Implement price_to_precision logic for stoploss

freqtrade/exchange/__init__.py

@@ -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,
+from freqtrade.exchange.exchange_utils import (ROUND_DOWN, ROUND_UP, amount_to_contract_precision,
-                                               amount_to_precision, available_exchanges,
+                                               amount_to_contracts, amount_to_precision,
-                                               ccxt_exchanges, contracts_to_amount,
+                                               available_exchanges, ccxt_exchanges,
-                                               date_minus_candles, is_exchange_known_ccxt,
+                                               contracts_to_amount, date_minus_candles,
-                                               market_is_active, price_to_precision,
+                                               is_exchange_known_ccxt, market_is_active,
-                                               timeframe_to_minutes, timeframe_to_msecs,
+                                               price_to_precision, timeframe_to_minutes,
-                                               timeframe_to_next_date, timeframe_to_prev_date,
+                                               timeframe_to_msecs, timeframe_to_next_date,
-                                               timeframe_to_seconds, validate_exchange,
+                                               timeframe_to_prev_date, timeframe_to_seconds,
-                                               validate_exchanges)
+                                               validate_exchange, validate_exchanges)
 from freqtrade.exchange.gate import Gate
 from freqtrade.exchange.hitbtc import Hitbtc
 from freqtrade.exchange.huobi import Huobi

freqtrade/exchange/exchange.py

@@ -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,
+from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, BidAsk,
-                                 NON_OPEN_EXCHANGE_STATES, BidAsk, BuySell, Config, EntryExit,
+                                 BuySell, Config, EntryExit, ListPairsWithTimeframes, MakerTaker,
-                                 ListPairsWithTimeframes, MakerTaker, OBLiteral, PairWithTimeframe)
+                                 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,
+from freqtrade.exchange.exchange_utils import (ROUND, ROUND_DOWN, ROUND_UP, CcxtModuleType,
-                                               amount_to_contracts, amount_to_precision,
+                                               amount_to_contract_precision, amount_to_contracts,
-                                               contracts_to_amount, date_minus_candles,
+                                               amount_to_precision, contracts_to_amount,
-                                               is_exchange_known_ccxt, market_is_active,
+                                               date_minus_candles, is_exchange_known_ccxt,
-                                               price_to_precision, timeframe_to_minutes,
+                                               market_is_active, price_to_precision,
-                                               timeframe_to_msecs, timeframe_to_next_date,
+                                               timeframe_to_minutes, timeframe_to_msecs,
-                                               timeframe_to_prev_date, timeframe_to_seconds)
+                                               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)
-
+        round_mode = ROUND_DOWN if side == 'buy' else ROUND_UP
-        stop_price_norm = self.price_to_precision(pair, stop_price)
+        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(

freqtrade/exchange/exchange_utils.py

@@ -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:

freqtrade/exchange/kraken.py

@@ -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(

freqtrade/freqtradebot.py

@@ -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

freqtrade/persistence/trade_model.py

@@ -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