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Implement price_to_precision logic for stoploss

This commit is contained in:
Matthias 2023-03-26 10:37:18 +02:00
parent 02078456fc
commit d0d0cbe1d1
6 changed files with 43 additions and 34 deletions
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18
freqtrade/exchange/__init__.py
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@ -8,15 +8,15 @@ from freqtrade.exchange.bitpanda import Bitpanda
from freqtrade.exchange.bittrex import Bittrex
from freqtrade.exchange.bybit import Bybit
from freqtrade.exchange.coinbasepro import Coinbasepro
from freqtrade.exchange.exchange_utils import (amount_to_contract_precision, amount_to_contracts,
amount_to_precision, available_exchanges,
ccxt_exchanges, contracts_to_amount,
date_minus_candles, is_exchange_known_ccxt,
market_is_active, price_to_precision,
timeframe_to_minutes, timeframe_to_msecs,
timeframe_to_next_date, timeframe_to_prev_date,
timeframe_to_seconds, validate_exchange,
validate_exchanges)
from freqtrade.exchange.exchange_utils import (ROUND_DOWN, ROUND_UP, amount_to_contract_precision,
amount_to_contracts, amount_to_precision,
available_exchanges, ccxt_exchanges,
contracts_to_amount, date_minus_candles,
is_exchange_known_ccxt, market_is_active,
price_to_precision, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds,
validate_exchange, validate_exchanges)
from freqtrade.exchange.gate import Gate
from freqtrade.exchange.hitbtc import Hitbtc
from freqtrade.exchange.huobi import Huobi

31
freqtrade/exchange/exchange.py
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@ -19,9 +19,9 @@ from ccxt import TICK_SIZE
from dateutil import parser
from pandas import DataFrame, concat
from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, DEFAULT_PRICE_ROUND_MODE,
NON_OPEN_EXCHANGE_STATES, BidAsk, BuySell, Config, EntryExit,
ListPairsWithTimeframes, MakerTaker, OBLiteral, PairWithTimeframe)
from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, BidAsk,
BuySell, Config, EntryExit, ListPairsWithTimeframes, MakerTaker,
OBLiteral, PairWithTimeframe)
from freqtrade.data.converter import clean_ohlcv_dataframe, ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.enums import OPTIMIZE_MODES, CandleType, MarginMode, TradingMode
from freqtrade.enums.pricetype import PriceType
@ -30,13 +30,14 @@ from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFun
RetryableOrderError, TemporaryError)
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, remove_credentials, retrier,
retrier_async)
from freqtrade.exchange.exchange_utils import (CcxtModuleType, amount_to_contract_precision,
amount_to_contracts, amount_to_precision,
contracts_to_amount, date_minus_candles,
is_exchange_known_ccxt, market_is_active,
price_to_precision, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds)
from freqtrade.exchange.exchange_utils import (ROUND, ROUND_DOWN, ROUND_UP, CcxtModuleType,
amount_to_contract_precision, amount_to_contracts,
amount_to_precision, contracts_to_amount,
date_minus_candles, is_exchange_known_ccxt,
market_is_active, price_to_precision,
timeframe_to_minutes, timeframe_to_msecs,
timeframe_to_next_date, timeframe_to_prev_date,
timeframe_to_seconds)
from freqtrade.exchange.types import OHLCVResponse, OrderBook, Ticker, Tickers
from freqtrade.misc import (chunks, deep_merge_dicts, file_dump_json, file_load_json,
safe_value_fallback2)
@ -730,11 +731,11 @@ class Exchange:
"""
return amount_to_precision(amount, self.get_precision_amount(pair), self.precisionMode)
def price_to_precision(self, pair: str, price: float, rounding_mode: int) -> float:
def price_to_precision(self, pair: str, price: float, rounding_mode: int = ROUND) -> float:
"""
Returns the price rounded to the precision the Exchange accepts.
The default price_rounding_mode in conf is ROUND.
Must use ROUND_UP / ROUND_DOWN for stoploss calculations.
For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.
"""
return price_to_precision(price, self.get_precision_price(pair),
self.precisionMode, rounding_mode)
@ -1177,12 +1178,12 @@ class Exchange:
user_order_type = order_types.get('stoploss', 'market')
ordertype, user_order_type = self._get_stop_order_type(user_order_type)
stop_price_norm = self.price_to_precision(pair, stop_price)
round_mode = ROUND_DOWN if side == 'buy' else ROUND_UP
stop_price_norm = self.price_to_precision(pair, stop_price, round_mode)
limit_rate = None
if user_order_type == 'limit':
limit_rate = self._get_stop_limit_rate(stop_price, order_types, side)
limit_rate = self.price_to_precision(pair, limit_rate)
limit_rate = self.price_to_precision(pair, limit_rate, round_mode)
if self._config['dry_run']:
dry_order = self.create_dry_run_order(

10
freqtrade/exchange/exchange_utils.py
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@ -224,19 +224,21 @@ def price_to_precision(
price: float,
price_precision: Optional[float],
precisionMode: Optional[int],
rounding_mode: int = ROUND_UP,
rounding_mode: int = ROUND,
) -> float:
"""
Returns the price rounded up to the precision the Exchange accepts.
Returns the price rounded to the precision the Exchange accepts.
Partial Re-implementation of ccxt internal method decimal_to_precision(),
which does not support rounding up
which does not support rounding up.
For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.
TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
align with amount_to_precision().
:param price: price to convert
:param price_precision: price precision to use. Used from markets[pair]['precision']['price']
:param precisionMode: precision mode to use. Should be used from precisionMode
one of ccxt's DECIMAL_PLACES, SIGNIFICANT_DIGITS, or TICK_SIZE
:param rounding_mode: rounding mode to use. Defaults to ROUND_UP
:param rounding_mode: rounding mode to use. Defaults to ROUND
:return: price rounded up to the precision the Exchange accepts
"""
if price_precision is not None and precisionMode is not None:

6
freqtrade/exchange/kraken.py
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@ -12,6 +12,7 @@ from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, Invali
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import retrier
from freqtrade.exchange.exchange_utils import ROUND_DOWN, ROUND_UP
from freqtrade.exchange.types import Tickers
@ -109,6 +110,7 @@ class Kraken(Exchange):
if self.trading_mode == TradingMode.FUTURES:
params.update({'reduceOnly': True})
round_mode = ROUND_DOWN if side == 'buy' else ROUND_UP
if order_types.get('stoploss', 'market') == 'limit':
ordertype = "stop-loss-limit"
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
@ -116,11 +118,11 @@ class Kraken(Exchange):
limit_rate = stop_price * limit_price_pct
else:
limit_rate = stop_price * (2 - limit_price_pct)
params['price2'] = self.price_to_precision(pair, limit_rate)
params['price2'] = self.price_to_precision(pair, limit_rate, round_mode)
else:
ordertype = "stop-loss"
stop_price = self.price_to_precision(pair, stop_price)
stop_price = self.price_to_precision(pair, stop_price, round_mode)
if self._config['dry_run']:
dry_order = self.create_dry_run_order(

6
freqtrade/freqtradebot.py
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@ -21,7 +21,8 @@ from freqtrade.enums import (ExitCheckTuple, ExitType, RPCMessageType, RunMode,
State, TradingMode)
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, PricingError)
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date, timeframe_to_seconds
from freqtrade.exchange import (ROUND_DOWN, ROUND_UP, timeframe_to_minutes, timeframe_to_next_date,
timeframe_to_seconds)
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
from freqtrade.mixins import LoggingMixin
from freqtrade.persistence import Order, PairLocks, Trade, init_db
@ -1230,7 +1231,8 @@ class FreqtradeBot(LoggingMixin):
:param order: Current on exchange stoploss order
:return: None
"""
stoploss_norm = self.exchange.price_to_precision(trade.pair, trade.stoploss_or_liquidation)
stoploss_norm = self.exchange.price_to_precision(
trade.pair, trade.stoploss_or_liquidation, ROUND_DOWN if trade.is_short else ROUND_UP)
if self.exchange.stoploss_adjust(stoploss_norm, order, side=trade.exit_side):
# we check if the update is necessary

6
freqtrade/persistence/trade_model.py
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@ -15,7 +15,8 @@ from freqtrade.constants import (DATETIME_PRINT_FORMAT, MATH_CLOSE_PREC, NON_OPE
BuySell, LongShort)
from freqtrade.enums import ExitType, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import amount_to_contract_precision, price_to_precision
from freqtrade.exchange import (ROUND_DOWN, ROUND_UP, amount_to_contract_precision,
price_to_precision)
from freqtrade.leverage import interest
from freqtrade.persistence.base import ModelBase, SessionType
from freqtrade.util import FtPrecise
@ -597,7 +598,8 @@ class LocalTrade():
"""
Method used internally to set self.stop_loss.
"""
stop_loss_norm = price_to_precision(stop_loss, self.price_precision, self.precision_mode)
stop_loss_norm = price_to_precision(stop_loss, self.price_precision, self.precision_mode,
ROUND_DOWN if self.is_short else ROUND_UP)
if not self.stop_loss:
self.initial_stop_loss = stop_loss_norm
self.stop_loss = stop_loss_norm