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Merge pull request #10530 from freqtrade/feat/price_precision_mode

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add price_precision_mode
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Matthias 2024-08-13 12:20:53 +02:00 committed by GitHub
commit c60e00c77f
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10 changed files with 47 additions and 11 deletions
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17
freqtrade/exchange/exchange.py
View File

@ -416,7 +416,17 @@ class Exchange:
@property
def precisionMode(self) -> int:
"""exchange ccxt precisionMode"""
"""Exchange ccxt precisionMode"""
return self._api.precisionMode
@property
def precision_mode_price(self) -> int:
"""
Exchange ccxt precisionMode used for price
Workaround for ccxt limitation to not have precisionMode for price
if it differs for an exchange
Might need to be updated if https://github.com/ccxt/ccxt/issues/20408 is fixed.
"""
return self._api.precisionMode
def additional_exchange_init(self) -> None:
@ -913,7 +923,10 @@ class Exchange:
For stoploss calculations, must use ROUND_UP for longs, and ROUND_DOWN for shorts.
"""
return price_to_precision(
price, self.get_precision_price(pair), self.precisionMode, rounding_mode=rounding_mode
price,
self.get_precision_price(pair),
self.precision_mode_price,
rounding_mode=rounding_mode,
)
def price_get_one_pip(self, pair: str, price: float) -> float:

2
freqtrade/freqtradebot.py
View File

@ -374,6 +374,7 @@ class FreqtradeBot(LoggingMixin):
if trade.exchange != self.exchange.id:
continue
trade.precision_mode = self.exchange.precisionMode
trade.precision_mode_price = self.exchange.precision_mode_price
trade.amount_precision = self.exchange.get_precision_amount(trade.pair)
trade.price_precision = self.exchange.get_precision_price(trade.pair)
trade.contract_size = self.exchange.get_contract_size(trade.pair)
@ -992,6 +993,7 @@ class FreqtradeBot(LoggingMixin):
amount_precision=self.exchange.get_precision_amount(pair),
price_precision=self.exchange.get_precision_price(pair),
precision_mode=self.exchange.precisionMode,
precision_mode_price=self.exchange.precision_mode_price,
contract_size=self.exchange.get_contract_size(pair),
)
stoploss = self.strategy.stoploss if not self.edge else self.edge.get_stoploss(pair)

8
freqtrade/optimize/backtesting.py
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@ -181,6 +181,7 @@ class Backtesting:
self.fee = max(fee for fee in fees if fee is not None)
logger.info(f"Using fee {self.fee:.4%} - worst case fee from exchange (lowest tier).")
self.precision_mode = self.exchange.precisionMode
self.precision_mode_price = self.exchange.precision_mode_price
if self.config.get("freqai_backtest_live_models", False):
from freqtrade.freqai.utils import get_timerange_backtest_live_models
@ -785,7 +786,7 @@ class Backtesting:
)
if rate is not None and rate != close_rate:
close_rate = price_to_precision(
rate, trade.price_precision, self.precision_mode
rate, trade.price_precision, self.precision_mode_price
)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
@ -929,7 +930,9 @@ class Backtesting:
# We can't place orders higher than current high (otherwise it'd be a stop limit entry)
# which freqtrade does not support in live.
if new_rate is not None and new_rate != propose_rate:
propose_rate = price_to_precision(new_rate, price_precision, self.precision_mode)
propose_rate = price_to_precision(
new_rate, price_precision, self.precision_mode_price
)
if direction == "short":
propose_rate = max(propose_rate, row[LOW_IDX])
else:
@ -1109,6 +1112,7 @@ class Backtesting:
amount_precision=precision_amount,
price_precision=precision_price,
precision_mode=self.precision_mode,
precision_mode_price=self.precision_mode_price,
contract_size=contract_size,
orders=[],
)

13
freqtrade/persistence/migrations.py
View File

@ -147,6 +147,9 @@ def migrate_trades_and_orders_table(
price_precision = get_column_def(cols, "price_precision", "null")
precision_mode = get_column_def(cols, "precision_mode", "null")
contract_size = get_column_def(cols, "contract_size", "null")
precision_mode_price = get_column_def(
cols, "precision_mode_price", get_column_def(cols, "precision_mode", "null")
)
# Schema migration necessary
with engine.begin() as connection:
@ -177,7 +180,7 @@ def migrate_trades_and_orders_table(
timeframe, open_trade_value, close_profit_abs,
trading_mode, leverage, liquidation_price, is_short,
interest_rate, funding_fees, funding_fee_running, realized_profit,
amount_precision, price_precision, precision_mode, contract_size,
amount_precision, price_precision, precision_mode, precision_mode_price, contract_size,
max_stake_amount
)
select id, lower(exchange), pair, {base_currency} base_currency,
@ -207,8 +210,8 @@ def migrate_trades_and_orders_table(
{funding_fees} funding_fees, {funding_fee_running} funding_fee_running,
{realized_profit} realized_profit,
{amount_precision} amount_precision, {price_precision} price_precision,
{precision_mode} precision_mode, {contract_size} contract_size,
{max_stake_amount} max_stake_amount
{precision_mode} precision_mode, {precision_mode_price} precision_mode_price,
{contract_size} contract_size, {max_stake_amount} max_stake_amount
from {trade_back_name}
"""
)
@ -348,8 +351,8 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
# if ('orders' not in previous_tables
# or not has_column(cols_orders, 'funding_fee')):
migrating = False
# if not has_column(cols_trades, 'funding_fee_running'):
if not has_column(cols_orders, "ft_order_tag"):
if not has_column(cols_trades, "precision_mode_price"):
# if not has_column(cols_orders, "ft_order_tag"):
migrating = True
logger.info(
f"Running database migration for trades - "

10
freqtrade/persistence/trade_model.py
View File

@ -433,6 +433,7 @@ class LocalTrade:
amount_precision: Optional[float] = None
price_precision: Optional[float] = None
precision_mode: Optional[int] = None
precision_mode_price: Optional[int] = None
contract_size: Optional[float] = None
# Leverage trading properties
@ -730,6 +731,7 @@ class LocalTrade:
"amount_precision": self.amount_precision,
"price_precision": self.price_precision,
"precision_mode": self.precision_mode,
"precision_mode_price": self.precision_mode_price,
"contract_size": self.contract_size,
"has_open_orders": self.has_open_orders,
"orders": orders_json,
@ -810,7 +812,7 @@ class LocalTrade:
stop_loss_norm = price_to_precision(
new_loss,
self.price_precision,
self.precision_mode,
self.precision_mode_price,
rounding_mode=ROUND_DOWN if self.is_short else ROUND_UP,
)
# no stop loss assigned yet
@ -819,7 +821,7 @@ class LocalTrade:
self.initial_stop_loss = price_to_precision(
stop_loss_norm,
self.price_precision,
self.precision_mode,
self.precision_mode_price,
rounding_mode=ROUND_DOWN if self.is_short else ROUND_UP,
)
self.initial_stop_loss_pct = -1 * abs(stoploss)
@ -1562,6 +1564,7 @@ class LocalTrade:
amount_precision=data.get("amount_precision", None),
price_precision=data.get("price_precision", None),
precision_mode=data.get("precision_mode", None),
precision_mode_price=data.get("precision_mode_price", data.get("precision_mode", None)),
contract_size=data.get("contract_size", None),
)
for order in data["orders"]:
@ -1695,6 +1698,9 @@ class Trade(ModelBase, LocalTrade):
)
price_precision: Mapped[Optional[float]] = mapped_column(Float(), nullable=True) # type: ignore
precision_mode: Mapped[Optional[int]] = mapped_column(Integer, nullable=True) # type: ignore
precision_mode_price: Mapped[Optional[int]] = mapped_column( # type: ignore
Integer, nullable=True
)
contract_size: Mapped[Optional[float]] = mapped_column(Float(), nullable=True) # type: ignore
# Leverage trading properties

1
tests/conftest.py
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@ -243,6 +243,7 @@ def patch_exchange(
mocker.patch(f"{EXMS}.id", PropertyMock(return_value=exchange))
mocker.patch(f"{EXMS}.name", PropertyMock(return_value=exchange.title()))
mocker.patch(f"{EXMS}.precisionMode", PropertyMock(return_value=2))
mocker.patch(f"{EXMS}.precision_mode_price", PropertyMock(return_value=2))
# Temporary patch ...
mocker.patch("freqtrade.exchange.bybit.Bybit.cache_leverage_tiers")

1
tests/exchange/test_exchange.py
View File

@ -365,6 +365,7 @@ def test_price_get_one_pip(default_conf, mocker, price, precision_mode, precisio
exchange = get_patched_exchange(mocker, default_conf, exchange="binance")
mocker.patch(f"{EXMS}.markets", markets)
mocker.patch(f"{EXMS}.precisionMode", PropertyMock(return_value=precision_mode))
mocker.patch(f"{EXMS}.precision_mode_price", PropertyMock(return_value=precision_mode))
pair = "ETH/BTC"
assert pytest.approx(exchange.price_get_one_pip(pair, price)) == expected

4
tests/persistence/test_persistence.py
View File

@ -1404,6 +1404,7 @@ def test_to_json(fee):
exchange="binance",
enter_tag=None,
precision_mode=1,
precision_mode_price=1,
amount_precision=8.0,
price_precision=7.0,
contract_size=1,
@ -1473,6 +1474,7 @@ def test_to_json(fee):
"amount_precision": 8.0,
"price_precision": 7.0,
"precision_mode": 1,
"precision_mode_price": 1,
"contract_size": 1,
"orders": [],
"has_open_orders": False,
@ -1493,6 +1495,7 @@ def test_to_json(fee):
enter_tag="buys_signal_001",
exchange="binance",
precision_mode=2,
precision_mode_price=1,
amount_precision=7.0,
price_precision=8.0,
contract_size=1,
@ -1562,6 +1565,7 @@ def test_to_json(fee):
"amount_precision": 7.0,
"price_precision": 8.0,
"precision_mode": 2,
"precision_mode_price": 1,
"contract_size": 1,
"orders": [],
"has_open_orders": False,

1
tests/rpc/test_rpc.py
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@ -96,6 +96,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None:
"amount_precision": 8.0,
"price_precision": 8.0,
"precision_mode": 2,
"precision_mode_price": 2,
"contract_size": 1,
"has_open_orders": False,
"orders": [

1
tests/strategy/test_interface.py
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@ -579,6 +579,7 @@ def test_ft_stoploss_reached(
liquidation_price=liq,
price_precision=4,
precision_mode=2,
precision_mode_price=2,
)
trade.adjust_min_max_rates(trade.open_rate, trade.open_rate)
strategy.trailing_stop = trailing