mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 18:23:55 +00:00
505 lines
20 KiB
Python
505 lines
20 KiB
Python
"""
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This module contains the class to persist trades into SQLite
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"""
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import logging
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from datetime import datetime
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from decimal import Decimal
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from typing import Any, Dict, List, Optional
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import arrow
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from sqlalchemy import (Boolean, Column, DateTime, Float, Integer, String,
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create_engine, desc, func, inspect)
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from sqlalchemy.exc import NoSuchModuleError
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from sqlalchemy.ext.declarative import declarative_base
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from sqlalchemy.orm import Query
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from sqlalchemy.orm.scoping import scoped_session
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from sqlalchemy.orm.session import sessionmaker
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from sqlalchemy.pool import StaticPool
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from freqtrade.exceptions import OperationalException
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logger = logging.getLogger(__name__)
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_DECL_BASE: Any = declarative_base()
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_SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database-urls'
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def init(db_url: str, clean_open_orders: bool = False) -> None:
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"""
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Initializes this module with the given config,
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registers all known command handlers
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and starts polling for message updates
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:param db_url: Database to use
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:param clean_open_orders: Remove open orders from the database.
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Useful for dry-run or if all orders have been reset on the exchange.
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:return: None
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"""
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kwargs = {}
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# Take care of thread ownership if in-memory db
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if db_url == 'sqlite://':
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kwargs.update({
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'connect_args': {'check_same_thread': False},
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'poolclass': StaticPool,
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'echo': False,
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})
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try:
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engine = create_engine(db_url, **kwargs)
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except NoSuchModuleError:
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raise OperationalException(f"Given value for db_url: '{db_url}' "
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f"is no valid database URL! (See {_SQL_DOCS_URL})")
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# https://docs.sqlalchemy.org/en/13/orm/contextual.html#thread-local-scope
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# Scoped sessions proxy requests to the appropriate thread-local session.
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# We should use the scoped_session object - not a seperately initialized version
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Trade.session = scoped_session(sessionmaker(bind=engine, autoflush=True, autocommit=True))
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Trade.query = Trade.session.query_property()
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_DECL_BASE.metadata.create_all(engine)
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check_migrate(engine)
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# Clean dry_run DB if the db is not in-memory
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if clean_open_orders and db_url != 'sqlite://':
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clean_dry_run_db()
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def has_column(columns: List, searchname: str) -> bool:
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return len(list(filter(lambda x: x["name"] == searchname, columns))) == 1
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def get_column_def(columns: List, column: str, default: str) -> str:
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return default if not has_column(columns, column) else column
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def check_migrate(engine) -> None:
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"""
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Checks if migration is necessary and migrates if necessary
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"""
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inspector = inspect(engine)
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cols = inspector.get_columns('trades')
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tabs = inspector.get_table_names()
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table_back_name = 'trades_bak'
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for i, table_back_name in enumerate(tabs):
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table_back_name = f'trades_bak{i}'
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logger.debug(f'trying {table_back_name}')
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# Check for latest column
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if not has_column(cols, 'open_trade_price'):
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logger.info(f'Running database migration - backup available as {table_back_name}')
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fee_open = get_column_def(cols, 'fee_open', 'fee')
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fee_close = get_column_def(cols, 'fee_close', 'fee')
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open_rate_requested = get_column_def(cols, 'open_rate_requested', 'null')
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close_rate_requested = get_column_def(cols, 'close_rate_requested', 'null')
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stop_loss = get_column_def(cols, 'stop_loss', '0.0')
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stop_loss_pct = get_column_def(cols, 'stop_loss_pct', 'null')
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initial_stop_loss = get_column_def(cols, 'initial_stop_loss', '0.0')
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initial_stop_loss_pct = get_column_def(cols, 'initial_stop_loss_pct', 'null')
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stoploss_order_id = get_column_def(cols, 'stoploss_order_id', 'null')
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stoploss_last_update = get_column_def(cols, 'stoploss_last_update', 'null')
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max_rate = get_column_def(cols, 'max_rate', '0.0')
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min_rate = get_column_def(cols, 'min_rate', 'null')
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sell_reason = get_column_def(cols, 'sell_reason', 'null')
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strategy = get_column_def(cols, 'strategy', 'null')
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ticker_interval = get_column_def(cols, 'ticker_interval', 'null')
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open_trade_price = get_column_def(cols, 'open_trade_price',
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f'amount * open_rate * (1 + {fee_open})')
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# Schema migration necessary
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engine.execute(f"alter table trades rename to {table_back_name}")
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# drop indexes on backup table
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for index in inspector.get_indexes(table_back_name):
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engine.execute(f"drop index {index['name']}")
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# let SQLAlchemy create the schema as required
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_DECL_BASE.metadata.create_all(engine)
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# Copy data back - following the correct schema
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engine.execute(f"""insert into trades
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(id, exchange, pair, is_open, fee_open, fee_close, open_rate,
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open_rate_requested, close_rate, close_rate_requested, close_profit,
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stake_amount, amount, open_date, close_date, open_order_id,
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stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct,
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stoploss_order_id, stoploss_last_update,
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max_rate, min_rate, sell_reason, strategy,
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ticker_interval, open_trade_price
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)
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select id, lower(exchange),
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case
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when instr(pair, '_') != 0 then
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substr(pair, instr(pair, '_') + 1) || '/' ||
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substr(pair, 1, instr(pair, '_') - 1)
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else pair
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end
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pair,
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is_open, {fee_open} fee_open, {fee_close} fee_close,
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open_rate, {open_rate_requested} open_rate_requested, close_rate,
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{close_rate_requested} close_rate_requested, close_profit,
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stake_amount, amount, open_date, close_date, open_order_id,
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{stop_loss} stop_loss, {stop_loss_pct} stop_loss_pct,
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{initial_stop_loss} initial_stop_loss,
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{initial_stop_loss_pct} initial_stop_loss_pct,
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{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
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{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
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{strategy} strategy, {ticker_interval} ticker_interval,
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{open_trade_price} open_trade_price
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from {table_back_name}
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""")
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# Reread columns - the above recreated the table!
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inspector = inspect(engine)
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cols = inspector.get_columns('trades')
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def cleanup() -> None:
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"""
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Flushes all pending operations to disk.
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:return: None
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"""
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Trade.session.flush()
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def clean_dry_run_db() -> None:
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"""
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Remove open_order_id from a Dry_run DB
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:return: None
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"""
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for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all():
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# Check we are updating only a dry_run order not a prod one
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if 'dry_run' in trade.open_order_id:
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trade.open_order_id = None
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class Trade(_DECL_BASE):
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"""
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Class used to define a trade structure
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"""
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__tablename__ = 'trades'
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id = Column(Integer, primary_key=True)
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exchange = Column(String, nullable=False)
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pair = Column(String, nullable=False, index=True)
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is_open = Column(Boolean, nullable=False, default=True, index=True)
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fee_open = Column(Float, nullable=False, default=0.0)
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fee_close = Column(Float, nullable=False, default=0.0)
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open_rate = Column(Float)
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open_rate_requested = Column(Float)
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# open_trade_price - calcuated via _calc_open_trade_price
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open_trade_price = Column(Float)
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close_rate = Column(Float)
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close_rate_requested = Column(Float)
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close_profit = Column(Float)
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stake_amount = Column(Float, nullable=False)
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amount = Column(Float)
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open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
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close_date = Column(DateTime)
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open_order_id = Column(String)
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# absolute value of the stop loss
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stop_loss = Column(Float, nullable=True, default=0.0)
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# percentage value of the stop loss
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stop_loss_pct = Column(Float, nullable=True)
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# absolute value of the initial stop loss
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initial_stop_loss = Column(Float, nullable=True, default=0.0)
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# percentage value of the initial stop loss
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initial_stop_loss_pct = Column(Float, nullable=True)
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# stoploss order id which is on exchange
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stoploss_order_id = Column(String, nullable=True, index=True)
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# last update time of the stoploss order on exchange
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stoploss_last_update = Column(DateTime, nullable=True)
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# absolute value of the highest reached price
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max_rate = Column(Float, nullable=True, default=0.0)
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# Lowest price reached
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min_rate = Column(Float, nullable=True)
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sell_reason = Column(String, nullable=True)
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strategy = Column(String, nullable=True)
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ticker_interval = Column(Integer, nullable=True)
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def __init__(self, **kwargs):
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super().__init__(**kwargs)
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self.recalc_open_trade_price()
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def __repr__(self):
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open_since = self.open_date.strftime('%Y-%m-%d %H:%M:%S') if self.is_open else 'closed'
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return (f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
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f'open_rate={self.open_rate:.8f}, open_since={open_since})')
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def to_json(self) -> Dict[str, Any]:
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return {
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'trade_id': self.id,
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'pair': self.pair,
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'open_date_hum': arrow.get(self.open_date).humanize(),
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'open_date': self.open_date.strftime("%Y-%m-%d %H:%M:%S"),
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'close_date_hum': (arrow.get(self.close_date).humanize()
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if self.close_date else None),
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'close_date': (self.close_date.strftime("%Y-%m-%d %H:%M:%S")
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if self.close_date else None),
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'open_rate': self.open_rate,
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'close_rate': self.close_rate,
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'amount': round(self.amount, 8),
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'stake_amount': round(self.stake_amount, 8),
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'stop_loss': self.stop_loss,
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'stop_loss_pct': (self.stop_loss_pct * 100) if self.stop_loss_pct else None,
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'initial_stop_loss': self.initial_stop_loss,
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'initial_stop_loss_pct': (self.initial_stop_loss_pct * 100
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if self.initial_stop_loss_pct else None),
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}
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def adjust_min_max_rates(self, current_price: float) -> None:
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"""
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Adjust the max_rate and min_rate.
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"""
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self.max_rate = max(current_price, self.max_rate or self.open_rate)
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self.min_rate = min(current_price, self.min_rate or self.open_rate)
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def adjust_stop_loss(self, current_price: float, stoploss: float,
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initial: bool = False) -> None:
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"""
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This adjusts the stop loss to it's most recently observed setting
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:param current_price: Current rate the asset is traded
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:param stoploss: Stoploss as factor (sample -0.05 -> -5% below current price).
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:param initial: Called to initiate stop_loss.
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Skips everything if self.stop_loss is already set.
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"""
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if initial and not (self.stop_loss is None or self.stop_loss == 0):
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# Don't modify if called with initial and nothing to do
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return
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new_loss = float(current_price * (1 - abs(stoploss)))
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# no stop loss assigned yet
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if not self.stop_loss:
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logger.debug(f"{self.pair} - Assigning new stoploss...")
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self.stop_loss = new_loss
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self.stop_loss_pct = -1 * abs(stoploss)
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self.initial_stop_loss = new_loss
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self.initial_stop_loss_pct = -1 * abs(stoploss)
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self.stoploss_last_update = datetime.utcnow()
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# evaluate if the stop loss needs to be updated
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else:
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if new_loss > self.stop_loss: # stop losses only walk up, never down!
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logger.debug(f"{self.pair} - Adjusting stoploss...")
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self.stop_loss = new_loss
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self.stop_loss_pct = -1 * abs(stoploss)
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self.stoploss_last_update = datetime.utcnow()
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else:
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logger.debug(f"{self.pair} - Keeping current stoploss...")
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logger.debug(
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f"{self.pair} - Stoploss adjusted. current_price={current_price:.8f}, "
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f"open_rate={self.open_rate:.8f}, max_rate={self.max_rate:.8f}, "
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f"initial_stop_loss={self.initial_stop_loss:.8f}, "
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f"stop_loss={self.stop_loss:.8f}. "
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f"Trailing stoploss saved us: "
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f"{float(self.stop_loss) - float(self.initial_stop_loss):.8f}.")
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def update(self, order: Dict) -> None:
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"""
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Updates this entity with amount and actual open/close rates.
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:param order: order retrieved by exchange.get_order()
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:return: None
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"""
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order_type = order['type']
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# Ignore open and cancelled orders
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if order['status'] == 'open' or order['price'] is None:
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return
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logger.info('Updating trade (id=%s) ...', self.id)
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if order_type in ('market', 'limit') and order['side'] == 'buy':
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# Update open rate and actual amount
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self.open_rate = Decimal(order['price'])
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self.amount = Decimal(order['amount'])
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self.recalc_open_trade_price()
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logger.info('%s_BUY has been fulfilled for %s.', order_type.upper(), self)
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self.open_order_id = None
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elif order_type in ('market', 'limit') and order['side'] == 'sell':
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self.close(order['price'])
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logger.info('%s_SELL has been fulfilled for %s.', order_type.upper(), self)
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elif order_type in ('stop_loss_limit', 'stop-loss'):
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self.stoploss_order_id = None
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self.close_rate_requested = self.stop_loss
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logger.info('%s is hit for %s.', order_type.upper(), self)
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self.close(order['average'])
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else:
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raise ValueError(f'Unknown order type: {order_type}')
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cleanup()
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def close(self, rate: float) -> None:
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"""
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Sets close_rate to the given rate, calculates total profit
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and marks trade as closed
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"""
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self.close_rate = Decimal(rate)
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self.close_profit = self.calc_profit_ratio()
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self.close_date = datetime.utcnow()
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self.is_open = False
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self.open_order_id = None
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logger.info(
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'Marking %s as closed as the trade is fulfilled and found no open orders for it.',
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self
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)
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def _calc_open_trade_price(self) -> float:
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"""
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Calculate the open_rate including open_fee.
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:return: Price in of the open trade incl. Fees
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"""
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buy_trade = Decimal(self.amount) * Decimal(self.open_rate)
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fees = buy_trade * Decimal(self.fee_open)
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return float(buy_trade + fees)
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def recalc_open_trade_price(self) -> None:
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"""
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Recalculate open_trade_price.
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Must be called whenever open_rate or fee_open is changed.
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"""
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self.open_trade_price = self._calc_open_trade_price()
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def calc_close_trade_price(self, rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the close_rate including fee
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:param fee: fee to use on the close rate (optional).
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If rate is not set self.fee will be used
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:param rate: rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:return: Price in BTC of the open trade
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"""
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if rate is None and not self.close_rate:
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return 0.0
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sell_trade = Decimal(self.amount) * Decimal(rate or self.close_rate)
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fees = sell_trade * Decimal(fee or self.fee_close)
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return float(sell_trade - fees)
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def calc_profit(self, rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculate the absolute profit in stake currency between Close and Open trade
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:param fee: fee to use on the close rate (optional).
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If rate is not set self.fee will be used
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:param rate: close rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:return: profit in stake currency as float
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"""
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close_trade_price = self.calc_close_trade_price(
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rate=(rate or self.close_rate),
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fee=(fee or self.fee_close)
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)
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profit = close_trade_price - self.open_trade_price
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return float(f"{profit:.8f}")
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def calc_profit_ratio(self, rate: Optional[float] = None,
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fee: Optional[float] = None) -> float:
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"""
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Calculates the profit as ratio (including fee).
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:param rate: rate to compare with (optional).
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If rate is not set self.close_rate will be used
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:param fee: fee to use on the close rate (optional).
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:return: profit ratio as float
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"""
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close_trade_price = self.calc_close_trade_price(
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rate=(rate or self.close_rate),
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fee=(fee or self.fee_close)
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)
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profit_percent = (close_trade_price / self.open_trade_price) - 1
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return float(f"{profit_percent:.8f}")
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@staticmethod
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def get_trades(trade_filter=None) -> Query:
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"""
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Helper function to query Trades using filters.
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:param trade_filter: Optional filter to apply to trades
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Can be either a Filter object, or a List of filters
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e.g. `(trade_filter=[Trade.id == trade_id, Trade.is_open.is_(True),])`
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e.g. `(trade_filter=Trade.id == trade_id)`
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:return: unsorted query object
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"""
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if trade_filter is not None:
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if not isinstance(trade_filter, list):
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trade_filter = [trade_filter]
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return Trade.query.filter(*trade_filter)
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else:
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return Trade.query
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@staticmethod
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def get_open_trades() -> List[Any]:
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"""
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Query trades from persistence layer
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"""
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return Trade.get_trades(Trade.is_open.is_(True)).all()
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@staticmethod
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def get_open_order_trades():
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"""
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Returns all open trades
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"""
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return Trade.get_trades(Trade.open_order_id.isnot(None)).all()
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@staticmethod
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def total_open_trades_stakes() -> float:
|
|
"""
|
|
Calculates total invested amount in open trades
|
|
in stake currency
|
|
"""
|
|
total_open_stake_amount = Trade.session.query(func.sum(Trade.stake_amount))\
|
|
.filter(Trade.is_open.is_(True))\
|
|
.scalar()
|
|
return total_open_stake_amount or 0
|
|
|
|
@staticmethod
|
|
def get_overall_performance() -> List[Dict[str, Any]]:
|
|
"""
|
|
Returns List of dicts containing all Trades, including profit and trade count
|
|
"""
|
|
pair_rates = Trade.session.query(
|
|
Trade.pair,
|
|
func.sum(Trade.close_profit).label('profit_sum'),
|
|
func.count(Trade.pair).label('count')
|
|
).filter(Trade.is_open.is_(False))\
|
|
.group_by(Trade.pair) \
|
|
.order_by(desc('profit_sum')) \
|
|
.all()
|
|
return [
|
|
{
|
|
'pair': pair,
|
|
'profit': rate,
|
|
'count': count
|
|
}
|
|
for pair, rate, count in pair_rates
|
|
]
|
|
|
|
@staticmethod
|
|
def get_best_pair():
|
|
"""
|
|
Get best pair with closed trade.
|
|
"""
|
|
best_pair = Trade.session.query(
|
|
Trade.pair, func.sum(Trade.close_profit).label('profit_sum')
|
|
).filter(Trade.is_open.is_(False)) \
|
|
.group_by(Trade.pair) \
|
|
.order_by(desc('profit_sum')).first()
|
|
return best_pair
|
|
|
|
@staticmethod
|
|
def stoploss_reinitialization(desired_stoploss):
|
|
"""
|
|
Adjust initial Stoploss to desired stoploss for all open trades.
|
|
"""
|
|
for trade in Trade.get_open_trades():
|
|
logger.info("Found open trade: %s", trade)
|
|
|
|
# skip case if trailing-stop changed the stoploss already.
|
|
if (trade.stop_loss == trade.initial_stop_loss
|
|
and trade.initial_stop_loss_pct != desired_stoploss):
|
|
# Stoploss value got changed
|
|
|
|
logger.info(f"Stoploss for {trade} needs adjustment...")
|
|
# Force reset of stoploss
|
|
trade.stop_loss = None
|
|
trade.adjust_stop_loss(trade.open_rate, desired_stoploss)
|
|
logger.info(f"New stoploss: {trade.stop_loss}.")
|