Merge branch 'freqtrade:develop' into develop
This commit is contained in:
Surfer
GitHub
commit
cc4e5b26f0
4
.github/workflows/ci.yml
vendored
4
.github/workflows/ci.yml
vendored
@ -66,12 +66,12 @@ jobs:
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- name: Tests
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run: |
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pytest --random-order --cov=freqtrade --cov-config=.coveragerc
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if: matrix.python-version != '3.9'
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if: matrix.python-version != '3.9' || matrix.os != 'ubuntu-22.04'
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- name: Tests incl. ccxt compatibility tests
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run: |
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pytest --random-order --cov=freqtrade --cov-config=.coveragerc --longrun
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if: matrix.python-version == '3.9'
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if: matrix.python-version == '3.9' && matrix.os == 'ubuntu-22.04'
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- name: Coveralls
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if: (runner.os == 'Linux' && matrix.python-version == '3.9')
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@ -13,7 +13,7 @@ repos:
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- id: mypy
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exclude: build_helpers
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additional_dependencies:
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- types-cachetools==5.0.1
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- types-cachetools==5.0.2
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- types-filelock==3.2.7
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- types-requests==2.27.30
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- types-tabulate==0.8.9
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@ -300,6 +300,7 @@ A backtesting result will look like that:
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| Absolute profit | 0.00762792 BTC |
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| Total profit % | 76.2% |
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| CAGR % | 460.87% |
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| Profit factor | 1.11 |
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| Avg. stake amount | 0.001 BTC |
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| Total trade volume | 0.429 BTC |
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| | |
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@ -399,6 +400,7 @@ It contains some useful key metrics about performance of your strategy on backte
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| Absolute profit | 0.00762792 BTC |
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| Total profit % | 76.2% |
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| CAGR % | 460.87% |
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| Profit factor | 1.11 |
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| Avg. stake amount | 0.001 BTC |
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| Total trade volume | 0.429 BTC |
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| | |
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@ -444,6 +446,8 @@ It contains some useful key metrics about performance of your strategy on backte
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- `Final balance`: Final balance - starting balance + absolute profit.
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- `Absolute profit`: Profit made in stake currency.
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- `Total profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
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- `CAGR %`: Compound annual growth rate.
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- `Profit factor`: profit / loss.
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- `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
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- `Total trade volume`: Volume generated on the exchange to reach the above profit.
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- `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`.
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@ -64,7 +64,10 @@ You will also have to pick a "margin mode" (explanation below) - with freqtrade
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### Margin mode
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The possible values are: `isolated`, or `cross`(*currently unavailable*)
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On top of `trading_mode` - you will also have to configure your `margin_mode`.
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While freqtrade currently only supports one margin mode, this will change, and by configuring it now you're all set for future updates.
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The possible values are: `isolated`, or `cross`(*currently unavailable*).
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#### Isolated margin mode
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@ -82,6 +85,16 @@ One account is used to share collateral between markets (trading pairs). Margin
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"margin_mode": "cross"
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```
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## Set leverage to use
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Different strategies and risk profiles will require different levels of leverage.
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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.
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If not implemented, leverage defaults to 1x (no leverage).
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!!! Warning
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Higher leverage also equals higher risk - be sure you fully understand the implications of using leverage!
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## Understand `liquidation_buffer`
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*Defaults to `0.05`*
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@ -1,5 +1,5 @@
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mkdocs==1.3.0
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mkdocs-material==8.3.4
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mkdocs-material==8.3.6
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mdx_truly_sane_lists==1.2
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pymdown-extensions==9.5
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jinja2==3.1.2
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@ -191,6 +191,19 @@ For example, simplified math:
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!!! Tip
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Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade.
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## Stoploss and Leverage
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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.
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When using leverage, the same principle is applied - with stoploss defining the risk on the trade (the amount you are willing to lose).
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Therefore, a stoploss of 10% on a 10x trade would trigger on a 1% price move.
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If your stake amount (own capital) was 100$ - this trade would be 1000$ at 10x (after leverage).
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If price moves 1% - you've lost 10$ of your own capital - therfore stoploss will trigger in this case.
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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).
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## Changing stoploss on open trades
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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).
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@ -823,3 +823,6 @@ class AwesomeStrategy(IStrategy):
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"""
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return 1.0
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```
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All profit calculations include leverage. Stoploss / ROI also include leverage in their calculation.
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Defining a stoploss of 10% at 10x leverage would trigger the stoploss with a 1% move to the downside.
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@ -171,8 +171,8 @@ official commands. You can ask at any moment for help with `/help`.
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| `/locks` | Show currently locked pairs.
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| `/unlock <pair or lock_id>` | Remove the lock for this pair (or for this lock id).
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| `/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)
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| `/forceexit <trade_id>` | Instantly exits the given trade (Ignoring `minimum_roi`).
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| `/forceexit all` | Instantly exits all open trades (Ignoring `minimum_roi`).
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| `/forceexit <trade_id> | /fx <tradeid>` | Instantly exits the given trade (Ignoring `minimum_roi`).
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| `/forceexit all | /fx all` | Instantly exits all open trades (Ignoring `minimum_roi`).
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| `/fx` | alias for `/forceexit`
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| `/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)
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| `/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)
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@ -270,10 +270,15 @@ Return a summary of your profit/loss and performance.
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> **Latest Trade opened:** `2 minutes ago`
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> **Avg. Duration:** `2:33:45`
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> **Best Performing:** `PAY/BTC: 50.23%`
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> **Trading volume:** `0.5 BTC`
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> **Profit factor:** `1.04`
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> **Max Drawdown:** `9.23% (0.01255 BTC)`
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The relative profit of `1.2%` is the average profit per trade.
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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`.
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Starting capital is either taken from the `available_capital` setting, or calculated by using current wallet size - profits.
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Profit Factor is calculated as gross profits / gross losses - and should serve as an overall metric for the strategy.
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Max drawdown corresponds to the backtesting metric `Absolute Drawdown (Account)` - calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`.
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### /forceexit <trade_id>
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@ -281,6 +286,7 @@ Starting capital is either taken from the `available_capital` setting, or calcul
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!!! Tip
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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.
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This command has an alias in `/fx` - which has the same capabilities, but is faster to type in "emergency" situations.
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### /forcelong <pair> [rate] | /forceshort <pair> [rate]
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@ -93,7 +93,7 @@ class Exchange:
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:return: None
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"""
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self._api: ccxt.Exchange
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self._api_async: ccxt_async.Exchange
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self._api_async: ccxt_async.Exchange = None
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self._markets: Dict = {}
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self._trading_fees: Dict[str, Any] = {}
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self._leverage_tiers: Dict[str, List[Dict]] = {}
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@ -2131,10 +2131,11 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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@retrier
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def get_market_leverage_tiers(self, symbol) -> List[Dict]:
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@retrier_async
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async def get_market_leverage_tiers(self, symbol: str) -> Tuple[str, List[Dict]]:
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try:
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return self._api.fetch_market_leverage_tiers(symbol)
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tier = await self._api_async.fetch_market_leverage_tiers(symbol)
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return symbol, tier
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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@ -2168,8 +2169,14 @@ class Exchange:
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f"Initializing leverage_tiers for {len(symbols)} markets. "
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"This will take about a minute.")
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for symbol in sorted(symbols):
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tiers[symbol] = self.get_market_leverage_tiers(symbol)
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coros = [self.get_market_leverage_tiers(symbol) for symbol in sorted(symbols)]
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for input_coro in chunks(coros, 100):
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results = self.loop.run_until_complete(
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asyncio.gather(*input_coro, return_exceptions=True))
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for symbol, res in results:
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tiers[symbol] = res
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logger.info(f"Done initializing {len(symbols)} markets.")
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@ -3,6 +3,7 @@ import logging
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from datetime import datetime
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from typing import Dict, List, Optional, Tuple
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from freqtrade.constants import BuySell
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from freqtrade.enums import MarginMode, TradingMode
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import Exchange
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@ -24,6 +25,8 @@ class Gateio(Exchange):
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_ft_has: Dict = {
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"ohlcv_candle_limit": 1000,
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"ohlcv_volume_currency": "quote",
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"time_in_force_parameter": "timeInForce",
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"order_time_in_force": ['gtc', 'ioc'],
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"stoploss_order_types": {"limit": "limit"},
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"stoploss_on_exchange": True,
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}
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@ -40,13 +43,33 @@ class Gateio(Exchange):
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]
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def validate_ordertypes(self, order_types: Dict) -> None:
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super().validate_ordertypes(order_types)
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if self.trading_mode != TradingMode.FUTURES:
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if any(v == 'market' for k, v in order_types.items()):
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raise OperationalException(
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f'Exchange {self.name} does not support market orders.')
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def _get_params(
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self,
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side: BuySell,
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ordertype: str,
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leverage: float,
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reduceOnly: bool,
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time_in_force: str = 'gtc',
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) -> Dict:
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params = super()._get_params(
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side=side,
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ordertype=ordertype,
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leverage=leverage,
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reduceOnly=reduceOnly,
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time_in_force=time_in_force,
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)
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if ordertype == 'market' and self.trading_mode == TradingMode.FUTURES:
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params['type'] = 'market'
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param = self._ft_has.get('time_in_force_parameter', '')
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params.update({param: 'ioc'})
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return params
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def get_trades_for_order(self, order_id: str, pair: str, since: datetime,
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params: Optional[Dict] = None) -> List:
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trades = super().get_trades_for_order(order_id, pair, since, params)
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@ -61,7 +84,8 @@ class Gateio(Exchange):
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pair_fees = self._trading_fees.get(pair, {})
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if pair_fees:
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for idx, trade in enumerate(trades):
|
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if trade.get('fee', {}).get('cost') is None:
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fee = trade.get('fee', {})
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if fee and fee.get('cost') is None:
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takerOrMaker = trade.get('takerOrMaker', 'taker')
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if pair_fees.get(takerOrMaker) is not None:
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trades[idx]['fee'] = {
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@ -1055,6 +1055,7 @@ class Backtesting:
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# Close trade
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open_trade_count -= 1
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open_trades[pair].remove(t)
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LocalTrade.trades_open.remove(t)
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self.wallets.update()
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# 2. Process entries.
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@ -1078,6 +1079,8 @@ class Backtesting:
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open_trade_count += 1
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# logger.debug(f"{pair} - Emulate creation of new trade: {trade}.")
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open_trades[pair].append(trade)
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LocalTrade.add_bt_trade(trade)
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self.wallets.update()
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for trade in list(open_trades[pair]):
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# 3. Process entry orders.
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@ -1085,7 +1088,6 @@ class Backtesting:
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if order and self._get_order_filled(order.price, row):
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order.close_bt_order(current_time, trade)
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trade.open_order_id = None
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LocalTrade.add_bt_trade(trade)
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self.wallets.update()
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# 4. Create exit orders (if any)
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@ -416,6 +416,9 @@ def generate_strategy_stats(pairlist: List[str],
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key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
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worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
|
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key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
|
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winning_profit = results.loc[results['profit_abs'] > 0, 'profit_abs'].sum()
|
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losing_profit = results.loc[results['profit_abs'] < 0, 'profit_abs'].sum()
|
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profit_factor = winning_profit / abs(losing_profit) if losing_profit else 0.0
|
||||
|
||||
backtest_days = (max_date - min_date).days or 1
|
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strat_stats = {
|
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@ -443,6 +446,7 @@ def generate_strategy_stats(pairlist: List[str],
|
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'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
|
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'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
|
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'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
|
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'profit_factor': profit_factor,
|
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'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
|
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'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],
|
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(drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
|
||||
max_drawdown) = calculate_max_drawdown(
|
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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%}"),
|
||||
|
||||
@ -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_abs = self.calc_profit()
|
||||
self.close_profit = self.calc_profit_ratio(rate)
|
||||
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).
|
||||
If interest_rate is not set self.interest_rate will be used
|
||||
Calculate interest for this trade. Only applicable for Margin trading.
|
||||
"""
|
||||
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,
|
||||
fee: Optional[float] = None) -> Decimal:
|
||||
def _calc_base_close(self, amount: Decimal, rate: float, fee: float) -> Decimal:
|
||||
|
||||
close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
|
||||
fees = close_trade * Decimal(fee or self.fee_close)
|
||||
close_trade = amount * Decimal(rate)
|
||||
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,
|
||||
fee: Optional[float] = None,
|
||||
interest_rate: Optional[float] = None) -> float:
|
||||
def calc_close_trade_value(self, rate: float) -> float:
|
||||
"""
|
||||
Calculate the close_rate including fee
|
||||
:param fee: fee to use on the close rate (optional).
|
||||
If rate is not set self.fee will be used
|
||||
: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
|
||||
Calculate the Trade's close value including fees
|
||||
:param rate: rate to compare with.
|
||||
:return: value in stake currency 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,
|
||||
fee: Optional[float] = None,
|
||||
interest_rate: Optional[float] = None) -> float:
|
||||
def calc_profit(self, rate: float) -> float:
|
||||
"""
|
||||
Calculate the absolute profit in stake currency between Close and Open trade
|
||||
:param fee: fee to use on the close rate (optional).
|
||||
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
|
||||
:param rate: close rate to compare with.
|
||||
:return: profit in stake currency as float
|
||||
"""
|
||||
close_trade_value = self.calc_close_trade_value(
|
||||
rate=(rate or self.close_rate),
|
||||
fee=(fee or self.fee_close),
|
||||
interest_rate=(interest_rate or self.interest_rate)
|
||||
)
|
||||
close_trade_value = self.calc_close_trade_value(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,
|
||||
fee: Optional[float] = None,
|
||||
interest_rate: Optional[float] = None) -> float:
|
||||
def calc_profit_ratio(self, rate: float) -> float:
|
||||
"""
|
||||
Calculates the profit as ratio (including fee).
|
||||
:param rate: rate to compare with (optional).
|
||||
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
|
||||
:param rate: rate to compare with.
|
||||
:return: profit ratio as float
|
||||
"""
|
||||
close_trade_value = self.calc_close_trade_value(
|
||||
rate=(rate or self.close_rate),
|
||||
fee=(fee or self.fee_close),
|
||||
interest_rate=(interest_rate or self.interest_rate)
|
||||
)
|
||||
close_trade_value = self.calc_close_trade_value(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
|
||||
|
||||
@ -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
|
||||
|
||||
|
||||
|
||||
@ -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 if balance.free is not None else 0,
|
||||
'balance': balance.total if balance.total is not None else 0,
|
||||
'used': balance.used if balance.used is not None else 0,
|
||||
'free': balance.free,
|
||||
'balance': balance.total,
|
||||
'used': balance.used,
|
||||
'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
|
||||
|
||||
|
||||
@ -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}:* "
|
||||
"Cancelling {message_side} Order for {pair} (#{trade_id}). "
|
||||
"Reason: {reason}.".format(**msg))
|
||||
message = (f"\N{WARNING SIGN} *{self._exchange_from_msg(msg)}:* "
|
||||
f"Cancelling {msg['message_side']} Order for {msg['pair']} "
|
||||
f"(#{msg['trade_id']}). Reason: {msg['reason']}.")
|
||||
|
||||
elif msg_type == RPCMessageType.PROTECTION_TRIGGER:
|
||||
message = (
|
||||
"*Protection* triggered due to {reason}. "
|
||||
"`{pair}` will be locked until `{lock_end_time}`."
|
||||
).format(**msg)
|
||||
f"*Protection* triggered due to {msg['reason']}. "
|
||||
f"`{msg['pair']}` will be locked until `{msg['lock_end_time']}`."
|
||||
)
|
||||
|
||||
elif msg_type == RPCMessageType.PROTECTION_TRIGGER_GLOBAL:
|
||||
message = (
|
||||
"*Protection* triggered due to {reason}. "
|
||||
"*All pairs* will be locked until `{lock_end_time}`."
|
||||
).format(**msg)
|
||||
f"*Protection* triggered due to {msg['reason']}. "
|
||||
f"*All pairs* will be locked until `{msg['lock_end_time']}`."
|
||||
)
|
||||
|
||||
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"
|
||||
f"*Best Performing:* `{best_pair}: {best_pair_profit_ratio:.2%}`")
|
||||
markdown_msg += (
|
||||
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"
|
||||
|
||||
@ -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
|
||||
|
||||
@ -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
|
||||
|
||||
@ -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)
|
||||
|
||||
@ -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
|
||||
}
|
||||
|
||||
|
||||
@ -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:
|
||||
|
||||
@ -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):
|
||||
|
||||
@ -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,
|
||||
|
||||
@ -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
|
||||
|
||||
@ -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_abs = trade.calc_profit()
|
||||
trade.close_profit = trade.calc_profit_ratio(trade.close_rate)
|
||||
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_abs = trade.calc_profit()
|
||||
trade.close_profit = trade.calc_profit_ratio(trade.close_rate)
|
||||
trade.close_profit_abs = trade.calc_profit(trade.close_rate)
|
||||
|
||||
Trade.query.session.add(trade)
|
||||
Trade.commit()
|
||||
|
||||
@ -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,
|
||||
limit_buy_order, limit_sell_order, mocker, is_short) -> None:
|
||||
def test_telegram_stats(default_conf, update, ticker, fee, 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'
|
||||
|
||||
@ -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'
|
||||
|
||||
|
||||
@ -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_profit(), round(profit, 8))
|
||||
assert pytest.approx(trade.calc_profit_ratio()) == profit_ratio
|
||||
assert isclose(trade.calc_close_trade_value(trade.close_rate), close_value)
|
||||
assert isclose(trade.calc_profit(trade.close_rate), round(profit, 8))
|
||||
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',
|
||||
|
||||
)
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user