lychiyu/freqtrade_origin
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2024-11-10 10:21:59 +00:00
Code Issues Actions 2 Packages Projects Releases Wiki Activity

Updated LocalTrade and Order classes

Browse Source
This commit is contained in:
Sam Germain 2021-06-19 22:06:51 -06:00
parent 27fe6e0a1b
commit a27171b371
2 changed files with 101 additions and 43 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

10
freqtrade/persistence/migrations.py
View File

@ -45,7 +45,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stoploss_last_update = get_column_def(cols, 'stoploss_last_update', 'null')
max_rate = get_column_def(cols, 'max_rate', '0.0')
min_rate = get_column_def(cols, 'min_rate', 'null')
sell_reason = get_column_def(cols, 'sell_reason', 'null')
close_reason = get_column_def(cols, 'close_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null')
# If ticker-interval existed use that, else null.
if has_column(cols, 'ticker_interval'):
@ -58,7 +58,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
close_profit_abs = get_column_def(
cols, 'close_profit_abs',
f"(amount * close_rate * (1 - {fee_close})) - {open_trade_value}")
sell_order_status = get_column_def(cols, 'sell_order_status', 'null')
close_order_status = get_column_def(cols, 'close_order_status', 'null')
amount_requested = get_column_def(cols, 'amount_requested', 'amount')
# Schema migration necessary
@ -80,7 +80,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
stake_amount, amount, amount_requested, open_date, close_date, open_order_id,
stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
stoploss_order_id, stoploss_last_update,
max_rate, min_rate, sell_reason, sell_order_status, strategy,
max_rate, min_rate, close_reason, close_order_status, strategy,
timeframe, open_trade_value, close_profit_abs
)
select id, lower(exchange),
@ -101,8 +101,8 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{initial_stop_loss} initial_stop_loss,
{initial_stop_loss_pct} initial_stop_loss_pct,
{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
{sell_order_status} sell_order_status,
{max_rate} max_rate, {min_rate} min_rate, {close_reason} close_reason,
{close_order_status} close_order_status,
{strategy} strategy, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs
from {table_back_name}

134
freqtrade/persistence/models.py
View File

@ -29,13 +29,13 @@ _SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database
def init_db(db_url: str, clean_open_orders: bool = False) -> None:
"""
Initializes this module with the given config,
registers all known command handlers
and starts polling for message updates
:param db_url: Database to use
:param clean_open_orders: Remove open orders from the database.
Useful for dry-run or if all orders have been reset on the exchange.
:return: None
Initializes this module with the given config,
registers all known command handlers
and starts polling for message updates
:param db_url: Database to use
:param clean_open_orders: Remove open orders from the database.
Useful for dry-run or if all orders have been reset on the exchange.
:return: None
"""
kwargs = {}
@ -131,9 +131,10 @@ class Order(_DECL_BASE):
order_date = Column(DateTime, nullable=True, default=datetime.utcnow)
order_filled_date = Column(DateTime, nullable=True)
order_update_date = Column(DateTime, nullable=True)
leverage = Column(Float, nullable=True)
def __repr__(self):
return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
f'side={self.side}, order_type={self.order_type}, status={self.status})')
@ -155,6 +156,7 @@ class Order(_DECL_BASE):
self.average = order.get('average', self.average)
self.remaining = order.get('remaining', self.remaining)
self.cost = order.get('cost', self.cost)
self.leverage = order.get('leverage', self.leverage)
if 'timestamp' in order and order['timestamp'] is not None:
self.order_date = datetime.fromtimestamp(order['timestamp'] / 1000, tz=timezone.utc)
@ -226,6 +228,7 @@ class LocalTrade():
fee_close_currency: str = ''
open_rate: float = 0.0
open_rate_requested: Optional[float] = None
# open_trade_value - calculated via _calc_open_trade_value
open_trade_value: float = 0.0
close_rate: Optional[float] = None
@ -254,11 +257,20 @@ class LocalTrade():
max_rate: float = 0.0
# Lowest price reached
min_rate: float = 0.0
sell_reason: str = ''
sell_order_status: str = ''
close_reason: str = ''
close_order_status: str = ''
strategy: str = ''
timeframe: Optional[int] = None
#Margin trading properties
leverage: float = 1.0
borrowed: float = 0
borrowed_currency: float = None
interest_rate: float = 0
min_stoploss: float = None
isShort: boolean = False
#End of margin trading properties
def __init__(self, **kwargs):
for key in kwargs:
setattr(self, key, kwargs[key])
@ -322,8 +334,8 @@ class LocalTrade():
'profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
'profit_abs': self.close_profit_abs,
'sell_reason': self.sell_reason,
'sell_order_status': self.sell_order_status,
'close_reason': self.close_reason,
'close_order_status': self.close_order_status,
'stop_loss_abs': self.stop_loss,
'stop_loss_ratio': self.stop_loss_pct if self.stop_loss_pct else None,
'stop_loss_pct': (self.stop_loss_pct * 100) if self.stop_loss_pct else None,
@ -340,6 +352,13 @@ class LocalTrade():
'min_rate': self.min_rate,
'max_rate': self.max_rate,
'leverage': self.leverage,
'borrowed': self.borrowed,
'borrowed_currency': self.borrowed_currency,
'interest_rate': self.interest_rate,
'min_stoploss': self.min_stoploss,
'leverage': self.leverage,
'open_order_id': self.open_order_id,
}
@ -379,6 +398,9 @@ class LocalTrade():
return
new_loss = float(current_price * (1 - abs(stoploss)))
#TODO: Could maybe move this if into the new stoploss if branch
if (self.min_stoploss): #If trading on margin, don't set the stoploss below the liquidation price
new_loss = min(self.min_stoploss, new_loss)
# no stop loss assigned yet
if not self.stop_loss:
@ -389,7 +411,7 @@ class LocalTrade():
# evaluate if the stop loss needs to be updated
else:
if new_loss > self.stop_loss: # stop losses only walk up, never down!
if (new_loss > self.stop_loss and not self.isShort) or (new_loss < self.stop_loss and self.isShort): # stop losses only walk up, never down!, #TODO: But adding more to a margin account would create a lower liquidation price, decreasing the minimum stoploss
logger.debug(f"{self.pair} - Adjusting stoploss...")
self._set_new_stoploss(new_loss, stoploss)
else:
@ -403,6 +425,20 @@ class LocalTrade():
f"Trailing stoploss saved us: "
f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f}.")
def is_opening_trade(self, side) -> bool:
"""
Determines if the trade is an opening (long buy or short sell) trade
:param side (string): the side (buy/sell) that order happens on
"""
return (side == 'buy' and not self.isShort) or (side == 'sell' and self.isShort)
def is_closing_trade(self, side) -> bool:
"""
Determines if the trade is an closing (long sell or short buy) trade
:param side (string): the side (buy/sell) that order happens on
"""
return (side == 'sell' and not self.isShort) or (side == 'buy' and self.isShort)
def update(self, order: Dict) -> None:
"""
Updates this entity with amount and actual open/close rates.
@ -416,22 +452,24 @@ class LocalTrade():
logger.info('Updating trade (id=%s) ...', self.id)
if order_type in ('market', 'limit') and order['side'] == 'buy':
if order_type in ('market', 'limit') and self.isOpeningTrade(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'))
self.recalc_open_trade_value()
if self.is_open:
logger.info(f'{order_type.upper()}_BUY has been fulfilled for {self}.')
payment = "SELL" if self.isShort else "BUY"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.')
self.open_order_id = None
elif order_type in ('market', 'limit') and order['side'] == 'sell':
elif order_type in ('market', 'limit') and self.isClosingTrade(order['side']):
if self.is_open:
logger.info(f'{order_type.upper()}_SELL has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price'))
payment = "BUY" if self.isShort else "SELL"
logger.info(f'{order_type.upper()}_{payment} order has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price')) #TODO: Double check this
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
self.close_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'))
@ -445,11 +483,11 @@ class LocalTrade():
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.close_date = self.close_date or datetime.utcnow()
self.is_open = False
self.sell_order_status = 'closed'
self.close_order_status = 'closed'
self.open_order_id = None
if show_msg:
logger.info(
@ -462,14 +500,14 @@ class LocalTrade():
"""
Update Fee parameters. Only acts once per side
"""
if side == 'buy' and self.fee_open_currency is None:
if self.is_opening_trade(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 side == 'sell' and self.fee_close_currency is None:
elif self.is_closing_trade(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:
@ -479,9 +517,9 @@ class LocalTrade():
"""
Verify if this side (buy / sell) has already been updated
"""
if side == 'buy':
if self.is_opening_trade(side):
return self.fee_open_currency is not None
elif side == 'sell':
elif self.is_closing_trade(side):
return self.fee_close_currency is not None
else:
return False
@ -494,9 +532,13 @@ class LocalTrade():
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)
open_trade = Decimal(self.amount) * Decimal(self.open_rate)
fees = open_trade * Decimal(self.fee_open)
if (self.isShort):
return float(open_trade - fees)
else:
return float(open_trade + fees)
def recalc_open_trade_value(self) -> None:
"""
@ -513,34 +555,47 @@ class LocalTrade():
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 borrowed: amount borrowed to make this trade
If borrowed is not set self.borrowed 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) # type: ignore
fees = sell_trade * Decimal(fee or self.fee_close)
return float(sell_trade - fees)
close_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
fees = close_trade * Decimal(fee or self.fee_close)
if (self.isShort):
interest = (self.interest_rate * Decimal(borrowed or self.borrowed)) * (datetime.utcnow() - self.open_date).days #Interest/day * num of days, 0 if not margin
return float(close_trade + fees + interest)
else:
return float(close_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
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 borrowed: amount borrowed to make this trade
If borrowed is not set self.borrowed 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)
)
profit = close_trade_value - self.open_trade_value
if self.isShort:
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) -> float:
fee: Optional[float] = None,
borrowed: Optional[float] = None) -> float:
"""
Calculates the profit as ratio (including fee).
:param rate: rate to compare with (optional).
@ -554,7 +609,10 @@ class LocalTrade():
)
if self.open_trade_value == 0.0:
return 0.0
profit_ratio = (close_trade_value / self.open_trade_value) - 1
if self.isShort:
profit_ratio = (close_trade_value / self.open_trade_value) - 1
else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1
return float(f"{profit_ratio:.8f}")
def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]:
@ -604,7 +662,7 @@ class LocalTrade():
sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date]
return sel_trades
return sel_trades #TODO: What is sel_trades does it mean sell_trades? If so, update this for margin
@staticmethod
def close_bt_trade(trade):
@ -700,8 +758,8 @@ class Trade(_DECL_BASE, LocalTrade):
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)
sell_order_status = Column(String(100), nullable=True)
close_reason = Column(String(100), nullable=True)
close_order_status = Column(String(100), nullable=True)
strategy = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True)