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Merge pull request #1474 from mishaker/tsl_on_exchange

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Making trailing stoploss compatible with stoploss on exchange
This commit is contained in:
Matthias
2019-01-18 19:29:39 +01:00
committed by GitHub
parent c7ebd8228e 87329a393c
commit c2578c7321
10 changed files with 291 additions and 33 deletions
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5
freqtrade/constants.py
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@@ -112,7 +112,8 @@ CONF_SCHEMA = {
'buy': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'sell': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
'stoploss_on_exchange': {'type': 'boolean'}
'stoploss_on_exchange': {'type': 'boolean'},
'stoploss_on_exchange_interval': {'type': 'boolean'}
},
'required': ['buy', 'sell', 'stoploss', 'stoploss_on_exchange']
},
@@ -137,7 +138,7 @@ CONF_SCHEMA = {
'pairlist': {
'type': 'object',
'properties': {
'method': {'type': 'string', 'enum': AVAILABLE_PAIRLISTS},
'method': {'type': 'string', 'enum': AVAILABLE_PAIRLISTS},
'config': {'type': 'object'}
},
'required': ['method']

7
freqtrade/exchange/__init__.py
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@@ -402,8 +402,11 @@ class Exchange(object):
return self._dry_run_open_orders[order_id]
try:
return self._api.create_order(pair, 'stop_loss_limit', 'sell',
amount, rate, {'stopPrice': stop_price})
order = self._api.create_order(pair, 'stop_loss_limit', 'sell',
amount, rate, {'stopPrice': stop_price})
logger.info('stoploss limit order added for %s. '
'stop price: %s. limit: %s' % (pair, stop_price, rate))
return order
except ccxt.InsufficientFunds as e:
raise DependencyException(

39
freqtrade/freqtradebot.py
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@@ -613,7 +613,7 @@ class FreqtradeBot(object):
def handle_stoploss_on_exchange(self, trade: Trade) -> bool:
"""
Check if trade is fulfilled in which case the stoploss
on exchange should be added immediately if stoploss on exchnage
on exchange should be added immediately if stoploss on exchange
is enabled.
"""
@@ -630,13 +630,14 @@ class FreqtradeBot(object):
stop_price = trade.open_rate * (1 + stoploss)
# limit price should be less than stop price.
# 0.98 is arbitrary here.
limit_price = stop_price * 0.98
# 0.99 is arbitrary here.
limit_price = stop_price * 0.99
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount, stop_price=stop_price, rate=limit_price
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
trade.stoploss_last_update = datetime.now()
# Or the trade open and there is already a stoploss on exchange.
# so we check if it is hit ...
@@ -647,10 +648,38 @@ class FreqtradeBot(object):
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
trade.update(order)
result = True
else:
result = False
elif self.config.get('trailing_stop', False):
# if trailing stoploss is enabled we check if stoploss value has changed
# in which case we cancel stoploss order and put another one with new
# value immediately
self.handle_trailing_stoploss_on_exchange(trade, order)
return result
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order):
"""
Check to see if stoploss on exchange should be updated
in case of trailing stoploss on exchange
:param Trade: Corresponding Trade
:param order: Current on exchange stoploss order
:return: None
"""
if trade.stop_loss > float(order['info']['stopPrice']):
# we check if the update is neccesary
update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() > update_beat:
# cancelling the current stoploss on exchange first
logger.info('Trailing stoploss: cancelling current stoploss on exchange '
'in order to add another one ...')
if self.exchange.cancel_order(order['id'], trade.pair):
# creating the new one
stoploss_order_id = self.exchange.stoploss_limit(
pair=trade.pair, amount=trade.amount,
stop_price=trade.stop_loss, rate=trade.stop_loss * 0.99
)['id']
trade.stoploss_order_id = str(stoploss_order_id)
def check_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool:
if self.edge:
stoploss = self.edge.stoploss(trade.pair)

16
freqtrade/persistence.py
View File

@@ -83,7 +83,7 @@ def check_migrate(engine) -> None:
logger.debug(f'trying {table_back_name}')
# Check for latest column
if not has_column(cols, 'stoploss_order_id'):
if not has_column(cols, 'stoploss_last_update'):
logger.info(f'Running database migration - backup available as {table_back_name}')
fee_open = get_column_def(cols, 'fee_open', 'fee')
@@ -93,6 +93,7 @@ def check_migrate(engine) -> None:
stop_loss = get_column_def(cols, 'stop_loss', '0.0')
initial_stop_loss = get_column_def(cols, 'initial_stop_loss', '0.0')
stoploss_order_id = get_column_def(cols, 'stoploss_order_id', 'null')
stoploss_last_update = get_column_def(cols, 'stoploss_last_update', 'null')
max_rate = get_column_def(cols, 'max_rate', '0.0')
sell_reason = get_column_def(cols, 'sell_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null')
@@ -111,7 +112,8 @@ def check_migrate(engine) -> None:
(id, exchange, pair, is_open, fee_open, fee_close, open_rate,
open_rate_requested, close_rate, close_rate_requested, close_profit,
stake_amount, amount, open_date, close_date, open_order_id,
stop_loss, initial_stop_loss, stoploss_order_id, max_rate, sell_reason, strategy,
stop_loss, initial_stop_loss, stoploss_order_id, stoploss_last_update,
max_rate, sell_reason, strategy,
ticker_interval
)
select id, lower(exchange),
@@ -127,9 +129,9 @@ def check_migrate(engine) -> None:
{close_rate_requested} close_rate_requested, close_profit,
stake_amount, amount, open_date, close_date, open_order_id,
{stop_loss} stop_loss, {initial_stop_loss} initial_stop_loss,
{stoploss_order_id} stoploss_order_id, {max_rate} max_rate,
{sell_reason} sell_reason, {strategy} strategy,
{ticker_interval} ticker_interval
{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
{max_rate} max_rate, {sell_reason} sell_reason,
{strategy} strategy, {ticker_interval} ticker_interval
from {table_back_name}
""")
@@ -185,6 +187,8 @@ class Trade(_DECL_BASE):
initial_stop_loss = Column(Float, nullable=True, default=0.0)
# stoploss order id which is on exchange
stoploss_order_id = Column(String, nullable=True, index=True)
# last update time of the stoploss order on exchange
stoploss_last_update = Column(DateTime, nullable=True)
# absolute value of the highest reached price
max_rate = Column(Float, nullable=True, default=0.0)
sell_reason = Column(String, nullable=True)
@@ -218,11 +222,13 @@ class Trade(_DECL_BASE):
logger.debug("assigning new stop loss")
self.stop_loss = new_loss
self.initial_stop_loss = new_loss
self.stoploss_last_update = datetime.utcnow()
# evaluate if the stop loss needs to be updated
else:
if new_loss > self.stop_loss: # stop losses only walk up, never down!
self.stop_loss = new_loss
self.stoploss_last_update = datetime.utcnow()
logger.debug("adjusted stop loss")
else:
logger.debug("keeping current stop loss")

22
freqtrade/strategy/interface.py
View File

@@ -80,7 +80,8 @@ class IStrategy(ABC):
'buy': 'limit',
'sell': 'limit',
'stoploss': 'limit',
'stoploss_on_exchange': False
'stoploss_on_exchange': False,
'stoploss_on_exchange_interval': 60,
}
# Optional time in force
@@ -233,12 +234,9 @@ class IStrategy(ABC):
current_rate = low or rate
current_profit = trade.calc_profit_percent(current_rate)
if self.order_types.get('stoploss_on_exchange'):
stoplossflag = SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
else:
stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
current_time=date, current_profit=current_profit,
force_stoploss=force_stoploss)
stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
current_time=date, current_profit=current_profit,
force_stoploss=force_stoploss)
if stoplossflag.sell_flag:
return stoplossflag
@@ -276,12 +274,13 @@ class IStrategy(ABC):
"""
trailing_stop = self.config.get('trailing_stop', False)
trade.adjust_stop_loss(trade.open_rate, force_stoploss if force_stoploss
else self.stoploss, initial=True)
# evaluate if the stoploss was hit
if self.stoploss is not None and trade.stop_loss >= current_rate:
# evaluate if the stoploss was hit if stoploss is not on exchange
if ((self.stoploss is not None) and
(trade.stop_loss >= current_rate) and
(not self.order_types.get('stoploss_on_exchange'))):
selltype = SellType.STOP_LOSS
# If Trailing stop (and max-rate did move above open rate)
if trailing_stop and trade.open_rate != trade.max_rate:
@@ -301,7 +300,8 @@ class IStrategy(ABC):
# check if we have a special stop loss for positive condition
# and if profit is positive
stop_loss_value = self.stoploss
stop_loss_value = force_stoploss if force_stoploss else self.stoploss
sl_offset = self.config.get('trailing_stop_positive_offset', 0.0)
if 'trailing_stop_positive' in self.config and current_profit > sl_offset:

205
freqtrade/tests/test_freqtradebot.py
View File

@@ -1014,6 +1014,211 @@ def test_handle_stoploss_on_exchange(mocker, default_conf, fee, caplog,
assert trade.is_open is False
def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, caplog,
markets, limit_buy_order, limit_sell_order) -> None:
# When trailing stoploss is set
stoploss_limit = MagicMock(return_value={'id': 13434334})
patch_RPCManager(mocker)
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=MagicMock(return_value={
'bid': 0.00001172,
'ask': 0.00001173,
'last': 0.00001172
}),
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
sell=MagicMock(return_value={'id': limit_sell_order['id']}),
get_fee=fee,
get_markets=markets,
stoploss_limit=stoploss_limit
)
# enabling TSL
default_conf['trailing_stop'] = True
# disabling ROI
default_conf['minimal_roi']['0'] = 999999999
freqtrade = FreqtradeBot(default_conf)
# enabling stoploss on exchange
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
# setting stoploss
freqtrade.strategy.stoploss = -0.05
# setting stoploss_on_exchange_interval to 60 seconds
freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 60
patch_get_signal(freqtrade)
freqtrade.create_trade()
trade = Trade.query.first()
trade.is_open = True
trade.open_order_id = None
trade.stoploss_order_id = 100
stoploss_order_hanging = MagicMock(return_value={
'id': 100,
'status': 'open',
'type': 'stop_loss_limit',
'price': 3,
'average': 2,
'info': {
'stopPrice': '0.000011134'
}
})
mocker.patch('freqtrade.exchange.Exchange.get_order', stoploss_order_hanging)
# stoploss initially at 5%
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# price jumped 2x
mocker.patch('freqtrade.exchange.Exchange.get_ticker', MagicMock(return_value={
'bid': 0.00002344,
'ask': 0.00002346,
'last': 0.00002344
}))
cancel_order_mock = MagicMock()
stoploss_order_mock = MagicMock()
mocker.patch('freqtrade.exchange.Exchange.cancel_order', cancel_order_mock)
mocker.patch('freqtrade.exchange.Exchange.stoploss_limit', stoploss_order_mock)
# stoploss should not be updated as the interval is 60 seconds
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_not_called()
stoploss_order_mock.assert_not_called()
assert freqtrade.handle_trade(trade) is False
assert trade.stop_loss == 0.00002344 * 0.95
# setting stoploss_on_exchange_interval to 0 seconds
freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0
assert freqtrade.handle_stoploss_on_exchange(trade) is False
cancel_order_mock.assert_called_once_with(100, 'ETH/BTC')
stoploss_order_mock.assert_called_once_with(amount=85.25149190110828,
pair='ETH/BTC',
rate=0.00002344 * 0.95 * 0.99,
stop_price=0.00002344 * 0.95)
def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog,
markets, limit_buy_order, limit_sell_order) -> None:
# When trailing stoploss is set
stoploss_limit = MagicMock(return_value={'id': 13434334})
patch_RPCManager(mocker)
patch_exchange(mocker)
patch_edge(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=MagicMock(return_value={
'bid': 0.00001172,
'ask': 0.00001173,
'last': 0.00001172
}),
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
sell=MagicMock(return_value={'id': limit_sell_order['id']}),
get_fee=fee,
get_markets=markets,
stoploss_limit=stoploss_limit
)
# enabling TSL
edge_conf['trailing_stop'] = True
edge_conf['trailing_stop_positive'] = 0.01
edge_conf['trailing_stop_positive_offset'] = 0.011
# disabling ROI
edge_conf['minimal_roi']['0'] = 999999999
freqtrade = FreqtradeBot(edge_conf)
# enabling stoploss on exchange
freqtrade.strategy.order_types['stoploss_on_exchange'] = True
# setting stoploss
freqtrade.strategy.stoploss = -0.02
# setting stoploss_on_exchange_interval to 0 second
freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0
patch_get_signal(freqtrade)
freqtrade.active_pair_whitelist = freqtrade.edge.adjust(freqtrade.active_pair_whitelist)
freqtrade.create_trade()
trade = Trade.query.first()
trade.is_open = True
trade.open_order_id = None
trade.stoploss_order_id = 100
stoploss_order_hanging = MagicMock(return_value={
'id': 100,
'status': 'open',
'type': 'stop_loss_limit',
'price': 3,
'average': 2,
'info': {
'stopPrice': '0.000009384'
}
})
mocker.patch('freqtrade.exchange.Exchange.get_order', stoploss_order_hanging)
# stoploss initially at 20% as edge dictated it.
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
assert trade.stop_loss == 0.000009384
cancel_order_mock = MagicMock()
stoploss_order_mock = MagicMock()
mocker.patch('freqtrade.exchange.Exchange.cancel_order', cancel_order_mock)
mocker.patch('freqtrade.exchange.Exchange.stoploss_limit', stoploss_order_mock)
# price goes down 5%
mocker.patch('freqtrade.exchange.Exchange.get_ticker', MagicMock(return_value={
'bid': 0.00001172 * 0.95,
'ask': 0.00001173 * 0.95,
'last': 0.00001172 * 0.95
}))
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# stoploss should remain the same
assert trade.stop_loss == 0.000009384
# stoploss on exchange should not be canceled
cancel_order_mock.assert_not_called()
# price jumped 2x
mocker.patch('freqtrade.exchange.Exchange.get_ticker', MagicMock(return_value={
'bid': 0.00002344,
'ask': 0.00002346,
'last': 0.00002344
}))
assert freqtrade.handle_trade(trade) is False
assert freqtrade.handle_stoploss_on_exchange(trade) is False
# stoploss should be set to 1% as trailing is on
assert trade.stop_loss == 0.00002344 * 0.99
cancel_order_mock.assert_called_once_with(100, 'NEO/BTC')
stoploss_order_mock.assert_called_once_with(amount=2131074.168797954,
pair='NEO/BTC',
rate=0.00002344 * 0.99 * 0.99,
stop_price=0.00002344 * 0.99)
def test_process_maybe_execute_buy(mocker, default_conf) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)

1
freqtrade/tests/test_persistence.py
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@@ -516,6 +516,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
assert trade.strategy is None
assert trade.ticker_interval is None
assert trade.stoploss_order_id is None
assert trade.stoploss_last_update is None
assert log_has("trying trades_bak1", caplog.record_tuples)
assert log_has("trying trades_bak2", caplog.record_tuples)
assert log_has("Running database migration - backup available as trades_bak2",