657 lines
26 KiB
Python
657 lines
26 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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import arrow
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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.ext.declarative import declarative_base
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from sqlalchemy.orm import Query, relationship
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from sqlalchemy.orm.scoping import scoped_session
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from sqlalchemy.orm.session import 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.exceptions import DependencyException, OperationalException
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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_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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# Take care of thread ownership if in-memory db
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if db_url == 'sqlite://':
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kwargs.update({
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'connect_args': {'check_same_thread': False},
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'poolclass': StaticPool,
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'echo': False,
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})
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try:
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engine = create_engine(db_url, **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, autocommit=True))
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Trade.query = Trade.session.query_property()
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# Copy session attributes to order object too
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Order.session = Trade.session
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Order.query = Order.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() -> 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.session.flush()
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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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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, nullable=False)
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ft_pair = Column(String, 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, nullable=False, index=True)
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status = Column(String, nullable=True)
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symbol = Column(String, nullable=True)
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order_type = Column(String, nullable=True)
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side = Column(String, nullable=True)
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price = 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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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.remaining = order.get('remaining', self.remaining)
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self.cost = order.get('cost', self.cost)
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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 ('closed', 'canceled', 'cancelled'):
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self.ft_is_open = False
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if order.get('filled', 0) > 0:
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self.order_filled_date = arrow.utcnow().datetime
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self.order_update_date = arrow.utcnow().datetime
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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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filtered_orders = [o for o in orders if o.order_id == order['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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else:
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logger.warning(f"Did not find order for {order['id']}.")
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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 Trade(_DECL_BASE):
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"""
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Trade database model.
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Also handles updating and querying trades
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"""
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__tablename__ = 'trades'
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id = Column(Integer, primary_key=True)
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orders = relationship("Order", order_by="Order.id", cascade="all, delete-orphan")
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exchange = Column(String, nullable=False)
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pair = Column(String, nullable=False, index=True)
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is_open = Column(Boolean, nullable=False, default=True, index=True)
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fee_open = Column(Float, nullable=False, default=0.0)
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fee_open_cost = Column(Float, nullable=True)
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fee_open_currency = Column(String, nullable=True)
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fee_close = Column(Float, nullable=False, default=0.0)
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fee_close_cost = Column(Float, nullable=True)
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fee_close_currency = Column(String, nullable=True)
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open_rate = Column(Float)
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open_rate_requested = Column(Float)
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# open_trade_price - calculated via _calc_open_trade_price
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open_trade_price = Column(Float)
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close_rate = Column(Float)
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close_rate_requested = Column(Float)
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close_profit = Column(Float)
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close_profit_abs = Column(Float)
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stake_amount = Column(Float, nullable=False)
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amount = Column(Float)
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amount_requested = Column(Float)
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open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
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close_date = Column(DateTime)
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open_order_id = Column(String)
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# absolute value of the stop loss
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stop_loss = Column(Float, nullable=True, default=0.0)
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# percentage value of the stop loss
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stop_loss_pct = Column(Float, nullable=True)
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# absolute value of the initial stop loss
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initial_stop_loss = Column(Float, nullable=True, default=0.0)
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# percentage value of the initial stop loss
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initial_stop_loss_pct = Column(Float, nullable=True)
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# stoploss order id which is on exchange
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stoploss_order_id = Column(String, nullable=True, index=True)
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# last update time of the stoploss order on exchange
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stoploss_last_update = Column(DateTime, nullable=True)
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# absolute value of the highest reached price
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max_rate = Column(Float, nullable=True, default=0.0)
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# Lowest price reached
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min_rate = Column(Float, nullable=True)
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sell_reason = Column(String, nullable=True)
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sell_order_status = Column(String, nullable=True)
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strategy = Column(String, nullable=True)
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timeframe = Column(Integer, nullable=True)
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def __init__(self, **kwargs):
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super().__init__(**kwargs)
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self.recalc_open_trade_price()
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def __repr__(self):
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open_since = self.open_date.strftime('%Y-%m-%d %H:%M:%S') if self.is_open else 'closed'
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return (f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
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f'open_rate={self.open_rate:.8f}, open_since={open_since})')
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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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'ticker_interval': self.timeframe, # DEPRECATED
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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_hum': arrow.get(self.open_date).humanize(),
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'open_date': self.open_date.strftime("%Y-%m-%d %H:%M:%S"),
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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_price': round(self.open_trade_price, 8),
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'close_date_hum': (arrow.get(self.close_date).humanize()
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if self.close_date else None),
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'close_date': (self.close_date.strftime("%Y-%m-%d %H:%M:%S")
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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,
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'close_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': self.stop_loss, # Deprecated - should not be used
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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("%Y-%m-%d %H:%M:%S")
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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': self.initial_stop_loss, # Deprecated - should not be used
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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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'open_order_id': self.open_order_id,
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}
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def adjust_min_max_rates(self, current_price: 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, self.min_rate or self.open_rate)
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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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"""
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if initial and not (self.stop_loss is None or self.stop_loss == 0):
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# Don't modify if called with initial and nothing to do
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return
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new_loss = float(current_price * (1 - abs(stoploss)))
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# no stop loss assigned yet
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if not self.stop_loss:
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logger.debug(f"{self.pair} - Assigning new stoploss...")
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self.stop_loss = new_loss
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self.stop_loss_pct = -1 * abs(stoploss)
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self.initial_stop_loss = new_loss
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self.initial_stop_loss_pct = -1 * abs(stoploss)
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self.stoploss_last_update = datetime.utcnow()
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# evaluate if the stop loss needs to be updated
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else:
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if new_loss > self.stop_loss: # stop losses only walk up, never down!
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logger.debug(f"{self.pair} - Adjusting stoploss...")
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self.stop_loss = new_loss
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self.stop_loss_pct = -1 * abs(stoploss)
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self.stoploss_last_update = datetime.utcnow()
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else:
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logger.debug(f"{self.pair} - Keeping current stoploss...")
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logger.debug(
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f"{self.pair} - Stoploss adjusted. current_price={current_price:.8f}, "
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f"open_rate={self.open_rate:.8f}, max_rate={self.max_rate:.8f}, "
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f"initial_stop_loss={self.initial_stop_loss:.8f}, "
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f"stop_loss={self.stop_loss:.8f}. "
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f"Trailing stoploss saved us: "
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f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f}.")
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def update(self, order: Dict) -> None:
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"""
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Updates this entity with amount and actual open/close rates.
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:param order: order retrieved by exchange.fetch_order()
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:return: None
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"""
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order_type = order['type']
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# Ignore open and cancelled orders
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if order['status'] == 'open' or safe_value_fallback(order, 'average', 'price') is None:
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return
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logger.info('Updating trade (id=%s) ...', self.id)
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if order_type in ('market', 'limit') and order['side'] == 'buy':
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# Update open rate and actual amount
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self.open_rate = Decimal(safe_value_fallback(order, 'average', 'price'))
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self.amount = Decimal(safe_value_fallback(order, 'filled', 'amount'))
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self.recalc_open_trade_price()
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if self.is_open:
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logger.info(f'{order_type.upper()}_BUY has been fulfilled for {self}.')
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self.open_order_id = None
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elif order_type in ('market', 'limit') and order['side'] == 'sell':
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if self.is_open:
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logger.info(f'{order_type.upper()}_SELL has been fulfilled for {self}.')
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self.close(safe_value_fallback(order, 'average', 'price'))
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elif order_type in ('stop_loss_limit', 'stop-loss', 'stop'):
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self.stoploss_order_id = None
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self.close_rate_requested = self.stop_loss
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if self.is_open:
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logger.info(f'{order_type.upper()} is hit for {self}.')
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self.close(order['average'])
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else:
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raise ValueError(f'Unknown order type: {order_type}')
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cleanup()
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def close(self, rate: float) -> None:
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"""
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Sets close_rate to the given rate, calculates total profit
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and marks trade as closed
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"""
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self.close_rate = Decimal(rate)
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self.close_profit = self.calc_profit_ratio()
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self.close_profit_abs = self.calc_profit()
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self.close_date = self.close_date or datetime.utcnow()
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self.is_open = False
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self.sell_order_status = 'closed'
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self.open_order_id = None
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logger.info(
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'Marking %s as closed as the trade is fulfilled and found no open orders for it.',
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self
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)
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def update_fee(self, fee_cost: float, fee_currency: Optional[str], fee_rate: Optional[float],
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side: str) -> None:
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"""
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Update Fee parameters. Only acts once per side
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"""
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if side == 'buy' and self.fee_open_currency is None:
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self.fee_open_cost = fee_cost
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self.fee_open_currency = fee_currency
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if fee_rate is not None:
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self.fee_open = fee_rate
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# Assume close-fee will fall into the same fee category and take an educated guess
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self.fee_close = fee_rate
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elif side == 'sell' and self.fee_close_currency is None:
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self.fee_close_cost = fee_cost
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self.fee_close_currency = fee_currency
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if fee_rate is not None:
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self.fee_close = fee_rate
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def fee_updated(self, side: str) -> bool:
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|
"""
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|
Verify if this side (buy / sell) has already been updated
|
|
"""
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|
if side == 'buy':
|
|
return self.fee_open_currency is not None
|
|
elif side == 'sell':
|
|
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 delete(self) -> None:
|
|
|
|
for order in self.orders:
|
|
Order.session.delete(order)
|
|
|
|
Trade.session.delete(self)
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|
Trade.session.flush()
|
|
|
|
def _calc_open_trade_price(self) -> float:
|
|
"""
|
|
Calculate the open_rate including open_fee.
|
|
:return: Price in of the open trade incl. Fees
|
|
"""
|
|
buy_trade = Decimal(self.amount) * Decimal(self.open_rate)
|
|
fees = buy_trade * Decimal(self.fee_open)
|
|
return float(buy_trade + fees)
|
|
|
|
def recalc_open_trade_price(self) -> None:
|
|
"""
|
|
Recalculate open_trade_price.
|
|
Must be called whenever open_rate or fee_open is changed.
|
|
"""
|
|
self.open_trade_price = self._calc_open_trade_price()
|
|
|
|
def calc_close_trade_price(self, rate: Optional[float] = None,
|
|
fee: 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
|
|
:return: Price in BTC of the open trade
|
|
"""
|
|
if rate is None and not self.close_rate:
|
|
return 0.0
|
|
|
|
sell_trade = Decimal(self.amount) * Decimal(rate or self.close_rate)
|
|
fees = sell_trade * Decimal(fee or self.fee_close)
|
|
return float(sell_trade - fees)
|
|
|
|
def calc_profit(self, rate: Optional[float] = None,
|
|
fee: 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 rate 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
|
|
:return: profit in stake currency as float
|
|
"""
|
|
close_trade_price = self.calc_close_trade_price(
|
|
rate=(rate or self.close_rate),
|
|
fee=(fee or self.fee_close)
|
|
)
|
|
profit = close_trade_price - self.open_trade_price
|
|
return float(f"{profit:.8f}")
|
|
|
|
def calc_profit_ratio(self, rate: Optional[float] = None,
|
|
fee: 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).
|
|
:return: profit ratio as float
|
|
"""
|
|
close_trade_price = self.calc_close_trade_price(
|
|
rate=(rate or self.close_rate),
|
|
fee=(fee or self.fee_close)
|
|
)
|
|
profit_ratio = (close_trade_price / self.open_trade_price) - 1
|
|
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(trade_filter=None) -> Query:
|
|
"""
|
|
Helper function to query Trades using filters.
|
|
: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 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_trades() -> List[Any]:
|
|
"""
|
|
Query trades from persistence layer
|
|
"""
|
|
return Trade.get_trades(Trade.is_open.is_(True)).all()
|
|
|
|
@staticmethod
|
|
def get_open_order_trades():
|
|
"""
|
|
Returns all open trades
|
|
"""
|
|
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
|
|
"""
|
|
return Trade.get_trades([Trade.fee_open_currency.is_(None),
|
|
Trade.orders.any(),
|
|
Trade.is_open.is_(True),
|
|
]).all()
|
|
|
|
@staticmethod
|
|
def get_sold_trades_without_assigned_fees():
|
|
"""
|
|
Returns all closed trades which don't have fees set correctly
|
|
"""
|
|
return Trade.get_trades([Trade.fee_close_currency.is_(None),
|
|
Trade.orders.any(),
|
|
Trade.is_open.is_(False),
|
|
]).all()
|
|
|
|
@staticmethod
|
|
def total_open_trades_stakes() -> float:
|
|
"""
|
|
Calculates total invested amount in open trades
|
|
in stake currency
|
|
"""
|
|
total_open_stake_amount = Trade.session.query(func.sum(Trade.stake_amount))\
|
|
.filter(Trade.is_open.is_(True))\
|
|
.scalar()
|
|
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
|
|
"""
|
|
pair_rates = Trade.session.query(
|
|
Trade.pair,
|
|
func.sum(Trade.close_profit).label('profit_sum'),
|
|
func.count(Trade.pair).label('count')
|
|
).filter(Trade.is_open.is_(False))\
|
|
.group_by(Trade.pair) \
|
|
.order_by(desc('profit_sum')) \
|
|
.all()
|
|
return [
|
|
{
|
|
'pair': pair,
|
|
'profit': rate,
|
|
'count': count
|
|
}
|
|
for pair, rate, count in pair_rates
|
|
]
|
|
|
|
@staticmethod
|
|
def get_best_pair():
|
|
"""
|
|
Get best pair with closed trade.
|
|
:returns: Tuple containing (pair, profit_sum)
|
|
"""
|
|
best_pair = Trade.session.query(
|
|
Trade.pair, func.sum(Trade.close_profit).label('profit_sum')
|
|
).filter(Trade.is_open.is_(False)) \
|
|
.group_by(Trade.pair) \
|
|
.order_by(desc('profit_sum')).first()
|
|
return best_pair
|
|
|
|
@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}.")
|