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

edge real position sizing drafted

Browse Source
This commit is contained in:
misagh 2018-11-26 21:06:32 +01:00
parent 2135976cb8
commit f5a70750f0
2 changed files with 16 additions and 4 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

16
freqtrade/edge/__init__.py
View File

@ -9,6 +9,7 @@ import utils_find_1st as utf1st
from pandas import DataFrame
import freqtrade.optimize as optimize
from freqtrade import constants, OperationalException
from freqtrade.arguments import Arguments
from freqtrade.arguments import TimeRange
from freqtrade.strategy.interface import SellType
@ -53,7 +54,15 @@ class Edge():
self.edge_config = self.config.get('edge', {})
self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
self._total_capital: float = self.config['stake_amount']
# checking max_open_trades. it should be -1 as with Edge
# the number of trades is determined by position size
if self.config['max_open_trades'] != -1:
logger.critical('max_open_trades should be -1 in config !')
if self.config['stake_amount'] != constants.UNLIMITED_STAKE_AMOUNT:
raise OperationalException('Edge works only with unlimited stake amount')
self._capital_percentage: float = self.edge_config.get('capital_available_percentage')
self._allowed_risk: float = self.edge_config.get('allowed_risk')
self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
self._last_updated: int = 0 # Timestamp of pairs last updated time
@ -150,9 +159,10 @@ class Edge():
return True
def stake_amount(self, pair: str) -> float:
def stake_amount(self, pair: str, capital: float) -> float:
stoploss = self._cached_pairs[pair].stoploss
allowed_capital_at_risk = round(self._total_capital * self._allowed_risk, 5)
available_capital = capital * self._capital_percentage
allowed_capital_at_risk = round(available_capital * self._allowed_risk, 5)
position_size = abs(round((allowed_capital_at_risk / stoploss), 5))
return position_size

4
freqtrade/freqtradebot.py
View File

@ -333,7 +333,9 @@ class FreqtradeBot(object):
:return: float: Stake Amount
"""
if self.edge:
stake_amount = self.edge.stake_amount(pair)
stake_amount = self.edge.stake_amount(
pair, self.wallets.get_free(self.config['stake_currency'])
)
else:
stake_amount = self.config['stake_amount']