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Update DCA logic to some extend

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This commit is contained in:
Matthias 2022-02-13 15:29:48 +01:00
parent bcfa73d492
commit eed516a5c6
2 changed files with 27 additions and 23 deletions
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2
freqtrade/persistence/models.py
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@ -867,7 +867,7 @@ class LocalTrade():
def recalc_trade_from_orders(self): def recalc_trade_from_orders(self):
# We need at least 2 entry orders for averaging amounts and rates. # We need at least 2 entry orders for averaging amounts and rates.
if len(self.select_filled_orders('buy')) < 2: if len(self.select_filled_orders(self.enter_side)) < 2:
# Just in case, still recalc open trade value # Just in case, still recalc open trade value
self.recalc_open_trade_value() self.recalc_open_trade_value()
return return

48
tests/test_persistence.py
View File

@ -2371,13 +2371,17 @@ def test_recalc_trade_from_orders(fee):
assert pytest.approx(trade.open_trade_value) == o1_trade_val + o2_trade_val + o3_trade_val assert pytest.approx(trade.open_trade_value) == o1_trade_val + o2_trade_val + o3_trade_val
def test_recalc_trade_from_orders_ignores_bad_orders(fee): @pytest.mark.parametrize('is_short', [True, False])
# TODO-lev: this should also check with different leverages per entry order!
def test_recalc_trade_from_orders_ignores_bad_orders(fee, is_short):
o1_amount = 100 o1_amount = 100
o1_rate = 1 o1_rate = 1
o1_cost = o1_amount * o1_rate o1_cost = o1_amount * o1_rate
o1_fee_cost = o1_cost * fee.return_value o1_fee_cost = o1_cost * fee.return_value
o1_trade_val = o1_cost + o1_fee_cost o1_trade_val = o1_cost - o1_fee_cost if is_short else o1_cost + o1_fee_cost
enter_side = "sell" if is_short else "buy"
exit_side = "buy" if is_short else "sell"
trade = Trade( trade = Trade(
pair='ADA/USDT', pair='ADA/USDT',
@ -2389,17 +2393,18 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
exchange='binance', exchange='binance',
open_rate=o1_rate, open_rate=o1_rate,
max_rate=o1_rate, max_rate=o1_rate,
is_short=is_short,
) )
trade.update_fee(o1_fee_cost, 'BNB', fee.return_value, 'buy') trade.update_fee(o1_fee_cost, 'BNB', fee.return_value, enter_side)
# Check with 1 order # Check with 1 order
order1 = Order( order1 = Order(
ft_order_side='buy', ft_order_side=enter_side,
ft_pair=trade.pair, ft_pair=trade.pair,
ft_is_open=False, ft_is_open=False,
status="closed", status="closed",
symbol=trade.pair, symbol=trade.pair,
order_type="market", order_type="market",
side="buy", side=enter_side,
price=o1_rate, price=o1_rate,
average=o1_rate, average=o1_rate,
filled=o1_amount, filled=o1_amount,
@ -2417,17 +2422,16 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
assert trade.open_rate == o1_rate assert trade.open_rate == o1_rate
assert trade.fee_open_cost == o1_fee_cost assert trade.fee_open_cost == o1_fee_cost
assert trade.open_trade_value == o1_trade_val assert trade.open_trade_value == o1_trade_val
assert trade.nr_of_successful_buys == 1
assert trade.nr_of_successful_entries == 1 assert trade.nr_of_successful_entries == 1
order2 = Order( order2 = Order(
ft_order_side='buy', ft_order_side=enter_side,
ft_pair=trade.pair, ft_pair=trade.pair,
ft_is_open=True, ft_is_open=True,
status="open", status="open",
symbol=trade.pair, symbol=trade.pair,
order_type="market", order_type="market",
side="buy", side=enter_side,
price=o1_rate, price=o1_rate,
average=o1_rate, average=o1_rate,
filled=o1_amount, filled=o1_amount,
@ -2445,17 +2449,17 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
assert trade.open_rate == o1_rate assert trade.open_rate == o1_rate
assert trade.fee_open_cost == o1_fee_cost assert trade.fee_open_cost == o1_fee_cost
assert trade.open_trade_value == o1_trade_val assert trade.open_trade_value == o1_trade_val
assert trade.nr_of_successful_buys == 1 assert trade.nr_of_successful_entries == 1
# Let's try with some other orders # Let's try with some other orders
order3 = Order( order3 = Order(
ft_order_side='buy', ft_order_side=enter_side,
ft_pair=trade.pair, ft_pair=trade.pair,
ft_is_open=False, ft_is_open=False,
status="cancelled", status="cancelled",
symbol=trade.pair, symbol=trade.pair,
order_type="market", order_type="market",
side="buy", side=enter_side,
price=1, price=1,
average=2, average=2,
filled=0, filled=0,
@ -2473,16 +2477,16 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
assert trade.open_rate == o1_rate assert trade.open_rate == o1_rate
assert trade.fee_open_cost == o1_fee_cost assert trade.fee_open_cost == o1_fee_cost
assert trade.open_trade_value == o1_trade_val assert trade.open_trade_value == o1_trade_val
assert trade.nr_of_successful_buys == 1 assert trade.nr_of_successful_entries == 1
order4 = Order( order4 = Order(
ft_order_side='buy', ft_order_side=enter_side,
ft_pair=trade.pair, ft_pair=trade.pair,
ft_is_open=False, ft_is_open=False,
status="closed", status="closed",
symbol=trade.pair, symbol=trade.pair,
order_type="market", order_type="market",
side="buy", side=enter_side,
price=o1_rate, price=o1_rate,
average=o1_rate, average=o1_rate,
filled=o1_amount, filled=o1_amount,
@ -2500,17 +2504,17 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
assert trade.open_rate == o1_rate assert trade.open_rate == o1_rate
assert trade.fee_open_cost == 2 * o1_fee_cost assert trade.fee_open_cost == 2 * o1_fee_cost
assert trade.open_trade_value == 2 * o1_trade_val assert trade.open_trade_value == 2 * o1_trade_val
assert trade.nr_of_successful_buys == 2 assert trade.nr_of_successful_entries == 2
# Just to make sure sell orders are ignored, let's calculate one more time. # Just to make sure exit orders are ignored, let's calculate one more time.
sell1 = Order( sell1 = Order(
ft_order_side='sell', ft_order_side=exit_side,
ft_pair=trade.pair, ft_pair=trade.pair,
ft_is_open=False, ft_is_open=False,
status="closed", status="closed",
symbol=trade.pair, symbol=trade.pair,
order_type="market", order_type="market",
side="sell", side=exit_side,
price=4, price=4,
average=3, average=3,
filled=2, filled=2,
@ -2527,16 +2531,17 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
assert trade.open_rate == o1_rate assert trade.open_rate == o1_rate
assert trade.fee_open_cost == 2 * o1_fee_cost assert trade.fee_open_cost == 2 * o1_fee_cost
assert trade.open_trade_value == 2 * o1_trade_val assert trade.open_trade_value == 2 * o1_trade_val
assert trade.nr_of_successful_buys == 2 assert trade.nr_of_successful_entries == 2
# Check with 1 order # Check with 1 order
order_noavg = Order( order_noavg = Order(
ft_order_side='buy', ft_order_side=enter_side,
ft_pair=trade.pair, ft_pair=trade.pair,
ft_is_open=False, ft_is_open=False,
status="closed", status="closed",
symbol=trade.pair, symbol=trade.pair,
order_type="market", order_type="market",
side="buy", side=enter_side,
price=o1_rate, price=o1_rate,
average=None, average=None,
filled=o1_amount, filled=o1_amount,
@ -2554,7 +2559,6 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
assert trade.open_rate == o1_rate assert trade.open_rate == o1_rate
assert trade.fee_open_cost == 3 * o1_fee_cost assert trade.fee_open_cost == 3 * o1_fee_cost
assert trade.open_trade_value == 3 * o1_trade_val assert trade.open_trade_value == 3 * o1_trade_val
assert trade.nr_of_successful_buys == 3
assert trade.nr_of_successful_entries == 3 assert trade.nr_of_successful_entries == 3