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edge real position sizing drafted

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This commit is contained in:
misagh 2018-11-26 21:06:32 +01:00
parent 2135976cb8
commit f5a70750f0
2 changed files with 16 additions and 4 deletions
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16
freqtrade/edge/__init__.py
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@ -9,6 +9,7 @@ import utils_find_1st as utf1st
from pandas import DataFrame from pandas import DataFrame
import freqtrade.optimize as optimize import freqtrade.optimize as optimize
from freqtrade import constants, OperationalException
from freqtrade.arguments import Arguments from freqtrade.arguments import Arguments
from freqtrade.arguments import TimeRange from freqtrade.arguments import TimeRange
from freqtrade.strategy.interface import SellType from freqtrade.strategy.interface import SellType
@ -53,7 +54,15 @@ class Edge():
self.edge_config = self.config.get('edge', {}) self.edge_config = self.config.get('edge', {})
self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
self._total_capital: float = self.config['stake_amount'] # checking max_open_trades. it should be -1 as with Edge
# the number of trades is determined by position size
if self.config['max_open_trades'] != -1:
logger.critical('max_open_trades should be -1 in config !')
if self.config['stake_amount'] != constants.UNLIMITED_STAKE_AMOUNT:
raise OperationalException('Edge works only with unlimited stake amount')
self._capital_percentage: float = self.edge_config.get('capital_available_percentage')
self._allowed_risk: float = self.edge_config.get('allowed_risk') self._allowed_risk: float = self.edge_config.get('allowed_risk')
self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14) self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
self._last_updated: int = 0 # Timestamp of pairs last updated time self._last_updated: int = 0 # Timestamp of pairs last updated time
@ -150,9 +159,10 @@ class Edge():
return True return True
def stake_amount(self, pair: str) -> float: def stake_amount(self, pair: str, capital: float) -> float:
stoploss = self._cached_pairs[pair].stoploss stoploss = self._cached_pairs[pair].stoploss
allowed_capital_at_risk = round(self._total_capital * self._allowed_risk, 5) available_capital = capital * self._capital_percentage
allowed_capital_at_risk = round(available_capital * self._allowed_risk, 5)
position_size = abs(round((allowed_capital_at_risk / stoploss), 5)) position_size = abs(round((allowed_capital_at_risk / stoploss), 5))
return position_size return position_size

4
freqtrade/freqtradebot.py
View File

@ -333,7 +333,9 @@ class FreqtradeBot(object):
:return: float: Stake Amount :return: float: Stake Amount
""" """
if self.edge: if self.edge:
stake_amount = self.edge.stake_amount(pair) stake_amount = self.edge.stake_amount(
pair, self.wallets.get_free(self.config['stake_currency'])
)
else: else:
stake_amount = self.config['stake_amount'] stake_amount = self.config['stake_amount']