Merge branch 'freqtrade:develop' into develop

.github/workflows/ci.yml

@@ -66,12 +66,12 @@ jobs:
     - name: Tests
       run: |
         pytest --random-order --cov=freqtrade --cov-config=.coveragerc
-      if: matrix.python-version != '3.9'
+      if: matrix.python-version != '3.9' || matrix.os != 'ubuntu-22.04'
 
     - name: Tests incl. ccxt compatibility tests
       run: |
         pytest --random-order --cov=freqtrade --cov-config=.coveragerc --longrun
-      if: matrix.python-version == '3.9'
+      if: matrix.python-version == '3.9' && matrix.os == 'ubuntu-22.04'
 
     - name: Coveralls
       if: (runner.os == 'Linux' && matrix.python-version == '3.9')

.pre-commit-config.yaml

@@ -13,7 +13,7 @@ repos:
       - id: mypy
         exclude: build_helpers
         additional_dependencies:
-          - types-cachetools==5.0.1
+          - types-cachetools==5.0.2
           - types-filelock==3.2.7
           - types-requests==2.27.30
           - types-tabulate==0.8.9

docs/backtesting.md

@@ -300,6 +300,7 @@ A backtesting result will look like that:
 | Absolute profit             | 0.00762792 BTC      |
 | Total profit %              | 76.2%               |
 | CAGR %                      | 460.87%             |
+| Profit factor               | 1.11                |
 | Avg. stake amount           | 0.001      BTC      |
 | Total trade volume          | 0.429      BTC      |
 |                             |                     |
@@ -399,6 +400,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Absolute profit             | 0.00762792 BTC      |
 | Total profit %              | 76.2%               |
 | CAGR %                      | 460.87%             |
+| Profit factor               | 1.11                |
 | Avg. stake amount           | 0.001      BTC      |
 | Total trade volume          | 0.429      BTC      |
 |                             |                     |
@@ -444,6 +446,8 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Final balance`: Final balance - starting balance + absolute profit.
 - `Absolute profit`: Profit made in stake currency.
 - `Total profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
+- `CAGR %`: Compound annual growth rate.
+- `Profit factor`: profit / loss.
 - `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
 - `Total trade volume`: Volume generated on the exchange to reach the above profit.
 - `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`.

docs/leverage.md

@@ -64,7 +64,10 @@ You will also have to pick a "margin mode" (explanation below) - with freqtrade
 
 ### Margin mode
 
-The possible values are: `isolated`, or `cross`(*currently unavailable*)
+On top of `trading_mode` - you will also have to configure your `margin_mode`.
+While freqtrade currently only supports one margin mode, this will change, and by configuring it now you're all set for future updates.
+
+The possible values are: `isolated`, or `cross`(*currently unavailable*).
 
 #### Isolated margin mode
 
@@ -82,6 +85,16 @@ One account is used to share collateral between markets (trading pairs). Margin
 "margin_mode": "cross"
 ```
 
+## Set leverage to use
+
+Different strategies and risk profiles will require different levels of leverage.
+While you could configure one static leverage value - freqtrade offers you the flexibility to adjust this via [strategy leverage callback](strategy-callbacks.md#leverage-callback) - which allows you to use different leverages by pair, or based on some other factor benefitting your strategy result.
+
+If not implemented, leverage defaults to 1x (no leverage).
+
+!!! Warning
+    Higher leverage also equals higher risk - be sure you fully understand the implications of using leverage!
+
 ## Understand `liquidation_buffer`
 
 *Defaults to `0.05`*

docs/requirements-docs.txt

@@ -1,5 +1,5 @@
 mkdocs==1.3.0
-mkdocs-material==8.3.4
+mkdocs-material==8.3.6
 mdx_truly_sane_lists==1.2
 pymdown-extensions==9.5
 jinja2==3.1.2

docs/stoploss.md

@@ -191,6 +191,19 @@ For example, simplified math:
 !!! Tip
     Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade.
 
+## Stoploss and Leverage
+
+Stoploss should be thought of as "risk on this trade" - so a stoploss of 10% on a 100$ trade means you are willing to lose 10$ (10%) on this trade - which would trigger if the price moves 10% to the downside.
+
+When using leverage, the same principle is applied - with stoploss defining the risk on the trade (the amount you are willing to lose).
+
+Therefore, a stoploss of 10% on a 10x trade would trigger on a 1% price move.
+If your stake amount (own capital) was 100$ - this trade would be 1000$ at 10x (after leverage).
+If price moves 1% - you've lost 10$ of your own capital - therfore stoploss will trigger in this case.
+
+Make sure to be aware of this, and avoid using too tight stoploss (at 10x leverage, 10% risk may be too little to allow the trade to "breath" a little).
+
+
 ## Changing stoploss on open trades
 
 A stoploss on an open trade can be changed by changing the value in the configuration or strategy and use the `/reload_config` command (alternatively, completely stopping and restarting the bot also works).

docs/strategy-callbacks.md

@@ -823,3 +823,6 @@ class AwesomeStrategy(IStrategy):
         """
         return 1.0
 ```
+
+All profit calculations include leverage. Stoploss / ROI also include leverage in their calculation.
+Defining a stoploss of 10% at 10x leverage would trigger the stoploss with a 1% move to the downside.

docs/telegram-usage.md

@@ -171,8 +171,8 @@ official commands. You can ask at any moment for help with `/help`.
 | `/locks` | Show currently locked pairs.
 | `/unlock <pair or lock_id>` | Remove the lock for this pair (or for this lock id).
 | `/profit [<n>]` | Display a summary of your profit/loss from close trades and some stats about your performance, over the last n days (all trades by default)
-| `/forceexit <trade_id>` | Instantly exits the given trade  (Ignoring `minimum_roi`).
+| `/forceexit <trade_id> | /fx <tradeid>` | Instantly exits the given trade  (Ignoring `minimum_roi`).
-| `/forceexit all` | Instantly exits all open trades (Ignoring `minimum_roi`).
+| `/forceexit all | /fx all` | Instantly exits all open trades (Ignoring `minimum_roi`).
 | `/fx` | alias for `/forceexit`
 | `/forcelong <pair> [rate]` | Instantly buys the given pair. Rate is optional and only applies to limit orders. (`force_entry_enable` must be set to True)
 | `/forceshort <pair> [rate]` | Instantly shorts the given pair. Rate is optional and only applies to limit orders. This will only work on non-spot markets. (`force_entry_enable` must be set to True)
@@ -270,10 +270,15 @@ Return a summary of your profit/loss and performance.
 > **Latest Trade opened:** `2 minutes ago`  
 > **Avg. Duration:** `2:33:45`  
 > **Best Performing:** `PAY/BTC: 50.23%`  
+> **Trading volume:** `0.5 BTC`  
+> **Profit factor:** `1.04`  
+> **Max Drawdown:** `9.23% (0.01255 BTC)`  
 
 The relative profit of `1.2%` is the average profit per trade.  
 The relative profit of `15.2 Σ%` is be based on the starting capital - so in this case, the starting capital was `0.00485701 * 1.152 = 0.00738 BTC`.  
 Starting capital is either taken from the `available_capital` setting, or calculated by using current wallet size - profits.  
+Profit Factor is calculated as gross profits / gross losses - and should serve as an overall metric for the strategy.  
+Max drawdown corresponds to the backtesting metric `Absolute Drawdown (Account)` - calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`.
 
 ### /forceexit <trade_id>
 
@@ -281,6 +286,7 @@ Starting capital is either taken from the `available_capital` setting, or calcul
 
 !!! Tip
     You can get a list of all open trades by calling `/forceexit` without parameter, which will show a list of buttons to simply exit a trade.
+    This command has an alias in `/fx` - which has the same capabilities, but is faster to type in "emergency" situations.
 
 ### /forcelong <pair> [rate] | /forceshort <pair> [rate]
 

freqtrade/data/history/history_utils.py

@@ -221,7 +221,7 @@ def _download_pair_history(pair: str, *,
             prepend=prepend)
 
         logger.info(f'({process}) - Download history data for "{pair}", {timeframe}, '
-                    f'{candle_type} and store in {datadir}.'
+                    f'{candle_type} and store in {datadir}. '
                     f'From {format_ms_time(since_ms) if since_ms else "start"} to '
                     f'{format_ms_time(until_ms) if until_ms else "now"}'
                     )

freqtrade/exchange/exchange.py

@@ -93,7 +93,7 @@ class Exchange:
         :return: None
         """
         self._api: ccxt.Exchange
-        self._api_async: ccxt_async.Exchange
+        self._api_async: ccxt_async.Exchange = None
         self._markets: Dict = {}
         self._trading_fees: Dict[str, Any] = {}
         self._leverage_tiers: Dict[str, List[Dict]] = {}
@@ -2131,10 +2131,11 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
-    @retrier
+    @retrier_async
-    def get_market_leverage_tiers(self, symbol) -> List[Dict]:
+    async def get_market_leverage_tiers(self, symbol: str) -> Tuple[str, List[Dict]]:
         try:
-            return self._api.fetch_market_leverage_tiers(symbol)
+            tier = await self._api_async.fetch_market_leverage_tiers(symbol)
+            return symbol, tier
         except ccxt.DDoSProtection as e:
             raise DDosProtection(e) from e
         except (ccxt.NetworkError, ccxt.ExchangeError) as e:
@@ -2168,8 +2169,14 @@ class Exchange:
                     f"Initializing leverage_tiers for {len(symbols)} markets. "
                     "This will take about a minute.")
 
-                for symbol in sorted(symbols):
+                coros = [self.get_market_leverage_tiers(symbol) for symbol in sorted(symbols)]
-                    tiers[symbol] = self.get_market_leverage_tiers(symbol)
+
+                for input_coro in chunks(coros, 100):
+
+                    results = self.loop.run_until_complete(
+                        asyncio.gather(*input_coro, return_exceptions=True))
+                    for symbol, res in results:
+                        tiers[symbol] = res
 
                 logger.info(f"Done initializing {len(symbols)} markets.")
 

freqtrade/exchange/gateio.py

@@ -3,6 +3,7 @@ import logging
 from datetime import datetime
 from typing import Dict, List, Optional, Tuple
 
+from freqtrade.constants import BuySell
 from freqtrade.enums import MarginMode, TradingMode
 from freqtrade.exceptions import OperationalException
 from freqtrade.exchange import Exchange
@@ -24,6 +25,8 @@ class Gateio(Exchange):
     _ft_has: Dict = {
         "ohlcv_candle_limit": 1000,
         "ohlcv_volume_currency": "quote",
+        "time_in_force_parameter": "timeInForce",
+        "order_time_in_force": ['gtc', 'ioc'],
         "stoploss_order_types": {"limit": "limit"},
         "stoploss_on_exchange": True,
     }
@@ -40,13 +43,33 @@ class Gateio(Exchange):
     ]
 
     def validate_ordertypes(self, order_types: Dict) -> None:
-        super().validate_ordertypes(order_types)
 
         if self.trading_mode != TradingMode.FUTURES:
             if any(v == 'market' for k, v in order_types.items()):
                 raise OperationalException(
                     f'Exchange {self.name} does not support market orders.')
 
+    def _get_params(
+            self,
+            side: BuySell,
+            ordertype: str,
+            leverage: float,
+            reduceOnly: bool,
+            time_in_force: str = 'gtc',
+            ) -> Dict:
+        params = super()._get_params(
+            side=side,
+            ordertype=ordertype,
+            leverage=leverage,
+            reduceOnly=reduceOnly,
+            time_in_force=time_in_force,
+        )
+        if ordertype == 'market' and self.trading_mode == TradingMode.FUTURES:
+            params['type'] = 'market'
+            param = self._ft_has.get('time_in_force_parameter', '')
+            params.update({param: 'ioc'})
+        return params
+
     def get_trades_for_order(self, order_id: str, pair: str, since: datetime,
                              params: Optional[Dict] = None) -> List:
         trades = super().get_trades_for_order(order_id, pair, since, params)
@@ -61,7 +84,8 @@ class Gateio(Exchange):
             pair_fees = self._trading_fees.get(pair, {})
             if pair_fees:
                 for idx, trade in enumerate(trades):
-                    if trade.get('fee', {}).get('cost') is None:
+                    fee = trade.get('fee', {})
+                    if fee and fee.get('cost') is None:
                         takerOrMaker = trade.get('takerOrMaker', 'taker')
                         if pair_fees.get(takerOrMaker) is not None:
                             trades[idx]['fee'] = {

freqtrade/optimize/backtesting.py

@@ -1055,6 +1055,7 @@ class Backtesting:
                         # Close trade
                         open_trade_count -= 1
                         open_trades[pair].remove(t)
+                        LocalTrade.trades_open.remove(t)
                         self.wallets.update()
 
                 # 2. Process entries.
@@ -1078,6 +1079,8 @@ class Backtesting:
                         open_trade_count += 1
                         # logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
                         open_trades[pair].append(trade)
+                        LocalTrade.add_bt_trade(trade)
+                        self.wallets.update()
 
                 for trade in list(open_trades[pair]):
                     # 3. Process entry orders.
@@ -1085,7 +1088,6 @@ class Backtesting:
                     if order and self._get_order_filled(order.price, row):
                         order.close_bt_order(current_time, trade)
                         trade.open_order_id = None
-                        LocalTrade.add_bt_trade(trade)
                         self.wallets.update()
 
                     # 4. Create exit orders (if any)

freqtrade/optimize/optimize_reports.py

@@ -416,6 +416,9 @@ def generate_strategy_stats(pairlist: List[str],
                     key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
     worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
                      key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
+    winning_profit = results.loc[results['profit_abs'] > 0, 'profit_abs'].sum()
+    losing_profit = results.loc[results['profit_abs'] < 0, 'profit_abs'].sum()
+    profit_factor = winning_profit / abs(losing_profit) if losing_profit else 0.0
 
     backtest_days = (max_date - min_date).days or 1
     strat_stats = {
@@ -443,6 +446,7 @@ def generate_strategy_stats(pairlist: List[str],
         'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
         'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
         'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
+        'profit_factor': profit_factor,
         'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
         'backtest_start_ts': int(min_date.timestamp() * 1000),
         'backtest_end': max_date.strftime(DATETIME_PRINT_FORMAT),
@@ -497,8 +501,10 @@ def generate_strategy_stats(pairlist: List[str],
         (drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
          max_drawdown) = calculate_max_drawdown(
              results, value_col='profit_abs', starting_balance=start_balance)
+        # max_relative_drawdown = Underwater
         (_, _, _, _, _, max_relative_drawdown) = calculate_max_drawdown(
              results, value_col='profit_abs', starting_balance=start_balance, relative=True)
+
         strat_stats.update({
             'max_drawdown': max_drawdown_legacy,  # Deprecated - do not use
             'max_drawdown_account': max_drawdown,
@@ -777,6 +783,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                                   strat_results['stake_currency'])),
             ('Total profit %', f"{strat_results['profit_total']:.2%}"),
             ('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'),
+            ('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
+                              in strat_results else 'N/A'),
             ('Trades per day', strat_results['trades_per_day']),
             ('Avg. daily profit %',
              f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),

freqtrade/persistence/trade_model.py

@@ -8,7 +8,7 @@ from typing import Any, Dict, List, Optional
 
 from sqlalchemy import (Boolean, Column, DateTime, Enum, Float, ForeignKey, Integer, String,
                         UniqueConstraint, desc, func)
-from sqlalchemy.orm import Query, relationship
+from sqlalchemy.orm import Query, lazyload, relationship
 
 from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES, BuySell, LongShort
 from freqtrade.enums import ExitType, TradingMode
@@ -624,8 +624,8 @@ class LocalTrade():
         """
         self.close_rate = rate
         self.close_date = self.close_date or datetime.utcnow()
-        self.close_profit = self.calc_profit_ratio()
+        self.close_profit = self.calc_profit_ratio(rate)
-        self.close_profit_abs = self.calc_profit()
+        self.close_profit_abs = self.calc_profit(rate)
         self.is_open = False
         self.exit_order_status = 'closed'
         self.open_order_id = None
@@ -693,10 +693,9 @@ class LocalTrade():
         """
         self.open_trade_value = self._calc_open_trade_value()
 
-    def calculate_interest(self, interest_rate: Optional[float] = None) -> Decimal:
+    def calculate_interest(self) -> Decimal:
         """
-        :param interest_rate: interest_charge for borrowing this coin(optional).
+        Calculate interest for this trade. Only applicable for Margin trading.
-        If interest_rate is not set self.interest_rate will be used
         """
         zero = Decimal(0.0)
         # If nothing was borrowed
@@ -709,34 +708,26 @@ class LocalTrade():
         total_seconds = Decimal((now - open_date).total_seconds())
         hours = total_seconds / sec_per_hour or zero
 
-        rate = Decimal(interest_rate or self.interest_rate)
+        rate = Decimal(self.interest_rate)
         borrowed = Decimal(self.borrowed)
 
         return interest(exchange_name=self.exchange, borrowed=borrowed, rate=rate, hours=hours)
 
-    def _calc_base_close(self, amount: Decimal, rate: Optional[float] = None,
+    def _calc_base_close(self, amount: Decimal, rate: float, fee: float) -> Decimal:
-                         fee: Optional[float] = None) -> Decimal:
 
-        close_trade = Decimal(amount) * Decimal(rate or self.close_rate)  # type: ignore
+        close_trade = amount * Decimal(rate)
-        fees = close_trade * Decimal(fee or self.fee_close)
+        fees = close_trade * Decimal(fee)
 
         if self.is_short:
             return close_trade + fees
         else:
             return close_trade - fees
 
-    def calc_close_trade_value(self, rate: Optional[float] = None,
+    def calc_close_trade_value(self, rate: float) -> float:
-                               fee: Optional[float] = None,
-                               interest_rate: Optional[float] = None) -> float:
         """
-        Calculate the close_rate including fee
+        Calculate the Trade's close value including fees
-        :param fee: fee to use on the close rate (optional).
+        :param rate: rate to compare with.
-            If rate is not set self.fee will be used
+        :return: value in stake currency of the open trade
-        :param rate: rate to compare with (optional).
-            If rate is not set self.close_rate will be used
-        :param interest_rate: interest_charge for borrowing this coin (optional).
-            If interest_rate is not set self.interest_rate will be used
-        :return: Price in BTC of the open trade
         """
         if rate is None and not self.close_rate:
             return 0.0
@@ -745,49 +736,38 @@ class LocalTrade():
         trading_mode = self.trading_mode or TradingMode.SPOT
 
         if trading_mode == TradingMode.SPOT:
-            return float(self._calc_base_close(amount, rate, fee))
+            return float(self._calc_base_close(amount, rate, self.fee_close))
 
         elif (trading_mode == TradingMode.MARGIN):
 
-            total_interest = self.calculate_interest(interest_rate)
+            total_interest = self.calculate_interest()
 
             if self.is_short:
                 amount = amount + total_interest
-                return float(self._calc_base_close(amount, rate, fee))
+                return float(self._calc_base_close(amount, rate, self.fee_close))
             else:
                 # Currency already owned for longs, no need to purchase
-                return float(self._calc_base_close(amount, rate, fee) - total_interest)
+                return float(self._calc_base_close(amount, rate, self.fee_close) - total_interest)
 
         elif (trading_mode == TradingMode.FUTURES):
             funding_fees = self.funding_fees or 0.0
             # Positive funding_fees -> Trade has gained from fees.
             # Negative funding_fees -> Trade had to pay the fees.
             if self.is_short:
-                return float(self._calc_base_close(amount, rate, fee)) - funding_fees
+                return float(self._calc_base_close(amount, rate, self.fee_close)) - funding_fees
             else:
-                return float(self._calc_base_close(amount, rate, fee)) + funding_fees
+                return float(self._calc_base_close(amount, rate, self.fee_close)) + funding_fees
         else:
             raise OperationalException(
                 f"{self.trading_mode.value} trading is not yet available using freqtrade")
 
-    def calc_profit(self, rate: Optional[float] = None,
+    def calc_profit(self, rate: float) -> float:
-                    fee: Optional[float] = None,
-                    interest_rate: Optional[float] = None) -> float:
         """
         Calculate the absolute profit in stake currency between Close and Open trade
-        :param fee: fee to use on the close rate (optional).
+        :param rate: close rate to compare with.
-            If fee is not set self.fee will be used
-        :param rate: close rate to compare with (optional).
-            If rate is not set self.close_rate will be used
-        :param interest_rate: interest_charge for borrowing this coin (optional).
-            If interest_rate is not set self.interest_rate will be used
         :return: profit in stake currency as float
         """
-        close_trade_value = self.calc_close_trade_value(
+        close_trade_value = self.calc_close_trade_value(rate)
-            rate=(rate or self.close_rate),
-            fee=(fee or self.fee_close),
-            interest_rate=(interest_rate or self.interest_rate)
-        )
 
         if self.is_short:
             profit = self.open_trade_value - close_trade_value
@@ -795,23 +775,13 @@ class LocalTrade():
             profit = close_trade_value - self.open_trade_value
         return float(f"{profit:.8f}")
 
-    def calc_profit_ratio(self, rate: Optional[float] = None,
+    def calc_profit_ratio(self, rate: float) -> float:
-                          fee: Optional[float] = None,
-                          interest_rate: Optional[float] = None) -> float:
         """
         Calculates the profit as ratio (including fee).
-        :param rate: rate to compare with (optional).
+        :param rate: rate to compare with.
-            If rate is not set self.close_rate will be used
-        :param fee: fee to use on the close rate (optional).
-        :param interest_rate: interest_charge for borrowing this coin (optional).
-            If interest_rate is not set self.interest_rate will be used
         :return: profit ratio as float
         """
-        close_trade_value = self.calc_close_trade_value(
+        close_trade_value = self.calc_close_trade_value(rate)
-            rate=(rate or self.close_rate),
-            fee=(fee or self.fee_close),
-            interest_rate=(interest_rate or self.interest_rate)
-        )
 
         short_close_zero = (self.is_short and close_trade_value == 0.0)
         long_close_zero = (not self.is_short and self.open_trade_value == 0.0)
@@ -1145,7 +1115,7 @@ class Trade(_DECL_BASE, LocalTrade):
             )
 
     @staticmethod
-    def get_trades(trade_filter=None) -> Query:
+    def get_trades(trade_filter=None, include_orders: bool = True) -> Query:
         """
         Helper function to query Trades using filters.
         NOTE: Not supported in Backtesting.
@@ -1160,9 +1130,14 @@ class Trade(_DECL_BASE, LocalTrade):
         if trade_filter is not None:
             if not isinstance(trade_filter, list):
                 trade_filter = [trade_filter]
-            return Trade.query.filter(*trade_filter)
+            this_query = Trade.query.filter(*trade_filter)
         else:
-            return Trade.query
+            this_query = Trade.query
+        if not include_orders:
+            # Don't load order relations
+            # Consider using noload or raiseload instead of lazyload
+            this_query = this_query.options(lazyload(Trade.orders))
+        return this_query
 
     @staticmethod
     def get_open_order_trades() -> List['Trade']:
@@ -1382,3 +1357,18 @@ class Trade(_DECL_BASE, LocalTrade):
             .group_by(Trade.pair) \
             .order_by(desc('profit_sum')).first()
         return best_pair
+
+    @staticmethod
+    def get_trading_volume(start_date: datetime = datetime.fromtimestamp(0)) -> float:
+        """
+        Get Trade volume based on Orders
+        NOTE: Not supported in Backtesting.
+        :returns: Tuple containing (pair, profit_sum)
+        """
+        trading_volume = Order.query.with_entities(
+            func.sum(Order.cost).label('volume')
+        ).filter(
+            Order.order_filled_date >= start_date,
+            Order.status == 'closed'
+        ).scalar()
+        return trading_volume

freqtrade/rpc/api_server/api_schemas.py

@@ -104,6 +104,10 @@ class Profit(BaseModel):
     best_pair_profit_ratio: float
     winning_trades: int
     losing_trades: int
+    profit_factor: float
+    max_drawdown: float
+    max_drawdown_abs: float
+    trading_volume: Optional[float]
 
 
 class SellReason(BaseModel):
@@ -279,6 +283,7 @@ class OpenTradeSchema(TradeSchema):
 class TradeResponse(BaseModel):
     trades: List[TradeSchema]
     trades_count: int
+    offset: int
     total_trades: int
 
 

freqtrade/rpc/rpc.py

@@ -18,6 +18,7 @@ from freqtrade import __version__
 from freqtrade.configuration.timerange import TimeRange
 from freqtrade.constants import CANCEL_REASON, DATETIME_PRINT_FORMAT
 from freqtrade.data.history import load_data
+from freqtrade.data.metrics import calculate_max_drawdown
 from freqtrade.enums import (CandleType, ExitCheckTuple, ExitType, SignalDirection, State,
                              TradingMode)
 from freqtrade.exceptions import ExchangeError, PricingError
@@ -364,6 +365,7 @@ class RPC:
         return {
             "trades": output,
             "trades_count": len(output),
+            "offset": offset,
             "total_trades": Trade.get_trades([Trade.is_open.is_(False)]).count(),
         }
 
@@ -378,7 +380,7 @@ class RPC:
                 return 'losses'
             else:
                 return 'draws'
-        trades: List[Trade] = Trade.get_trades([Trade.is_open.is_(False)])
+        trades: List[Trade] = Trade.get_trades([Trade.is_open.is_(False)], include_orders=False)
         # Sell reason
         exit_reasons = {}
         for trade in trades:
@@ -406,7 +408,8 @@ class RPC:
         """ Returns cumulative profit statistics """
         trade_filter = ((Trade.is_open.is_(False) & (Trade.close_date >= start_date)) |
                         Trade.is_open.is_(True))
-        trades: List[Trade] = Trade.get_trades(trade_filter).order_by(Trade.id).all()
+        trades: List[Trade] = Trade.get_trades(
+            trade_filter, include_orders=False).order_by(Trade.id).all()
 
         profit_all_coin = []
         profit_all_ratio = []
@@ -415,6 +418,8 @@ class RPC:
         durations = []
         winning_trades = 0
         losing_trades = 0
+        winning_profit = 0.0
+        losing_profit = 0.0
 
         for trade in trades:
             current_rate: float = 0.0
@@ -430,8 +435,10 @@ class RPC:
                 profit_closed_ratio.append(profit_ratio)
                 if trade.close_profit >= 0:
                     winning_trades += 1
+                    winning_profit += trade.close_profit_abs
                 else:
                     losing_trades += 1
+                    losing_profit += trade.close_profit_abs
             else:
                 # Get current rate
                 try:
@@ -447,6 +454,7 @@ class RPC:
             profit_all_ratio.append(profit_ratio)
 
         best_pair = Trade.get_best_pair(start_date)
+        trading_volume = Trade.get_trading_volume(start_date)
 
         # Prepare data to display
         profit_closed_coin_sum = round(sum(profit_closed_coin), 8)
@@ -470,6 +478,21 @@ class RPC:
             profit_closed_ratio_fromstart = profit_closed_coin_sum / starting_balance
             profit_all_ratio_fromstart = profit_all_coin_sum / starting_balance
 
+        profit_factor = winning_profit / abs(losing_profit) if losing_profit else float('inf')
+
+        trades_df = DataFrame([{'close_date': trade.close_date.strftime(DATETIME_PRINT_FORMAT),
+                                'profit_abs': trade.close_profit_abs}
+                               for trade in trades if not trade.is_open])
+        max_drawdown_abs = 0.0
+        max_drawdown = 0.0
+        if len(trades_df) > 0:
+            try:
+                (max_drawdown_abs, _, _, _, _, max_drawdown) = calculate_max_drawdown(
+                    trades_df, value_col='profit_abs', starting_balance=starting_balance)
+            except ValueError:
+                # ValueError if no losing trade.
+                pass
+
         profit_all_fiat = self._fiat_converter.convert_amount(
             profit_all_coin_sum,
             stake_currency,
@@ -508,11 +531,15 @@ class RPC:
             'best_pair_profit_ratio': best_pair[1] if best_pair else 0,
             'winning_trades': winning_trades,
             'losing_trades': losing_trades,
+            'profit_factor': profit_factor,
+            'max_drawdown': max_drawdown,
+            'max_drawdown_abs': max_drawdown_abs,
+            'trading_volume': trading_volume,
         }
 
     def _rpc_balance(self, stake_currency: str, fiat_display_currency: str) -> Dict:
         """ Returns current account balance per crypto """
-        currencies = []
+        currencies: List[Dict] = []
         total = 0.0
         try:
             tickers = self._freqtrade.exchange.get_tickers(cached=True)
@@ -547,13 +574,12 @@ class RPC:
                 except (ExchangeError):
                     logger.warning(f" Could not get rate for pair {coin}.")
                     continue
-            total = total + (est_stake or 0)
+            total = total + est_stake
             currencies.append({
                 'currency': coin,
-                # TODO: The below can be simplified if we don't assign None to values.
+                'free': balance.free,
-                'free': balance.free if balance.free is not None else 0,
+                'balance': balance.total,
-                'balance': balance.total if balance.total is not None else 0,
+                'used': balance.used,
-                'used': balance.used if balance.used is not None else 0,
                 'est_stake': est_stake or 0,
                 'stake': stake_currency,
                 'side': 'long',
@@ -583,7 +609,6 @@ class RPC:
             total, stake_currency, fiat_display_currency) if self._fiat_converter else 0
 
         trade_count = len(Trade.get_trades_proxy())
-        starting_capital_ratio = 0.0
         starting_capital_ratio = (total / starting_capital) - 1 if starting_capital else 0.0
         starting_cap_fiat_ratio = (value / starting_cap_fiat) - 1 if starting_cap_fiat else 0.0
 

freqtrade/rpc/telegram.py

@@ -235,6 +235,14 @@ class Telegram(RPCHandler):
         # This can take up to `timeout` from the call to `start_polling`.
         self._updater.stop()
 
+    def _exchange_from_msg(self, msg: Dict[str, Any]) -> str:
+        """
+        Extracts the exchange name from the given message.
+        :param msg: The message to extract the exchange name from.
+        :return: The exchange name.
+        """
+        return f"{msg['exchange']}{' (dry)' if self._config['dry_run'] else ''}"
+
     def _format_entry_msg(self, msg: Dict[str, Any]) -> str:
         if self._rpc._fiat_converter:
             msg['stake_amount_fiat'] = self._rpc._fiat_converter.convert_amount(
@@ -247,7 +255,7 @@ class Telegram(RPCHandler):
         entry_side = ({'enter': 'Long', 'entered': 'Longed'} if msg['direction'] == 'Long'
                       else {'enter': 'Short', 'entered': 'Shorted'})
         message = (
-            f"{emoji} *{msg['exchange']}:*"
+            f"{emoji} *{self._exchange_from_msg(msg)}:*"
             f" {entry_side['entered'] if is_fill else entry_side['enter']} {msg['pair']}"
             f" (#{msg['trade_id']})\n"
             )
@@ -298,7 +306,7 @@ class Telegram(RPCHandler):
             msg['profit_extra'] = ''
         is_fill = msg['type'] == RPCMessageType.EXIT_FILL
         message = (
-            f"{msg['emoji']} *{msg['exchange']}:* "
+            f"{msg['emoji']} *{self._exchange_from_msg(msg)}:* "
             f"{'Exited' if is_fill else 'Exiting'} {msg['pair']} (#{msg['trade_id']})\n"
         )
         if not is_fill and msg.get('analyzed_candle'):
@@ -334,33 +342,33 @@ class Telegram(RPCHandler):
 
         elif msg_type in (RPCMessageType.ENTRY_CANCEL, RPCMessageType.EXIT_CANCEL):
             msg['message_side'] = 'enter' if msg_type in [RPCMessageType.ENTRY_CANCEL] else 'exit'
-            message = ("\N{WARNING SIGN} *{exchange}:* "
+            message = (f"\N{WARNING SIGN} *{self._exchange_from_msg(msg)}:* "
-                       "Cancelling {message_side} Order for {pair} (#{trade_id}). "
+                       f"Cancelling {msg['message_side']} Order for {msg['pair']} "
-                       "Reason: {reason}.".format(**msg))
+                       f"(#{msg['trade_id']}). Reason: {msg['reason']}.")
 
         elif msg_type == RPCMessageType.PROTECTION_TRIGGER:
             message = (
-                "*Protection* triggered due to {reason}. "
+                f"*Protection* triggered due to {msg['reason']}. "
-                "`{pair}` will be locked until `{lock_end_time}`."
+                f"`{msg['pair']}` will be locked until `{msg['lock_end_time']}`."
-            ).format(**msg)
+            )
 
         elif msg_type == RPCMessageType.PROTECTION_TRIGGER_GLOBAL:
             message = (
-                "*Protection* triggered due to {reason}. "
+                f"*Protection* triggered due to {msg['reason']}. "
-                "*All pairs* will be locked until `{lock_end_time}`."
+                f"*All pairs* will be locked until `{msg['lock_end_time']}`."
-            ).format(**msg)
+            )
 
         elif msg_type == RPCMessageType.STATUS:
-            message = '*Status:* `{status}`'.format(**msg)
+            message = f"*Status:* `{msg['status']}`"
 
         elif msg_type == RPCMessageType.WARNING:
-            message = '\N{WARNING SIGN} *Warning:* `{status}`'.format(**msg)
+            message = f"\N{WARNING SIGN} *Warning:* `{msg['status']}`"
 
         elif msg_type == RPCMessageType.STARTUP:
-            message = '{status}'.format(**msg)
+            message = f"{msg['status']}"
 
         else:
-            raise NotImplementedError('Unknown message type: {}'.format(msg_type))
+            raise NotImplementedError(f"Unknown message type: {msg_type}")
         return message
 
     def send_msg(self, msg: Dict[str, Any]) -> None:
@@ -730,12 +738,18 @@ class Telegram(RPCHandler):
                 f"*Total Trade Count:* `{trade_count}`\n"
                 f"*{'First Trade opened' if not timescale else 'Showing Profit since'}:* "
                 f"`{first_trade_date}`\n"
-                f"*Latest Trade opened:* `{latest_trade_date}\n`"
+                f"*Latest Trade opened:* `{latest_trade_date}`\n"
                 f"*Win / Loss:* `{stats['winning_trades']} / {stats['losing_trades']}`"
             )
             if stats['closed_trade_count'] > 0:
-                markdown_msg += (f"\n*Avg. Duration:* `{avg_duration}`\n"
+                markdown_msg += (
-                                 f"*Best Performing:* `{best_pair}: {best_pair_profit_ratio:.2%}`")
+                    f"\n*Avg. Duration:* `{avg_duration}`\n"
+                    f"*Best Performing:* `{best_pair}: {best_pair_profit_ratio:.2%}`\n"
+                    f"*Trading volume:* `{round_coin_value(stats['trading_volume'], stake_cur)}`\n"
+                    f"*Profit factor:* `{stats['profit_factor']:.2f}`\n"
+                    f"*Max Drawdown:* `{stats['max_drawdown']:.2%} "
+                    f"({round_coin_value(stats['max_drawdown_abs'], stake_cur)})`"
+                )
         self._send_msg(markdown_msg, reload_able=True, callback_path="update_profit",
                        query=update.callback_query)
 
@@ -875,7 +889,7 @@ class Telegram(RPCHandler):
         :return: None
         """
         msg = self._rpc._rpc_start()
-        self._send_msg('Status: `{status}`'.format(**msg))
+        self._send_msg(f"Status: `{msg['status']}`")
 
     @authorized_only
     def _stop(self, update: Update, context: CallbackContext) -> None:
@@ -887,7 +901,7 @@ class Telegram(RPCHandler):
         :return: None
         """
         msg = self._rpc._rpc_stop()
-        self._send_msg('Status: `{status}`'.format(**msg))
+        self._send_msg(f"Status: `{msg['status']}`")
 
     @authorized_only
     def _reload_config(self, update: Update, context: CallbackContext) -> None:
@@ -899,7 +913,7 @@ class Telegram(RPCHandler):
         :return: None
         """
         msg = self._rpc._rpc_reload_config()
-        self._send_msg('Status: `{status}`'.format(**msg))
+        self._send_msg(f"Status: `{msg['status']}`")
 
     @authorized_only
     def _stopbuy(self, update: Update, context: CallbackContext) -> None:
@@ -911,7 +925,7 @@ class Telegram(RPCHandler):
         :return: None
         """
         msg = self._rpc._rpc_stopbuy()
-        self._send_msg('Status: `{status}`'.format(**msg))
+        self._send_msg(f"Status: `{msg['status']}`")
 
     @authorized_only
     def _force_exit(self, update: Update, context: CallbackContext) -> None:
@@ -1073,9 +1087,9 @@ class Telegram(RPCHandler):
             trade_id = int(context.args[0])
             msg = self._rpc._rpc_delete(trade_id)
             self._send_msg((
-                '`{result_msg}`\n'
+                f"`{msg['result_msg']}`\n"
                 'Please make sure to take care of this asset on the exchange manually.'
-            ).format(**msg))
+            ))
 
         except RPCException as e:
             self._send_msg(str(e))
@@ -1403,7 +1417,7 @@ class Telegram(RPCHandler):
             "*/stopbuy:* `Stops buying, but handles open trades gracefully` \n"
             "*/forceexit <trade_id>|all:* `Instantly exits the given trade or all trades, "
             "regardless of profit`\n"
-            "*/fe <trade_id>|all:* `Alias to /forceexit`\n"
+            "*/fx <trade_id>|all:* `Alias to /forceexit`\n"
             f"{force_enter_text if self._config.get('force_entry_enable', False) else ''}"
             "*/delete <trade_id>:* `Instantly delete the given trade in the database`\n"
             "*/whitelist:* `Show current whitelist` \n"

requirements-dev.txt

@@ -22,7 +22,7 @@ time-machine==2.7.0
 nbconvert==6.5.0
 
 # mypy types
-types-cachetools==5.0.1
+types-cachetools==5.0.2
 types-filelock==3.2.7
 types-requests==2.27.30
 types-tabulate==0.8.9

requirements.txt

@@ -2,7 +2,7 @@ numpy==1.22.4
 pandas==1.4.2
 pandas-ta==0.3.14b
 
-ccxt==1.87.12
+ccxt==1.88.15
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==37.0.2
 aiohttp==3.8.1
@@ -41,7 +41,7 @@ aiofiles==0.8.0
 psutil==5.9.1
 
 # Support for colorized terminal output
-colorama==0.4.4
+colorama==0.4.5
 # Building config files interactively
 questionary==1.10.0
 prompt-toolkit==3.0.29

tests/conftest.py

@@ -78,8 +78,20 @@ def get_args(args):
 
 
 # Source: https://stackoverflow.com/questions/29881236/how-to-mock-asyncio-coroutines
-def get_mock_coro(return_value):
+# TODO: This should be replaced with AsyncMock once support for python 3.7 is dropped.
+def get_mock_coro(return_value=None, side_effect=None):
     async def mock_coro(*args, **kwargs):
+        if side_effect:
+            if isinstance(side_effect, list):
+                effect = side_effect.pop(0)
+            else:
+                effect = side_effect
+            if isinstance(effect, Exception):
+                raise effect
+            if callable(effect):
+                return effect(*args, **kwargs)
+            return effect
+        else:
             return return_value
 
     return Mock(wraps=mock_coro)

tests/conftest_trades.py

@@ -29,6 +29,7 @@ def mock_order_1(is_short: bool):
         'average': 0.123,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.129,
         'remaining': 0.0,
     }
 
@@ -65,6 +66,7 @@ def mock_order_2(is_short: bool):
         'price': 0.123,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.129,
         'remaining': 0.0,
     }
 
@@ -79,6 +81,7 @@ def mock_order_2_sell(is_short: bool):
         'price': 0.128,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.129,
         'remaining': 0.0,
     }
 
@@ -126,6 +129,7 @@ def mock_order_3(is_short: bool):
         'price': 0.05,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.129,
         'remaining': 0.0,
     }
 
@@ -141,6 +145,7 @@ def mock_order_3_sell(is_short: bool):
         'average': 0.06,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.129,
         'remaining': 0.0,
     }
 
@@ -186,6 +191,7 @@ def mock_order_4(is_short: bool):
         'price': 0.123,
         'amount': 123.0,
         'filled': 0.0,
+        'cost': 15.129,
         'remaining': 123.0,
     }
 
@@ -225,6 +231,7 @@ def mock_order_5(is_short: bool):
         'price': 0.123,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.129,
         'remaining': 0.0,
     }
 
@@ -239,6 +246,7 @@ def mock_order_5_stoploss(is_short: bool):
         'price': 0.123,
         'amount': 123.0,
         'filled': 0.0,
+        'cost': 0.0,
         'remaining': 123.0,
     }
 
@@ -281,6 +289,7 @@ def mock_order_6(is_short: bool):
         'price': 0.15,
         'amount': 2.0,
         'filled': 2.0,
+        'cost': 0.3,
         'remaining': 0.0,
     }
 
@@ -295,6 +304,7 @@ def mock_order_6_sell(is_short: bool):
         'price': 0.15 if is_short else 0.20,
         'amount': 2.0,
         'filled': 0.0,
+        'cost': 0.0,
         'remaining': 2.0,
     }
 
@@ -337,6 +347,7 @@ def short_order():
         'price': 0.123,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.129,
         'remaining': 0.0,
     }
 
@@ -351,6 +362,7 @@ def exit_short_order():
         'price': 0.128,
         'amount': 123.0,
         'filled': 123.0,
+        'cost': 15.744,
         'remaining': 0.0,
     }
 
@@ -424,6 +436,7 @@ def leverage_order():
         'amount': 123.0,
         'filled': 123.0,
         'remaining': 0.0,
+        'cost': 15.129,
         'leverage': 5.0
     }
 
@@ -439,6 +452,7 @@ def leverage_order_sell():
         'amount': 123.0,
         'filled': 123.0,
         'remaining': 0.0,
+        'cost': 15.744,
         'leverage': 5.0
     }
 

tests/exchange/test_ccxt_compat.py

@@ -199,8 +199,13 @@ class TestCCXTExchange():
         l2 = exchange.fetch_l2_order_book(pair)
         assert 'asks' in l2
         assert 'bids' in l2
+        assert len(l2['asks']) >= 1
+        assert len(l2['bids']) >= 1
         l2_limit_range = exchange._ft_has['l2_limit_range']
         l2_limit_range_required = exchange._ft_has['l2_limit_range_required']
+        if exchangename == 'gateio':
+            # TODO: Gateio is unstable here at the moment, ignoring the limit partially.
+            return
         for val in [1, 2, 5, 25, 100]:
             l2 = exchange.fetch_l2_order_book(pair, val)
             if not l2_limit_range or val in l2_limit_range:

tests/exchange/test_gateio.py

@@ -33,6 +33,12 @@ def test_validate_order_types_gateio(default_conf, mocker):
                        match=r'Exchange .* does not support market orders.'):
         ExchangeResolver.load_exchange('gateio', default_conf, True)
 
+    # market-orders supported on futures markets.
+    default_conf['trading_mode'] = 'futures'
+    default_conf['margin_mode'] = 'isolated'
+    ex = ExchangeResolver.load_exchange('gateio', default_conf, True)
+    assert ex
+
 
 @pytest.mark.usefixtures("init_persistence")
 def test_fetch_stoploss_order_gateio(default_conf, mocker):

tests/exchange/test_okx.py

@@ -6,7 +6,7 @@ import pytest
 from freqtrade.enums import MarginMode, TradingMode
 from freqtrade.enums.candletype import CandleType
 from freqtrade.exchange.exchange import timeframe_to_minutes
-from tests.conftest import get_patched_exchange
+from tests.conftest import get_mock_coro, get_patched_exchange
 from tests.exchange.test_exchange import ccxt_exceptionhandlers
 
 
@@ -273,7 +273,7 @@ def test_load_leverage_tiers_okx(default_conf, mocker, markets):
         'fetchLeverageTiers': False,
         'fetchMarketLeverageTiers': True,
     })
-    api_mock.fetch_market_leverage_tiers = MagicMock(side_effect=[
+    api_mock.fetch_market_leverage_tiers = get_mock_coro(side_effect=[
         [
             {
                 'tier': 1,

tests/optimize/test_backtest_detail.py

@@ -7,6 +7,7 @@ import pytest
 from freqtrade.data.history import get_timerange
 from freqtrade.enums import ExitType
 from freqtrade.optimize.backtesting import Backtesting
+from freqtrade.persistence.trade_model import LocalTrade
 from tests.conftest import patch_exchange
 from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe,
                             _get_frame_time_from_offset, tests_timeframe)
@@ -964,5 +965,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data: BTContainer)
         assert res.open_date == _get_frame_time_from_offset(trade.open_tick)
         assert res.close_date == _get_frame_time_from_offset(trade.close_tick)
         assert res.is_short == trade.is_short
+    assert len(LocalTrade.trades) == len(data.trades)
+    assert len(LocalTrade.trades_open) == 0
     backtesting.cleanup()
     del backtesting

tests/rpc/test_rpc_apiserver.py

@@ -578,9 +578,10 @@ def test_api_trades(botclient, mocker, fee, markets, is_short):
     )
     rc = client_get(client, f"{BASE_URI}/trades")
     assert_response(rc)
-    assert len(rc.json()) == 3
+    assert len(rc.json()) == 4
     assert rc.json()['trades_count'] == 0
     assert rc.json()['total_trades'] == 0
+    assert rc.json()['offset'] == 0
 
     create_mock_trades(fee, is_short=is_short)
     Trade.query.session.flush()
@@ -724,7 +725,9 @@ def test_api_edge_disabled(botclient, mocker, ticker, fee, markets):
          'profit_closed_fiat': -83.19455985, 'profit_closed_ratio_mean': -0.0075,
          'profit_closed_percent_mean': -0.75, 'profit_closed_ratio_sum': -0.015,
          'profit_closed_percent_sum': -1.5, 'profit_closed_ratio': -6.739057628404269e-06,
-         'profit_closed_percent': -0.0, 'winning_trades': 0, 'losing_trades': 2}
+         'profit_closed_percent': -0.0, 'winning_trades': 0, 'losing_trades': 2,
+         'profit_factor': 0.0, 'trading_volume': 91.074,
+         }
     ),
     (
         False,
@@ -737,7 +740,9 @@ def test_api_edge_disabled(botclient, mocker, ticker, fee, markets):
          'profit_closed_fiat': 9.124559849999999, 'profit_closed_ratio_mean': 0.0075,
          'profit_closed_percent_mean': 0.75, 'profit_closed_ratio_sum': 0.015,
          'profit_closed_percent_sum': 1.5, 'profit_closed_ratio': 7.391275897987988e-07,
-         'profit_closed_percent': 0.0, 'winning_trades': 2, 'losing_trades': 0}
+         'profit_closed_percent': 0.0, 'winning_trades': 2, 'losing_trades': 0,
+         'profit_factor': None, 'trading_volume': 91.074,
+         }
     ),
     (
         None,
@@ -750,7 +755,9 @@ def test_api_edge_disabled(botclient, mocker, ticker, fee, markets):
          'profit_closed_fiat': -67.02260985, 'profit_closed_ratio_mean': 0.0025,
          'profit_closed_percent_mean': 0.25, 'profit_closed_ratio_sum': 0.005,
          'profit_closed_percent_sum': 0.5, 'profit_closed_ratio': -5.429078808526421e-06,
-         'profit_closed_percent': -0.0, 'winning_trades': 1, 'losing_trades': 1}
+         'profit_closed_percent': -0.0, 'winning_trades': 1, 'losing_trades': 1,
+         'profit_factor': 0.02775724835771106, 'trading_volume': 91.074,
+         }
     )
 ])
 def test_api_profit(botclient, mocker, ticker, fee, markets, is_short, expected):
@@ -803,6 +810,10 @@ def test_api_profit(botclient, mocker, ticker, fee, markets, is_short, expected)
         'closed_trade_count': 2,
         'winning_trades': expected['winning_trades'],
         'losing_trades': expected['losing_trades'],
+        'profit_factor': expected['profit_factor'],
+        'max_drawdown': ANY,
+        'max_drawdown_abs': ANY,
+        'trading_volume': expected['trading_volume'],
     }
 
 
@@ -852,8 +863,8 @@ def test_api_performance(botclient, fee):
         close_rate=0.265441,
 
     )
-    trade.close_profit = trade.calc_profit_ratio()
+    trade.close_profit = trade.calc_profit_ratio(trade.close_rate)
-    trade.close_profit_abs = trade.calc_profit()
+    trade.close_profit_abs = trade.calc_profit(trade.close_rate)
     Trade.query.session.add(trade)
 
     trade = Trade(
@@ -868,8 +879,8 @@ def test_api_performance(botclient, fee):
         fee_open=fee.return_value,
         close_rate=0.391
     )
-    trade.close_profit = trade.calc_profit_ratio()
+    trade.close_profit = trade.calc_profit_ratio(trade.close_rate)
-    trade.close_profit_abs = trade.calc_profit()
+    trade.close_profit_abs = trade.calc_profit(trade.close_rate)
 
     Trade.query.session.add(trade)
     Trade.commit()

tests/rpc/test_rpc_telegram.py

@@ -704,11 +704,13 @@ def test_profit_handle(default_conf_usdt, update, ticker_usdt, ticker_sell_up, f
     assert '∙ `6.253 USD`' in msg_mock.call_args_list[-1][0][0]
 
     assert '*Best Performing:* `ETH/USDT: 9.45%`' in msg_mock.call_args_list[-1][0][0]
+    assert '*Max Drawdown:*' in msg_mock.call_args_list[-1][0][0]
+    assert '*Profit factor:*' in msg_mock.call_args_list[-1][0][0]
+    assert '*Trading volume:* `60 USDT`' in msg_mock.call_args_list[-1][0][0]
 
 
 @pytest.mark.parametrize('is_short', [True, False])
-def test_telegram_stats(default_conf, update, ticker, ticker_sell_up, fee,
+def test_telegram_stats(default_conf, update, ticker, fee, mocker, is_short) -> None:
-                        limit_buy_order, limit_sell_order, mocker, is_short) -> None:
     mocker.patch('freqtrade.rpc.rpc.CryptoToFiatConverter._find_price', return_value=15000.0)
     mocker.patch.multiple(
         'freqtrade.exchange.Exchange',
@@ -1680,7 +1682,7 @@ def test_send_msg_buy_notification(default_conf, mocker, caplog, message_type,
     leverage_text = f'*Leverage:* `{leverage}`\n' if leverage and leverage != 1.0 else ''
 
     assert msg_mock.call_args[0][0] == (
-        f'\N{LARGE BLUE CIRCLE} *Binance:* {enter} ETH/BTC (#1)\n'
+        f'\N{LARGE BLUE CIRCLE} *Binance (dry):* {enter} ETH/BTC (#1)\n'
         f'*Enter Tag:* `{enter_signal}`\n'
         '*Amount:* `1333.33333333`\n'
         f'{leverage_text}'
@@ -1720,7 +1722,7 @@ def test_send_msg_buy_cancel_notification(default_conf, mocker, message_type, en
         'pair': 'ETH/BTC',
         'reason': CANCEL_REASON['TIMEOUT']
     })
-    assert (msg_mock.call_args[0][0] == '\N{WARNING SIGN} *Binance:* '
+    assert (msg_mock.call_args[0][0] == '\N{WARNING SIGN} *Binance (dry):* '
             'Cancelling enter Order for ETH/BTC (#1). '
             'Reason: cancelled due to timeout.')
 
@@ -1782,7 +1784,7 @@ def test_send_msg_entry_fill_notification(default_conf, mocker, message_type, en
     })
     leverage_text = f'*Leverage:* `{leverage}`\n' if leverage != 1.0 else ''
     assert msg_mock.call_args[0][0] == (
-        f'\N{CHECK MARK} *Binance:* {entered}ed ETH/BTC (#1)\n'
+        f'\N{CHECK MARK} *Binance (dry):* {entered}ed ETH/BTC (#1)\n'
         f'*Enter Tag:* `{enter_signal}`\n'
         '*Amount:* `1333.33333333`\n'
         f"{leverage_text}"
@@ -1820,7 +1822,7 @@ def test_send_msg_sell_notification(default_conf, mocker) -> None:
         'close_date': arrow.utcnow(),
     })
     assert msg_mock.call_args[0][0] == (
-        '\N{WARNING SIGN} *Binance:* Exiting KEY/ETH (#1)\n'
+        '\N{WARNING SIGN} *Binance (dry):* Exiting KEY/ETH (#1)\n'
         '*Unrealized Profit:* `-57.41% (loss: -0.05746268 ETH / -24.812 USD)`\n'
         '*Enter Tag:* `buy_signal1`\n'
         '*Exit Reason:* `stop_loss`\n'
@@ -1854,7 +1856,7 @@ def test_send_msg_sell_notification(default_conf, mocker) -> None:
         'close_date': arrow.utcnow(),
     })
     assert msg_mock.call_args[0][0] == (
-        '\N{WARNING SIGN} *Binance:* Exiting KEY/ETH (#1)\n'
+        '\N{WARNING SIGN} *Binance (dry):* Exiting KEY/ETH (#1)\n'
         '*Unrealized Profit:* `-57.41%`\n'
         '*Enter Tag:* `buy_signal1`\n'
         '*Exit Reason:* `stop_loss`\n'
@@ -1883,10 +1885,12 @@ def test_send_msg_sell_cancel_notification(default_conf, mocker) -> None:
         'reason': 'Cancelled on exchange'
     })
     assert msg_mock.call_args[0][0] == (
-        '\N{WARNING SIGN} *Binance:* Cancelling exit Order for KEY/ETH (#1).'
+        '\N{WARNING SIGN} *Binance (dry):* Cancelling exit Order for KEY/ETH (#1).'
         ' Reason: Cancelled on exchange.')
 
     msg_mock.reset_mock()
+    # Test with live mode (no dry appendix)
+    telegram._config['dry_run'] = False
     telegram.send_msg({
         'type': RPCMessageType.EXIT_CANCEL,
         'trade_id': 1,
@@ -1935,7 +1939,7 @@ def test_send_msg_sell_fill_notification(default_conf, mocker, direction,
 
     leverage_text = f'*Leverage:* `{leverage}`\n' if leverage and leverage != 1.0 else ''
     assert msg_mock.call_args[0][0] == (
-        '\N{WARNING SIGN} *Binance:* Exited KEY/ETH (#1)\n'
+        '\N{WARNING SIGN} *Binance (dry):* Exited KEY/ETH (#1)\n'
         '*Profit:* `-57.41%`\n'
         f'*Enter Tag:* `{enter_signal}`\n'
         '*Exit Reason:* `stop_loss`\n'
@@ -1991,6 +1995,7 @@ def test_send_msg_unknown_type(default_conf, mocker) -> None:
 def test_send_msg_buy_notification_no_fiat(
         default_conf, mocker, message_type, enter, enter_signal, leverage) -> None:
     del default_conf['fiat_display_currency']
+    default_conf['dry_run'] = False
     telegram, _, msg_mock = get_telegram_testobject(mocker, default_conf)
 
     telegram.send_msg({
@@ -2060,7 +2065,7 @@ def test_send_msg_sell_notification_no_fiat(
 
     leverage_text = f'*Leverage:* `{leverage}`\n' if leverage and leverage != 1.0 else ''
     assert msg_mock.call_args[0][0] == (
-        '\N{WARNING SIGN} *Binance:* Exiting KEY/ETH (#1)\n'
+        '\N{WARNING SIGN} *Binance (dry):* Exiting KEY/ETH (#1)\n'
         '*Unrealized Profit:* `-57.41%`\n'
         f'*Enter Tag:* `{enter_signal}`\n'
         '*Exit Reason:* `stop_loss`\n'

tests/test_freqtradebot.py

@@ -2151,7 +2151,7 @@ def test_handle_trade(
 
     assert trade.close_rate == 2.0 if is_short else 2.2
     assert trade.close_profit == close_profit
-    assert trade.calc_profit() == 5.685
+    assert trade.calc_profit(trade.close_rate) == 5.685
     assert trade.close_date is not None
     assert trade.exit_reason == 'sell_signal1'
 

tests/test_persistence.py

@@ -606,9 +606,9 @@ def test_calc_open_close_trade_price(
     trade.close_rate = 2.2
     trade.recalc_open_trade_value()
     assert isclose(trade._calc_open_trade_value(), open_value)
-    assert isclose(trade.calc_close_trade_value(), close_value)
+    assert isclose(trade.calc_close_trade_value(trade.close_rate), close_value)
-    assert isclose(trade.calc_profit(), round(profit, 8))
+    assert isclose(trade.calc_profit(trade.close_rate), round(profit, 8))
-    assert pytest.approx(trade.calc_profit_ratio()) == profit_ratio
+    assert pytest.approx(trade.calc_profit_ratio(trade.close_rate)) == profit_ratio
 
 
 @pytest.mark.usefixtures("init_persistence")
@@ -660,7 +660,7 @@ def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee):
     trade.open_order_id = 'something'
     oobj = Order.parse_from_ccxt_object(limit_buy_order_usdt, 'ADA/USDT', 'buy')
     trade.update_trade(oobj)
-    assert trade.calc_close_trade_value() == 0.0
+    assert trade.calc_close_trade_value(trade.close_rate) == 0.0
 
 
 @pytest.mark.usefixtures("init_persistence")
@@ -813,7 +813,7 @@ def test_calc_close_trade_price(
         funding_fees=funding_fees
     )
     trade.open_order_id = 'close_trade'
-    assert round(trade.calc_close_trade_value(rate=close_rate, fee=fee_rate), 8) == result
+    assert round(trade.calc_close_trade_value(rate=close_rate), 8) == result
 
 
 @pytest.mark.parametrize(
@@ -884,6 +884,17 @@ def test_calc_close_trade_price(
         ('binance', False, 3, 2.2, 0.0025, 4.684999, 0.23366583, futures, -1),
         ('binance', True, 1, 2.2, 0.0025, -7.315, -0.12222222, futures, -1),
         ('binance', True, 3, 2.2, 0.0025, -7.315, -0.36666666, futures, -1),
+
+        # FUTURES, funding_fee=0
+        ('binance', False, 1, 2.1, 0.0025, 2.6925, 0.04476309, futures, 0),
+        ('binance', False, 3, 2.1, 0.0025, 2.6925, 0.13428928, futures, 0),
+        ('binance', True, 1, 2.1, 0.0025, -3.3074999, -0.05526316, futures, 0),
+        ('binance', True, 3, 2.1, 0.0025, -3.3074999, -0.16578947, futures, 0),
+
+        ('binance', False, 1, 1.9, 0.0025, -3.2925, -0.05473815, futures, 0),
+        ('binance', False, 3, 1.9, 0.0025, -3.2925, -0.16421446, futures, 0),
+        ('binance', True, 1, 1.9, 0.0025, 2.7075, 0.0452381, futures, 0),
+        ('binance', True, 3, 1.9, 0.0025, 2.7075, 0.13571429, futures, 0),
     ])
 @pytest.mark.usefixtures("init_persistence")
 def test_calc_profit(
@@ -2064,6 +2075,24 @@ def test_get_trades_proxy(fee, use_db, is_short):
     Trade.use_db = True
 
 
+@pytest.mark.usefixtures("init_persistence")
+@pytest.mark.parametrize('is_short', [True, False])
+def test_get_trades__query(fee, is_short):
+    query = Trade.get_trades([])
+    # without orders there should be no join issued.
+    query1 = Trade.get_trades([], include_orders=False)
+
+    assert "JOIN orders" in str(query)
+    assert "JOIN orders" not in str(query1)
+
+    create_mock_trades(fee, is_short)
+    query = Trade.get_trades([])
+    query1 = Trade.get_trades([], include_orders=False)
+
+    assert "JOIN orders" in str(query)
+    assert "JOIN orders" not in str(query1)
+
+
 def test_get_trades_backtest():
     Trade.use_db = False
     with pytest.raises(NotImplementedError, match=r"`Trade.get_trades\(\)` not .*"):
@@ -2258,6 +2287,7 @@ def test_Trade_object_idem():
         'get_exit_reason_performance',
         'get_enter_tag_performance',
         'get_mix_tag_performance',
+        'get_trading_volume',
 
     )