From 0d06d7e10849a0e8ebd091f7c720aada544b065e Mon Sep 17 00:00:00 2001 From: Sam Germain Date: Mon, 12 Jul 2021 19:39:35 -0600 Subject: [PATCH] updated mkdocs and leverage docs Added tests for set_liquidation_price and set_stop_loss updated params in interestmode enum --- docs/leverage.md | 14 +++++ freqtrade/enums/interestmode.py | 6 +- freqtrade/persistence/migrations.py | 9 ++- freqtrade/persistence/models.py | 51 ++++++++-------- mkdocs.yml | 87 ++++++++++++++------------- tests/conftest_trades.py | 1 + tests/persistence/test_persistence.py | 81 ++++++++++++++++++++++++- 7 files changed, 169 insertions(+), 80 deletions(-) diff --git a/docs/leverage.md b/docs/leverage.md index 9a420e573..c4b975a0b 100644 --- a/docs/leverage.md +++ b/docs/leverage.md @@ -1,3 +1,17 @@ +# Leverage + For shorts, the currency which pays the interest fee for the `borrowed` currency is purchased at the same time of the closing trade (This means that the amount purchased in short closing trades is greater than the amount sold in short opening trades). For longs, the currency which pays the interest fee for the `borrowed` will already be owned by the user and does not need to be purchased. The interest is subtracted from the close_value of the trade. + +## Binance margin trading interest formula + + I (interest) = P (borrowed money) * R (daily_interest/24) * ceiling(T) (in hours) + [source](https://www.binance.com/en/support/faq/360030157812) + +## Kraken margin trading interest formula + + Opening fee = P (borrowed money) * R (quat_hourly_interest) + Rollover fee = P (borrowed money) * R (quat_hourly_interest) * ceiling(T/4) (in hours) + I (interest) = Opening fee + Rollover fee + [source](https://support.kraken.com/hc/en-us/articles/206161568-What-are-the-fees-for-margin-trading-) diff --git a/freqtrade/enums/interestmode.py b/freqtrade/enums/interestmode.py index 4128fc7a0..89c71a8b4 100644 --- a/freqtrade/enums/interestmode.py +++ b/freqtrade/enums/interestmode.py @@ -17,14 +17,12 @@ class InterestMode(Enum): HOURSPER4 = "HOURSPER4" # Hours per 4 hour segment NONE = "NONE" - def __call__(self, *args, **kwargs): - - borrowed, rate, hours = kwargs["borrowed"], kwargs["rate"], kwargs["hours"] + def __call__(self, borrowed: Decimal, rate: Decimal, hours: Decimal): if self.name == "HOURSPERDAY": return borrowed * rate * ceil(hours)/twenty_four elif self.name == "HOURSPER4": - # Probably rounded based on https://kraken-fees-calculator.github.io/ + # Rounded based on https://kraken-fees-calculator.github.io/ return borrowed * rate * (1+ceil(hours/four)) else: raise OperationalException("Leverage not available on this exchange with freqtrade") diff --git a/freqtrade/persistence/migrations.py b/freqtrade/persistence/migrations.py index c3b07d1b1..c9fa4259b 100644 --- a/freqtrade/persistence/migrations.py +++ b/freqtrade/persistence/migrations.py @@ -149,17 +149,16 @@ def migrate_orders_table(decl_base, inspector, engine, table_back_name: str, col # let SQLAlchemy create the schema as required decl_base.metadata.create_all(engine) leverage = get_column_def(cols, 'leverage', '1.0') - is_short = get_column_def(cols, 'is_short', 'False') - # TODO-mg: Should liquidation price go in here? + # is_short = get_column_def(cols, 'is_short', 'False') + with engine.begin() as connection: connection.execute(text(f""" insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status, symbol, order_type, side, price, amount, filled, average, remaining, cost, - order_date, order_filled_date, order_update_date, leverage, is_short) + order_date, order_filled_date, order_update_date, leverage) select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status, symbol, order_type, side, price, amount, filled, null average, remaining, cost, - order_date, order_filled_date, order_update_date, - {leverage} leverage, {is_short} is_short + order_date, order_filled_date, order_update_date, {leverage} leverage from {table_back_name} """)) diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index 2428c7d24..69a103123 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -133,7 +133,6 @@ class Order(_DECL_BASE): order_update_date = Column(DateTime, nullable=True) leverage = Column(Float, nullable=True, default=1.0) - is_short = Column(Boolean, nullable=True, default=False) def __repr__(self): @@ -159,7 +158,7 @@ class Order(_DECL_BASE): self.remaining = order.get('remaining', self.remaining) self.cost = order.get('cost', self.cost) self.leverage = order.get('leverage', self.leverage) - # TODO-mg: is_short? + if 'timestamp' in order and order['timestamp'] is not None: self.order_date = datetime.fromtimestamp(order['timestamp'] / 1000, tz=timezone.utc) @@ -301,44 +300,42 @@ class LocalTrade(): def __init__(self, **kwargs): for key in kwargs: setattr(self, key, kwargs[key]) - self.set_liquidation_price(self.liquidation_price) + if self.liquidation_price: + self.set_liquidation_price(self.liquidation_price) self.recalc_open_trade_value() - def set_stop_loss_helper(self, stop_loss: Optional[float], liquidation_price: Optional[float]): - """Helper function for set_liquidation_price and set_stop_loss""" - # Stoploss would be better as a computed variable, - # but that messes up the database so it might not be possible - - if liquidation_price is not None: - if stop_loss is not None: - if self.is_short: - self.stop_loss = min(stop_loss, liquidation_price) - else: - self.stop_loss = max(stop_loss, liquidation_price) - else: - self.stop_loss = liquidation_price - self.initial_stop_loss = liquidation_price - self.liquidation_price = liquidation_price - else: - # programmming error check: 1 of liqudication_price or stop_loss must be set - assert stop_loss is not None - if not self.stop_loss: - self.initial_stop_loss = stop_loss - self.stop_loss = stop_loss - def set_stop_loss(self, stop_loss: float): """ Method you should use to set self.stop_loss. Assures stop_loss is not passed the liquidation price """ - self.set_stop_loss_helper(stop_loss=stop_loss, liquidation_price=self.liquidation_price) + if self.liquidation_price is not None: + if self.is_short: + sl = min(stop_loss, self.liquidation_price) + else: + sl = max(stop_loss, self.liquidation_price) + else: + sl = stop_loss + + if not self.stop_loss: + self.initial_stop_loss = sl + self.stop_loss = sl def set_liquidation_price(self, liquidation_price: float): """ Method you should use to set self.liquidation price. Assures stop_loss is not passed the liquidation price """ - self.set_stop_loss_helper(stop_loss=self.stop_loss, liquidation_price=liquidation_price) + if self.stop_loss is not None: + if self.is_short: + self.stop_loss = min(self.stop_loss, liquidation_price) + else: + self.stop_loss = max(self.stop_loss, liquidation_price) + else: + self.initial_stop_loss = liquidation_price + self.stop_loss = liquidation_price + + self.liquidation_price = liquidation_price def __repr__(self): open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed' diff --git a/mkdocs.yml b/mkdocs.yml index 854939ca0..59f2bae73 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -3,61 +3,62 @@ site_url: https://www.freqtrade.io/ repo_url: https://github.com/freqtrade/freqtrade use_directory_urls: True nav: - - Home: index.md - - Quickstart with Docker: docker_quickstart.md - - Installation: - - Linux/MacOS/Raspberry: installation.md - - Windows: windows_installation.md - - Freqtrade Basics: bot-basics.md - - Configuration: configuration.md - - Strategy Customization: strategy-customization.md - - Plugins: plugins.md - - Stoploss: stoploss.md - - Start the bot: bot-usage.md - - Control the bot: - - Telegram: telegram-usage.md - - REST API & FreqUI: rest-api.md - - Web Hook: webhook-config.md - - Data Downloading: data-download.md - - Backtesting: backtesting.md - - Hyperopt: hyperopt.md - - Utility Sub-commands: utils.md - - Plotting: plotting.md - - Data Analysis: - - Jupyter Notebooks: data-analysis.md - - Strategy analysis: strategy_analysis_example.md - - Exchange-specific Notes: exchanges.md - - Advanced Topics: - - Advanced Post-installation Tasks: advanced-setup.md - - Edge Positioning: edge.md - - Advanced Strategy: strategy-advanced.md - - Advanced Hyperopt: advanced-hyperopt.md - - Sandbox Testing: sandbox-testing.md - - FAQ: faq.md - - SQL Cheat-sheet: sql_cheatsheet.md - - Updating Freqtrade: updating.md - - Deprecated Features: deprecated.md - - Contributors Guide: developer.md + - Home: index.md + - Quickstart with Docker: docker_quickstart.md + - Installation: + - Linux/MacOS/Raspberry: installation.md + - Windows: windows_installation.md + - Freqtrade Basics: bot-basics.md + - Configuration: configuration.md + - Strategy Customization: strategy-customization.md + - Plugins: plugins.md + - Stoploss: stoploss.md + - Start the bot: bot-usage.md + - Control the bot: + - Telegram: telegram-usage.md + - REST API & FreqUI: rest-api.md + - Web Hook: webhook-config.md + - Data Downloading: data-download.md + - Backtesting: backtesting.md + - Leverage: leverage.md + - Hyperopt: hyperopt.md + - Utility Sub-commands: utils.md + - Plotting: plotting.md + - Data Analysis: + - Jupyter Notebooks: data-analysis.md + - Strategy analysis: strategy_analysis_example.md + - Exchange-specific Notes: exchanges.md + - Advanced Topics: + - Advanced Post-installation Tasks: advanced-setup.md + - Edge Positioning: edge.md + - Advanced Strategy: strategy-advanced.md + - Advanced Hyperopt: advanced-hyperopt.md + - Sandbox Testing: sandbox-testing.md + - FAQ: faq.md + - SQL Cheat-sheet: sql_cheatsheet.md + - Updating Freqtrade: updating.md + - Deprecated Features: deprecated.md + - Contributors Guide: developer.md theme: name: material - logo: 'images/logo.png' - favicon: 'images/logo.png' - custom_dir: 'docs/overrides' + logo: "images/logo.png" + favicon: "images/logo.png" + custom_dir: "docs/overrides" palette: - scheme: default - primary: 'blue grey' - accent: 'tear' + primary: "blue grey" + accent: "tear" toggle: icon: material/toggle-switch-off-outline name: Switch to dark mode - scheme: slate - primary: 'blue grey' - accent: 'tear' + primary: "blue grey" + accent: "tear" toggle: icon: material/toggle-switch-off-outline name: Switch to dark mode extra_css: - - 'stylesheets/ft.extra.css' + - "stylesheets/ft.extra.css" extra_javascript: - javascripts/config.js - https://polyfill.io/v3/polyfill.min.js?features=es6 diff --git a/tests/conftest_trades.py b/tests/conftest_trades.py index 00ffd3fe4..226c49305 100644 --- a/tests/conftest_trades.py +++ b/tests/conftest_trades.py @@ -418,6 +418,7 @@ def leverage_order_sell(): 'amount': 123.0, 'filled': 123.0, 'remaining': 0.0, + 'leverage': 5.0 } diff --git a/tests/persistence/test_persistence.py b/tests/persistence/test_persistence.py index 4fc979568..cf1ed0121 100644 --- a/tests/persistence/test_persistence.py +++ b/tests/persistence/test_persistence.py @@ -105,6 +105,85 @@ def test_is_opening_closing_trade(fee): assert trade.is_closing_trade('sell') is False +@pytest.mark.usefixtures("init_persistence") +def test_set_stop_loss_liquidation_price(fee): + trade = Trade( + id=2, + pair='ETH/BTC', + stake_amount=0.001, + open_rate=0.01, + amount=5, + is_open=True, + open_date=arrow.utcnow().datetime, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='binance', + is_short=False, + leverage=2.0 + ) + trade.set_liquidation_price(0.09) + assert trade.liquidation_price == 0.09 + assert trade.stop_loss == 0.09 + assert trade.initial_stop_loss == 0.09 + + trade.set_stop_loss(0.1) + assert trade.liquidation_price == 0.09 + assert trade.stop_loss == 0.1 + assert trade.initial_stop_loss == 0.09 + + trade.set_liquidation_price(0.08) + assert trade.liquidation_price == 0.08 + assert trade.stop_loss == 0.1 + assert trade.initial_stop_loss == 0.09 + + trade.set_liquidation_price(0.11) + assert trade.liquidation_price == 0.11 + assert trade.stop_loss == 0.11 + assert trade.initial_stop_loss == 0.09 + + trade.set_stop_loss(0.1) + assert trade.liquidation_price == 0.11 + assert trade.stop_loss == 0.11 + assert trade.initial_stop_loss == 0.09 + + trade.stop_loss = None + trade.liquidation_price = None + trade.initial_stop_loss = None + trade.set_stop_loss(0.07) + assert trade.liquidation_price is None + assert trade.stop_loss == 0.07 + assert trade.initial_stop_loss == 0.07 + + trade.is_short = True + trade.stop_loss = None + trade.initial_stop_loss = None + + trade.set_liquidation_price(0.09) + assert trade.liquidation_price == 0.09 + assert trade.stop_loss == 0.09 + assert trade.initial_stop_loss == 0.09 + + trade.set_stop_loss(0.08) + assert trade.liquidation_price == 0.09 + assert trade.stop_loss == 0.08 + assert trade.initial_stop_loss == 0.09 + + trade.set_liquidation_price(0.1) + assert trade.liquidation_price == 0.1 + assert trade.stop_loss == 0.08 + assert trade.initial_stop_loss == 0.09 + + trade.set_liquidation_price(0.07) + assert trade.liquidation_price == 0.07 + assert trade.stop_loss == 0.07 + assert trade.initial_stop_loss == 0.09 + + trade.set_stop_loss(0.1) + assert trade.liquidation_price == 0.07 + assert trade.stop_loss == 0.07 + assert trade.initial_stop_loss == 0.09 + + @pytest.mark.usefixtures("init_persistence") def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog): """ @@ -729,7 +808,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog): assert orders[1].order_id == 'stop_order_id222' assert orders[1].ft_order_side == 'stoploss' - assert orders[0].is_short is False + # assert orders[0].is_short is False def test_migrate_mid_state(mocker, default_conf, fee, caplog):