1119 lines
43 KiB
Python
1119 lines
43 KiB
Python
"""
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This module contains the class to persist trades into SQLite
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"""
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import logging
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from datetime import datetime, timezone
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from decimal import Decimal
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from typing import Any, Dict, List, Optional
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from sqlalchemy import (Boolean, Column, DateTime, Float, ForeignKey, Integer, String,
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create_engine, desc, func, inspect)
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from sqlalchemy.exc import NoSuchModuleError
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from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session, sessionmaker
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from sqlalchemy.pool import StaticPool
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from sqlalchemy.sql.schema import UniqueConstraint
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from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES
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from freqtrade.enums import SellType
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.leverage import interest
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from freqtrade.misc import safe_value_fallback
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from freqtrade.persistence.migrations import check_migrate
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logger = logging.getLogger(__name__)
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_DECL_BASE: Any = declarative_base()
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_SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database-urls'
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def init_db(db_url: str, clean_open_orders: bool = False) -> None:
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"""
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Initializes this module with the given config,
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registers all known command handlers
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and starts polling for message updates
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:param db_url: Database to use
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:param clean_open_orders: Remove open orders from the database.
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Useful for dry-run or if all orders have been reset on the exchange.
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:return: None
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"""
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kwargs = {}
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if db_url == 'sqlite://':
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kwargs.update({
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'poolclass': StaticPool,
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})
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# Take care of thread ownership
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if db_url.startswith('sqlite://'):
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kwargs.update({
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'connect_args': {'check_same_thread': False},
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})
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try:
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engine = create_engine(db_url, future=True, **kwargs)
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except NoSuchModuleError:
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raise OperationalException(f"Given value for db_url: '{db_url}' "
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f"is no valid database URL! (See {_SQL_DOCS_URL})")
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# https://docs.sqlalchemy.org/en/13/orm/contextual.html#thread-local-scope
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# Scoped sessions proxy requests to the appropriate thread-local session.
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# We should use the scoped_session object - not a seperately initialized version
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Trade._session = scoped_session(sessionmaker(bind=engine, autoflush=True))
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Trade.query = Trade._session.query_property()
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Order.query = Trade._session.query_property()
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PairLock.query = Trade._session.query_property()
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previous_tables = inspect(engine).get_table_names()
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_DECL_BASE.metadata.create_all(engine)
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check_migrate(engine, decl_base=_DECL_BASE, previous_tables=previous_tables)
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# Clean dry_run DB if the db is not in-memory
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if clean_open_orders and db_url != 'sqlite://':
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clean_dry_run_db()
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def cleanup_db() -> None:
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"""
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Flushes all pending operations to disk.
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:return: None
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"""
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Trade.commit()
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def clean_dry_run_db() -> None:
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"""
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Remove open_order_id from a Dry_run DB
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:return: None
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"""
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for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
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# Check we are updating only a dry_run order not a prod one
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if 'dry_run' in trade.open_order_id:
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trade.open_order_id = None
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Trade.commit()
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class Order(_DECL_BASE):
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"""
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Order database model
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Keeps a record of all orders placed on the exchange
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One to many relationship with Trades:
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- One trade can have many orders
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- One Order can only be associated with one Trade
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Mirrors CCXT Order structure
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"""
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__tablename__ = 'orders'
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# Uniqueness should be ensured over pair, order_id
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# its likely that order_id is unique per Pair on some exchanges.
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__table_args__ = (UniqueConstraint('ft_pair', 'order_id', name="_order_pair_order_id"),)
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id = Column(Integer, primary_key=True)
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ft_trade_id = Column(Integer, ForeignKey('trades.id'), index=True)
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trade = relationship("Trade", back_populates="orders")
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ft_order_side = Column(String(25), nullable=False)
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ft_pair = Column(String(25), nullable=False)
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ft_is_open = Column(Boolean, nullable=False, default=True, index=True)
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order_id = Column(String(255), nullable=False, index=True)
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status = Column(String(255), nullable=True)
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symbol = Column(String(25), nullable=True)
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order_type = Column(String(50), nullable=True)
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side = Column(String(25), nullable=True)
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price = Column(Float, nullable=True)
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average = Column(Float, nullable=True)
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amount = Column(Float, nullable=True)
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filled = Column(Float, nullable=True)
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remaining = Column(Float, nullable=True)
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cost = Column(Float, nullable=True)
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order_date = Column(DateTime, nullable=True, default=datetime.utcnow)
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order_filled_date = Column(DateTime, nullable=True)
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order_update_date = Column(DateTime, nullable=True)
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leverage = Column(Float, nullable=True, default=1.0)
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def __repr__(self):
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return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
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f'side={self.side}, order_type={self.order_type}, status={self.status})')
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def update_from_ccxt_object(self, order):
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"""
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Update Order from ccxt response
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Only updates if fields are available from ccxt -
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"""
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if self.order_id != str(order['id']):
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raise DependencyException("Order-id's don't match")
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self.status = order.get('status', self.status)
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self.symbol = order.get('symbol', self.symbol)
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self.order_type = order.get('type', self.order_type)
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self.side = order.get('side', self.side)
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self.price = order.get('price', self.price)
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self.amount = order.get('amount', self.amount)
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self.filled = order.get('filled', self.filled)
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self.average = order.get('average', self.average)
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self.remaining = order.get('remaining', self.remaining)
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self.cost = order.get('cost', self.cost)
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self.leverage = order.get('leverage', self.leverage)
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if 'timestamp' in order and order['timestamp'] is not None:
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self.order_date = datetime.fromtimestamp(order['timestamp'] / 1000, tz=timezone.utc)
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self.ft_is_open = True
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if self.status in NON_OPEN_EXCHANGE_STATES:
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self.ft_is_open = False
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if (order.get('filled', 0.0) or 0.0) > 0:
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self.order_filled_date = datetime.now(timezone.utc)
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self.order_update_date = datetime.now(timezone.utc)
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@staticmethod
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def update_orders(orders: List['Order'], order: Dict[str, Any]):
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"""
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Get all non-closed orders - useful when trying to batch-update orders
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"""
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if not isinstance(order, dict):
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logger.warning(f"{order} is not a valid response object.")
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return
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filtered_orders = [o for o in orders if o.order_id == order.get('id')]
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if filtered_orders:
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oobj = filtered_orders[0]
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oobj.update_from_ccxt_object(order)
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Order.query.session.commit()
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else:
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logger.warning(f"Did not find order for {order}.")
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@staticmethod
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def parse_from_ccxt_object(order: Dict[str, Any], pair: str, side: str) -> 'Order':
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"""
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Parse an order from a ccxt object and return a new order Object.
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"""
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o = Order(order_id=str(order['id']), ft_order_side=side, ft_pair=pair)
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o.update_from_ccxt_object(order)
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return o
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@staticmethod
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def get_open_orders() -> List['Order']:
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"""
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"""
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return Order.query.filter(Order.ft_is_open.is_(True)).all()
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class LocalTrade():
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"""
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Trade database model.
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Used in backtesting - must be aligned to Trade model!
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"""
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use_db: bool = False
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# Trades container for backtesting
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trades: List['LocalTrade'] = []
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trades_open: List['LocalTrade'] = []
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total_profit: float = 0
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id: int = 0
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orders: List[Order] = []
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exchange: str = ''
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pair: str = ''
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is_open: bool = True
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fee_open: float = 0.0
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fee_open_cost: Optional[float] = None
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fee_open_currency: str = ''
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fee_close: float = 0.0
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fee_close_cost: Optional[float] = None
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fee_close_currency: str = ''
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open_rate: float = 0.0
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open_rate_requested: Optional[float] = None
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# open_trade_value - calculated via _calc_open_trade_value
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open_trade_value: float = 0.0
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close_rate: Optional[float] = None
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close_rate_requested: Optional[float] = None
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close_profit: Optional[float] = None
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close_profit_abs: Optional[float] = None
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stake_amount: float = 0.0
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amount: float = 0.0
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amount_requested: Optional[float] = None
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open_date: datetime
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close_date: Optional[datetime] = None
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open_order_id: Optional[str] = None
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# absolute value of the stop loss
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stop_loss: float = 0.0
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# percentage value of the stop loss
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stop_loss_pct: float = 0.0
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# absolute value of the initial stop loss
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initial_stop_loss: float = 0.0
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# percentage value of the initial stop loss
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initial_stop_loss_pct: float = 0.0
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# stoploss order id which is on exchange
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stoploss_order_id: Optional[str] = None
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# last update time of the stoploss order on exchange
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stoploss_last_update: Optional[datetime] = None
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# absolute value of the highest reached price
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max_rate: float = 0.0
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# Lowest price reached
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min_rate: float = 0.0
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sell_reason: str = ''
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sell_order_status: str = ''
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strategy: str = ''
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buy_tag: Optional[str] = None
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timeframe: Optional[int] = None
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# Leverage trading properties
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is_short: bool = False
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isolated_liq: Optional[float] = None
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leverage: float = 1.0
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# Margin trading properties
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interest_rate: float = 0.0
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@property
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def has_no_leverage(self) -> bool:
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"""Returns true if this is a non-leverage, non-short trade"""
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return ((self.leverage or self.leverage is None) == 1.0 and not self.is_short)
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@property
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def borrowed(self) -> float:
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"""
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The amount of currency borrowed from the exchange for leverage trades
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If a long trade, the amount is in base currency
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If a short trade, the amount is in the other currency being traded
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"""
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if self.has_no_leverage:
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return 0.0
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elif not self.is_short:
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return (self.amount * self.open_rate) * ((self.leverage-1)/self.leverage)
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else:
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return self.amount
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@property
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def open_date_utc(self):
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return self.open_date.replace(tzinfo=timezone.utc)
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@property
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def close_date_utc(self):
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return self.close_date.replace(tzinfo=timezone.utc)
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@property
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def enter_side(self) -> str:
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if self.is_short:
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return "sell"
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else:
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return "buy"
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@property
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def exit_side(self) -> str:
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if self.is_short:
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return "buy"
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else:
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return "sell"
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def __init__(self, **kwargs):
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for key in kwargs:
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setattr(self, key, kwargs[key])
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if self.isolated_liq:
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self.set_isolated_liq(self.isolated_liq)
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self.recalc_open_trade_value()
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def _set_stop_loss(self, stop_loss: float, percent: float):
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"""
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Method you should use to set self.stop_loss.
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Assures stop_loss is not passed the liquidation price
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"""
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if self.isolated_liq is not None:
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if self.is_short:
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sl = min(stop_loss, self.isolated_liq)
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else:
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sl = max(stop_loss, self.isolated_liq)
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else:
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sl = stop_loss
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if not self.stop_loss:
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self.initial_stop_loss = sl
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self.stop_loss = sl
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if self.is_short:
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self.stop_loss_pct = abs(percent)
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else:
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self.stop_loss_pct = -1 * abs(percent)
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self.stoploss_last_update = datetime.utcnow()
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def set_isolated_liq(self, isolated_liq: float):
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"""
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Method you should use to set self.liquidation price.
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Assures stop_loss is not passed the liquidation price
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"""
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if self.stop_loss is not None:
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if self.is_short:
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self.stop_loss = min(self.stop_loss, isolated_liq)
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else:
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self.stop_loss = max(self.stop_loss, isolated_liq)
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else:
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self.initial_stop_loss = isolated_liq
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self.stop_loss = isolated_liq
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self.isolated_liq = isolated_liq
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def __repr__(self):
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open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed'
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leverage = self.leverage or 1.0
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is_short = self.is_short or False
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return (
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f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
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f'is_short={is_short}, leverage={leverage}, '
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f'open_rate={self.open_rate:.8f}, open_since={open_since})'
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)
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def to_json(self) -> Dict[str, Any]:
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return {
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'trade_id': self.id,
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'pair': self.pair,
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'is_open': self.is_open,
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'exchange': self.exchange,
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'amount': round(self.amount, 8),
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'amount_requested': round(self.amount_requested, 8) if self.amount_requested else None,
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'stake_amount': round(self.stake_amount, 8),
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'strategy': self.strategy,
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'buy_tag': self.buy_tag,
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'timeframe': self.timeframe,
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'fee_open': self.fee_open,
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'fee_open_cost': self.fee_open_cost,
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'fee_open_currency': self.fee_open_currency,
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'fee_close': self.fee_close,
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'fee_close_cost': self.fee_close_cost,
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'fee_close_currency': self.fee_close_currency,
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'open_date': self.open_date.strftime(DATETIME_PRINT_FORMAT),
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'open_timestamp': int(self.open_date.replace(tzinfo=timezone.utc).timestamp() * 1000),
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'open_rate': self.open_rate,
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'open_rate_requested': self.open_rate_requested,
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'open_trade_value': round(self.open_trade_value, 8),
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'close_date': (self.close_date.strftime(DATETIME_PRINT_FORMAT)
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if self.close_date else None),
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'close_timestamp': int(self.close_date.replace(
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tzinfo=timezone.utc).timestamp() * 1000) if self.close_date else None,
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'close_rate': self.close_rate,
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'close_rate_requested': self.close_rate_requested,
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'close_profit': self.close_profit, # Deprecated
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'close_profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
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'close_profit_abs': self.close_profit_abs, # Deprecated
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'trade_duration_s': (int((self.close_date_utc - self.open_date_utc).total_seconds())
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if self.close_date else None),
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'trade_duration': (int((self.close_date_utc - self.open_date_utc).total_seconds() // 60)
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if self.close_date else None),
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'profit_ratio': self.close_profit,
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'profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
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'profit_abs': self.close_profit_abs,
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'sell_reason': self.sell_reason,
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'sell_order_status': self.sell_order_status,
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'stop_loss_abs': self.stop_loss,
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'stop_loss_ratio': self.stop_loss_pct if self.stop_loss_pct else None,
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'stop_loss_pct': (self.stop_loss_pct * 100) if self.stop_loss_pct else None,
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'stoploss_order_id': self.stoploss_order_id,
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'stoploss_last_update': (self.stoploss_last_update.strftime(DATETIME_PRINT_FORMAT)
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if self.stoploss_last_update else None),
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'stoploss_last_update_timestamp': int(self.stoploss_last_update.replace(
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tzinfo=timezone.utc).timestamp() * 1000) if self.stoploss_last_update else None,
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'initial_stop_loss_abs': self.initial_stop_loss,
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'initial_stop_loss_ratio': (self.initial_stop_loss_pct
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if self.initial_stop_loss_pct else None),
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'initial_stop_loss_pct': (self.initial_stop_loss_pct * 100
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if self.initial_stop_loss_pct else None),
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'min_rate': self.min_rate,
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'max_rate': self.max_rate,
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'leverage': self.leverage,
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'interest_rate': self.interest_rate,
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'isolated_liq': self.isolated_liq,
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'is_short': self.is_short,
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'open_order_id': self.open_order_id,
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}
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@staticmethod
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def reset_trades() -> None:
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"""
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Resets all trades. Only active for backtesting mode.
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"""
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LocalTrade.trades = []
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LocalTrade.trades_open = []
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LocalTrade.total_profit = 0
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def adjust_min_max_rates(self, current_price: float, current_price_low: float) -> None:
|
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"""
|
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Adjust the max_rate and min_rate.
|
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"""
|
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self.max_rate = max(current_price, self.max_rate or self.open_rate)
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self.min_rate = min(current_price_low, self.min_rate or self.open_rate)
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|
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def adjust_stop_loss(self, current_price: float, stoploss: float,
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initial: bool = False) -> None:
|
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"""
|
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This adjusts the stop loss to it's most recently observed setting
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:param current_price: Current rate the asset is traded
|
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:param stoploss: Stoploss as factor (sample -0.05 -> -5% below current price).
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:param initial: Called to initiate stop_loss.
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Skips everything if self.stop_loss is already set.
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"""
|
|
if initial and not (self.stop_loss is None or self.stop_loss == 0):
|
|
# Don't modify if called with initial and nothing to do
|
|
return
|
|
|
|
if self.is_short:
|
|
new_loss = float(current_price * (1 + abs(stoploss)))
|
|
# If trading with leverage, don't set the stoploss below the liquidation price
|
|
if self.isolated_liq:
|
|
new_loss = min(self.isolated_liq, new_loss)
|
|
else:
|
|
new_loss = float(current_price * (1 - abs(stoploss)))
|
|
# If trading with leverage, don't set the stoploss below the liquidation price
|
|
if self.isolated_liq:
|
|
new_loss = max(self.isolated_liq, new_loss)
|
|
|
|
# no stop loss assigned yet
|
|
if not self.stop_loss:
|
|
logger.debug(f"{self.pair} - Assigning new stoploss...")
|
|
self._set_stop_loss(new_loss, stoploss)
|
|
self.initial_stop_loss = new_loss
|
|
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:
|
|
|
|
higher_stop = new_loss > self.stop_loss
|
|
lower_stop = new_loss < self.stop_loss
|
|
|
|
# stop losses only walk up, never down!,
|
|
# TODO-lev
|
|
# ? But adding more to a leveraged trade would create a lower liquidation price,
|
|
# ? decreasing the minimum stoploss
|
|
if (higher_stop and not self.is_short) or (lower_stop and self.is_short):
|
|
logger.debug(f"{self.pair} - Adjusting stoploss...")
|
|
self._set_stop_loss(new_loss, stoploss)
|
|
else:
|
|
logger.debug(f"{self.pair} - Keeping current stoploss...")
|
|
|
|
logger.debug(
|
|
f"{self.pair} - Stoploss adjusted. current_price={current_price:.8f}, "
|
|
f"open_rate={self.open_rate:.8f}, max_rate={self.max_rate:.8f}, "
|
|
f"initial_stop_loss={self.initial_stop_loss:.8f}, "
|
|
f"stop_loss={self.stop_loss:.8f}. "
|
|
f"Trailing stoploss saved us: "
|
|
f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f}.")
|
|
|
|
def update(self, order: Dict) -> None:
|
|
"""
|
|
Updates this entity with amount and actual open/close rates.
|
|
:param order: order retrieved by exchange.fetch_order()
|
|
:return: None
|
|
"""
|
|
order_type = order['type']
|
|
|
|
if 'is_short' in order and order['side'] == 'sell':
|
|
# Only set's is_short on opening trades, ignores non-shorts
|
|
self.is_short = order['is_short']
|
|
|
|
# Ignore open and cancelled orders
|
|
if order['status'] == 'open' or safe_value_fallback(order, 'average', 'price') is None:
|
|
return
|
|
|
|
logger.info('Updating trade (id=%s) ...', self.id)
|
|
|
|
if order_type in ('market', 'limit') and self.enter_side == order['side']:
|
|
# Update open rate and actual amount
|
|
self.open_rate = float(safe_value_fallback(order, 'average', 'price'))
|
|
self.amount = float(safe_value_fallback(order, 'filled', 'amount'))
|
|
if 'leverage' in order:
|
|
self.leverage = order['leverage']
|
|
self.recalc_open_trade_value()
|
|
if self.is_open:
|
|
payment = "SELL" if self.is_short else "BUY"
|
|
logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
|
|
self.open_order_id = None
|
|
elif order_type in ('market', 'limit') and self.exit_side == order['side']:
|
|
if self.is_open:
|
|
payment = "BUY" if self.is_short else "SELL"
|
|
# TODO-lev: On shorts, you buy a little bit more than the amount (amount + interest)
|
|
# TODO-lev: This wll only print the original amount
|
|
logger.info(f'{order_type.upper()}_{payment} has been fulfilled for {self}.')
|
|
# TODO-lev: Double check this
|
|
self.close(safe_value_fallback(order, 'average', 'price'))
|
|
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
|
|
self.stoploss_order_id = None
|
|
self.close_rate_requested = self.stop_loss
|
|
self.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
|
|
if self.is_open:
|
|
logger.info(f'{order_type.upper()} is hit for {self}.')
|
|
self.close(safe_value_fallback(order, 'average', 'price'))
|
|
else:
|
|
raise ValueError(f'Unknown order type: {order_type}')
|
|
Trade.commit()
|
|
|
|
def close(self, rate: float, *, show_msg: bool = True) -> None:
|
|
"""
|
|
Sets close_rate to the given rate, calculates total profit
|
|
and marks trade as closed
|
|
"""
|
|
self.close_rate = rate
|
|
self.close_date = self.close_date or datetime.utcnow()
|
|
self.close_profit = self.calc_profit_ratio()
|
|
self.close_profit_abs = self.calc_profit()
|
|
self.is_open = False
|
|
self.sell_order_status = 'closed'
|
|
self.open_order_id = None
|
|
if show_msg:
|
|
logger.info(
|
|
'Marking %s as closed as the trade is fulfilled and found no open orders for it.',
|
|
self
|
|
)
|
|
|
|
def update_fee(self, fee_cost: float, fee_currency: Optional[str], fee_rate: Optional[float],
|
|
side: str) -> None:
|
|
"""
|
|
Update Fee parameters. Only acts once per side
|
|
"""
|
|
if self.enter_side == side and self.fee_open_currency is None:
|
|
self.fee_open_cost = fee_cost
|
|
self.fee_open_currency = fee_currency
|
|
if fee_rate is not None:
|
|
self.fee_open = fee_rate
|
|
# Assume close-fee will fall into the same fee category and take an educated guess
|
|
self.fee_close = fee_rate
|
|
elif self.exit_side == side and self.fee_close_currency is None:
|
|
self.fee_close_cost = fee_cost
|
|
self.fee_close_currency = fee_currency
|
|
if fee_rate is not None:
|
|
self.fee_close = fee_rate
|
|
|
|
def fee_updated(self, side: str) -> bool:
|
|
"""
|
|
Verify if this side (buy / sell) has already been updated
|
|
"""
|
|
if self.enter_side == side:
|
|
return self.fee_open_currency is not None
|
|
elif self.exit_side == side:
|
|
return self.fee_close_currency is not None
|
|
else:
|
|
return False
|
|
|
|
def update_order(self, order: Dict) -> None:
|
|
Order.update_orders(self.orders, order)
|
|
|
|
def _calc_open_trade_value(self) -> float:
|
|
"""
|
|
Calculate the open_rate including open_fee.
|
|
:return: Price in of the open trade incl. Fees
|
|
"""
|
|
open_trade = Decimal(self.amount) * Decimal(self.open_rate)
|
|
fees = open_trade * Decimal(self.fee_open)
|
|
if self.is_short:
|
|
return float(open_trade - fees)
|
|
else:
|
|
return float(open_trade + fees)
|
|
|
|
def recalc_open_trade_value(self) -> None:
|
|
"""
|
|
Recalculate open_trade_value.
|
|
Must be called whenever open_rate, fee_open or is_short is changed.
|
|
|
|
"""
|
|
self.open_trade_value = self._calc_open_trade_value()
|
|
|
|
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
|
|
"""
|
|
|
|
zero = Decimal(0.0)
|
|
# If nothing was borrowed
|
|
if self.has_no_leverage:
|
|
return zero
|
|
|
|
open_date = self.open_date.replace(tzinfo=None)
|
|
now = (self.close_date or datetime.now(timezone.utc)).replace(tzinfo=None)
|
|
sec_per_hour = Decimal(3600)
|
|
total_seconds = Decimal((now - open_date).total_seconds())
|
|
hours = total_seconds/sec_per_hour or zero
|
|
|
|
rate = Decimal(interest_rate or self.interest_rate)
|
|
borrowed = Decimal(self.borrowed)
|
|
|
|
return interest(exchange_name=self.exchange, borrowed=borrowed, rate=rate, hours=hours)
|
|
|
|
def calc_close_trade_value(self, rate: Optional[float] = None,
|
|
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_rate)
|
|
if self.is_short:
|
|
amount = Decimal(self.amount) + Decimal(interest)
|
|
else:
|
|
# Currency already owned for longs, no need to purchase
|
|
amount = Decimal(self.amount)
|
|
|
|
close_trade = Decimal(amount) * Decimal(rate or self.close_rate) # type: ignore
|
|
fees = close_trade * Decimal(fee or self.fee_close)
|
|
|
|
if self.is_short:
|
|
return float(close_trade + fees)
|
|
else:
|
|
return float(close_trade - fees - interest)
|
|
|
|
def calc_profit(self, rate: Optional[float] = None,
|
|
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),
|
|
interest_rate=(interest_rate or self.interest_rate)
|
|
)
|
|
|
|
if self.is_short:
|
|
profit = self.open_trade_value - close_trade_value
|
|
else:
|
|
profit = close_trade_value - self.open_trade_value
|
|
return float(f"{profit:.8f}")
|
|
|
|
def calc_profit_ratio(self, rate: Optional[float] = None,
|
|
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),
|
|
interest_rate=(interest_rate or self.interest_rate)
|
|
)
|
|
|
|
short_close_zero = (self.is_short and close_trade_value == 0.0)
|
|
long_close_zero = (not self.is_short and self.open_trade_value == 0.0)
|
|
leverage = self.leverage or 1.0
|
|
|
|
if (short_close_zero or long_close_zero):
|
|
return 0.0
|
|
else:
|
|
if self.is_short:
|
|
profit_ratio = (1 - (close_trade_value/self.open_trade_value)) * leverage
|
|
else:
|
|
profit_ratio = ((close_trade_value/self.open_trade_value) - 1) * leverage
|
|
|
|
return float(f"{profit_ratio:.8f}")
|
|
|
|
def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]:
|
|
"""
|
|
Finds latest order for this orderside and status
|
|
:param order_side: Side of the order (either 'buy' or 'sell')
|
|
:param is_open: Only search for open orders?
|
|
:return: latest Order object if it exists, else None
|
|
"""
|
|
orders = [o for o in self.orders if o.side == order_side]
|
|
if is_open is not None:
|
|
orders = [o for o in orders if o.ft_is_open == is_open]
|
|
if len(orders) > 0:
|
|
return orders[-1]
|
|
else:
|
|
return None
|
|
|
|
@staticmethod
|
|
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
|
|
open_date: datetime = None, close_date: datetime = None,
|
|
) -> List['LocalTrade']:
|
|
"""
|
|
Helper function to query Trades.
|
|
Returns a List of trades, filtered on the parameters given.
|
|
In live mode, converts the filter to a database query and returns all rows
|
|
In Backtest mode, uses filters on Trade.trades to get the result.
|
|
|
|
:return: unsorted List[Trade]
|
|
"""
|
|
|
|
# Offline mode - without database
|
|
if is_open is not None:
|
|
if is_open:
|
|
sel_trades = LocalTrade.trades_open
|
|
else:
|
|
sel_trades = LocalTrade.trades
|
|
|
|
else:
|
|
# Not used during backtesting, but might be used by a strategy
|
|
sel_trades = list(LocalTrade.trades + LocalTrade.trades_open)
|
|
|
|
if pair:
|
|
sel_trades = [trade for trade in sel_trades if trade.pair == pair]
|
|
if open_date:
|
|
sel_trades = [trade for trade in sel_trades if trade.open_date > open_date]
|
|
if close_date:
|
|
sel_trades = [trade for trade in sel_trades if trade.close_date
|
|
and trade.close_date > close_date]
|
|
|
|
return sel_trades
|
|
|
|
@staticmethod
|
|
def close_bt_trade(trade):
|
|
LocalTrade.trades_open.remove(trade)
|
|
LocalTrade.trades.append(trade)
|
|
LocalTrade.total_profit += trade.close_profit_abs
|
|
|
|
@staticmethod
|
|
def add_bt_trade(trade):
|
|
if trade.is_open:
|
|
LocalTrade.trades_open.append(trade)
|
|
else:
|
|
LocalTrade.trades.append(trade)
|
|
|
|
@staticmethod
|
|
def get_open_trades() -> List[Any]:
|
|
"""
|
|
Query trades from persistence layer
|
|
"""
|
|
return Trade.get_trades_proxy(is_open=True)
|
|
|
|
@staticmethod
|
|
def stoploss_reinitialization(desired_stoploss):
|
|
"""
|
|
Adjust initial Stoploss to desired stoploss for all open trades.
|
|
"""
|
|
for trade in Trade.get_open_trades():
|
|
logger.info("Found open trade: %s", trade)
|
|
|
|
# skip case if trailing-stop changed the stoploss already.
|
|
if (trade.stop_loss == trade.initial_stop_loss
|
|
and trade.initial_stop_loss_pct != desired_stoploss):
|
|
# Stoploss value got changed
|
|
|
|
logger.info(f"Stoploss for {trade} needs adjustment...")
|
|
# Force reset of stoploss
|
|
trade.stop_loss = None
|
|
trade.adjust_stop_loss(trade.open_rate, desired_stoploss)
|
|
logger.info(f"New stoploss: {trade.stop_loss}.")
|
|
|
|
|
|
class Trade(_DECL_BASE, LocalTrade):
|
|
"""
|
|
Trade database model.
|
|
Also handles updating and querying trades
|
|
|
|
Note: Fields must be aligned with LocalTrade class
|
|
"""
|
|
__tablename__ = 'trades'
|
|
|
|
use_db: bool = True
|
|
|
|
id = Column(Integer, primary_key=True)
|
|
|
|
orders = relationship("Order", order_by="Order.id", cascade="all, delete-orphan")
|
|
|
|
exchange = Column(String(25), nullable=False)
|
|
pair = Column(String(25), nullable=False, index=True)
|
|
is_open = Column(Boolean, nullable=False, default=True, index=True)
|
|
fee_open = Column(Float, nullable=False, default=0.0)
|
|
fee_open_cost = Column(Float, nullable=True)
|
|
fee_open_currency = Column(String(25), nullable=True)
|
|
fee_close = Column(Float, nullable=False, default=0.0)
|
|
fee_close_cost = Column(Float, nullable=True)
|
|
fee_close_currency = Column(String(25), nullable=True)
|
|
open_rate = Column(Float)
|
|
open_rate_requested = Column(Float)
|
|
# open_trade_value - calculated via _calc_open_trade_value
|
|
open_trade_value = Column(Float)
|
|
close_rate = Column(Float)
|
|
close_rate_requested = Column(Float)
|
|
close_profit = Column(Float)
|
|
close_profit_abs = Column(Float)
|
|
stake_amount = Column(Float, nullable=False)
|
|
amount = Column(Float)
|
|
amount_requested = Column(Float)
|
|
open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
|
|
close_date = Column(DateTime)
|
|
open_order_id = Column(String(255))
|
|
# absolute value of the stop loss
|
|
stop_loss = Column(Float, nullable=True, default=0.0)
|
|
# percentage value of the stop loss
|
|
stop_loss_pct = Column(Float, nullable=True)
|
|
# absolute value of the initial stop loss
|
|
initial_stop_loss = Column(Float, nullable=True, default=0.0)
|
|
# percentage value of the initial stop loss
|
|
initial_stop_loss_pct = Column(Float, nullable=True)
|
|
# stoploss order id which is on exchange
|
|
stoploss_order_id = Column(String(255), nullable=True, index=True)
|
|
# last update time of the stoploss order on exchange
|
|
stoploss_last_update = Column(DateTime, nullable=True)
|
|
# absolute value of the highest reached price
|
|
max_rate = Column(Float, nullable=True, default=0.0)
|
|
# Lowest price reached
|
|
min_rate = Column(Float, nullable=True)
|
|
sell_reason = Column(String(100), nullable=True) # TODO-lev: Change to close_reason
|
|
sell_order_status = Column(String(100), nullable=True) # TODO-lev: Change to close_order_status
|
|
strategy = Column(String(100), nullable=True)
|
|
buy_tag = Column(String(100), nullable=True)
|
|
timeframe = Column(Integer, nullable=True)
|
|
|
|
# Leverage trading properties
|
|
leverage = Column(Float, nullable=True, default=1.0)
|
|
is_short = Column(Boolean, nullable=False, default=False)
|
|
isolated_liq = Column(Float, nullable=True)
|
|
|
|
# Margin Trading Properties
|
|
interest_rate = Column(Float, nullable=False, default=0.0)
|
|
|
|
def __init__(self, **kwargs):
|
|
super().__init__(**kwargs)
|
|
self.recalc_open_trade_value()
|
|
|
|
def delete(self) -> None:
|
|
|
|
for order in self.orders:
|
|
Order.query.session.delete(order)
|
|
|
|
Trade.query.session.delete(self)
|
|
Trade.commit()
|
|
|
|
@staticmethod
|
|
def commit():
|
|
Trade.query.session.commit()
|
|
|
|
@staticmethod
|
|
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
|
|
open_date: datetime = None, close_date: datetime = None,
|
|
) -> List['LocalTrade']:
|
|
"""
|
|
Helper function to query Trades.j
|
|
Returns a List of trades, filtered on the parameters given.
|
|
In live mode, converts the filter to a database query and returns all rows
|
|
In Backtest mode, uses filters on Trade.trades to get the result.
|
|
|
|
:return: unsorted List[Trade]
|
|
"""
|
|
if Trade.use_db:
|
|
trade_filter = []
|
|
if pair:
|
|
trade_filter.append(Trade.pair == pair)
|
|
if open_date:
|
|
trade_filter.append(Trade.open_date > open_date)
|
|
if close_date:
|
|
trade_filter.append(Trade.close_date > close_date)
|
|
if is_open is not None:
|
|
trade_filter.append(Trade.is_open.is_(is_open))
|
|
return Trade.get_trades(trade_filter).all()
|
|
else:
|
|
return LocalTrade.get_trades_proxy(
|
|
pair=pair, is_open=is_open,
|
|
open_date=open_date,
|
|
close_date=close_date
|
|
)
|
|
|
|
@staticmethod
|
|
def get_trades(trade_filter=None) -> Query:
|
|
"""
|
|
Helper function to query Trades using filters.
|
|
NOTE: Not supported in Backtesting.
|
|
:param trade_filter: Optional filter to apply to trades
|
|
Can be either a Filter object, or a List of filters
|
|
e.g. `(trade_filter=[Trade.id == trade_id, Trade.is_open.is_(True),])`
|
|
e.g. `(trade_filter=Trade.id == trade_id)`
|
|
:return: unsorted query object
|
|
"""
|
|
if not Trade.use_db:
|
|
raise NotImplementedError('`Trade.get_trades()` not supported in backtesting mode.')
|
|
if trade_filter is not None:
|
|
if not isinstance(trade_filter, list):
|
|
trade_filter = [trade_filter]
|
|
return Trade.query.filter(*trade_filter)
|
|
else:
|
|
return Trade.query
|
|
|
|
@staticmethod
|
|
def get_open_order_trades():
|
|
"""
|
|
Returns all open trades
|
|
NOTE: Not supported in Backtesting.
|
|
"""
|
|
return Trade.get_trades(Trade.open_order_id.isnot(None)).all()
|
|
|
|
@staticmethod
|
|
def get_open_trades_without_assigned_fees():
|
|
"""
|
|
Returns all open trades which don't have open fees set correctly
|
|
NOTE: Not supported in Backtesting.
|
|
"""
|
|
return Trade.get_trades([Trade.fee_open_currency.is_(None),
|
|
Trade.orders.any(),
|
|
Trade.is_open.is_(True),
|
|
]).all()
|
|
|
|
@staticmethod
|
|
def get_closed_trades_without_assigned_fees():
|
|
"""
|
|
Returns all closed trades which don't have fees set correctly
|
|
NOTE: Not supported in Backtesting.
|
|
"""
|
|
return Trade.get_trades([Trade.fee_close_currency.is_(None),
|
|
Trade.orders.any(),
|
|
Trade.is_open.is_(False),
|
|
]).all()
|
|
|
|
@staticmethod
|
|
def get_total_closed_profit() -> float:
|
|
"""
|
|
Retrieves total realized profit
|
|
"""
|
|
if Trade.use_db:
|
|
total_profit = Trade.query.with_entities(
|
|
func.sum(Trade.close_profit_abs)).filter(Trade.is_open.is_(False)).scalar()
|
|
else:
|
|
total_profit = sum(
|
|
t.close_profit_abs for t in LocalTrade.get_trades_proxy(is_open=False))
|
|
return total_profit or 0
|
|
|
|
@staticmethod
|
|
def total_open_trades_stakes() -> float:
|
|
"""
|
|
Calculates total invested amount in open trades
|
|
in stake currency
|
|
"""
|
|
if Trade.use_db:
|
|
total_open_stake_amount = Trade.query.with_entities(
|
|
func.sum(Trade.stake_amount)).filter(Trade.is_open.is_(True)).scalar()
|
|
else:
|
|
total_open_stake_amount = sum(
|
|
t.stake_amount for t in LocalTrade.get_trades_proxy(is_open=True))
|
|
return total_open_stake_amount or 0
|
|
|
|
@staticmethod
|
|
def get_overall_performance() -> List[Dict[str, Any]]:
|
|
"""
|
|
Returns List of dicts containing all Trades, including profit and trade count
|
|
NOTE: Not supported in Backtesting.
|
|
"""
|
|
pair_rates = Trade.query.with_entities(
|
|
Trade.pair,
|
|
func.sum(Trade.close_profit).label('profit_sum'),
|
|
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
|
|
func.count(Trade.pair).label('count')
|
|
).filter(Trade.is_open.is_(False))\
|
|
.group_by(Trade.pair) \
|
|
.order_by(desc('profit_sum_abs')) \
|
|
.all()
|
|
return [
|
|
{
|
|
'pair': pair,
|
|
'profit': profit,
|
|
'profit_abs': profit_abs,
|
|
'count': count
|
|
}
|
|
for pair, profit, profit_abs, count in pair_rates
|
|
]
|
|
|
|
@staticmethod
|
|
def get_best_pair(start_date: datetime = datetime.fromtimestamp(0)):
|
|
"""
|
|
Get best pair with closed trade.
|
|
NOTE: Not supported in Backtesting.
|
|
:returns: Tuple containing (pair, profit_sum)
|
|
"""
|
|
best_pair = Trade.query.with_entities(
|
|
Trade.pair, func.sum(Trade.close_profit).label('profit_sum')
|
|
).filter(Trade.is_open.is_(False) & (Trade.close_date >= start_date)) \
|
|
.group_by(Trade.pair) \
|
|
.order_by(desc('profit_sum')).first()
|
|
return best_pair
|
|
|
|
|
|
class PairLock(_DECL_BASE):
|
|
"""
|
|
Pair Locks database model.
|
|
"""
|
|
__tablename__ = 'pairlocks'
|
|
|
|
id = Column(Integer, primary_key=True)
|
|
|
|
pair = Column(String(25), nullable=False, index=True)
|
|
reason = Column(String(255), nullable=True)
|
|
# Time the pair was locked (start time)
|
|
lock_time = Column(DateTime, nullable=False)
|
|
# Time until the pair is locked (end time)
|
|
lock_end_time = Column(DateTime, nullable=False, index=True)
|
|
|
|
active = Column(Boolean, nullable=False, default=True, index=True)
|
|
|
|
def __repr__(self):
|
|
lock_time = self.lock_time.strftime(DATETIME_PRINT_FORMAT)
|
|
lock_end_time = self.lock_end_time.strftime(DATETIME_PRINT_FORMAT)
|
|
return (f'PairLock(id={self.id}, pair={self.pair}, lock_time={lock_time}, '
|
|
f'lock_end_time={lock_end_time})')
|
|
|
|
@staticmethod
|
|
def query_pair_locks(pair: Optional[str], now: datetime) -> Query:
|
|
"""
|
|
Get all currently active locks for this pair
|
|
:param pair: Pair to check for. Returns all current locks if pair is empty
|
|
:param now: Datetime object (generated via datetime.now(timezone.utc)).
|
|
"""
|
|
|
|
filters = [PairLock.lock_end_time > now,
|
|
# Only active locks
|
|
PairLock.active.is_(True), ]
|
|
if pair:
|
|
filters.append(PairLock.pair == pair)
|
|
return PairLock.query.filter(
|
|
*filters
|
|
)
|
|
|
|
def to_json(self) -> Dict[str, Any]:
|
|
return {
|
|
'id': self.id,
|
|
'pair': self.pair,
|
|
'lock_time': self.lock_time.strftime(DATETIME_PRINT_FORMAT),
|
|
'lock_timestamp': int(self.lock_time.replace(tzinfo=timezone.utc).timestamp() * 1000),
|
|
'lock_end_time': self.lock_end_time.strftime(DATETIME_PRINT_FORMAT),
|
|
'lock_end_timestamp': int(self.lock_end_time.replace(tzinfo=timezone.utc
|
|
).timestamp() * 1000),
|
|
'reason': self.reason,
|
|
'active': self.active,
|
|
}
|