mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
372 lines
15 KiB
Python
372 lines
15 KiB
Python
# pragma pylint: disable=W0603
|
|
""" Wallet """
|
|
|
|
import logging
|
|
from copy import deepcopy
|
|
from datetime import datetime, timedelta
|
|
from typing import Dict, NamedTuple, Optional
|
|
|
|
from freqtrade.constants import UNLIMITED_STAKE_AMOUNT, Config
|
|
from freqtrade.enums import RunMode, TradingMode
|
|
from freqtrade.exceptions import DependencyException
|
|
from freqtrade.exchange import Exchange
|
|
from freqtrade.misc import safe_value_fallback
|
|
from freqtrade.persistence import LocalTrade, Trade
|
|
from freqtrade.util.datetime_helpers import dt_now
|
|
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
# wallet data structure
|
|
class Wallet(NamedTuple):
|
|
currency: str
|
|
free: float = 0
|
|
used: float = 0
|
|
total: float = 0
|
|
|
|
|
|
class PositionWallet(NamedTuple):
|
|
symbol: str
|
|
position: float = 0
|
|
leverage: float = 0
|
|
collateral: float = 0
|
|
side: str = 'long'
|
|
|
|
|
|
class Wallets:
|
|
|
|
def __init__(self, config: Config, exchange: Exchange, log: bool = True) -> None:
|
|
self._config = config
|
|
self._log = log
|
|
self._exchange = exchange
|
|
self._wallets: Dict[str, Wallet] = {}
|
|
self._positions: Dict[str, PositionWallet] = {}
|
|
self.start_cap = config['dry_run_wallet']
|
|
self._last_wallet_refresh: Optional[datetime] = None
|
|
self.update()
|
|
|
|
def get_free(self, currency: str) -> float:
|
|
balance = self._wallets.get(currency)
|
|
if balance and balance.free:
|
|
return balance.free
|
|
else:
|
|
return 0
|
|
|
|
def get_used(self, currency: str) -> float:
|
|
balance = self._wallets.get(currency)
|
|
if balance and balance.used:
|
|
return balance.used
|
|
else:
|
|
return 0
|
|
|
|
def get_total(self, currency: str) -> float:
|
|
balance = self._wallets.get(currency)
|
|
if balance and balance.total:
|
|
return balance.total
|
|
else:
|
|
return 0
|
|
|
|
def _update_dry(self) -> None:
|
|
"""
|
|
Update from database in dry-run mode
|
|
- Apply apply profits of closed trades on top of stake amount
|
|
- Subtract currently tied up stake_amount in open trades
|
|
- update balances for currencies currently in trades
|
|
"""
|
|
# Recreate _wallets to reset closed trade balances
|
|
_wallets = {}
|
|
_positions = {}
|
|
open_trades = Trade.get_trades_proxy(is_open=True)
|
|
# If not backtesting...
|
|
# TODO: potentially remove the ._log workaround to determine backtest mode.
|
|
if self._log:
|
|
tot_profit = Trade.get_total_closed_profit()
|
|
else:
|
|
tot_profit = LocalTrade.total_profit
|
|
tot_profit += sum(trade.realized_profit for trade in open_trades)
|
|
tot_in_trades = sum(trade.stake_amount for trade in open_trades)
|
|
used_stake = 0.0
|
|
|
|
if self._config.get('trading_mode', 'spot') != TradingMode.FUTURES:
|
|
current_stake = self.start_cap + tot_profit - tot_in_trades
|
|
total_stake = current_stake
|
|
for trade in open_trades:
|
|
curr = self._exchange.get_pair_base_currency(trade.pair)
|
|
_wallets[curr] = Wallet(
|
|
curr,
|
|
trade.amount,
|
|
0,
|
|
trade.amount
|
|
)
|
|
else:
|
|
tot_in_trades = 0
|
|
for position in open_trades:
|
|
# size = self._exchange._contracts_to_amount(position.pair, position['contracts'])
|
|
size = position.amount
|
|
collateral = position.stake_amount
|
|
leverage = position.leverage
|
|
tot_in_trades += collateral
|
|
_positions[position.pair] = PositionWallet(
|
|
position.pair, position=size,
|
|
leverage=leverage,
|
|
collateral=collateral,
|
|
side=position.trade_direction
|
|
)
|
|
current_stake = self.start_cap + tot_profit - tot_in_trades
|
|
used_stake = tot_in_trades
|
|
total_stake = current_stake + tot_in_trades
|
|
|
|
_wallets[self._config['stake_currency']] = Wallet(
|
|
currency=self._config['stake_currency'],
|
|
free=current_stake,
|
|
used=used_stake,
|
|
total=total_stake
|
|
)
|
|
self._wallets = _wallets
|
|
self._positions = _positions
|
|
|
|
def _update_live(self) -> None:
|
|
balances = self._exchange.get_balances()
|
|
|
|
for currency in balances:
|
|
if isinstance(balances[currency], dict):
|
|
self._wallets[currency] = Wallet(
|
|
currency,
|
|
balances[currency].get('free'),
|
|
balances[currency].get('used'),
|
|
balances[currency].get('total')
|
|
)
|
|
# Remove currencies no longer in get_balances output
|
|
for currency in deepcopy(self._wallets):
|
|
if currency not in balances:
|
|
del self._wallets[currency]
|
|
|
|
positions = self._exchange.fetch_positions()
|
|
self._positions = {}
|
|
for position in positions:
|
|
symbol = position['symbol']
|
|
if position['side'] is None or position['collateral'] == 0.0:
|
|
# Position is not open ...
|
|
continue
|
|
size = self._exchange._contracts_to_amount(symbol, position['contracts'])
|
|
collateral = safe_value_fallback(position, 'collateral', 'initialMargin', 0.0)
|
|
leverage = position['leverage']
|
|
self._positions[symbol] = PositionWallet(
|
|
symbol, position=size,
|
|
leverage=leverage,
|
|
collateral=collateral,
|
|
side=position['side']
|
|
)
|
|
|
|
def update(self, require_update: bool = True) -> None:
|
|
"""
|
|
Updates wallets from the configured version.
|
|
By default, updates from the exchange.
|
|
Update-skipping should only be used for user-invoked /balance calls, since
|
|
for trading operations, the latest balance is needed.
|
|
:param require_update: Allow skipping an update if balances were recently refreshed
|
|
"""
|
|
now = dt_now()
|
|
if (
|
|
require_update
|
|
or self._last_wallet_refresh is None
|
|
or (self._last_wallet_refresh + timedelta(seconds=3600) < now)
|
|
):
|
|
if (not self._config['dry_run'] or self._config.get('runmode') == RunMode.LIVE):
|
|
self._update_live()
|
|
else:
|
|
self._update_dry()
|
|
if self._log:
|
|
logger.info('Wallets synced.')
|
|
self._last_wallet_refresh = dt_now()
|
|
|
|
def get_all_balances(self) -> Dict[str, Wallet]:
|
|
return self._wallets
|
|
|
|
def get_all_positions(self) -> Dict[str, PositionWallet]:
|
|
return self._positions
|
|
|
|
def _check_exit_amount(self, trade: Trade) -> bool:
|
|
if trade.trading_mode != TradingMode.FUTURES:
|
|
# Slightly higher offset than in safe_exit_amount.
|
|
wallet_amount: float = self.get_total(trade.safe_base_currency) * (2 - 0.981)
|
|
else:
|
|
# wallet_amount: float = self.wallets.get_free(trade.safe_base_currency)
|
|
position = self._positions.get(trade.pair)
|
|
if position is None:
|
|
# We don't own anything :O
|
|
return False
|
|
wallet_amount = position.position
|
|
|
|
if wallet_amount >= trade.amount:
|
|
return True
|
|
return False
|
|
|
|
def check_exit_amount(self, trade: Trade) -> bool:
|
|
"""
|
|
Checks if the exit amount is available in the wallet.
|
|
:param trade: Trade to check
|
|
:return: True if the exit amount is available, False otherwise
|
|
"""
|
|
if not self._check_exit_amount(trade):
|
|
# Update wallets just to make sure
|
|
self.update()
|
|
return self._check_exit_amount(trade)
|
|
|
|
return True
|
|
|
|
def get_starting_balance(self) -> float:
|
|
"""
|
|
Retrieves starting balance - based on either available capital,
|
|
or by using current balance subtracting
|
|
"""
|
|
if "available_capital" in self._config:
|
|
return self._config['available_capital']
|
|
else:
|
|
tot_profit = Trade.get_total_closed_profit()
|
|
open_stakes = Trade.total_open_trades_stakes()
|
|
available_balance = self.get_free(self._config['stake_currency'])
|
|
return available_balance - tot_profit + open_stakes
|
|
|
|
def get_total_stake_amount(self):
|
|
"""
|
|
Return the total currently available balance in stake currency, including tied up stake and
|
|
respecting tradable_balance_ratio.
|
|
Calculated as
|
|
(<open_trade stakes> + free amount) * tradable_balance_ratio
|
|
"""
|
|
val_tied_up = Trade.total_open_trades_stakes()
|
|
if "available_capital" in self._config:
|
|
starting_balance = self._config['available_capital']
|
|
tot_profit = Trade.get_total_closed_profit()
|
|
available_amount = starting_balance + tot_profit
|
|
|
|
else:
|
|
# Ensure <tradable_balance_ratio>% is used from the overall balance
|
|
# Otherwise we'd risk lowering stakes with each open trade.
|
|
# (tied up + current free) * ratio) - tied up
|
|
available_amount = ((val_tied_up + self.get_free(self._config['stake_currency'])) *
|
|
self._config['tradable_balance_ratio'])
|
|
return available_amount
|
|
|
|
def get_available_stake_amount(self) -> float:
|
|
"""
|
|
Return the total currently available balance in stake currency,
|
|
respecting tradable_balance_ratio.
|
|
Calculated as
|
|
(<open_trade stakes> + free amount) * tradable_balance_ratio - <open_trade stakes>
|
|
"""
|
|
|
|
free = self.get_free(self._config['stake_currency'])
|
|
return min(self.get_total_stake_amount() - Trade.total_open_trades_stakes(), free)
|
|
|
|
def _calculate_unlimited_stake_amount(self, available_amount: float,
|
|
val_tied_up: float) -> float:
|
|
"""
|
|
Calculate stake amount for "unlimited" stake amount
|
|
:return: 0 if max number of trades reached, else stake_amount to use.
|
|
"""
|
|
if self._config['max_open_trades'] == 0:
|
|
return 0
|
|
|
|
possible_stake = (available_amount + val_tied_up) / self._config['max_open_trades']
|
|
# Theoretical amount can be above available amount - therefore limit to available amount!
|
|
return min(possible_stake, available_amount)
|
|
|
|
def _check_available_stake_amount(self, stake_amount: float, available_amount: float) -> float:
|
|
"""
|
|
Check if stake amount can be fulfilled with the available balance
|
|
for the stake currency
|
|
:return: float: Stake amount
|
|
:raise: DependencyException if balance is lower than stake-amount
|
|
"""
|
|
|
|
if self._config['amend_last_stake_amount']:
|
|
# Remaining amount needs to be at least stake_amount * last_stake_amount_min_ratio
|
|
# Otherwise the remaining amount is too low to trade.
|
|
if available_amount > (stake_amount * self._config['last_stake_amount_min_ratio']):
|
|
stake_amount = min(stake_amount, available_amount)
|
|
else:
|
|
stake_amount = 0
|
|
|
|
if available_amount < stake_amount:
|
|
raise DependencyException(
|
|
f"Available balance ({available_amount} {self._config['stake_currency']}) is "
|
|
f"lower than stake amount ({stake_amount} {self._config['stake_currency']})"
|
|
)
|
|
|
|
return stake_amount
|
|
|
|
def get_trade_stake_amount(self, pair: str, edge=None, update: bool = True) -> float:
|
|
"""
|
|
Calculate stake amount for the trade
|
|
:return: float: Stake amount
|
|
:raise: DependencyException if the available stake amount is too low
|
|
"""
|
|
stake_amount: float
|
|
# Ensure wallets are uptodate.
|
|
if update:
|
|
self.update()
|
|
val_tied_up = Trade.total_open_trades_stakes()
|
|
available_amount = self.get_available_stake_amount()
|
|
|
|
if edge:
|
|
stake_amount = edge.stake_amount(
|
|
pair,
|
|
self.get_free(self._config['stake_currency']),
|
|
self.get_total(self._config['stake_currency']),
|
|
val_tied_up
|
|
)
|
|
else:
|
|
stake_amount = self._config['stake_amount']
|
|
if stake_amount == UNLIMITED_STAKE_AMOUNT:
|
|
stake_amount = self._calculate_unlimited_stake_amount(
|
|
available_amount, val_tied_up)
|
|
|
|
return self._check_available_stake_amount(stake_amount, available_amount)
|
|
|
|
def validate_stake_amount(self, pair: str, stake_amount: Optional[float],
|
|
min_stake_amount: Optional[float], max_stake_amount: float,
|
|
trade_amount: Optional[float]):
|
|
if not stake_amount:
|
|
logger.debug(f"Stake amount is {stake_amount}, ignoring possible trade for {pair}.")
|
|
return 0
|
|
|
|
max_allowed_stake = min(max_stake_amount, self.get_available_stake_amount())
|
|
if trade_amount:
|
|
# if in a trade, then the resulting trade size cannot go beyond the max stake
|
|
# Otherwise we could no longer exit.
|
|
max_allowed_stake = min(max_allowed_stake, max_stake_amount - trade_amount)
|
|
|
|
if min_stake_amount is not None and min_stake_amount > max_allowed_stake:
|
|
if self._log:
|
|
logger.warning("Minimum stake amount > available balance. "
|
|
f"{min_stake_amount} > {max_allowed_stake}")
|
|
return 0
|
|
if min_stake_amount is not None and stake_amount < min_stake_amount:
|
|
if self._log:
|
|
logger.info(
|
|
f"Stake amount for pair {pair} is too small "
|
|
f"({stake_amount} < {min_stake_amount}), adjusting to {min_stake_amount}."
|
|
)
|
|
if stake_amount * 1.3 < min_stake_amount:
|
|
# Top-cap stake-amount adjustments to +30%.
|
|
if self._log:
|
|
logger.info(
|
|
f"Adjusted stake amount for pair {pair} is more than 30% bigger than "
|
|
f"the desired stake amount of ({stake_amount:.8f} * 1.3 = "
|
|
f"{stake_amount * 1.3:.8f}) < {min_stake_amount}), ignoring trade."
|
|
)
|
|
return 0
|
|
stake_amount = min_stake_amount
|
|
|
|
if stake_amount > max_allowed_stake:
|
|
if self._log:
|
|
logger.info(
|
|
f"Stake amount for pair {pair} is too big "
|
|
f"({stake_amount} > {max_allowed_stake}), adjusting to {max_allowed_stake}."
|
|
)
|
|
stake_amount = max_allowed_stake
|
|
return stake_amount
|