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Merge pull request #6692 from eSeR1805/feat_readjust_entry

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Feature: Readjust Entry Order
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Matthias 2022-05-07 20:11:20 +02:00 committed by GitHub
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2
docs/bot-basics.md
View File

@ -34,6 +34,7 @@ By default, loop runs every few seconds (`internals.process_throttle_secs`) and
* Check timeouts for open orders.
* Calls `check_entry_timeout()` strategy callback for open entry orders.
* Calls `check_exit_timeout()` strategy callback for open exit orders.
* Calls `adjust_entry_price()` strategy callback for open entry orders.
* Verifies existing positions and eventually places exit orders.
* Considers stoploss, ROI and exit-signal, `custom_exit()` and `custom_stoploss()`.
* Determine exit-price based on `exit_pricing` configuration setting or by using the `custom_exit_price()` callback.
@ -58,6 +59,7 @@ This loop will be repeated again and again until the bot is stopped.
* Calculate entry / exit signals (calls `populate_entry_trend()` and `populate_exit_trend()` once per pair).
* Loops per candle simulating entry and exit points.
* Check for Order timeouts, either via the `unfilledtimeout` configuration, or via `check_entry_timeout()` / `check_exit_timeout()` strategy callbacks.
* Calls `adjust_entry_price()` strategy callback for open entry orders.
* Check for trade entry signals (`enter_long` / `enter_short` columns).
* Confirm trade entry / exits (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy).
* Call `custom_entry_price()` (if implemented in the strategy) to determine entry price (Prices are moved to be within the opening candle).

64
docs/strategy-callbacks.md
View File

@ -17,6 +17,7 @@ Currently available callbacks:
* [`confirm_trade_entry()`](#trade-entry-buy-order-confirmation)
* [`confirm_trade_exit()`](#trade-exit-sell-order-confirmation)
* [`adjust_trade_position()`](#adjust-trade-position)
* [`adjust_entry_price()`](#adjust-entry-price)
* [`leverage()`](#leverage-callback)
!!! Tip "Callback calling sequence"
@ -713,6 +714,69 @@ class DigDeeperStrategy(IStrategy):
```
## Adjust Entry Price
The `adjust_entry_price()` callback may be used by strategy developer to refresh/replace limit orders upon arrival of new candles.
Be aware that `custom_entry_price()` is still the one dictating initial entry limit order price target at the time of entry trigger.
Orders can be cancelled out of this callback by returning `None`.
Returning `current_order_rate` will keep the order on the exchange "as is".
Returning any other price will cancel the existing order, and replace it with a new order.
The trade open-date (`trade.open_date_utc`) will remain at the time of the very first order placed.
Please make sure to be aware of this - and eventually adjust your logic in other callbacks to account for this, and use the date of the first filled order instead.
!!! Warning "Regular timeout"
Entry `unfilledtimeout` mechanism (as well as `check_entry_timeout()`) takes precedence over this.
Entry Orders that are cancelled via the above methods will not have this callback called. Be sure to update timeout values to match your expectations.
```python
from freqtrade.persistence import Trade
from datetime import timedelta
class AwesomeStrategy(IStrategy):
# ... populate_* methods
def adjust_entry_price(self, trade: Trade, order: Optional[Order], pair: str,
current_time: datetime, proposed_rate: float, current_order_rate: float,
entry_tag: Optional[str], side: str, **kwargs) -> float:
"""
Entry price re-adjustment logic, returning the user desired limit price.
This only executes when a order was already placed, still open (unfilled fully or partially)
and not timed out on subsequent candles after entry trigger.
When not implemented by a strategy, returns current_order_rate as default.
If current_order_rate is returned then the existing order is maintained.
If None is returned then order gets canceled but not replaced by a new one.
:param pair: Pair that's currently analyzed
:param trade: Trade object.
:param order: Order object
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in entry_pricing.
:param current_order_rate: Rate of the existing order in place.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param side: 'long' or 'short' - indicating the direction of the proposed trade
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New entry price value if provided
"""
# Limit orders to use and follow SMA200 as price target for the first 10 minutes since entry trigger for BTC/USDT pair.
if pair == 'BTC/USDT' and entry_tag == 'long_sma200' and side == 'long' and (current_time - timedelta(minutes=10) > trade.open_date_utc:
# just cancel the order if it has been filled more than half of the amount
if order.filled > order.remaining:
return None
else:
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
current_candle = dataframe.iloc[-1].squeeze()
# desired price
return current_candle['sma_200']
# default: maintain existing order
return current_order_rate
```
## Leverage Callback
When trading in markets that allow leverage, this method must return the desired Leverage (Defaults to 1 -> No leverage).

2
freqtrade/constants.py
View File

@ -483,6 +483,8 @@ CANCEL_REASON = {
"ALL_CANCELLED": "cancelled (all unfilled and partially filled open orders cancelled)",
"CANCELLED_ON_EXCHANGE": "cancelled on exchange",
"FORCE_EXIT": "forcesold",
"REPLACE": "cancelled to be replaced by new limit order",
"USER_CANCEL": "user requested order cancel"
}
# List of pairs with their timeframes

123
freqtrade/freqtradebot.py
View File

@ -22,6 +22,7 @@ from freqtrade.enums import (ExitCheckTuple, ExitType, RPCMessageType, RunMode,
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, PricingError)
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import timeframe_to_next_date
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
from freqtrade.mixins import LoggingMixin
from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
@ -190,8 +191,8 @@ class FreqtradeBot(LoggingMixin):
self.strategy.analyze(self.active_pair_whitelist)
with self._exit_lock:
# Check and handle any timed out open orders
self.check_handle_timedout()
# Check for exchange cancelations, timeouts and user requested replace
self.manage_open_orders()
# Protect from collisions with force_exit.
# Without this, freqtrade my try to recreate stoploss_on_exchange orders
@ -1115,13 +1116,13 @@ class FreqtradeBot(LoggingMixin):
return True
return False
def check_handle_timedout(self) -> None:
def manage_open_orders(self) -> None:
"""
Check if any orders are timed out and cancel if necessary
:param timeoutvalue: Number of minutes until order is considered timed out
Management of open orders on exchange. Unfilled orders might be cancelled if timeout
was met or replaced if there's a new candle and user has requested it.
Timeout setting takes priority over limit order adjustment request.
:return: None
"""
for trade in Trade.get_open_order_trades():
try:
if not trade.open_order_id:
@ -1132,33 +1133,87 @@ class FreqtradeBot(LoggingMixin):
continue
fully_cancelled = self.update_trade_state(trade, trade.open_order_id, order)
is_entering = order['side'] == trade.entry_side
not_closed = order['status'] == 'open' or fully_cancelled
max_timeouts = self.config.get('unfilledtimeout', {}).get('exit_timeout_count', 0)
order_obj = trade.select_order_by_order_id(trade.open_order_id)
if not_closed and (fully_cancelled or (order_obj and self.strategy.ft_check_timed_out(
trade, order_obj, datetime.now(timezone.utc)))
):
if is_entering:
self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT'])
if not_closed:
if fully_cancelled or (order_obj and self.strategy.ft_check_timed_out(
trade, order_obj, datetime.now(timezone.utc))):
self.handle_timedout_order(order, trade)
else:
canceled = self.handle_cancel_exit(
trade, order, constants.CANCEL_REASON['TIMEOUT'])
canceled_count = trade.get_exit_order_count()
max_timeouts = self.config.get(
'unfilledtimeout', {}).get('exit_timeout_count', 0)
if canceled and max_timeouts > 0 and canceled_count >= max_timeouts:
logger.warning(f'Emergency exiting trade {trade}, as the exit order '
f'timed out {max_timeouts} times.')
try:
self.execute_trade_exit(
trade, order.get('price'),
exit_check=ExitCheckTuple(exit_type=ExitType.EMERGENCY_EXIT))
except DependencyException as exception:
logger.warning(
f'Unable to emergency sell trade {trade.pair}: {exception}')
self.replace_order(order, order_obj, trade)
def handle_timedout_order(self, order: Dict, trade: Trade) -> None:
"""
Check if current analyzed order timed out and cancel if necessary.
:param order: Order dict grabbed with exchange.fetch_order()
:param trade: Trade object.
:return: None
"""
if order['side'] == trade.entry_side:
self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT'])
else:
canceled = self.handle_cancel_exit(
trade, order, constants.CANCEL_REASON['TIMEOUT'])
canceled_count = trade.get_exit_order_count()
max_timeouts = self.config.get('unfilledtimeout', {}).get('exit_timeout_count', 0)
if canceled and max_timeouts > 0 and canceled_count >= max_timeouts:
logger.warning(f'Emergency exiting trade {trade}, as the exit order '
f'timed out {max_timeouts} times.')
try:
self.execute_trade_exit(
trade, order['price'],
exit_check=ExitCheckTuple(exit_type=ExitType.EMERGENCY_EXIT))
except DependencyException as exception:
logger.warning(
f'Unable to emergency sell trade {trade.pair}: {exception}')
def replace_order(self, order: Dict, order_obj: Optional[Order], trade: Trade) -> None:
"""
Check if current analyzed entry order should be replaced or simply cancelled.
To simply cancel the existing order(no replacement) adjust_entry_price() should return None
To maintain existing order adjust_entry_price() should return order_obj.price
To replace existing order adjust_entry_price() should return desired price for limit order
:param order: Order dict grabbed with exchange.fetch_order()
:param order_obj: Order object.
:param trade: Trade object.
:return: None
"""
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
self.strategy.timeframe)
latest_candle_open_date = analyzed_df.iloc[-1]['date'] if len(analyzed_df) > 0 else None
latest_candle_close_date = timeframe_to_next_date(self.strategy.timeframe,
latest_candle_open_date)
# Check if new candle
if order_obj and latest_candle_close_date > order_obj.order_date_utc:
# New candle
proposed_rate = self.exchange.get_rate(
trade.pair, side='entry', is_short=trade.is_short, refresh=True)
adjusted_entry_price = strategy_safe_wrapper(self.strategy.adjust_entry_price,
default_retval=order_obj.price)(
trade=trade, order=order_obj, pair=trade.pair,
current_time=datetime.now(timezone.utc), proposed_rate=proposed_rate,
current_order_rate=order_obj.price, entry_tag=trade.enter_tag,
side=trade.entry_side)
full_cancel = False
cancel_reason = constants.CANCEL_REASON['REPLACE']
if not adjusted_entry_price:
full_cancel = True if trade.nr_of_successful_entries == 0 else False
cancel_reason = constants.CANCEL_REASON['USER_CANCEL']
if order_obj.price != adjusted_entry_price:
# cancel existing order if new price is supplied or None
self.handle_cancel_enter(trade, order, cancel_reason,
allow_full_cancel=full_cancel)
if adjusted_entry_price:
# place new order only if new price is supplied
self.execute_entry(
pair=trade.pair,
stake_amount=(order_obj.remaining * order_obj.price),
price=adjusted_entry_price,
trade=trade,
is_short=trade.is_short
)
def cancel_all_open_orders(self) -> None:
"""
@ -1180,7 +1235,10 @@ class FreqtradeBot(LoggingMixin):
self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
Trade.commit()
def handle_cancel_enter(self, trade: Trade, order: Dict, reason: str) -> bool:
def handle_cancel_enter(
self, trade: Trade, order: Dict, reason: str,
allow_full_cancel: Optional[bool] = True
) -> bool:
"""
Buy cancel - cancel order
:return: True if order was fully cancelled
@ -1218,9 +1276,10 @@ class FreqtradeBot(LoggingMixin):
# Using filled to determine the filled amount
filled_amount = safe_value_fallback2(corder, order, 'filled', 'filled')
if isclose(filled_amount, 0.0, abs_tol=constants.MATH_CLOSE_PREC):
logger.info(f'{side} order fully cancelled. Removing {trade} from database.')
# if trade is not partially completed and it's the only order, just delete the trade
if len(trade.orders) <= 1:
open_order_count = len([order for order in trade.orders if order.status == 'open'])
if open_order_count <= 1 and allow_full_cancel:
logger.info(f'{side} order fully cancelled. Removing {trade} from database.')
trade.delete()
was_trade_fully_canceled = True
reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"

100
freqtrade/optimize/backtesting.py
View File

@ -713,19 +713,25 @@ class Backtesting:
def _enter_trade(self, pair: str, row: Tuple, direction: LongShort,
stake_amount: Optional[float] = None,
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
trade: Optional[LocalTrade] = None,
requested_rate: Optional[float] = None,
requested_stake: Optional[float] = None) -> Optional[LocalTrade]:
current_time = row[DATE_IDX].to_pydatetime()
entry_tag = row[ENTER_TAG_IDX] if len(row) >= ENTER_TAG_IDX + 1 else None
# let's call the custom entry price, using the open price as default price
order_type = self.strategy.order_types['entry']
pos_adjust = trade is not None
pos_adjust = trade is not None and requested_rate is None
propose_rate, stake_amount, leverage, min_stake_amount = self.get_valid_price_and_stake(
pair, row, row[OPEN_IDX], stake_amount, direction, current_time, entry_tag, trade,
order_type
)
# replace proposed rate if another rate was requested
propose_rate = requested_rate if requested_rate else propose_rate
stake_amount = requested_stake if requested_stake else stake_amount
if not stake_amount:
# In case of pos adjust, still return the original trade
# If not pos adjust, trade is None
@ -807,7 +813,7 @@ class Backtesting:
cost=stake_amount + trade.fee_open,
)
if pos_adjust and self._get_order_filled(order.price, row):
order.close_bt_order(current_time)
order.close_bt_order(current_time, trade)
else:
trade.open_order_id = str(self.order_id_counter)
trade.orders.append(order)
@ -867,30 +873,78 @@ class Backtesting:
self.protections.stop_per_pair(pair, current_time, side)
self.protections.global_stop(current_time, side)
def check_order_cancel(self, trade: LocalTrade, current_time) -> bool:
def manage_open_orders(self, trade: LocalTrade, current_time, row: Tuple) -> bool:
"""
Check if an order has been canceled.
Returns True if the trade should be Deleted (initial order was canceled).
Check if any open order needs to be cancelled or replaced.
Returns True if the trade should be deleted.
"""
for order in [o for o in trade.orders if o.ft_is_open]:
if self.check_order_cancel(trade, order, current_time):
# delete trade due to order timeout
return True
elif self.check_order_replace(trade, order, current_time, row):
# delete trade due to user request
return True
# default maintain trade
return False
timedout = self.strategy.ft_check_timed_out(trade, order, current_time)
if timedout:
if order.side == trade.entry_side:
self.timedout_entry_orders += 1
if trade.nr_of_successful_entries == 0:
# Remove trade due to entry timeout expiration.
return True
else:
# Close additional entry order
del trade.orders[trade.orders.index(order)]
if order.side == trade.exit_side:
self.timedout_exit_orders += 1
# Close exit order and retry exiting on next signal.
def check_order_cancel(self, trade: LocalTrade, order: Order, current_time) -> bool:
"""
Check if current analyzed order has to be canceled.
Returns True if the trade should be Deleted (initial order was canceled).
"""
timedout = self.strategy.ft_check_timed_out(trade, order, current_time)
if timedout:
if order.side == trade.entry_side:
self.timedout_entry_orders += 1
if trade.nr_of_successful_entries == 0:
# Remove trade due to entry timeout expiration.
return True
else:
# Close additional entry order
del trade.orders[trade.orders.index(order)]
if order.side == trade.exit_side:
self.timedout_exit_orders += 1
# Close exit order and retry exiting on next signal.
del trade.orders[trade.orders.index(order)]
return False
def check_order_replace(self, trade: LocalTrade, order: Order, current_time,
row: Tuple) -> bool:
"""
Check if current analyzed entry order has to be replaced and do so.
If user requested cancellation and there are no filled orders in the trade will
instruct caller to delete the trade.
Returns True if the trade should be deleted.
"""
# only check on new candles for open entry orders
if order.side == trade.entry_side and current_time > order.order_date_utc:
requested_rate = strategy_safe_wrapper(self.strategy.adjust_entry_price,
default_retval=order.price)(
trade=trade, order=order, pair=trade.pair, current_time=current_time,
proposed_rate=row[OPEN_IDX], current_order_rate=order.price,
entry_tag=trade.enter_tag, side=trade.trade_direction
) # default value is current order price
# cancel existing order whenever a new rate is requested (or None)
if requested_rate == order.price:
# assumption: there can't be multiple open entry orders at any given time
return False
else:
del trade.orders[trade.orders.index(order)]
# place new order if result was not None
if requested_rate:
self._enter_trade(pair=trade.pair, row=row, trade=trade,
requested_rate=requested_rate,
requested_stake=(order.remaining * order.price),
direction='short' if trade.is_short else 'long')
else:
# assumption: there can't be multiple open entry orders at any given time
return (trade.nr_of_successful_entries == 0)
return False
def validate_row(
self, data: Dict, pair: str, row_index: int, current_time: datetime) -> Optional[Tuple]:
try:
@ -960,9 +1014,9 @@ class Backtesting:
self.dataprovider._set_dataframe_max_index(row_index)
for t in list(open_trades[pair]):
# 1. Cancel expired entry/exit orders.
if self.check_order_cancel(t, current_time):
# Close trade due to entry timeout expiration.
# 1. Manage currently open orders of active trades
if self.manage_open_orders(t, current_time, row):
# Close trade
open_trade_count -= 1
open_trades[pair].remove(t)
self.wallets.update()
@ -993,7 +1047,7 @@ class Backtesting:
# 3. Process entry orders.
order = trade.select_order(trade.entry_side, is_open=True)
if order and self._get_order_filled(order.price, row):
order.close_bt_order(current_time)
order.close_bt_order(current_time, trade)
trade.open_order_id = None
LocalTrade.add_bt_trade(trade)
self.wallets.update()

6
freqtrade/persistence/models.py
View File

@ -219,11 +219,15 @@ class Order(_DECL_BASE):
'remaining': self.remaining,
}
def close_bt_order(self, close_date: datetime):
def close_bt_order(self, close_date: datetime, trade: 'LocalTrade'):
self.order_filled_date = close_date
self.filled = self.amount
self.status = 'closed'
self.ft_is_open = False
if (self.ft_order_side == trade.entry_side
and len(trade.select_filled_orders(trade.entry_side)) == 1):
trade.open_rate = self.price
trade.recalc_open_trade_value()
@staticmethod
def update_orders(orders: List['Order'], order: Dict[str, Any]):

28
freqtrade/strategy/interface.py
View File

@ -471,6 +471,34 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
return None
def adjust_entry_price(self, trade: Trade, order: Optional[Order], pair: str,
current_time: datetime, proposed_rate: float, current_order_rate: float,
entry_tag: Optional[str], side: str, **kwargs) -> float:
"""
Entry price re-adjustment logic, returning the user desired limit price.
This only executes when a order was already placed, still open (unfilled fully or partially)
and not timed out on subsequent candles after entry trigger.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-callbacks/
When not implemented by a strategy, returns current_order_rate as default.
If current_order_rate is returned then the existing order is maintained.
If None is returned then order gets canceled but not replaced by a new one.
:param pair: Pair that's currently analyzed
:param trade: Trade object.
:param order: Order object
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in entry_pricing.
:param current_order_rate: Rate of the existing order in place.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param side: 'long' or 'short' - indicating the direction of the proposed trade
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New entry price value if provided
"""
return current_order_rate
def leverage(self, pair: str, current_time: datetime, current_rate: float,
proposed_leverage: float, max_leverage: float, side: str,
**kwargs) -> float:

4
freqtrade/templates/base_strategy.py.j2
View File

@ -4,7 +4,9 @@
# --- Do not remove these libs ---
import numpy as np # noqa
import pandas as pd # noqa
from pandas import DataFrame
from pandas import DataFrame # noqa
from datetime import datetime # noqa
from typing import Optional # noqa
from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter,
IStrategy, IntParameter)

36
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@ -13,7 +13,7 @@ def bot_loop_start(self, **kwargs) -> None:
pass
def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate: float,
entry_tag: 'Optional[str]', **kwargs) -> float:
entry_tag: Optional[str], **kwargs) -> float:
"""
Custom entry price logic, returning the new entry price.
@ -30,6 +30,34 @@ def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate:
"""
return proposed_rate
def adjust_entry_price(self, trade: 'Trade', order: 'Optional[Order]', pair: str,
current_time: datetime, proposed_rate: float, current_order_rate: float,
entry_tag: Optional[str], side: str, **kwargs) -> float:
"""
Entry price re-adjustment logic, returning the user desired limit price.
This only executes when a order was already placed, still open (unfilled fully or partially)
and not timed out on subsequent candles after entry trigger.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-callbacks/
When not implemented by a strategy, returns current_order_rate as default.
If current_order_rate is returned then the existing order is maintained.
If None is returned then order gets canceled but not replaced by a new one.
:param pair: Pair that's currently analyzed
:param trade: Trade object.
:param order: Order object
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in entry_pricing.
:param current_order_rate: Rate of the existing order in place.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param side: 'long' or 'short' - indicating the direction of the proposed trade
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New entry price value if provided
"""
return current_order_rate
def custom_exit_price(self, pair: str, trade: 'Trade',
current_time: 'datetime', proposed_rate: float,
current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
@ -53,7 +81,7 @@ def custom_exit_price(self, pair: str, trade: 'Trade',
def custom_stake_amount(self, pair: str, current_time: 'datetime', current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
side: str, entry_tag: 'Optional[str]', **kwargs) -> float:
side: str, entry_tag: Optional[str], **kwargs) -> float:
"""
Customize stake size for each new trade.
@ -118,7 +146,7 @@ def custom_exit(self, pair: str, trade: 'Trade', current_time: 'datetime', curre
return None
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
time_in_force: str, current_time: datetime, entry_tag: 'Optional[str]',
time_in_force: str, current_time: datetime, entry_tag: Optional[str],
side: str, **kwargs) -> bool:
"""
Called right before placing a entry order.
@ -217,7 +245,7 @@ def check_exit_timeout(self, pair: str, trade: 'Trade', order: 'Order',
def adjust_trade_position(self, trade: 'Trade', current_time: 'datetime',
current_rate: float, current_profit: float, min_stake: float,
max_stake: float, **kwargs) -> 'Optional[float]':
max_stake: float, **kwargs) -> Optional[float]:
"""
Custom trade adjustment logic, returning the stake amount that a trade should be increased.
This means extra buy orders with additional fees.

2
tests/optimize/__init__.py
View File

@ -40,6 +40,8 @@ class BTContainer(NamedTuple):
custom_entry_price: Optional[float] = None
custom_exit_price: Optional[float] = None
leverage: float = 1.0
timeout: Optional[int] = None
adjust_entry_price: Optional[float] = None
def _get_frame_time_from_offset(offset):

67
tests/optimize/test_backtest_detail.py
View File

@ -754,6 +754,62 @@ tc47 = BTContainer(data=[
trades=[]
)
# Test 48: Custom-entry-price below all candles - readjust order
tc48 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # timeout
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.087,
use_exit_signal=True, timeout=1000,
custom_entry_price=4200, adjust_entry_price=5200,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)]
)
# Test 49: Custom-entry-price short above all candles - readjust order
tc49 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5200, 4951, 5000, 6172, 0, 0, 0, 0], # timeout
[2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust
[3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.05,
use_exit_signal=True, timeout=1000,
custom_entry_price=5300, adjust_entry_price=5000,
trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)]
)
# Test 50: Custom-entry-price below all candles - readjust order cancels order
tc50 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], # Enter long - place order
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # Order readjust - cancel order
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.0,
use_exit_signal=True, timeout=1000,
custom_entry_price=4200, adjust_entry_price=None,
trades=[]
)
# Test 51: Custom-entry-price below all candles - readjust order leaves order in place and timeout.
tc51 = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], # Enter long - place order
[1, 5000, 5500, 4951, 5000, 6172, 0, 0], # Order readjust - replace order
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust - maintain order
[3, 5100, 5100, 4650, 4750, 6172, 0, 0], # Timeout
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.0,
use_exit_signal=True, timeout=60,
custom_entry_price=4200, adjust_entry_price=4100,
trades=[]
)
TESTS = [
tc0,
@ -804,6 +860,10 @@ TESTS = [
tc45,
tc46,
tc47,
tc48,
tc49,
tc50,
tc51,
]
@ -817,6 +877,11 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
default_conf["timeframe"] = tests_timeframe
default_conf["trailing_stop"] = data.trailing_stop
default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached
if data.timeout:
default_conf['unfilledtimeout'].update({
'entry': data.timeout,
'exit': data.timeout,
})
# Only add this to configuration If it's necessary
if data.trailing_stop_positive is not None:
default_conf["trailing_stop_positive"] = data.trailing_stop_positive
@ -840,6 +905,8 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
backtesting.strategy.custom_entry_price = MagicMock(return_value=data.custom_entry_price)
if data.custom_exit_price:
backtesting.strategy.custom_exit_price = MagicMock(return_value=data.custom_exit_price)
backtesting.strategy.adjust_entry_price = MagicMock(return_value=data.adjust_entry_price)
backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
backtesting.strategy.leverage = lambda **kwargs: data.leverage
caplog.set_level(logging.DEBUG)

165
tests/test_freqtradebot.py
View File

@ -2362,7 +2362,7 @@ def test_bot_loop_start_called_once(mocker, default_conf_usdt, caplog):
@pytest.mark.parametrize("is_short", [False, True])
def test_check_handle_timedout_entry_usercustom(
def test_manage_open_orders_entry_usercustom(
default_conf_usdt, ticker_usdt, limit_buy_order_old, open_trade,
limit_sell_order_old, fee, mocker, is_short
) -> None:
@ -2394,12 +2394,12 @@ def test_check_handle_timedout_entry_usercustom(
Trade.query.session.add(open_trade)
# Ensure default is to return empty (so not mocked yet)
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
# Return false - trade remains open
freqtrade.strategy.check_entry_timeout = MagicMock(return_value=False)
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
nb_trades = len(trades)
@ -2407,7 +2407,7 @@ def test_check_handle_timedout_entry_usercustom(
assert freqtrade.strategy.check_entry_timeout.call_count == 1
freqtrade.strategy.check_entry_timeout = MagicMock(side_effect=KeyError)
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
nb_trades = len(trades)
@ -2416,7 +2416,7 @@ def test_check_handle_timedout_entry_usercustom(
freqtrade.strategy.check_entry_timeout = MagicMock(return_value=True)
# Trade should be closed since the function returns true
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_wr_mock.call_count == 1
assert rpc_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
@ -2426,7 +2426,7 @@ def test_check_handle_timedout_entry_usercustom(
@pytest.mark.parametrize("is_short", [False, True])
def test_check_handle_timedout_entry(
def test_manage_open_orders_entry(
default_conf_usdt, ticker_usdt, limit_buy_order_old, open_trade,
limit_sell_order_old, fee, mocker, is_short
) -> None:
@ -2450,8 +2450,9 @@ def test_check_handle_timedout_entry(
Trade.query.session.add(open_trade)
freqtrade.strategy.check_entry_timeout = MagicMock(return_value=False)
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1234)
# check it does cancel buy orders over the time limit
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 1
assert rpc_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
@ -2459,6 +2460,99 @@ def test_check_handle_timedout_entry(
assert nb_trades == 0
# Custom user buy-timeout is never called
assert freqtrade.strategy.check_entry_timeout.call_count == 0
# Entry adjustment is never called
assert freqtrade.strategy.adjust_entry_price.call_count == 0
@pytest.mark.parametrize("is_short", [False, True])
def test_adjust_entry_cancel(
default_conf_usdt, ticker_usdt, limit_buy_order_old, open_trade,
limit_sell_order_old, fee, mocker, caplog, is_short
) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
old_order = limit_sell_order_old if is_short else limit_buy_order_old
old_order['id'] = open_trade.open_order_id
limit_buy_cancel = deepcopy(old_order)
limit_buy_cancel['status'] = 'canceled'
cancel_order_mock = MagicMock(return_value=limit_buy_cancel)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker_usdt,
fetch_order=MagicMock(return_value=old_order),
cancel_order_with_result=cancel_order_mock,
get_fee=fee
)
open_trade.is_short = is_short
Trade.query.session.add(open_trade)
# Timeout to not interfere
freqtrade.strategy.ft_check_timed_out = MagicMock(return_value=False)
# check that order is cancelled
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=None)
freqtrade.manage_open_orders()
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
assert len(trades) == 0
assert len(Order.query.all()) == 0
assert log_has_re(
f"{'Sell' if is_short else 'Buy'} order user requested order cancel*", caplog)
assert log_has_re(
f"{'Sell' if is_short else 'Buy'} order fully cancelled.*", caplog)
# Entry adjustment is called
assert freqtrade.strategy.adjust_entry_price.call_count == 1
@pytest.mark.parametrize("is_short", [False, True])
def test_adjust_entry_maintain_replace(
default_conf_usdt, ticker_usdt, limit_buy_order_old, open_trade,
limit_sell_order_old, fee, mocker, caplog, is_short
) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
old_order = limit_sell_order_old if is_short else limit_buy_order_old
old_order['id'] = open_trade.open_order_id
limit_buy_cancel = deepcopy(old_order)
limit_buy_cancel['status'] = 'canceled'
cancel_order_mock = MagicMock(return_value=limit_buy_cancel)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker_usdt,
fetch_order=MagicMock(return_value=old_order),
cancel_order_with_result=cancel_order_mock,
get_fee=fee
)
open_trade.is_short = is_short
Trade.query.session.add(open_trade)
# Timeout to not interfere
freqtrade.strategy.ft_check_timed_out = MagicMock(return_value=False)
# Check that order is maintained
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=old_order['price'])
freqtrade.manage_open_orders()
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
assert len(trades) == 1
assert len(Order.get_open_orders()) == 1
# Entry adjustment is called
assert freqtrade.strategy.adjust_entry_price.call_count == 1
# Check that order is replaced
freqtrade.get_valid_enter_price_and_stake = MagicMock(return_value={100, 10, 1})
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1234)
freqtrade.manage_open_orders()
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
assert len(trades) == 1
nb_all_orders = len(Order.query.all())
assert nb_all_orders == 2
# New order seems to be in closed status?
# nb_open_orders = len(Order.get_open_orders())
# assert nb_open_orders == 1
assert log_has_re(
f"{'Sell' if is_short else 'Buy'} order cancelled to be replaced*", caplog)
# Entry adjustment is called
assert freqtrade.strategy.adjust_entry_price.call_count == 1
@pytest.mark.parametrize("is_short", [False, True])
@ -2484,18 +2578,17 @@ def test_check_handle_cancelled_buy(
Trade.query.session.add(open_trade)
# check it does cancel buy orders over the time limit
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
assert rpc_mock.call_count == 1
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
nb_trades = len(trades)
assert nb_trades == 0
assert len(trades) == 0
assert log_has_re(
f"{'Sell' if is_short else 'Buy'} order cancelled on exchange for Trade.*", caplog)
@pytest.mark.parametrize("is_short", [False, True])
def test_check_handle_timedout_buy_exception(
def test_manage_open_orders_buy_exception(
default_conf_usdt, ticker_usdt, open_trade, is_short, fee, mocker
) -> None:
rpc_mock = patch_RPCManager(mocker)
@ -2515,7 +2608,7 @@ def test_check_handle_timedout_buy_exception(
Trade.query.session.add(open_trade)
# check it does cancel buy orders over the time limit
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
assert rpc_mock.call_count == 0
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
@ -2524,7 +2617,7 @@ def test_check_handle_timedout_buy_exception(
@pytest.mark.parametrize("is_short", [False, True])
def test_check_handle_timedout_exit_usercustom(
def test_manage_open_orders_exit_usercustom(
default_conf_usdt, ticker_usdt, limit_sell_order_old, mocker,
is_short, open_trade_usdt, caplog
) -> None:
@ -2553,13 +2646,13 @@ def test_check_handle_timedout_exit_usercustom(
Trade.query.session.add(open_trade_usdt)
# Ensure default is false
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
freqtrade.strategy.check_exit_timeout = MagicMock(return_value=False)
freqtrade.strategy.check_entry_timeout = MagicMock(return_value=False)
# Return false - No impact
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
assert rpc_mock.call_count == 0
assert open_trade_usdt.is_open is False
@ -2569,7 +2662,7 @@ def test_check_handle_timedout_exit_usercustom(
freqtrade.strategy.check_exit_timeout = MagicMock(side_effect=KeyError)
freqtrade.strategy.check_entry_timeout = MagicMock(side_effect=KeyError)
# Return Error - No impact
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
assert rpc_mock.call_count == 0
assert open_trade_usdt.is_open is False
@ -2579,7 +2672,7 @@ def test_check_handle_timedout_exit_usercustom(
# Return True - sells!
freqtrade.strategy.check_exit_timeout = MagicMock(return_value=True)
freqtrade.strategy.check_entry_timeout = MagicMock(return_value=True)
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 1
assert rpc_mock.call_count == 1
assert open_trade_usdt.is_open is True
@ -2592,7 +2685,7 @@ def test_check_handle_timedout_exit_usercustom(
mocker.patch('freqtrade.persistence.Trade.get_exit_order_count', return_value=1)
mocker.patch('freqtrade.freqtradebot.FreqtradeBot.execute_trade_exit',
side_effect=DependencyException)
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert log_has_re('Unable to emergency sell .*', caplog)
et_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.execute_trade_exit')
@ -2602,16 +2695,16 @@ def test_check_handle_timedout_exit_usercustom(
# If cancelling fails - no emergency sell!
with patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_exit', return_value=False):
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert et_mock.call_count == 0
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert log_has_re('Emergency exiting trade.*', caplog)
assert et_mock.call_count == 1
@pytest.mark.parametrize("is_short", [False, True])
def test_check_handle_timedout_exit(
def test_manage_open_orders_exit(
default_conf_usdt, ticker_usdt, limit_sell_order_old, mocker, is_short, open_trade_usdt
) -> None:
rpc_mock = patch_RPCManager(mocker)
@ -2638,7 +2731,7 @@ def test_check_handle_timedout_exit(
freqtrade.strategy.check_exit_timeout = MagicMock(return_value=False)
freqtrade.strategy.check_entry_timeout = MagicMock(return_value=False)
# check it does cancel sell orders over the time limit
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 1
assert rpc_mock.call_count == 1
assert open_trade_usdt.is_open is True
@ -2674,7 +2767,7 @@ def test_check_handle_cancelled_exit(
Trade.query.session.add(open_trade_usdt)
# check it does cancel sell orders over the time limit
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 0
assert rpc_mock.call_count == 1
assert open_trade_usdt.is_open is True
@ -2684,7 +2777,7 @@ def test_check_handle_cancelled_exit(
@pytest.mark.parametrize("is_short", [False, True])
@pytest.mark.parametrize("leverage", [1, 3, 5, 10])
def test_check_handle_timedout_partial(
def test_manage_open_orders_partial(
default_conf_usdt, ticker_usdt, limit_buy_order_old_partial, is_short, leverage,
open_trade, mocker
) -> None:
@ -2710,7 +2803,7 @@ def test_check_handle_timedout_partial(
# check it does cancel buy orders over the time limit
# note this is for a partially-complete buy order
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert cancel_order_mock.call_count == 1
assert rpc_mock.call_count == 2
trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all()
@ -2721,7 +2814,7 @@ def test_check_handle_timedout_partial(
@pytest.mark.parametrize("is_short", [False, True])
def test_check_handle_timedout_partial_fee(
def test_manage_open_orders_partial_fee(
default_conf_usdt, ticker_usdt, open_trade, caplog, fee, is_short,
limit_buy_order_old_partial, trades_for_order,
limit_buy_order_old_partial_canceled, mocker
@ -2753,7 +2846,7 @@ def test_check_handle_timedout_partial_fee(
Trade.query.session.add(open_trade)
# cancelling a half-filled order should update the amount to the bought amount
# and apply fees if necessary.
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert log_has_re(r"Applying fee on amount for Trade.*", caplog)
@ -2770,7 +2863,7 @@ def test_check_handle_timedout_partial_fee(
@pytest.mark.parametrize("is_short", [False, True])
def test_check_handle_timedout_partial_except(
def test_manage_open_orders_partial_except(
default_conf_usdt, ticker_usdt, open_trade, caplog, fee, is_short,
limit_buy_order_old_partial, trades_for_order,
limit_buy_order_old_partial_canceled, mocker
@ -2801,7 +2894,7 @@ def test_check_handle_timedout_partial_except(
Trade.query.session.add(open_trade)
# cancelling a half-filled order should update the amount to the bought amount
# and apply fees if necessary.
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert log_has_re(r"Could not update trade amount: .*", caplog)
@ -2817,8 +2910,8 @@ def test_check_handle_timedout_partial_except(
assert trades[0].fee_open == fee()
def test_check_handle_timedout_exception(default_conf_usdt, ticker_usdt, open_trade_usdt, mocker,
caplog) -> None:
def test_manage_open_orders_exception(default_conf_usdt, ticker_usdt, open_trade_usdt, mocker,
caplog) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
cancel_order_mock = MagicMock()
@ -2839,7 +2932,7 @@ def test_check_handle_timedout_exception(default_conf_usdt, ticker_usdt, open_tr
Trade.query.session.add(open_trade_usdt)
caplog.clear()
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
assert log_has_re(r"Cannot query order for Trade\(id=1, pair=ADA/USDT, amount=30.00000000, "
r"is_short=False, leverage=1.0, "
r"open_rate=2.00000000, open_since="
@ -3396,7 +3489,7 @@ def test_execute_trade_exit_with_stoploss_on_exchange(
assert trade
trades = [trade]
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
freqtrade.exit_positions(trades)
# Increase the price and sell it
@ -3448,7 +3541,7 @@ def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(
# Create some test data
freqtrade.enter_positions()
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
trade = Trade.query.first()
trades = [trade]
assert trade.stoploss_order_id is None
@ -5214,7 +5307,7 @@ def test_position_adjust(mocker, default_conf_usdt, fee) -> None:
assert trade.stake_amount == 110
assert not trade.fee_updated('buy')
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
trade = Trade.query.first()
assert trade
@ -5320,7 +5413,7 @@ def test_position_adjust(mocker, default_conf_usdt, fee) -> None:
MagicMock(return_value=closed_dca_order_1))
mocker.patch('freqtrade.exchange.Exchange.fetch_order_or_stoploss_order',
MagicMock(return_value=closed_dca_order_1))
freqtrade.check_handle_timedout()
freqtrade.manage_open_orders()
# Assert trade is as expected (averaged dca)
trade = Trade.query.first()

92
tests/test_integration.py
View File

@ -351,3 +351,95 @@ def test_dca_short(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
assert trade.nr_of_successful_entries == 2
assert trade.nr_of_successful_exits == 1
def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
default_conf_usdt['position_adjustment_enable'] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker_usdt,
get_fee=fee,
amount_to_precision=lambda s, x, y: y,
price_to_precision=lambda s, x, y: y,
)
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled', return_value=False)
patch_get_signal(freqtrade)
freqtrade.strategy.custom_entry_price = lambda **kwargs: ticker_usdt['ask'] * 0.96
freqtrade.enter_positions()
assert len(Trade.get_trades().all()) == 1
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert trade.open_order_id is not None
assert pytest.approx(trade.stake_amount) == 60
assert trade.open_rate == 1.96
# No adjustment
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert trade.open_order_id is not None
assert pytest.approx(trade.stake_amount) == 60
# Cancel order and place new one
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1.99)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert trade.open_order_id is not None
# Open rate is not adjusted yet
assert trade.open_rate == 1.96
# Fill order
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled', return_value=True)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 2
assert trade.open_order_id is None
# Open rate is not adjusted yet
assert trade.open_rate == 1.99
# 2nd order - not filling
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=120)
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled', return_value=False)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 3
assert trade.open_order_id is not None
assert trade.open_rate == 1.99
assert trade.orders[-1].price == 1.96
assert trade.orders[-1].cost == 120
# Replace new order with diff. order at a lower price
freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1.95)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 4
assert trade.open_order_id is not None
assert trade.open_rate == 1.99
assert trade.orders[-1].price == 1.95
assert pytest.approx(trade.orders[-1].cost) == 120
# Fill DCA order
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=None)
mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled', return_value=True)
freqtrade.strategy.adjust_entry_price = MagicMock(side_effect=ValueError)
freqtrade.process()
trade = Trade.get_trades().first()
assert len(trade.orders) == 4
assert trade.open_order_id is None
assert pytest.approx(trade.open_rate) == 1.963153456
assert trade.orders[-1].price == 1.95
assert pytest.approx(trade.orders[-1].cost) == 120
assert trade.orders[-1].status == 'closed'
assert pytest.approx(trade.amount) == 91.689215
# Check the 2 filled orders equal the above amount
assert pytest.approx(trade.orders[1].amount) == 30.150753768
assert pytest.approx(trade.orders[-1].amount) == 61.538461232