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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias
2022-01-22 17:25:21 +01:00
parent e04956be0e 56daafd6b7
commit f090dcc597
77 changed files with 1886 additions and 252 deletions
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313
freqtrade/freqtradebot.py
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@@ -17,7 +17,7 @@ from freqtrade.configuration import validate_config_consistency
from freqtrade.data.converter import order_book_to_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.edge import Edge
from freqtrade.enums import (Collateral, RPCMessageType, SellType, SignalDirection, State,
from freqtrade.enums import (Collateral, RPCMessageType, RunMode, SellType, SignalDirection, State,
TradingMode)
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, PricingError)
@@ -202,6 +202,11 @@ class FreqtradeBot(LoggingMixin):
# First process current opened trades (positions)
self.exit_positions(trades)
# Check if we need to adjust our current positions before attempting to buy new trades.
if self.strategy.position_adjustment_enable:
with self._exit_lock:
self.process_open_trade_positions()
# Then looking for buy opportunities
if self.get_free_open_trades():
self.enter_positions()
@@ -328,7 +333,8 @@ class FreqtradeBot(LoggingMixin):
for trade in trades:
if trade.is_open and not trade.fee_updated(trade.enter_side):
order = trade.select_order(trade.enter_side, False)
if order:
open_order = trade.select_order(trade.enter_side, True)
if order and open_order is None:
logger.info(
f"Updating {trade.enter_side}-fee on trade {trade}"
f"for order {order.order_id}."
@@ -500,6 +506,53 @@ class FreqtradeBot(LoggingMixin):
else:
return False
#
# BUY / increase positions / DCA logic and methods
#
def process_open_trade_positions(self):
"""
Tries to execute additional buy or sell orders for open trades (positions)
"""
# Walk through each pair and check if it needs changes
for trade in Trade.get_open_trades():
# If there is any open orders, wait for them to finish.
if trade.open_order_id is None:
try:
self.check_and_call_adjust_trade_position(trade)
except DependencyException as exception:
logger.warning('Unable to adjust position of trade for %s: %s',
trade.pair, exception)
def check_and_call_adjust_trade_position(self, trade: Trade):
"""
Check the implemented trading strategy for adjustment command.
If the strategy triggers the adjustment, a new order gets issued.
Once that completes, the existing trade is modified to match new data.
"""
# TODO-lev: Check what changes are necessary for DCA in relation to shorts.
current_rate = self.exchange.get_rate(trade.pair, refresh=True, side="buy")
current_profit = trade.calc_profit_ratio(current_rate)
min_stake_amount = self.exchange.get_min_pair_stake_amount(trade.pair,
current_rate,
self.strategy.stoploss)
max_stake_amount = self.wallets.get_available_stake_amount()
logger.debug(f"Calling adjust_trade_position for pair {trade.pair}")
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
trade=trade, current_time=datetime.now(timezone.utc), current_rate=current_rate,
current_profit=current_profit, min_stake=min_stake_amount, max_stake=max_stake_amount)
if stake_amount is not None and stake_amount > 0.0:
# We should increase our position
self.execute_entry(trade.pair, stake_amount, trade=trade)
if stake_amount is not None and stake_amount < 0.0:
# We should decrease our position
# TODO: Selling part of the trade not implemented yet.
logger.error(f"Unable to decrease trade position / sell partially"
f" for pair {trade.pair}, feature not implemented.")
def _check_depth_of_market(
self,
pair: str,
@@ -578,7 +631,8 @@ class FreqtradeBot(LoggingMixin):
*,
is_short: bool = False,
ordertype: Optional[str] = None,
enter_tag: Optional[str] = None
enter_tag: Optional[str] = None,
trade: Optional[Trade] = None,
) -> bool:
"""
Executes a limit buy for the given pair
@@ -591,43 +645,10 @@ class FreqtradeBot(LoggingMixin):
[side, name] = ['sell', 'Short'] if is_short else ['buy', 'Long']
trade_side = 'short' if is_short else 'long'
pos_adjust = trade is not None
if price:
enter_limit_requested = price
else:
# Calculate price
proposed_enter_rate = self.exchange.get_rate(pair, refresh=True, side=side)
custom_entry_price = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=proposed_enter_rate)(
pair=pair, current_time=datetime.now(timezone.utc),
proposed_rate=proposed_enter_rate)
enter_limit_requested = self.get_valid_price(custom_entry_price, proposed_enter_rate)
if not enter_limit_requested:
raise PricingError(f'Could not determine {side} price.')
# Min-stake-amount should actually include Leverage - this way our "minimal"
# stake- amount might be higher than necessary.
# We do however also need min-stake to determine leverage, therefore this is ignored as
# edge-case for now.
min_stake_amount = self.exchange.get_min_pair_stake_amount(
pair,
enter_limit_requested,
self.strategy.stoploss,
)
if not self.edge:
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested, proposed_stake=stake_amount,
min_stake=min_stake_amount, max_stake=max_stake_amount,
side=trade_side
)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
enter_limit_requested, stake_amount = self.get_valid_enter_price_and_stake(
pair, price, stake_amount, side, trade_side, trade)
if not stake_amount:
return False
@@ -643,16 +664,19 @@ class FreqtradeBot(LoggingMixin):
) if self.trading_mode != TradingMode.SPOT else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
logger.info(
f"{name} signal found: about create a new trade for {pair} with stake_amount: "
f"{stake_amount} ..."
)
if pos_adjust:
logger.info(f"Position adjust: about to create a new order for {pair} with stake: "
f"{stake_amount} for {trade}")
else:
logger.info(
f"{name} signal found: about create a new trade for {pair} with stake_amount: "
f"{stake_amount} ...")
amount = (stake_amount / enter_limit_requested) * leverage
order_type = ordertype or self.strategy.order_types['buy']
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
if not pos_adjust and not strategy_safe_wrapper(
self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=amount, rate=enter_limit_requested,
time_in_force=time_in_force, current_time=datetime.now(timezone.utc),
side=trade_side
@@ -672,6 +696,7 @@ class FreqtradeBot(LoggingMixin):
order_obj = Order.parse_from_ccxt_object(order, pair, side)
order_id = order['id']
order_status = order.get('status', None)
logger.info(f"Order #{order_id} was created for {pair} and status is {order_status}.")
# we assume the order is executed at the price requested
enter_limit_filled_price = enter_limit_requested
@@ -717,39 +742,54 @@ class FreqtradeBot(LoggingMixin):
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
open_date = datetime.now(timezone.utc)
funding_fees = self.exchange.get_funding_fees(pair, amount, open_date)
# This is a new trade
if trade is None:
trade = Trade(
pair=pair,
stake_amount=stake_amount,
amount=amount,
is_open=True,
amount_requested=amount_requested,
fee_open=fee,
fee_close=fee,
open_rate=enter_limit_filled_price,
open_rate_requested=enter_limit_requested,
open_date=open_date,
exchange=self.exchange.id,
open_order_id=order_id,
strategy=self.strategy.get_strategy_name(),
enter_tag=enter_tag,
timeframe=timeframe_to_minutes(self.config['timeframe']),
leverage=leverage,
is_short=is_short,
interest_rate=interest_rate,
isolated_liq=isolated_liq,
trading_mode=self.trading_mode,
funding_fees=funding_fees
)
else:
# This is additional buy, we reset fee_open_currency so timeout checking can work
trade.is_open = True
trade.fee_open_currency = None
trade.open_rate_requested = enter_limit_requested
trade.open_order_id = order_id
trade = Trade(
pair=pair,
stake_amount=stake_amount,
amount=amount,
is_open=True,
amount_requested=amount_requested,
fee_open=fee,
fee_close=fee,
open_rate=enter_limit_filled_price,
open_rate_requested=enter_limit_requested,
open_date=open_date,
exchange=self.exchange.id,
open_order_id=order_id,
strategy=self.strategy.get_strategy_name(),
enter_tag=enter_tag,
timeframe=timeframe_to_minutes(self.config['timeframe']),
leverage=leverage,
is_short=is_short,
interest_rate=interest_rate,
isolated_liq=isolated_liq,
trading_mode=self.trading_mode,
funding_fees=funding_fees
)
trade.orders.append(order_obj)
trade.recalc_trade_from_orders()
Trade.query.session.add(trade)
Trade.commit()
# Updating wallets
self.wallets.update()
self._notify_enter(trade, order_type)
self._notify_enter(trade, order, order_type)
if pos_adjust:
if order_status == 'closed':
logger.info(f"DCA order closed, trade should be up to date: {trade}")
trade = self.cancel_stoploss_on_exchange(trade)
else:
logger.info(f"DCA order {order_status}, will wait for resolution: {trade}")
# Update fees if order is closed
if order_status == 'closed':
@@ -757,7 +797,59 @@ class FreqtradeBot(LoggingMixin):
return True
def _notify_enter(self, trade: Trade, order_type: Optional[str] = None,
def cancel_stoploss_on_exchange(self, trade: Trade) -> Trade:
# First cancelling stoploss on exchange ...
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
try:
logger.info(f"Canceling stoploss on exchange for {trade}")
co = self.exchange.cancel_stoploss_order_with_result(
trade.stoploss_order_id, trade.pair, trade.amount)
trade.update_order(co)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
return trade
def get_valid_enter_price_and_stake(
self, pair: str, price: Optional[float], stake_amount: float,
side: str, trade_side: str,
trade: Optional[Trade]) -> Tuple[float, float]:
if price:
enter_limit_requested = price
else:
# Calculate price
proposed_enter_rate = self.exchange.get_rate(pair, refresh=True, side=side)
custom_entry_price = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=proposed_enter_rate)(
pair=pair, current_time=datetime.now(timezone.utc),
proposed_rate=proposed_enter_rate)
enter_limit_requested = self.get_valid_price(custom_entry_price, proposed_enter_rate)
if not enter_limit_requested:
raise PricingError(f'Could not determine {side} price.')
# Min-stake-amount should actually include Leverage - this way our "minimal"
# stake- amount might be higher than necessary.
# We do however also need min-stake to determine leverage, therefore this is ignored as
# edge-case for now.
min_stake_amount = self.exchange.get_min_pair_stake_amount(
pair, enter_limit_requested, self.strategy.stoploss,)
if not self.edge and trade is None:
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested, proposed_stake=stake_amount,
min_stake=min_stake_amount, max_stake=max_stake_amount,
side=trade_side
)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
return enter_limit_requested, stake_amount
def _notify_enter(self, trade: Trade, order: Dict, order_type: Optional[str] = None,
fill: bool = False) -> None:
"""
Sends rpc notification when a entry order occurred.
@@ -766,6 +858,13 @@ class FreqtradeBot(LoggingMixin):
msg_type = RPCMessageType.SHORT_FILL if trade.is_short else RPCMessageType.BUY_FILL
else:
msg_type = RPCMessageType.SHORT if trade.is_short else RPCMessageType.BUY
open_rate = safe_value_fallback(order, 'average', 'price')
if open_rate is None:
open_rate = trade.open_rate
current_rate = trade.open_rate_requested
if self.dataprovider.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
current_rate = self.exchange.get_rate(trade.pair, refresh=False, side=trade.enter_side)
msg = {
'trade_id': trade.id,
@@ -776,15 +875,15 @@ class FreqtradeBot(LoggingMixin):
'pair': trade.pair,
'leverage': trade.leverage if trade.leverage else None,
'direction': 'Short' if trade.is_short else 'Long',
'limit': trade.open_rate, # Deprecated (?)
'open_rate': trade.open_rate,
'limit': open_rate, # Deprecated (?)
'open_rate': open_rate,
'order_type': order_type,
'stake_amount': trade.stake_amount,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
'amount': trade.amount,
'amount': safe_value_fallback(order, 'filled', 'amount') or trade.amount,
'open_date': trade.open_date or datetime.utcnow(),
'current_rate': trade.open_rate_requested,
'current_rate': current_rate,
}
# Send the message
@@ -1163,14 +1262,17 @@ class FreqtradeBot(LoggingMixin):
# Using filled to determine the filled amount
filled_amount = safe_value_fallback2(corder, order, 'filled', 'filled')
if isclose(filled_amount, 0.0, abs_tol=constants.MATH_CLOSE_PREC):
logger.info(
'%s order fully cancelled. Removing %s from database.',
side, trade
)
# if trade is not partially completed, just delete the trade
trade.delete()
was_trade_fully_canceled = True
reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"
logger.info(f'{side} order fully cancelled. Removing {trade} from database.')
# if trade is not partially completed and it's the only order, just delete the trade
if len(trade.orders) <= 1:
trade.delete()
was_trade_fully_canceled = True
reason += f", {constants.CANCEL_REASON['FULLY_CANCELLED']}"
else:
# FIXME TODO: This could possibly reworked to not duplicate the code 15 lines below.
self.update_trade_state(trade, trade.open_order_id, corder)
trade.open_order_id = None
logger.info(f'Partial {side} order timeout for {trade}.')
else:
# if trade is partially complete, edit the stake details for the trade
# and close the order
@@ -1303,13 +1405,7 @@ class FreqtradeBot(LoggingMixin):
limit = self.get_valid_price(custom_exit_price, proposed_limit_rate)
# First cancelling stoploss on exchange ...
if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
try:
co = self.exchange.cancel_stoploss_order_with_result(trade.stoploss_order_id,
trade.pair, trade.amount)
trade.update_order(co)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
trade = self.cancel_stoploss_on_exchange(trade)
order_type = ordertype or self.strategy.order_types[exit_type]
if sell_reason.sell_type == SellType.EMERGENCY_SELL:
@@ -1476,7 +1572,7 @@ class FreqtradeBot(LoggingMixin):
return False
# Update trade with order values
logger.info('Found open order for %s', trade)
logger.info(f'Found open order for {trade}')
try:
order = action_order or self.exchange.fetch_order_or_stoploss_order(order_id,
trade.pair,
@@ -1492,29 +1588,26 @@ class FreqtradeBot(LoggingMixin):
# Handling of this will happen in check_handle_timedout.
return True
# Try update amount (binance-fix)
try:
new_amount = self.get_real_amount(trade, order)
if not isclose(safe_value_fallback(order, 'filled', 'amount'), new_amount,
abs_tol=constants.MATH_CLOSE_PREC):
order['amount'] = new_amount
order.pop('filled', None)
trade.recalc_open_trade_value()
except DependencyException as exception:
logger.warning("Could not update trade amount: %s", exception)
order = self.handle_order_fee(trade, order)
trade.update(order)
trade.recalc_trade_from_orders()
Trade.commit()
# Updating wallets when order is closed
if order['status'] in constants.NON_OPEN_EXCHANGE_STATES:
# If a buy order was closed, force update on stoploss on exchange
if order.get('side', None) == 'buy':
trade = self.cancel_stoploss_on_exchange(trade)
# Updating wallets when order is closed
self.wallets.update()
if not trade.is_open:
if send_msg and not stoploss_order and not trade.open_order_id:
self._notify_exit(trade, '', True)
self.handle_protections(trade.pair)
self.wallets.update()
elif send_msg and not trade.open_order_id:
# Buy fill
self._notify_enter(trade, fill=True)
self._notify_enter(trade, order, fill=True)
return False
@@ -1551,6 +1644,18 @@ class FreqtradeBot(LoggingMixin):
return real_amount
return amount
def handle_order_fee(self, trade: Trade, order: Dict[str, Any]) -> Dict[str, Any]:
# Try update amount (binance-fix)
try:
new_amount = self.get_real_amount(trade, order)
if not isclose(safe_value_fallback(order, 'filled', 'amount'), new_amount,
abs_tol=constants.MATH_CLOSE_PREC):
order['amount'] = new_amount
order.pop('filled', None)
except DependencyException as exception:
logger.warning("Could not update trade amount: %s", exception)
return order
def get_real_amount(self, trade: Trade, order: Dict) -> float:
"""
Detect and update trade fee.