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202 lines
8.1 KiB
Markdown
202 lines
8.1 KiB
Markdown
# Advanced Strategies
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This page explains some advanced concepts available for strategies.
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If you're just getting started, please be familiar with the methods described in the [Strategy Customization](strategy-customization.md) documentation and with the [Freqtrade basics](bot-basics.md) first.
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[Freqtrade basics](bot-basics.md) describes in which sequence each method described below is called, which can be helpful to understand which method to use for your custom needs.
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!!! Note
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All callback methods described below should only be implemented in a strategy if they are actually used.
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## Custom order timeout rules
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Simple, timebased order-timeouts can be configured either via strategy or in the configuration in the `unfilledtimeout` section.
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However, freqtrade also offers a custom callback for both ordertypes, which allows you to decide based on custom criteria if a order did time out or not.
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!!! Note
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Unfilled order timeouts are not relevant during backtesting or hyperopt, and are only relevant during real (live) trading. Therefore these methods are only called in these circumstances.
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### Custom order timeout example
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A simple example, which applies different unfilled-timeouts depending on the price of the asset can be seen below.
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It applies a tight timeout for higher priced assets, while allowing more time to fill on cheap coins.
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The function must return either `True` (cancel order) or `False` (keep order alive).
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``` python
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from datetime import datetime, timedelta
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from freqtrade.persistence import Trade
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class Awesomestrategy(IStrategy):
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# ... populate_* methods
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# Set unfilledtimeout to 25 hours, since our maximum timeout from below is 24 hours.
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unfilledtimeout = {
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'buy': 60 * 25,
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'sell': 60 * 25
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}
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def check_buy_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
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if trade.open_rate > 100 and trade.open_date < datetime.utcnow() - timedelta(minutes=5):
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return True
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elif trade.open_rate > 10 and trade.open_date < datetime.utcnow() - timedelta(minutes=3):
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return True
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elif trade.open_rate < 1 and trade.open_date < datetime.utcnow() - timedelta(hours=24):
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return True
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return False
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def check_sell_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
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if trade.open_rate > 100 and trade.open_date < datetime.utcnow() - timedelta(minutes=5):
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return True
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elif trade.open_rate > 10 and trade.open_date < datetime.utcnow() - timedelta(minutes=3):
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return True
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elif trade.open_rate < 1 and trade.open_date < datetime.utcnow() - timedelta(hours=24):
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return True
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return False
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```
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!!! Note
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For the above example, `unfilledtimeout` must be set to something bigger than 24h, otherwise that type of timeout will apply first.
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### Custom order timeout example (using additional data)
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``` python
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from datetime import datetime
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from freqtrade.persistence import Trade
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class Awesomestrategy(IStrategy):
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# ... populate_* methods
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# Set unfilledtimeout to 25 hours, since our maximum timeout from below is 24 hours.
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unfilledtimeout = {
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'buy': 60 * 25,
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'sell': 60 * 25
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}
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def check_buy_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
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ob = self.dp.orderbook(pair, 1)
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current_price = ob['bids'][0][0]
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# Cancel buy order if price is more than 2% above the order.
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if current_price > order['price'] * 1.02:
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return True
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return False
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def check_sell_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
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ob = self.dp.orderbook(pair, 1)
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current_price = ob['asks'][0][0]
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# Cancel sell order if price is more than 2% below the order.
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if current_price < order['price'] * 0.98:
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return True
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return False
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```
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## Bot loop start callback
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A simple callback which is called once at the start of every bot throttling iteration.
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This can be used to perform calculations which are pair independent (apply to all pairs), loading of external data, etc.
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``` python
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import requests
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class Awesomestrategy(IStrategy):
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# ... populate_* methods
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def bot_loop_start(self, **kwargs) -> None:
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"""
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Called at the start of the bot iteration (one loop).
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Might be used to perform pair-independent tasks
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(e.g. gather some remote resource for comparison)
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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"""
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if self.config['runmode'].value in ('live', 'dry_run'):
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# Assign this to the class by using self.*
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# can then be used by populate_* methods
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self.remote_data = requests.get('https://some_remote_source.example.com')
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```
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## Bot order confirmation
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### Trade entry (buy order) confirmation
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`confirm_trade_entry()` can be used to abort a trade entry at the latest second (maybe because the price is not what we expect).
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``` python
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class Awesomestrategy(IStrategy):
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# ... populate_* methods
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def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
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time_in_force: str, **kwargs) -> bool:
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"""
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Called right before placing a buy order.
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Timing for this function is critical, so avoid doing heavy computations or
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network requests in this method.
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For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
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When not implemented by a strategy, returns True (always confirming).
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:param pair: Pair that's about to be bought.
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:param order_type: Order type (as configured in order_types). usually limit or market.
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:param amount: Amount in target (quote) currency that's going to be traded.
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:param rate: Rate that's going to be used when using limit orders
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:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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:return bool: When True is returned, then the buy-order is placed on the exchange.
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False aborts the process
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"""
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return True
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```
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### Trade exit (sell order) confirmation
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`confirm_trade_exit()` can be used to abort a trade exit (sell) at the latest second (maybe because the price is not what we expect).
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``` python
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from freqtrade.persistence import Trade
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class Awesomestrategy(IStrategy):
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# ... populate_* methods
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def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float,
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rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool:
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"""
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Called right before placing a regular sell order.
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Timing for this function is critical, so avoid doing heavy computations or
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network requests in this method.
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For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
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When not implemented by a strategy, returns True (always confirming).
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:param pair: Pair that's about to be sold.
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:param order_type: Order type (as configured in order_types). usually limit or market.
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:param amount: Amount in quote currency.
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:param rate: Rate that's going to be used when using limit orders
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:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
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:param sell_reason: Sell reason.
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Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss',
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'sell_signal', 'force_sell', 'emergency_sell']
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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:return bool: When True is returned, then the sell-order is placed on the exchange.
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False aborts the process
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"""
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if sell_reason == 'force_sell' and trade.calc_profit_ratio(rate) < 0:
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# Reject force-sells with negative profit
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# This is just a sample, please adjust to your needs
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# (this does not necessarily make sense, assuming you know when you're force-selling)
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return False
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return True
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```
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