Initial steps to change bid/ask pricing to enter/exit
This commit is contained in:
Matthias
@@ -36,12 +36,12 @@ By default, loop runs every few seconds (`internals.process_throttle_secs`) and
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* Calls `check_exit_timeout()` strategy callback for open exit orders.
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* Verifies existing positions and eventually places exit orders.
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* Considers stoploss, ROI and exit-signal, `custom_exit()` and `custom_stoploss()`.
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* Determine exit-price based on `ask_strategy` configuration setting or by using the `custom_exit_price()` callback.
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* Determine exit-price based on `exit_pricing` configuration setting or by using the `custom_exit_price()` callback.
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* Before a exit order is placed, `confirm_trade_exit()` strategy callback is called.
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* Check position adjustments for open trades if enabled by calling `adjust_trade_position()` and place additional order if required.
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* Check if trade-slots are still available (if `max_open_trades` is reached).
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* Verifies entry signal trying to enter new positions.
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* Determine entry-price based on `bid_strategy` configuration setting, or by using the `custom_entry_price()` callback.
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* Determine entry-price based on `entry_pricing` configuration setting, or by using the `custom_entry_price()` 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 an entry order is placed, `confirm_trade_entry()` strategy callback is called.
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@@ -106,16 +106,16 @@ Mandatory parameters are marked as **Required**, which means that they are requi
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| `unfilledtimeout.exit` | **Required.** How long (in minutes or seconds) the bot will wait for an unfilled exit order to complete, after which the order will be cancelled and repeated at current (new) price, as long as there is a signal. [Strategy Override](#parameters-in-the-strategy).<br> **Datatype:** Integer
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| `unfilledtimeout.unit` | Unit to use in unfilledtimeout setting. Note: If you set unfilledtimeout.unit to "seconds", "internals.process_throttle_secs" must be inferior or equal to timeout [Strategy Override](#parameters-in-the-strategy). <br> *Defaults to `minutes`.* <br> **Datatype:** String
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| `unfilledtimeout.exit_timeout_count` | How many times can exit orders time out. Once this number of timeouts is reached, an emergency sell is triggered. 0 to disable and allow unlimited order cancels. [Strategy Override](#parameters-in-the-strategy).<br>*Defaults to `0`.* <br> **Datatype:** Integer
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| `bid_strategy.price_side` | Select the side of the spread the bot should look at to get the buy rate. [More information below](#buy-price-side).<br> *Defaults to `bid`.* <br> **Datatype:** String (either `ask` or `bid`).
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| `bid_strategy.ask_last_balance` | **Required.** Interpolate the bidding price. More information [below](#buy-price-without-orderbook-enabled).
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| `bid_strategy.use_order_book` | Enable buying using the rates in [Order Book Bids](#buy-price-with-orderbook-enabled). <br> **Datatype:** Boolean
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| `bid_strategy.order_book_top` | Bot will use the top N rate in Order Book "price_side" to buy. I.e. a value of 2 will allow the bot to pick the 2nd bid rate in [Order Book Bids](#buy-price-with-orderbook-enabled). <br>*Defaults to `1`.* <br> **Datatype:** Positive Integer
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| `bid_strategy. check_depth_of_market.enabled` | Do not buy if the difference of buy orders and sell orders is met in Order Book. [Check market depth](#check-depth-of-market). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
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| `bid_strategy. check_depth_of_market.bids_to_ask_delta` | The difference ratio of buy orders and sell orders found in Order Book. A value below 1 means sell order size is greater, while value greater than 1 means buy order size is higher. [Check market depth](#check-depth-of-market) <br> *Defaults to `0`.* <br> **Datatype:** Float (as ratio)
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| `ask_strategy.price_side` | Select the side of the spread the bot should look at to get the sell rate. [More information below](#sell-price-side).<br> *Defaults to `ask`.* <br> **Datatype:** String (either `ask` or `bid`).
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| `ask_strategy.bid_last_balance` | Interpolate the selling price. More information [below](#sell-price-without-orderbook-enabled).
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| `ask_strategy.use_order_book` | Enable selling of open trades using [Order Book Asks](#sell-price-with-orderbook-enabled). <br> **Datatype:** Boolean
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| `ask_strategy.order_book_top` | Bot will use the top N rate in Order Book "price_side" to sell. I.e. a value of 2 will allow the bot to pick the 2nd ask rate in [Order Book Asks](#sell-price-with-orderbook-enabled)<br>*Defaults to `1`.* <br> **Datatype:** Positive Integer
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| `enter_pricing.price_side` | Select the side of the spread the bot should look at to get the entry rate. [More information below](#buy-price-side).<br> *Defaults to `same`.* <br> **Datatype:** String (either `ask`, `bid`, `same` or `other`).
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| `enter_pricing.ask_last_balance` | **Required.** Interpolate the bidding price. More information [below](#buy-price-without-orderbook-enabled).
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| `enter_pricing.use_order_book` | Enable entering using the rates in [Order Book Bids](#buy-price-with-orderbook-enabled). <br> *Defaults to `True`.*<br> **Datatype:** Boolean
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| `enter_pricing.order_book_top` | Bot will use the top N rate in Order Book "price_side" to enter a trade. I.e. a value of 2 will allow the bot to pick the 2nd entry in [Order Book Bids](#buy-price-with-orderbook-enabled). <br>*Defaults to `1`.* <br> **Datatype:** Positive Integer
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| `enter_pricing. check_depth_of_market.enabled` | Do not enter if the difference of buy orders and sell orders is met in Order Book. [Check market depth](#check-depth-of-market). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
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| `enter_pricing. check_depth_of_market.bids_to_ask_delta` | The difference ratio of buy orders and sell orders found in Order Book. A value below 1 means sell order size is greater, while value greater than 1 means buy order size is higher. [Check market depth](#check-depth-of-market) <br> *Defaults to `0`.* <br> **Datatype:** Float (as ratio)
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| `exit_pricing.price_side` | Select the side of the spread the bot should look at to get the exit rate. [More information below](#sell-price-side).<br> *Defaults to `same`.* <br> **Datatype:** String (either `ask`, `bid`, `same` or `other`).
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| `exit_pricing.bid_last_balance` | Interpolate the exiting price. More information [below](#sell-price-without-orderbook-enabled).
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| `exit_pricing.use_order_book` | Enable exiting of open trades using [Order Book Asks](#sell-price-with-orderbook-enabled). <br> *Defaults to `True`.*<br> **Datatype:** Boolean
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| `exit_pricing.order_book_top` | Bot will use the top N rate in Order Book "price_side" to sell. I.e. a value of 2 will allow the bot to pick the 2nd ask rate in [Order Book Asks](#sell-price-with-orderbook-enabled)<br>*Defaults to `1`.* <br> **Datatype:** Positive Integer
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| `use_sell_signal` | Use sell signals produced by the strategy in addition to the `minimal_roi`. [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `true`.* <br> **Datatype:** Boolean
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| `sell_profit_only` | Wait until the bot reaches `sell_profit_offset` before taking a sell decision. [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
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| `sell_profit_offset` | Sell-signal is only active above this value. Only active in combination with `sell_profit_only=True`. [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `0.0`.* <br> **Datatype:** Float (as ratio)
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@@ -108,12 +108,12 @@ To mitigate this, you can try to match the first order on the opposite orderbook
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"exit": "limit"
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// ...
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},
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"bid_strategy": {
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"price_side": "ask",
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"entry_pricing": {
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"price_side": "other",
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// ...
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},
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"ask_strategy":{
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"price_side": "bid",
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"exit_pricing":{
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"price_side": "other",
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// ...
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},
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```
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@@ -160,7 +160,7 @@ class AwesomeStrategy(IStrategy):
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:param pair: Pair that's currently analyzed
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:param trade: trade object.
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:param current_time: datetime object, containing the current datetime
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:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
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:param current_rate: Rate, calculated based on pricing settings in exit_pricing.
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:param current_profit: Current profit (as ratio), calculated based on current_rate.
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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:return float: New stoploss value, relative to the current rate
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@@ -707,7 +707,7 @@ class AwesomeStrategy(IStrategy):
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:param pair: Pair that's currently analyzed
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:param current_time: datetime object, containing the current datetime
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:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
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:param current_rate: Rate, calculated based on pricing settings in exit_pricing.
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:param proposed_leverage: A leverage proposed by the bot.
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:param max_leverage: Max leverage allowed on this pair
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:param side: 'long' or 'short' - indicating the direction of the proposed trade
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@@ -242,6 +242,8 @@ This should be given the value of `trade.is_short`.
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```
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After:
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``` python hl_lines="5 7"
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def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
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current_rate: float, current_profit: float, **kwargs) -> float:
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@@ -267,6 +269,8 @@ This should be given the value of `trade.is_short`.
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}
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```
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After:
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``` python hl_lines="2 3"
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order_time_in_force: Dict = {
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"entry": "gtc",
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@@ -291,6 +295,8 @@ This should be given the value of `trade.is_short`.
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}
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```
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After:
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``` python hl_lines="2-6"
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order_types = {
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"entry": "limit",
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@@ -317,6 +323,8 @@ unfilledtimeout = {
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}
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```
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After:
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``` python hl_lines="2-3"
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unfilledtimeout = {
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"entry": 10,
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@@ -325,3 +333,51 @@ unfilledtimeout = {
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"unit": "minutes"
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}
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```
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#### `order pricing`
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Order pricing changed in 2 ways. `bid_strategy` was renamed to `entry_strategy` and `ask_strategy` was renamed to `exit_strategy`.
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Also, price-side can now be defined as `ask`, `bid`, `same` or `other`.
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Please refer to the [pricing documentation](configuration.md) for more information.
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``` json hl_lines="2-3 12-13"
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{
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"bid_strategy": {
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"price_side": "bid",
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"use_order_book": true,
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"order_book_top": 1,
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"ask_last_balance": 0.0,
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"check_depth_of_market": {
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"enabled": false,
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"bids_to_ask_delta": 1
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}
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},
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"ask_strategy":{
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"price_side": "ask",
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"use_order_book": true,
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"order_book_top": 1
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}
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}
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```
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after:
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``` json hl_lines="2-3 12-13"
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{
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"entry_pricing": {
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"price_side": "same",
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"use_order_book": true,
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"order_book_top": 1,
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"ask_last_balance": 0.0,
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"check_depth_of_market": {
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"enabled": false,
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"bids_to_ask_delta": 1
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}
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},
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"exit_pricing":{
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"price_side": "same",
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"use_order_book": true,
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"order_book_top": 1
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}
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}
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```
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