-short trade"""
@@ -439,7 +444,8 @@ class LocalTrade():
'interest_rate': self.interest_rate,
'isolated_liq': self.isolated_liq,
'is_short': self.is_short,
'trading_mode': self.trading_mode,
'funding_fees': self.funding_fees,
'open_order_id': self.open_order_id,
}
@@ -642,7 +648,7 @@ class LocalTrade():
zero = Decimal(0.0)
# If nothing was borrowed
if self.has_no_leverage:
if self.has_no_leverage or self.trading_mode != TradingMode.MARGIN:
return zero
open_date = self.open_date.replace(tzinfo=None)
@@ -656,6 +662,17 @@ class LocalTrade():
return interest(exchange_name=self.exchange, borrowed=borrowed, rate=rate, hours=hours)
def _calc_base_close(self, amount: Decimal, rate: Optional[float] = None,
fee: Optional[float] = None) -> Decimal:
close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close)
if self.is_short:
return close_trade + fees
else:
return close_trade - fees
def calc_close_trade_value(self, rate: Optional[float] = None,
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
@@ -672,20 +689,32 @@ class LocalTrade():
if rate is None and not self.close_rate:
return 0.0
interest = self.calculate_interest(interest_rate)
if self.is_short:
amount = Decimal(self.amount) + Decimal(interest)
else:
# Currency already owned for longs, no need to purchase
amount = Decimal(self.amount)
amount = Decimal(self.amount)
trading_mode = self.trading_mode or TradingMode.SPOT
close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close)
if trading_mode == TradingMode.SPOT:
return float(self._calc_base_close(amount, rate, fee))
if self.is_short:
return float(close_trade + fees)
elif (trading_mode == TradingMode.MARGIN):
total_interest = self.calculate_interest(interest_rate)
if self.is_short:
amount = amount + total_interest
return float(self._calc_base_close(amount, rate, fee))
else:
# Currency already owned for longs, no need to purchase
return float(self._calc_base_close(amount, rate, fee) - total_interest)
elif (trading_mode == TradingMode.FUTURES):
funding_fees = self.funding_fees or 0.0
if self.is_short:
return float(self._calc_base_close(amount, rate, fee)) - funding_fees
else:
return float(self._calc_base_close(amount, rate, fee)) + funding_fees
else:
return float(close_trade - fees - interest)
raise OperationalException(
f"{self.trading_mode.value} trading is not yet available using freqtrade")
def calc_profit(self, rate: Optional[float] = None,
fee: Optional[float] = None,
@@ -893,6 +922,8 @@ class Trade(_DECL_BASE, LocalTrade):
buy_tag = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True)
trading_mode = Column(Enum(TradingMode), nullable=True)
# Leverage trading properties
leverage = Column(Float, nullable=True, default=1.0)
is_short = Column(Boolean, nullable=False, default=False)
@@ -901,6 +932,9 @@ class Trade(_DECL_BASE, LocalTrade):
# Margin Trading Properties
interest_rate = Column(Float, nullable=False, default=0.0)
# Futures properties
funding_fees = Column(Float, nullable=True, default=None)
def __init__(self, **kwargs):
super().__init__(**kwargs)
self.recalc_open_trade_value()