Initial very crude DCA implementation attempt. Very alpha.
No backtesting support.
This commit is contained in:
Reigo Reinmets
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decaa24f81
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@ -178,6 +178,9 @@ class FreqtradeBot(LoggingMixin):
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# First process current opened trades (positions)
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self.exit_positions(trades)
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# Check if we need to adjust our current positions before attempting to buy new trades.
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self.process_open_trade_positions()
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# Then looking for buy opportunities
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if self.get_free_open_trades():
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self.enter_positions()
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@ -443,6 +446,172 @@ class FreqtradeBot(LoggingMixin):
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else:
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return False
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#
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# BUY / increase / decrease positions / DCA logic and methods
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#
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def process_open_trade_positions(self) -> int:
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"""
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Tries to execute additional buy orders for open trades (positions)
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"""
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orders_created = 0
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# Remove pairs for currently opened trades from the whitelist
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for trade in Trade.get_open_trades():
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try:
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orders_created += self.adjust_trade_position(trade)
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except DependencyException as exception:
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logger.warning('Unable to adjust position of trade for %s: %s', trade.pair, exception)
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if not orders_created:
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logger.debug("Found no trades to modify. Trying again...")
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return orders_created
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def adjust_trade_position(self, trade: Trade) -> int:
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"""
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Check the implemented trading strategy for adjustment command.
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If the pair triggers the adjustment a new buy-order gets issued towards the exchange.
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Once that completes, the existing trade is modified to match new data.
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:return: True if a order has been created.
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"""
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logger.debug(f"adjust_trade_position for pair {trade.pair}")
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for order in trade.orders:
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if order.ft_is_open:
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logger.debug(f"Order {order} is still open.")
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return 0
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analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair, self.strategy.timeframe)
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sell_rate = self.exchange.get_rate(trade.pair, refresh=True, side="sell")
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current_profit = trade.calc_profit_ratio(sell_rate)
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amount_to_adjust = strategy_safe_wrapper(self.strategy.adjust_trade_position, default_retval=0.0)(
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pair=trade.pair, trade=trade, current_time=datetime.now(timezone.utc),
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current_rate=sell_rate, current_profit=current_profit)
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if amount_to_adjust > 0.0:
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# We should increase our position
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is_order_success = self.execute_trade_position_change(trade.pair, amount_to_adjust, trade)
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if is_order_success:
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return 1
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if amount_to_adjust < 0.0:
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# We should decrease our position
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# TODO: Selling part of the trade not implemented yet.
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return 0
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return 0
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def execute_trade_position_change(self, pair: str, amount: float, trade: Trade) -> bool:
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"""
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Executes a limit buy for the given pair
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:param pair: pair for which we want to create a LIMIT_BUY
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:param stake_amount: amount of stake-currency for the pair
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:return: True if a buy order is created, false if it fails.
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"""
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time_in_force = self.strategy.order_time_in_force['buy']
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# Calculate price
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proposed_enter_rate = self.exchange.get_rate(pair, refresh=True, side="buy")
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enter_limit_requested = self.get_valid_price(proposed_enter_rate, proposed_enter_rate)
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if not enter_limit_requested:
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raise PricingError('Could not determine buy price.')
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min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, enter_limit_requested,
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self.strategy.stoploss)
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stake_amount = amount * enter_limit_requested
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stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
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logger.error(f'Executing DCA buy: amount={amount}, stake={stake_amount}')
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if not stake_amount:
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return False
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amount = self.exchange.amount_to_precision(pair, amount)
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order = self.exchange.create_order(pair=pair, ordertype='market', side="buy",
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amount=amount, rate=enter_limit_requested,
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time_in_force=time_in_force)
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order_obj = Order.parse_from_ccxt_object(order, pair, 'buy')
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order_id = order['id']
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order_status = order.get('status', None)
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# we assume the order is executed at the price requested
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enter_limit_filled_price = enter_limit_requested
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amount_requested = amount
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if order_status == 'expired' or order_status == 'rejected':
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order_tif = self.strategy.order_time_in_force['buy']
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# return false if the order is not filled
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if float(order['filled']) == 0:
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logger.warning('Buy(adjustment) %s order with time in force %s for %s is %s by %s.'
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' zero amount is fulfilled.',
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order_tif, order_type, pair, order_status, self.exchange.name)
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return False
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else:
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# the order is partially fulfilled
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# in case of IOC orders we can check immediately
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# if the order is fulfilled fully or partially
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logger.warning('Buy(adjustment) %s order with time in force %s for %s is %s by %s.'
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' %s amount fulfilled out of %s (%s remaining which is canceled).',
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order_tif, order_type, pair, order_status, self.exchange.name,
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order['filled'], order['amount'], order['remaining']
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)
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stake_amount = order['cost']
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amount = safe_value_fallback(order, 'filled', 'amount')
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enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
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# in case of FOK the order may be filled immediately and fully
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elif order_status == 'closed':
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stake_amount = order['cost']
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amount = safe_value_fallback(order, 'filled', 'amount')
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enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
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# Fee is applied only once because we make a LIMIT_BUY but the final trade will apply the sell fee.
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fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
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logger.info(f"Trade {pair} DCA order status {order_status}")
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total_amount = 0.0
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total_stake = 0.0
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for tempOrder in trade.orders:
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if tempOrder.ft_is_open:
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continue
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if tempOrder.ft_order_side != 'buy':
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# Skip not buy sides
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continue
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if tempOrder.status == "closed":
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tempOrderAmount = safe_value_fallback(order, 'filled', 'amount')
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total_amount += tempOrderAmount
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total_stake += tempOrder.average * tempOrderAmount
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total_amount += amount
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total_stake += stake_amount
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trade.open_rate = total_stake / total_amount
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trade.fee_open += fee
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trade.stake_amount = total_stake
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trade.amount = total_amount
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trade.orders.append(order_obj)
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trade.recalc_open_trade_value()
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Trade.commit()
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# Updating wallets
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self.wallets.update()
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self._notify_enter(trade, 'market')
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return True
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def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
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"""
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Checks depth of market before executing a buy
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@ -381,6 +381,27 @@ class IStrategy(ABC, HyperStrategyMixin):
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"""
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return proposed_stake
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def adjust_trade_position(self, pair: str, trade: Trade,
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current_time: datetime, adjust_trade_position: float,
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current_rate: float, current_profit: float, **kwargs) -> float:
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"""
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Custom trade adjustment logic, returning the amount that a trade shold be either increased or decreased.
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For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
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When not implemented by a strategy, returns 0.0
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:param pair: Pair that's currently analyzed
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:param trade: trade object.
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:param current_time: datetime object, containing the current datetime
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:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
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:param current_profit: Current profit (as ratio), calculated based on current_rate.
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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:return float: Amount to adjust your trade (buy more or sell some)
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"""
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return 0.0
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def informative_pairs(self) -> ListPairsWithTimeframes:
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"""
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Define additional, informative pair/interval combinations to be cached from the exchange.
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