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About 15 margin tests pass

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This commit is contained in:
Sam Germain
2021-06-27 03:38:56 -06:00
parent f5d7deedf4
commit efcc2adacf
8 changed files with 1011 additions and 704 deletions
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2
freqtrade/persistence/migrations.py
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@@ -48,7 +48,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
sell_reason = get_column_def(cols, 'sell_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null')
leverage = get_column_def(cols, 'leverage', '0.0')
leverage = get_column_def(cols, 'leverage', 'null')
borrowed = get_column_def(cols, 'borrowed', '0.0')
borrowed_currency = get_column_def(cols, 'borrowed_currency', 'null')
collateral_currency = get_column_def(cols, 'collateral_currency', 'null')

184
freqtrade/persistence/models.py
View File

@@ -132,7 +132,7 @@ class Order(_DECL_BASE):
order_filled_date = Column(DateTime, nullable=True)
order_update_date = Column(DateTime, nullable=True)
leverage = Column(Float, nullable=True, default=1.0)
leverage = Column(Float, nullable=True, default=None)
is_short = Column(Boolean, nullable=True, default=False)
def __repr__(self):
@@ -237,7 +237,7 @@ class LocalTrade():
close_profit: Optional[float] = None
close_profit_abs: Optional[float] = None
stake_amount: float = 0.0
amount: float = 0.0
_amount: float = 0.0
amount_requested: Optional[float] = None
open_date: datetime
close_date: Optional[datetime] = None
@@ -269,33 +269,52 @@ class LocalTrade():
interest_rate: float = 0.0
liquidation_price: float = None
is_short: bool = False
__leverage: float = 1.0 # * You probably want to use self.leverage instead |
__borrowed: float = 0.0 # * You probably want to use self.borrowed instead V
borrowed: float = 0.0
_leverage: float = None # * You probably want to use LocalTrade.leverage instead
# @property
# def base_currency(self) -> str:
# if not self.pair:
# raise OperationalException('LocalTrade.pair must be assigned')
# return self.pair.split("/")[1]
@property
def amount(self) -> float:
if self.leverage is not None:
return self._amount * self.leverage
else:
return self._amount
@amount.setter
def amount(self, value):
self._amount = value
@property
def leverage(self) -> float:
return self.__leverage or 1.0
@property
def borrowed(self) -> float:
return self.__borrowed or 0.0
return self._leverage
@leverage.setter
def leverage(self, lev: float):
def leverage(self, value):
# def set_leverage(self, lev: float, is_short: Optional[bool], amount: Optional[float]):
# TODO: Should this be @leverage.setter, or should it take arguments is_short and amount
# if is_short is None:
# is_short = self.is_short
# if amount is None:
# amount = self.amount
if self.is_short is None or self.amount is None:
raise OperationalException(
'LocalTrade.amount and LocalTrade.is_short must be assigned before LocalTrade.leverage')
self.__leverage = lev
self.__borrowed = self.amount * (lev-1)
self.amount = self.amount * lev
'LocalTrade.amount and LocalTrade.is_short must be assigned before assigning leverage')
self._leverage = value
if self.is_short:
# If shorting the full amount must be borrowed
self.borrowed = self.amount * value
else:
# If not shorting, then the trader already owns a bit
self.borrowed = self.amount * (value-1)
# TODO: Maybe amount should be a computed property, so we don't have to modify it
self.amount = self.amount * value
@borrowed.setter
def borrowed(self, bor: float):
if not self.amount:
raise OperationalException(
'LocalTrade.amount must be assigned before LocalTrade.borrowed')
self.__borrowed = bor
self.__leverage = self.amount / (self.amount - self.borrowed)
# End of margin trading properties
@property
@@ -414,7 +433,10 @@ class LocalTrade():
def _set_new_stoploss(self, new_loss: float, stoploss: float):
"""Assign new stop value"""
self.stop_loss = new_loss
self.stop_loss_pct = -1 * abs(stoploss)
if self.is_short:
self.stop_loss_pct = abs(stoploss)
else:
self.stop_loss_pct = -1 * abs(stoploss)
self.stoploss_last_update = datetime.utcnow()
def adjust_stop_loss(self, current_price: float, stoploss: float,
@@ -430,17 +452,24 @@ class LocalTrade():
# Don't modify if called with initial and nothing to do
return
new_loss = float(current_price * (1 - abs(stoploss)))
# TODO: Could maybe move this if into the new stoploss if branch
if (self.liquidation_price): # If trading on margin, don't set the stoploss below the liquidation price
new_loss = min(self.liquidation_price, new_loss)
if self.is_short:
new_loss = float(current_price * (1 + abs(stoploss)))
if self.liquidation_price: # If trading on margin, don't set the stoploss below the liquidation price
new_loss = min(self.liquidation_price, new_loss)
else:
new_loss = float(current_price * (1 - abs(stoploss)))
if self.liquidation_price: # If trading on margin, don't set the stoploss below the liquidation price
new_loss = max(self.liquidation_price, new_loss)
# no stop loss assigned yet
if not self.stop_loss:
logger.debug(f"{self.pair} - Assigning new stoploss...")
self._set_new_stoploss(new_loss, stoploss)
self.initial_stop_loss = new_loss
self.initial_stop_loss_pct = -1 * abs(stoploss)
if self.is_short:
self.initial_stop_loss_pct = abs(stoploss)
else:
self.initial_stop_loss_pct = -1 * abs(stoploss)
# evaluate if the stop loss needs to be updated
else:
@@ -501,6 +530,7 @@ class LocalTrade():
self.open_rate = float(safe_value_fallback(order, 'average', 'price'))
self.amount = float(safe_value_fallback(order, 'filled', 'amount'))
if 'borrowed' in order:
self.borrowed = order['borrowed']
elif 'leverage' in order:
@@ -514,6 +544,7 @@ class LocalTrade():
elif order_type in ('market', 'limit') and self.is_closing_trade(order['side']):
if self.is_open:
payment = "BUY" if self.is_short else "SELL"
# TODO: On Shorts technically your buying a little bit more than the amount because it's the ammount plus the interest
logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price')) # TODO: Double check this
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
@@ -596,60 +627,68 @@ class LocalTrade():
"""
self.open_trade_value = self._calc_open_trade_value()
def calculate_interest(self) -> Decimal:
def calculate_interest(self, interest_rate: Optional[float] = None) -> Decimal:
"""
: param interest_rate: interest_charge for borrowing this coin(optional).
If interest_rate is not set self.interest_rate will be used
"""
# TODO-mg: Need to set other conditions because sometimes self.open_date is not defined, but why would it ever not be set
if not self.interest_rate or not (self.borrowed):
return Decimal(0.0)
zero = Decimal(0.0)
if not (self.borrowed):
return zero
try:
open_date = self.open_date.replace(tzinfo=None)
now = datetime.now()
secPerDay = 86400
days = Decimal((now - open_date).total_seconds()/secPerDay) or 0.0
hours = days/24
except:
raise OperationalException("Time isn't calculated properly")
open_date = self.open_date.replace(tzinfo=None)
now = datetime.utcnow()
# sec_per_day = Decimal(86400)
sec_per_hour = Decimal(3600)
total_seconds = Decimal((now - open_date).total_seconds())
#days = total_seconds/sec_per_day or zero
hours = total_seconds/sec_per_hour or zero
rate = Decimal(self.interest_rate)
rate = Decimal(interest_rate or self.interest_rate)
borrowed = Decimal(self.borrowed)
twenty4 = Decimal(24.0)
one = Decimal(1.0)
twenty_four = Decimal(24.0)
four = Decimal(4.0)
if self.exchange == 'binance':
# Rate is per day but accrued hourly or something
# binance: https://www.binance.com/en-AU/support/faq/360030157812
return borrowed * (rate/twenty4) * max(hours, one) # TODO-mg: Is hours rounded?
return borrowed * rate * max(hours, one)/twenty_four # TODO-mg: Is hours rounded?
elif self.exchange == 'kraken':
# https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-
opening_fee = borrowed * rate
roll_over_fee = borrowed * rate * max(0, (hours-4)/4)
roll_over_fee = borrowed * rate * max(0, (hours-four)/four)
return opening_fee + roll_over_fee
elif self.exchange == 'binance_usdm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/twenty4) * max(hours, one)
return borrowed * (rate/twenty_four) * max(hours, one)
elif self.exchange == 'binance_coinm_futures':
# ! TODO-mg: This is incorrect, I didn't look it up
return borrowed * (rate/twenty4) * max(hours, one)
return borrowed * (rate/twenty_four) * max(hours, one)
else:
# TODO-mg: make sure this breaks and can't be squelched
raise OperationalException("Leverage not available on this exchange")
def calc_close_trade_value(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
"""
Calculate the close_rate including fee
:param fee: fee to use on the close rate (optional).
If rate is not set self.fee will be used
:param rate: rate to compare with (optional).
If rate is not set self.close_rate will be used
:param interest_rate: interest_charge for borrowing this coin (optional).
If interest_rate is not set self.interest_rate will be used
:return: Price in BTC of the open trade
"""
if rate is None and not self.close_rate:
return 0.0
interest = self.calculate_interest()
interest = self.calculate_interest(interest_rate)
if self.is_short:
amount = Decimal(self.amount) + interest
amount = Decimal(self.amount) + Decimal(interest)
else:
# The interest does not need to be purchased on longs because the user already owns that currency in your wallet
amount = Decimal(self.amount)
@@ -663,18 +702,22 @@ class LocalTrade():
return float(close_trade - fees - interest)
def calc_profit(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
"""
Calculate the absolute profit in stake currency between Close and Open trade
:param fee: fee to use on the close rate (optional).
If fee is not set self.fee will be used
:param rate: close rate to compare with (optional).
If rate is not set self.close_rate will be used
:param interest_rate: interest_charge for borrowing this coin (optional).
If interest_rate is not set self.interest_rate will be used
:return: profit in stake currency as float
"""
close_trade_value = self.calc_close_trade_value(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
fee=(fee or self.fee_close),
interest_rate=(interest_rate or self.interest_rate)
)
if self.is_short:
@@ -684,17 +727,21 @@ class LocalTrade():
return float(f"{profit:.8f}")
def calc_profit_ratio(self, rate: Optional[float] = None,
fee: Optional[float] = None) -> float:
fee: Optional[float] = None,
interest_rate: Optional[float] = None) -> float:
"""
Calculates the profit as ratio (including fee).
:param rate: rate to compare with (optional).
If rate is not set self.close_rate will be used
:param fee: fee to use on the close rate (optional).
:param interest_rate: interest_charge for borrowing this coin (optional).
If interest_rate is not set self.interest_rate will be used
:return: profit ratio as float
"""
close_trade_value = self.calc_close_trade_value(
rate=(rate or self.close_rate),
fee=(fee or self.fee_close)
fee=(fee or self.fee_close),
interest_rate=(interest_rate or self.interest_rate)
)
if self.is_short:
if close_trade_value == 0.0:
@@ -724,7 +771,7 @@ class LocalTrade():
else:
return None
@ staticmethod
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
) -> List['LocalTrade']:
@@ -758,27 +805,27 @@ class LocalTrade():
return sel_trades
@ staticmethod
@staticmethod
def close_bt_trade(trade):
LocalTrade.trades_open.remove(trade)
LocalTrade.trades.append(trade)
LocalTrade.total_profit += trade.close_profit_abs
@ staticmethod
@staticmethod
def add_bt_trade(trade):
if trade.is_open:
LocalTrade.trades_open.append(trade)
else:
LocalTrade.trades.append(trade)
@ staticmethod
@staticmethod
def get_open_trades() -> List[Any]:
"""
Query trades from persistence layer
"""
return Trade.get_trades_proxy(is_open=True)
@ staticmethod
@staticmethod
def stoploss_reinitialization(desired_stoploss):
"""
Adjust initial Stoploss to desired stoploss for all open trades.
@@ -853,18 +900,19 @@ class Trade(_DECL_BASE, LocalTrade):
# Lowest price reached
min_rate = Column(Float, nullable=True)
sell_reason = Column(String(100), nullable=True) # TODO: Change to close_reason
sell_order_status = Column(String(100), nullable=True)
sell_order_status = Column(String(100), nullable=True) # TODO: Change to close_order_status
strategy = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True)
# Margin trading properties
leverage = Column(Float, nullable=True, default=1.0)
_leverage: float = None # * You probably want to use LocalTrade.leverage instead
borrowed = Column(Float, nullable=False, default=0.0)
borrowed_currency = Column(Float, nullable=True)
collateral_currency = Column(String(25), nullable=True)
interest_rate = Column(Float, nullable=False, default=0.0)
liquidation_price = Column(Float, nullable=True)
is_short = Column(Boolean, nullable=False, default=False)
# TODO: Bottom 2 might not be needed
borrowed_currency = Column(Float, nullable=True)
collateral_currency = Column(String(25), nullable=True)
# End of margin trading properties
def __init__(self, **kwargs):
@@ -879,11 +927,11 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.query.session.delete(self)
Trade.commit()
@ staticmethod
@staticmethod
def commit():
Trade.query.session.commit()
@ staticmethod
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
) -> List['LocalTrade']:
@@ -913,7 +961,7 @@ class Trade(_DECL_BASE, LocalTrade):
close_date=close_date
)
@ staticmethod
@staticmethod
def get_trades(trade_filter=None) -> Query:
"""
Helper function to query Trades using filters.
@@ -933,7 +981,7 @@ class Trade(_DECL_BASE, LocalTrade):
else:
return Trade.query
@ staticmethod
@staticmethod
def get_open_order_trades():
"""
Returns all open trades
@@ -941,7 +989,7 @@ class Trade(_DECL_BASE, LocalTrade):
"""
return Trade.get_trades(Trade.open_order_id.isnot(None)).all()
@ staticmethod
@staticmethod
def get_open_trades_without_assigned_fees():
"""
Returns all open trades which don't have open fees set correctly
@@ -952,7 +1000,7 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.is_open.is_(True),
]).all()
@ staticmethod
@staticmethod
def get_closed_trades_without_assigned_fees():
"""
Returns all closed trades which don't have fees set correctly
@@ -990,7 +1038,7 @@ class Trade(_DECL_BASE, LocalTrade):
t.stake_amount for t in LocalTrade.get_trades_proxy(is_open=True))
return total_open_stake_amount or 0
@ staticmethod
@staticmethod
def get_overall_performance() -> List[Dict[str, Any]]:
"""
Returns List of dicts containing all Trades, including profit and trade count
@@ -1053,7 +1101,7 @@ class PairLock(_DECL_BASE):
return (f'PairLock(id={self.id}, pair={self.pair}, lock_time={lock_time}, '
f'lock_end_time={lock_end_time})')
@ staticmethod
@staticmethod
def query_pair_locks(pair: Optional[str], now: datetime) -> Query:
"""
Get all currently active locks for this pair