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moved dynamic ROI to its own function in the strategy interface

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This commit is contained in:
werkkrew 2021-03-13 12:15:29 -05:00
parent 39ffcecffa
commit db5e038b0f
1 changed files with 51 additions and 44 deletions
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23
freqtrade/strategy/interface.py
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@ -628,18 +628,16 @@ class IStrategy(ABC):
return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE) return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
def min_roi_reached_entry(self, trade_dur: int) -> Tuple[Optional[int], Optional[float]]: def min_roi_reached_dynamic(self, trade_dur: int) -> Tuple[Optional[int], Optional[float]]:
""" """
Based on trade duration defines the ROI entry that may have been reached. Based on trade duration returns an ROI value based on various functions.
:param trade_dur: trade duration in minutes :param trade_dur: trade duration in minutes
:return: minimal ROI entry value or None if none proper ROI entry was found. :return: minimal ROI value or None if no proper ROI type was found.
""" """
dynamic_roi = self.dynamic_roi dynamic_roi = self.dynamic_roi
minimal_roi = self.minimal_roi minimal_roi = self.minimal_roi
start, end = dynamic_roi['dynamic_roi_start'], dynamic_roi['dynamic_roi_end'] start, end = dynamic_roi['dynamic_roi_start'], dynamic_roi['dynamic_roi_end']
# if the dynamic_roi dict is defined and enabled, use it, otherwise fallback to default functionality
if dynamic_roi and dynamic_roi['dynamic_roi_enabled']:
# linear decay: f(t) = start - (rate * t) # linear decay: f(t) = start - (rate * t)
if dynamic_roi['dynamic_roi_type'] == 'linear': if dynamic_roi['dynamic_roi_type'] == 'linear':
rate = (start - end) / dynamic_roi['dynamic_roi_time'] rate = (start - end) / dynamic_roi['dynamic_roi_time']
@ -654,6 +652,7 @@ class IStrategy(ABC):
if not past_roi: if not past_roi:
return None, None return None, None
current_entry = max(past_roi) current_entry = max(past_roi)
# if we are past the final point in the table, use that key/vaule pair
if not next_roi: if not next_roi:
return current_entry, minimal_roi[current_entry] return current_entry, minimal_roi[current_entry]
# use the slope-intercept formula between the two points in the roi table we are between # use the slope-intercept formula between the two points in the roi table we are between
@ -666,11 +665,16 @@ class IStrategy(ABC):
b = (x1*y2 - x2*y1)/(x1-x2) b = (x1*y2 - x2*y1)/(x1-x2)
min_roi = (m * trade_dur) + b min_roi = (m * trade_dur) + b
else: else:
min_roi = 0 return None, None
return trade_dur, min_roi return trade_dur, min_roi
# Default ROI table functionality
else: def min_roi_reached_entry(self, trade_dur: int) -> Tuple[Optional[int], Optional[float]]:
"""
Based on trade duration defines the ROI entry that may have been reached.
:param trade_dur: trade duration in minutes
:return: minimal ROI entry value or None if none proper ROI entry was found.
"""
# Get highest entry in ROI dict where key <= trade-duration # Get highest entry in ROI dict where key <= trade-duration
roi_list = list(filter(lambda x: x <= trade_dur, self.minimal_roi.keys())) roi_list = list(filter(lambda x: x <= trade_dur, self.minimal_roi.keys()))
if not roi_list: if not roi_list:
@ -687,6 +691,9 @@ class IStrategy(ABC):
""" """
# Check if time matches and current rate is above threshold # Check if time matches and current rate is above threshold
trade_dur = int((current_time.timestamp() - trade.open_date_utc.timestamp()) // 60) trade_dur = int((current_time.timestamp() - trade.open_date_utc.timestamp()) // 60)
if self.dynamic_roi and self.dynamic_roi['dynamic_roi_enabled']:
_, roi = self.min_roi_reached_dynamic(trade_dur)
else:
_, roi = self.min_roi_reached_entry(trade_dur) _, roi = self.min_roi_reached_entry(trade_dur)
if roi is None: if roi is None:
return False return False