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Merge pull request #6507 from freqtrade/short_order_tif

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Update order time in force to use entry/exit wording
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Matthias 2022-03-08 06:31:05 +01:00 committed by GitHub
commit b4ec2b3a5a
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17 changed files with 88 additions and 40 deletions
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4
config_examples/config_full.example.json
View File

@ -61,8 +61,8 @@
"stoploss_on_exchange_interval": 60
},
"order_time_in_force": {
"buy": "gtc",
"sell": "gtc"
"entry": "gtc",
"exit": "gtc"
},
"pairlists": [
{"method": "StaticPairList"},

6
docs/configuration.md
View File

@ -122,7 +122,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `ignore_roi_if_buy_signal` | Do not sell if the buy signal is still active. This setting takes preference over `minimal_roi` and `use_sell_signal`. [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
| `ignore_buying_expired_candle_after` | Specifies the number of seconds until a buy signal is no longer used. <br> **Datatype:** Integer
| `order_types` | Configure order-types depending on the action (`"buy"`, `"sell"`, `"stoploss"`, `"stoploss_on_exchange"`). [More information below](#understand-order_types). [Strategy Override](#parameters-in-the-strategy).<br> **Datatype:** Dict
| `order_time_in_force` | Configure time in force for buy and sell orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy). <br> **Datatype:** Dict
| `order_time_in_force` | Configure time in force for entry and exit orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy). <br> **Datatype:** Dict
| `custom_price_max_distance_ratio` | Configure maximum distance ratio between current and custom entry or exit price. <br>*Defaults to `0.02` 2%).*<br> **Datatype:** Positive float
| `exchange.name` | **Required.** Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename). <br> **Datatype:** String
| `exchange.sandbox` | Use the 'sandbox' version of the exchange, where the exchange provides a sandbox for risk-free integration. See [here](sandbox-testing.md) in more details.<br> **Datatype:** Boolean
@ -465,8 +465,8 @@ The possible values are: `gtc` (default), `fok` or `ioc`.
``` python
"order_time_in_force": {
"buy": "gtc",
"sell": "gtc"
"entry": "gtc",
"exit": "gtc"
},
```

24
freqtrade/configuration/config_validation.py
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@ -6,7 +6,7 @@ from jsonschema import Draft4Validator, validators
from jsonschema.exceptions import ValidationError, best_match
from freqtrade import constants
from freqtrade.enums import RunMode
from freqtrade.enums import RunMode, TradingMode
from freqtrade.exceptions import OperationalException
@ -80,6 +80,7 @@ def validate_config_consistency(conf: Dict[str, Any]) -> None:
_validate_protections(conf)
_validate_unlimited_amount(conf)
_validate_ask_orderbook(conf)
validate_migrated_strategy_settings(conf)
# validate configuration before returning
logger.info('Validating configuration ...')
@ -207,3 +208,24 @@ def _validate_ask_orderbook(conf: Dict[str, Any]) -> None:
"Please use `order_book_top` instead of `order_book_min` and `order_book_max` "
"for your `ask_strategy` configuration."
)
def validate_migrated_strategy_settings(conf: Dict[str, Any]) -> None:
_validate_time_in_force(conf)
def _validate_time_in_force(conf: Dict[str, Any]) -> None:
time_in_force = conf.get('order_time_in_force', {})
if 'buy' in time_in_force or 'sell' in time_in_force:
if conf.get('trading_mode', TradingMode.SPOT) != TradingMode.SPOT:
raise OperationalException(
"Please migrate your time_in_force settings to use 'entry' and 'exit'.")
else:
logger.warning(
"DEPRECATED: Using 'buy' and 'sell' for time_in_force is deprecated."
"Please migrate your time_in_force settings to use 'entry' and 'exit'."
)
time_in_force['entry'] = time_in_force.pop('buy')
time_in_force['exit'] = time_in_force.pop('sell')

8
freqtrade/constants.py
View File

@ -19,7 +19,7 @@ DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
DEFAULT_DB_DRYRUN_URL = 'sqlite:///tradesv3.dryrun.sqlite'
UNLIMITED_STAKE_AMOUNT = 'unlimited'
DEFAULT_AMOUNT_RESERVE_PERCENT = 0.05
REQUIRED_ORDERTIF = ['buy', 'sell']
REQUIRED_ORDERTIF = ['entry', 'exit']
REQUIRED_ORDERTYPES = ['buy', 'sell', 'stoploss', 'stoploss_on_exchange']
ORDERBOOK_SIDES = ['ask', 'bid']
ORDERTYPE_POSSIBILITIES = ['limit', 'market']
@ -233,10 +233,10 @@ CONF_SCHEMA = {
'order_time_in_force': {
'type': 'object',
'properties': {
'buy': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES},
'sell': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES}
'entry': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES},
'exit': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES}
},
'required': ['buy', 'sell']
'required': REQUIRED_ORDERTIF
},
'exchange': {'$ref': '#/definitions/exchange'},
'edge': {'$ref': '#/definitions/edge'},

16
freqtrade/freqtradebot.py
View File

@ -595,7 +595,7 @@ class FreqtradeBot(LoggingMixin):
:param leverage: amount of leverage applied to this trade
:return: True if a buy order is created, false if it fails.
"""
time_in_force = self.strategy.order_time_in_force['buy']
time_in_force = self.strategy.order_time_in_force['entry']
[side, name] = ['sell', 'Short'] if is_short else ['buy', 'Long']
trade_side = 'short' if is_short else 'long'
@ -659,13 +659,12 @@ class FreqtradeBot(LoggingMixin):
amount_requested = amount
if order_status == 'expired' or order_status == 'rejected':
order_tif = self.strategy.order_time_in_force['buy']
# return false if the order is not filled
if float(order['filled']) == 0:
logger.warning('%s %s order with time in force %s for %s is %s by %s.'
' zero amount is fulfilled.',
name, order_tif, order_type, pair, order_status, self.exchange.name)
logger.warning(f'{name} {time_in_force} order with time in force {order_type} '
f'for {pair} is {order_status} by {self.exchange.name}.'
' zero amount is fulfilled.')
return False
else:
# the order is partially fulfilled
@ -673,8 +672,9 @@ class FreqtradeBot(LoggingMixin):
# if the order is fulfilled fully or partially
logger.warning('%s %s order with time in force %s for %s is %s by %s.'
' %s amount fulfilled out of %s (%s remaining which is canceled).',
name, order_tif, order_type, pair, order_status, self.exchange.name,
order['filled'], order['amount'], order['remaining']
name, time_in_force, order_type, pair, order_status,
self.exchange.name, order['filled'], order['amount'],
order['remaining']
)
stake_amount = order['cost']
amount = safe_value_fallback(order, 'filled', 'amount')
@ -1382,7 +1382,7 @@ class FreqtradeBot(LoggingMixin):
order_type = self.strategy.order_types.get("emergencysell", "market")
amount = self._safe_exit_amount(trade.pair, trade.amount)
time_in_force = self.strategy.order_time_in_force['sell']
time_in_force = self.strategy.order_time_in_force['exit']
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit,

4
freqtrade/optimize/backtesting.py
View File

@ -504,7 +504,7 @@ class Backtesting:
# freqtrade does not support this in live, and the order would fill immediately
closerate = max(closerate, sell_row[LOW_IDX])
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['sell']
time_in_force = self.strategy.order_time_in_force['exit']
if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
@ -640,7 +640,7 @@ class Backtesting:
# If not pos adjust, trade is None
return trade
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['buy']
time_in_force = self.strategy.order_time_in_force['entry']
if not pos_adjust:
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)

5
freqtrade/resolvers/strategy_resolver.py
View File

@ -10,6 +10,7 @@ from inspect import getfullargspec
from pathlib import Path
from typing import Any, Dict, Optional
from freqtrade.configuration.config_validation import validate_migrated_strategy_settings
from freqtrade.constants import REQUIRED_ORDERTIF, REQUIRED_ORDERTYPES, USERPATH_STRATEGIES
from freqtrade.exceptions import OperationalException
from freqtrade.resolvers import IResolver
@ -160,10 +161,12 @@ class StrategyResolver(IResolver):
@staticmethod
def _strategy_sanity_validations(strategy):
# Ensure necessary migrations are performed first.
validate_migrated_strategy_settings(strategy.config)
if not all(k in strategy.order_types for k in REQUIRED_ORDERTYPES):
raise ImportError(f"Impossible to load Strategy '{strategy.__class__.__name__}'. "
f"Order-types mapping is incomplete.")
if not all(k in strategy.order_time_in_force for k in REQUIRED_ORDERTIF):
raise ImportError(f"Impossible to load Strategy '{strategy.__class__.__name__}'. "
f"Order-time-in-force mapping is incomplete.")

4
freqtrade/strategy/interface.py
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@ -96,8 +96,8 @@ class IStrategy(ABC, HyperStrategyMixin):
# Optional time in force
order_time_in_force: Dict = {
'buy': 'gtc',
'sell': 'gtc',
'entry': 'gtc',
'exit': 'gtc',
}
# run "populate_indicators" only for new candle

4
freqtrade/templates/base_strategy.py.j2
View File

@ -83,8 +83,8 @@ class {{ strategy }}(IStrategy):
# Optional order time in force.
order_time_in_force = {
'buy': 'gtc',
'sell': 'gtc'
'entry': 'gtc',
'exit': 'gtc'
}
{{ plot_config | indent(4) }}

4
freqtrade/templates/sample_short_strategy.py
View File

@ -84,8 +84,8 @@ class SampleShortStrategy(IStrategy):
# Optional order time in force.
order_time_in_force = {
'buy': 'gtc',
'sell': 'gtc'
'entry': 'gtc',
'exit': 'gtc'
}
plot_config = {

4
freqtrade/templates/sample_strategy.py
View File

@ -85,8 +85,8 @@ class SampleStrategy(IStrategy):
# Optional order time in force.
order_time_in_force = {
'buy': 'gtc',
'sell': 'gtc'
'entry': 'gtc',
'exit': 'gtc'
}
plot_config = {

1
tests/optimize/test_backtesting.py
View File

@ -319,6 +319,7 @@ def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None:
del default_conf['timeframe']
default_conf['strategy_list'] = [CURRENT_TEST_STRATEGY,
'SampleStrategy']
# TODO: This refers to the sampleStrategy in user_data if it exists...
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
with pytest.raises(OperationalException):

4
tests/strategy/strats/hyperoptable_strategy.py
View File

@ -45,8 +45,8 @@ class HyperoptableStrategy(IStrategy):
# Optional time in force for orders
order_time_in_force = {
'buy': 'gtc',
'sell': 'gtc',
'entry': 'gtc',
'exit': 'gtc',
}
buy_params = {

4
tests/strategy/strats/strategy_test_v2.py
View File

@ -47,8 +47,8 @@ class StrategyTestV2(IStrategy):
# Optional time in force for orders
order_time_in_force = {
'buy': 'gtc',
'sell': 'gtc',
'entry': 'gtc',
'exit': 'gtc',
}
# By default this strategy does not use Position Adjustments

4
tests/strategy/strats/strategy_test_v3.py
View File

@ -48,8 +48,8 @@ class StrategyTestV3(IStrategy):
# Optional time in force for orders
order_time_in_force = {
'buy': 'gtc',
'sell': 'gtc',
'entry': 'gtc',
'exit': 'gtc',
}
buy_params = {

10
tests/strategy/test_strategy_loading.py
View File

@ -257,8 +257,8 @@ def test_strategy_override_order_tif(caplog, default_conf):
caplog.set_level(logging.INFO)
order_time_in_force = {
'buy': 'fok',
'sell': 'gtc',
'entry': 'fok',
'exit': 'gtc',
}
default_conf.update({
@ -268,15 +268,15 @@ def test_strategy_override_order_tif(caplog, default_conf):
strategy = StrategyResolver.load_strategy(default_conf)
assert strategy.order_time_in_force
for method in ['buy', 'sell']:
for method in ['entry', 'exit']:
assert strategy.order_time_in_force[method] == order_time_in_force[method]
assert log_has("Override strategy 'order_time_in_force' with value in config file:"
" {'buy': 'fok', 'sell': 'gtc'}.", caplog)
" {'entry': 'fok', 'exit': 'gtc'}.", caplog)
default_conf.update({
'strategy': CURRENT_TEST_STRATEGY,
'order_time_in_force': {'buy': 'fok'}
'order_time_in_force': {'entry': 'fok'}
})
# Raise error for invalid configuration
with pytest.raises(ImportError,

22
tests/test_configuration.py
View File

@ -941,6 +941,28 @@ def test_validate_ask_orderbook(default_conf, caplog) -> None:
validate_config_consistency(conf)
def test_validate_time_in_force(default_conf, caplog) -> None:
conf = deepcopy(default_conf)
conf['order_time_in_force'] = {
'buy': 'gtc',
'sell': 'gtc',
}
validate_config_consistency(conf)
assert log_has_re(r"DEPRECATED: Using 'buy' and 'sell' for time_in_force is.*", caplog)
assert conf['order_time_in_force']['entry'] == 'gtc'
assert conf['order_time_in_force']['exit'] == 'gtc'
conf = deepcopy(default_conf)
conf['order_time_in_force'] = {
'buy': 'gtc',
'sell': 'gtc',
}
conf['trading_mode'] = 'futures'
with pytest.raises(OperationalException,
match=r"Please migrate your time_in_force settings .* 'entry' and 'exit'\."):
validate_config_consistency(conf)
def test_load_config_test_comments() -> None:
"""
Load config with comments