diff --git a/config_full.json.example b/config_full.json.example index 234722f82..23a36dd4c 100644 --- a/config_full.json.example +++ b/config_full.json.example @@ -3,6 +3,7 @@ "stake_currency": "BTC", "stake_amount": 0.05, "fiat_display_currency": "USD", + "amount_reserve_percent" : 0.05, "dry_run": false, "ticker_interval": "5m", "trailing_stop": false, diff --git a/docs/configuration.md b/docs/configuration.md index 2caae81f1..108e264c6 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -16,6 +16,7 @@ Mandatory Parameters are marked as **Required**. | `max_open_trades` | 3 | **Required.** Number of trades open your bot will have. If -1 then it is ignored (i.e. potentially unlimited open trades) | `stake_currency` | BTC | **Required.** Crypto-currency used for trading. | `stake_amount` | 0.05 | **Required.** Amount of crypto-currency your bot will use for each trade. Per default, the bot will use (0.05 BTC x 3) = 0.15 BTC in total will be always engaged. Set it to `"unlimited"` to allow the bot to use all available balance. +| `amount_reserve_percent` | 0.05 | Reserve some amount in min pair stake amount. Default is 5%. The bot will reserve `amount_reserve_percent` + stop-loss value when calculating min pair stake amount in order to avoid possible trade refusals. | `ticker_interval` | [1m, 5m, 30m, 1h, 1d] | The ticker interval to use (1min, 5 min, 30 min, 1 hour or 1 day). Default is 5 minutes. [Strategy Override](#parameters-in-strategy). | `fiat_display_currency` | USD | **Required.** Fiat currency used to show your profits. More information below. | `dry_run` | true | **Required.** Define if the bot must be in Dry-run or production mode. diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 588b959d3..ff4f963f9 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -211,19 +211,11 @@ class FreqtradeBot(object): self.state = State.STOPPED return state_changed - def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float: + def get_target_bid(self, pair: str) -> float: """ Calculates bid target between current ask price and last price - :param ticker: Ticker to use for getting Ask and Last Price :return: float: Price """ - if ticker['ask'] < ticker['last']: - ticker_rate = ticker['ask'] - else: - balance = self.config['bid_strategy']['ask_last_balance'] - ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask']) - - used_rate = ticker_rate config_bid_strategy = self.config.get('bid_strategy', {}) if 'use_order_book' in config_bid_strategy and\ config_bid_strategy.get('use_order_book', False): @@ -233,15 +225,16 @@ class FreqtradeBot(object): logger.debug('order_book %s', order_book) # top 1 = index 0 order_book_rate = order_book['bids'][order_book_top - 1][0] - # if ticker has lower rate, then use ticker ( usefull if down trending ) logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate) - if ticker_rate < order_book_rate: - logger.info('...using ticker rate instead %0.8f', ticker_rate) - used_rate = ticker_rate - else: - used_rate = order_book_rate + used_rate = order_book_rate else: logger.info('Using Last Ask / Last Price') + ticker = self.exchange.get_ticker(pair) + if ticker['ask'] < ticker['last']: + ticker_rate = ticker['ask'] + else: + balance = self.config['bid_strategy']['ask_last_balance'] + ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask']) used_rate = ticker_rate return used_rate @@ -304,7 +297,8 @@ class FreqtradeBot(object): if not min_stake_amounts: return None - amount_reserve_percent = 1 - 0.05 # reserve 5% + stoploss + # reserve some percent defined in config (5% default) + stoploss + amount_reserve_percent = 1.0 - self.config.get('amount_reserve_percent', 0.05) if self.strategy.stoploss is not None: amount_reserve_percent += self.strategy.stoploss # it should not be more than 50% @@ -387,7 +381,7 @@ class FreqtradeBot(object): buy_limit_requested = price else: # Calculate amount - buy_limit_requested = self.get_target_bid(pair, self.exchange.get_ticker(pair)) + buy_limit_requested = self.get_target_bid(pair) min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit_requested) if min_stake_amount is not None and min_stake_amount > stake_amount: @@ -587,7 +581,6 @@ class FreqtradeBot(object): raise ValueError(f'Attempt to handle closed trade: {trade}') logger.debug('Handling %s ...', trade) - sell_rate = self.exchange.get_ticker(trade.pair)['bid'] (buy, sell) = (False, False) experimental = self.config.get('experimental', {}) @@ -607,18 +600,15 @@ class FreqtradeBot(object): for i in range(order_book_min, order_book_max + 1): order_book_rate = order_book['asks'][i - 1][0] - - # if orderbook has higher rate (high profit), - # use orderbook, otherwise just use bids rate logger.info(' order book asks top %s: %0.8f', i, order_book_rate) - if sell_rate < order_book_rate: - sell_rate = order_book_rate + sell_rate = order_book_rate if self.check_sell(trade, sell_rate, buy, sell): return True else: logger.debug('checking sell') + sell_rate = self.exchange.get_ticker(trade.pair)['bid'] if self.check_sell(trade, sell_rate, buy, sell): return True diff --git a/freqtrade/tests/test_freqtradebot.py b/freqtrade/tests/test_freqtradebot.py index 1a0e1e217..a0ac6ee99 100644 --- a/freqtrade/tests/test_freqtradebot.py +++ b/freqtrade/tests/test_freqtradebot.py @@ -841,22 +841,27 @@ def test_process_informative_pairs_added(default_conf, ticker, markets, mocker) def test_balance_fully_ask_side(mocker, default_conf) -> None: default_conf['bid_strategy']['ask_last_balance'] = 0.0 freqtrade = get_patched_freqtradebot(mocker, default_conf) + mocker.patch('freqtrade.exchange.Exchange.get_ticker', + MagicMock(return_value={'ask': 20, 'last': 10})) - assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 20 + assert freqtrade.get_target_bid('ETH/BTC') == 20 def test_balance_fully_last_side(mocker, default_conf) -> None: default_conf['bid_strategy']['ask_last_balance'] = 1.0 freqtrade = get_patched_freqtradebot(mocker, default_conf) + mocker.patch('freqtrade.exchange.Exchange.get_ticker', + MagicMock(return_value={'ask': 20, 'last': 10})) - assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 10 + assert freqtrade.get_target_bid('ETH/BTC') == 10 def test_balance_bigger_last_ask(mocker, default_conf) -> None: default_conf['bid_strategy']['ask_last_balance'] = 1.0 freqtrade = get_patched_freqtradebot(mocker, default_conf) - - assert freqtrade.get_target_bid('ETH/BTC', {'ask': 5, 'last': 10}) == 5 + mocker.patch('freqtrade.exchange.Exchange.get_ticker', + MagicMock(return_value={'ask': 5, 'last': 10})) + assert freqtrade.get_target_bid('ETH/BTC') == 5 def test_execute_buy(mocker, default_conf, fee, markets, limit_buy_order) -> None: @@ -2813,10 +2818,13 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets) instead of the ask rate """ patch_exchange(mocker) + ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046}) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_markets=markets, - get_order_book=order_book_l2 + get_order_book=order_book_l2, + get_ticker=ticker_mock, + ) default_conf['exchange']['name'] = 'binance' default_conf['bid_strategy']['use_order_book'] = True @@ -2825,7 +2833,8 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets) default_conf['telegram']['enabled'] = False freqtrade = FreqtradeBot(default_conf) - assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.045, 'last': 0.046}) == 0.043935 + assert freqtrade.get_target_bid('ETH/BTC') == 0.043935 + assert ticker_mock.call_count == 0 def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets) -> None: @@ -2834,10 +2843,13 @@ def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets) instead of the order book rate (even if enabled) """ patch_exchange(mocker) + ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046}) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_markets=markets, - get_order_book=order_book_l2 + get_order_book=order_book_l2, + get_ticker=ticker_mock, + ) default_conf['exchange']['name'] = 'binance' default_conf['bid_strategy']['use_order_book'] = True @@ -2846,29 +2858,9 @@ def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets) default_conf['telegram']['enabled'] = False freqtrade = FreqtradeBot(default_conf) - assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.042, 'last': 0.046}) == 0.042 - - -def test_order_book_bid_strategy3(default_conf, mocker, order_book_l2, markets) -> None: - """ - test if function get_target_bid will return ask rate instead - of the order book rate - """ - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - get_markets=markets, - get_order_book=order_book_l2 - ) - default_conf['exchange']['name'] = 'binance' - default_conf['bid_strategy']['use_order_book'] = True - default_conf['bid_strategy']['order_book_top'] = 1 - default_conf['bid_strategy']['ask_last_balance'] = 0 - default_conf['telegram']['enabled'] = False - - freqtrade = FreqtradeBot(default_conf) - - assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.03, 'last': 0.029}) == 0.03 + # ordrebook shall be used even if tickers would be lower. + assert freqtrade.get_target_bid('ETH/BTC', ) != 0.042 + assert ticker_mock.call_count == 0 def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2, markets) -> None: diff --git a/requirements.txt b/requirements.txt index 9d3bc6d0d..c690b237d 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1,5 +1,5 @@ -ccxt==1.18.234 -SQLAlchemy==1.2.17 +ccxt==1.18.243 +SQLAlchemy==1.2.18 python-telegram-bot==11.1.0 arrow==0.13.1 cachetools==3.1.0 @@ -9,7 +9,7 @@ wrapt==1.11.1 numpy==1.16.1 pandas==0.24.1 scikit-learn==0.20.2 -joblib==0.13.1 +joblib==0.13.2 scipy==1.2.1 jsonschema==2.6.0 TA-Lib==0.4.17