Merge remote-tracking branch 'origin/strategy_utils' into strategy_utils

freqtrade/exchange/bybit.py

@@ -27,11 +27,10 @@ class Bybit(Exchange):
     """
 
     _ft_has: Dict = {
-        "ohlcv_candle_limit": 1000,
+        "ohlcv_candle_limit": 200,
         "ohlcv_has_history": False,
     }
     _ft_has_futures: Dict = {
-        "ohlcv_candle_limit": 200,
         "ohlcv_has_history": True,
         "mark_ohlcv_timeframe": "4h",
         "funding_fee_timeframe": "8h",

freqtrade/persistence/trade_model.py

@@ -120,8 +120,9 @@ class Order(ModelBase):
 
     def __repr__(self):
 
-        return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
+        return (f"Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, "
-                f'side={self.side}, order_type={self.order_type}, status={self.status})')
+                f"side={self.side}, filled={self.safe_filled}, price={self.safe_price}, "
+                f"order_type={self.order_type}, status={self.status})")
 
     def update_from_ccxt_object(self, order):
         """
@@ -518,6 +519,8 @@ class LocalTrade():
             'close_timestamp': int(self.close_date.replace(
                 tzinfo=timezone.utc).timestamp() * 1000) if self.close_date else None,
             'realized_profit': self.realized_profit or 0.0,
+            # Close-profit corresponds to relative realized_profit ratio
+            'realized_profit_ratio': self.close_profit or None,
             'close_rate': self.close_rate,
             'close_rate_requested': self.close_rate_requested,
             'close_profit': self.close_profit,  # Deprecated

freqtrade/rpc/api_server/api_schemas.py

@@ -250,6 +250,7 @@ class TradeSchema(BaseModel):
     profit_fiat: Optional[float]
 
     realized_profit: float
+    realized_profit_ratio: Optional[float]
 
     exit_reason: Optional[str]
     exit_order_status: Optional[str]

freqtrade/rpc/telegram.py

@@ -321,31 +321,33 @@ class Telegram(RPCHandler):
                 and self._rpc._fiat_converter):
             msg['profit_fiat'] = self._rpc._fiat_converter.convert_amount(
                 msg['profit_amount'], msg['stake_currency'], msg['fiat_currency'])
-            msg['profit_extra'] = (
+            msg['profit_extra'] = f" / {msg['profit_fiat']:.3f} {msg['fiat_currency']}"
-                f" / {msg['profit_fiat']:.3f} {msg['fiat_currency']}")
         else:
             msg['profit_extra'] = ''
         msg['profit_extra'] = (
             f" ({msg['gain']}: {msg['profit_amount']:.8f} {msg['stake_currency']}"
             f"{msg['profit_extra']})")
+
         is_fill = msg['type'] == RPCMessageType.EXIT_FILL
         is_sub_trade = msg.get('sub_trade')
         is_sub_profit = msg['profit_amount'] != msg.get('cumulative_profit')
-        profit_prefix = ('Sub ' if is_sub_profit
+        profit_prefix = ('Sub ' if is_sub_profit else 'Cumulative ') if is_sub_trade else ''
-                         else 'Cumulative ') if is_sub_trade else ''
         cp_extra = ''
+        exit_wording = 'Exited' if is_fill else 'Exiting'
         if is_sub_profit and is_sub_trade:
             if self._rpc._fiat_converter:
                 cp_fiat = self._rpc._fiat_converter.convert_amount(
                     msg['cumulative_profit'], msg['stake_currency'], msg['fiat_currency'])
                 cp_extra = f" / {cp_fiat:.3f} {msg['fiat_currency']}"
-            else:
+            exit_wording = f"Partially {exit_wording.lower()}"
-                cp_extra = ''
+            cp_extra = (
-            cp_extra = f"*Cumulative Profit:* (`{msg['cumulative_profit']:.8f} " \
+                f"*Cumulative Profit:* (`{msg['cumulative_profit']:.8f} "
-                       f"{msg['stake_currency']}{cp_extra}`)\n"
+                f"{msg['stake_currency']}{cp_extra}`)\n"
+            )
+
         message = (
             f"{msg['emoji']} *{self._exchange_from_msg(msg)}:* "
-            f"{'Exited' if is_fill else 'Exiting'} {msg['pair']} (#{msg['trade_id']})\n"
+            f"{exit_wording} {msg['pair']} (#{msg['trade_id']})\n"
             f"{self._add_analyzed_candle(msg['pair'])}"
             f"*{f'{profit_prefix}Profit' if is_fill else f'Unrealized {profit_prefix}Profit'}:* "
             f"`{msg['profit_ratio']:.2%}{msg['profit_extra']}`\n"
@@ -364,7 +366,7 @@ class Telegram(RPCHandler):
 
         elif msg['type'] == RPCMessageType.EXIT_FILL:
             message += f"*Exit Rate:* `{msg['close_rate']:.8f}`"
-        if msg.get('sub_trade'):
+        if is_sub_trade:
             if self._rpc._fiat_converter:
                 msg['stake_amount_fiat'] = self._rpc._fiat_converter.convert_amount(
                     msg['stake_amount'], msg['stake_currency'], msg['fiat_currency'])
@@ -486,7 +488,9 @@ class Telegram(RPCHandler):
             if order_nr == 1:
                 lines.append(f"*{wording} #{order_nr}:*")
                 lines.append(
-                    f"*Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})")
+                    f"*Amount:* {cur_entry_amount} "
+                    f"({round_coin_value(order['cost'], quote_currency)})"
+                )
                 lines.append(f"*Average Price:* {cur_entry_average}")
             else:
                 sum_stake = 0
@@ -582,7 +586,7 @@ class Telegram(RPCHandler):
 
             if position_adjust:
                 max_buy_str = (f"/{max_entries + 1}" if (max_entries > 0) else "")
-                lines.append("*Number of Entries:* `{num_entries}`" + max_buy_str)
+                lines.append("*Number of Entries:* `{num_entries}" + max_buy_str + "`")
                 lines.append("*Number of Exits:* `{num_exits}`")
 
             lines.extend([
@@ -597,7 +601,8 @@ class Telegram(RPCHandler):
 
             if r['is_open']:
                 if r.get('realized_profit'):
-                    lines.append("*Realized Profit:* `{realized_profit_r}`")
+                    lines.append(
+                        "*Realized Profit:* `{realized_profit_r} {realized_profit_ratio:.2%}`")
                     lines.append("*Total Profit:* `{total_profit_abs_r}` ")
 
                 if (r['stop_loss_abs'] != r['initial_stop_loss_abs']

tests/exchange/test_ccxt_compat.py

@@ -463,7 +463,9 @@ class TestCCXTExchange():
         if exchangename == 'gate':
             # TODO: Gate is unstable here at the moment, ignoring the limit partially.
             return
-        for val in [1, 2, 5, 25, 100]:
+        for val in [1, 2, 5, 25, 50, 100]:
+            if val > 50 and exchangename == 'bybit':
+                continue
             l2 = exch.fetch_l2_order_book(pair, val)
             if not l2_limit_range or val in l2_limit_range:
                 if val > 50:

tests/persistence/test_persistence.py

@@ -1362,6 +1362,7 @@ def test_to_json(fee):
                       'trade_duration': None,
                       'trade_duration_s': None,
                       'realized_profit': 0.0,
+                      'realized_profit_ratio': None,
                       'close_profit': None,
                       'close_profit_pct': None,
                       'close_profit_abs': None,
@@ -1438,6 +1439,7 @@ def test_to_json(fee):
                       'initial_stop_loss_pct': None,
                       'initial_stop_loss_ratio': None,
                       'realized_profit': 0.0,
+                      'realized_profit_ratio': None,
                       'close_profit': None,
                       'close_profit_pct': None,
                       'close_profit_abs': None,

tests/rpc/test_rpc.py

@@ -76,6 +76,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
         'stoploss_entry_dist_ratio': -0.10376381,
         'open_order': None,
         'realized_profit': 0.0,
+        'realized_profit_ratio': None,
         'total_profit_abs': -4.09e-06,
         'total_profit_fiat': ANY,
         'exchange': 'binance',

tests/rpc/test_rpc_apiserver.py

@@ -1013,6 +1013,7 @@ def test_api_status(botclient, mocker, ticker, fee, markets, is_short,
         'total_profit_abs': ANY,
         'total_profit_fiat': ANY,
         'realized_profit': 0.0,
+        'realized_profit_ratio': None,
         'current_rate': current_rate,
         'open_date': ANY,
         'open_timestamp': ANY,
@@ -1243,6 +1244,7 @@ def test_api_force_entry(botclient, mocker, fee, endpoint):
         'profit_abs': None,
         'profit_fiat': None,
         'realized_profit': 0.0,
+        'realized_profit_ratio': None,
         'fee_close': 0.0025,
         'fee_close_cost': None,
         'fee_close_currency': None,

tests/rpc/test_rpc_telegram.py

@@ -2012,7 +2012,7 @@ def test_send_msg_sell_notification(default_conf, mocker) -> None:
             'sub_trade': True,
         })
         assert msg_mock.call_args[0][0] == (
-            '\N{WARNING SIGN} *Binance (dry):* Exiting KEY/ETH (#1)\n'
+            '\N{WARNING SIGN} *Binance (dry):* Partially exiting KEY/ETH (#1)\n'
             '*Unrealized Sub Profit:* `-57.41% (loss: -0.05746268 ETH / -24.812 USD)`\n'
             '*Cumulative Profit:* (`-0.15746268 ETH / -24.812 USD`)\n'
             '*Enter Tag:* `buy_signal1`\n'

tests/strategy/test_strategy_helpers.py

@@ -169,6 +169,36 @@ def test_stoploss_from_open(side, profitrange):
                         assert pytest.approx(stop_price) == expected_stop_price
 
 
+@pytest.mark.parametrize("side,rel_stop,curr_profit,leverage,expected", [
+    # profit range for long is [-1, inf] while for shorts is [-inf, 1]
+    ("long", 0, -1, 1, 1),
+    ("long", 0, 0.1, 1, 0.09090909),
+    ("long", -0.1, 0.1, 1, 0.18181818),
+    ("long", 0.1, 0.2, 1, 0.08333333),
+    ("long", 0.1, 0.5, 1, 0.266666666),
+    ("long", 0.1, 5, 1, 0.816666666),  # 500% profit, set stoploss to 10% above open price
+
+    ("short", 0, 0.1, 1, 0.1111111),
+    ("short", -0.1, 0.1, 1, 0.2222222),
+    ("short", 0.1, 0.2, 1, 0.125),
+    ("short", 0.1, 1, 1, 1),
+])
+def test_stoploss_from_open_leverage(side, rel_stop, curr_profit, leverage, expected):
+
+    stoploss = stoploss_from_open(rel_stop, curr_profit, side == 'short')
+    assert pytest.approx(stoploss) == expected
+    open_rate = 100
+    if stoploss != 1:
+        if side == 'long':
+            current_rate = open_rate * (1 + curr_profit)
+            stop = current_rate * (1 - stoploss)
+            assert pytest.approx(stop) == open_rate * (1 + rel_stop)
+        else:
+            current_rate = open_rate * (1 - curr_profit)
+            stop = current_rate * (1 + stoploss)
+            assert pytest.approx(stop) == open_rate * (1 - rel_stop)
+
+
 def test_stoploss_from_absolute():
     assert pytest.approx(stoploss_from_absolute(90, 100)) == 1 - (90 / 100)
     assert pytest.approx(stoploss_from_absolute(90, 100)) == 0.1