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[DailyTrading] fix max ratio #1475

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Merged
GuillaumeDSM merged 1 commit into from
Apr 6, 2025
Merged

[DailyTrading] fix max ratio #1475

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147 changes: 51 additions & 96 deletions Trading/Mode/daily_trading_mode/daily_trading.py
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Original file line number Diff line number Diff line change
Expand Up @@ -313,95 +313,50 @@ def _get_stop_price_from_risk(self, is_long):
factor = max_percent - risk_difference if is_long else min_percent + risk_difference
return trading_modes.check_factor(min_percent, max_percent, factor)

"""
Starting point : self.QUANTITY_MIN_PERCENT
abs(eval_note) --> confirmation level --> high : sell/buy more quantity
trader.risk --> high risk : sell / buy more quantity
abs(eval_note) + weighted_risk --> result between 0 and 1 + self.QUANTITY_RISK_WEIGHT --> self.MAX_SUM_RESULT
self.QUANTITY_ATTENUATION --> try to contains the result between self.QUANTITY_MIN_PERCENT
and self.QUANTITY_MAX_PERCENT
"""

async def _get_buy_limit_quantity_from_risk(self, ctx, eval_note, quantity, quote, increasing_position):
async def _get_limit_quantity_from_risk(self, ctx, eval_note, max_quantity, base, selling, increasing_position):
order_side = trading_enums.TradeOrderSide.SELL if selling else trading_enums.TradeOrderSide.BUY
# check all in orders
if increasing_position and self.BUY_WITH_MAXIMUM_SIZE_ORDERS:
return quantity
if increasing_position and (
(selling and self.SELL_WITH_MAXIMUM_SIZE_ORDERS) or (not selling and self.BUY_WITH_MAXIMUM_SIZE_ORDERS)
):
return max_quantity
# check configured quantity
max_amount_from_ratio = self._get_max_amount_from_max_ratio(
self.MAX_CURRENCY_RATIO, max_quantity, base, self.QUANTITY_MAX_PERCENT
) if increasing_position else max_quantity
if user_amount := trading_modes.get_user_selected_order_amount(
self.trading_mode,
self.TARGET_PROFIT_MODE_ENTRY_QUANTITY_SIDE
if self.USE_TARGET_PROFIT_MODE else trading_enums.TradeOrderSide.BUY
if self.USE_TARGET_PROFIT_MODE else order_side
):
return await script_keywords.get_amount_from_input_amount(
user_input_amount = await script_keywords.get_amount_from_input_amount(
context=ctx,
input_amount=user_amount,
side=trading_enums.TradeOrderSide.BUY.value,
side=order_side.value,
reduce_only=False,
is_stop_order=False,
use_total_holding=False,
)
return min(user_input_amount, max_amount_from_ratio)
# get quantity from risk
max_amount = self._get_max_amount_from_max_ratio(
self.MAX_CURRENCY_RATIO, quantity, quote, self.QUANTITY_MAX_PERCENT
) if increasing_position else quantity
weighted_risk = self.trader.risk * self.QUANTITY_RISK_WEIGHT
# consider buy quantity like a sell if quote is the reference market
if quote == self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market \
and increasing_position:
weighted_risk *= self.SELL_MULTIPLIER
if not increasing_position and self._get_ratio(quote) < self.FULL_SELL_MIN_RATIO:
return quantity
factor = self.QUANTITY_MIN_PERCENT + ((abs(eval_note) + weighted_risk) * self.QUANTITY_ATTENUATION)
checked_factor = trading_modes.check_factor(self.QUANTITY_MIN_PERCENT, self.QUANTITY_MAX_PERCENT,
factor)
holding_ratio = self._get_quantity_ratio(quote) if increasing_position else trading_constants.ONE
return min(checked_factor * quantity * holding_ratio, max_amount)

"""
Starting point : self.QUANTITY_MIN_PERCENT
abs(eval_note) --> confirmation level --> high : sell/buy more quantity
trader.risk --> high risk : sell / buy more quantity
use SELL_MULTIPLIER to increase sell volume relatively to risk
if currency holding < FULL_SELL_MIN_RATIO, sell everything to free up funds
abs(eval_note) + weighted_risk --> result between 0 and 1 + self.QUANTITY_RISK_WEIGHT --> self.MAX_SUM_RESULT
self.QUANTITY_ATTENUATION --> try to contains the result between self.QUANTITY_MIN_PERCENT
and self.QUANTITY_MAX_PERCENT
"""

async def _get_sell_limit_quantity_from_risk(self, ctx, eval_note, quantity, quote, increasing_position):
# check all in orders
if not increasing_position and self.SELL_WITH_MAXIMUM_SIZE_ORDERS:
return quantity
if user_amount := trading_modes.get_user_selected_order_amount(
self.trading_mode,
self.TARGET_PROFIT_MODE_ENTRY_QUANTITY_SIDE
if self.USE_TARGET_PROFIT_MODE else trading_enums.TradeOrderSide.SELL
if (
# consider sell quantity like a buy if base is the reference market
selling and base != self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market
and not increasing_position
) or (
# consider buy quantity like a sell if quote is the reference market
not selling and base == self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market
and increasing_position
):
return await script_keywords.get_amount_from_input_amount(
context=ctx,
input_amount=user_amount,
side=trading_enums.TradeOrderSide.SELL.value,
reduce_only=False,
is_stop_order=False,
use_total_holding=False,
)
# check configured quantity
# get quantity from risk
max_amount = self._get_max_amount_from_max_ratio(
self.MAX_CURRENCY_RATIO, quantity, quote, self.QUANTITY_MAX_PERCENT
) if increasing_position else quantity
weighted_risk = self.trader.risk * self.QUANTITY_RISK_WEIGHT
# consider sell quantity like a buy if base is the reference market
if quote != self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market \
and not increasing_position:
weighted_risk *= self.SELL_MULTIPLIER
if not increasing_position and self._get_ratio(quote) < self.FULL_SELL_MIN_RATIO:
return quantity
if not increasing_position and self._get_ratio(base) < self.FULL_SELL_MIN_RATIO:
return max_quantity
factor = self.QUANTITY_MIN_PERCENT + ((abs(eval_note) + weighted_risk) * self.QUANTITY_ATTENUATION)
checked_factor = trading_modes.check_factor(self.QUANTITY_MIN_PERCENT, self.QUANTITY_MAX_PERCENT,
factor)
holding_ratio = self._get_quantity_ratio(quote) if increasing_position else trading_constants.ONE
return min(checked_factor * quantity * holding_ratio, max_amount)
checked_factor = trading_modes.check_factor(self.QUANTITY_MIN_PERCENT, self.QUANTITY_MAX_PERCENT, factor)
holding_ratio = self._get_quantity_ratio(base) if increasing_position else trading_constants.ONE
return min(checked_factor * max_quantity * holding_ratio, max_amount_from_ratio)

"""
Starting point : self.QUANTITY_MARKET_MIN_PERCENT
Expand All @@ -413,35 +368,37 @@ async def _get_sell_limit_quantity_from_risk(self, ctx, eval_note, quantity, quo
and self.QUANTITY_MARKET_MAX_PERCENT
"""

async def _get_market_quantity_from_risk(self, ctx, eval_note, quantity, quote, selling, increasing_position):
async def _get_market_quantity_from_risk(self, ctx, eval_note, quantity, base, selling, increasing_position):
# check configured quantity
side = self.TARGET_PROFIT_MODE_ENTRY_QUANTITY_SIDE if self.USE_TARGET_PROFIT_MODE else (
trading_enums.TradeOrderSide.SELL if selling else trading_enums.TradeOrderSide.BUY
)
max_amount_from_ratio = (
self._get_max_amount_from_max_ratio(
self.MAX_CURRENCY_RATIO, quantity, base, self.QUANTITY_MARKET_MAX_PERCENT
) if increasing_position else quantity * self.QUANTITY_MARKET_MAX_PERCENT
)
if user_amount := trading_modes.get_user_selected_order_amount(self.trading_mode, side):
return await script_keywords.get_amount_from_input_amount(
user_input_amount = await script_keywords.get_amount_from_input_amount(
context=ctx,
input_amount=user_amount,
side=side.value,
reduce_only=False,
is_stop_order=False,
use_total_holding=False,
)
return min(user_input_amount, max_amount_from_ratio)
# get quantity from risk
max_amount = quantity * self.QUANTITY_MARKET_MAX_PERCENT if increasing_position \
else self._get_max_amount_from_max_ratio(self.MAX_CURRENCY_RATIO, quantity,
quote, self.QUANTITY_MARKET_MAX_PERCENT)
weighted_risk = self.trader.risk * self.QUANTITY_RISK_WEIGHT
ref_market = self.exchange_manager.exchange_personal_data.portfolio_manager.reference_market
if (not increasing_position and quote != ref_market) or (increasing_position and quote == ref_market):
if (not increasing_position and base != ref_market) or (increasing_position and base == ref_market):
weighted_risk *= self.SELL_MULTIPLIER
factor = self.QUANTITY_MARKET_MIN_PERCENT + (
(abs(eval_note) + weighted_risk) * self.QUANTITY_MARKET_ATTENUATION)

checked_factor = trading_modes.check_factor(self.QUANTITY_MARKET_MIN_PERCENT,
self.QUANTITY_MARKET_MAX_PERCENT, factor)
holding_ratio = 1 if not increasing_position else self._get_quantity_ratio(quote)
return min(checked_factor * holding_ratio * quantity, max_amount)
factor = self.QUANTITY_MARKET_MIN_PERCENT + (abs(eval_note) + weighted_risk) * self.QUANTITY_MARKET_ATTENUATION
checked_factor = trading_modes.check_factor(
self.QUANTITY_MARKET_MIN_PERCENT, self.QUANTITY_MARKET_MAX_PERCENT, factor
)
holding_ratio = 1 if not increasing_position else self._get_quantity_ratio(base)
return min(checked_factor * holding_ratio * quantity, max_amount_from_ratio)

def _get_ratio(self, currency):
try:
Expand All @@ -461,21 +418,21 @@ def _get_quantity_ratio(self, currency):
else:
return 1

def _get_max_amount_from_max_ratio(self, max_ratio, quantity, quote, default_ratio):
def _get_max_amount_from_max_ratio(self, max_ratio, quantity, currency, default_ratio):
# TODO ratios in futures trading
# reduce max amount when self.MAX_CURRENCY_RATIO is defined
if self.MAX_CURRENCY_RATIO is None or max_ratio == trading_constants.ONE or self.exchange_manager.is_future:
return quantity * default_ratio
max_amount_ratio = max_ratio - self._get_ratio(quote)
max_amount_ratio = max_ratio - self._get_ratio(currency)
if max_amount_ratio > 0:
max_amount_in_ref_market = trading_api.get_current_portfolio_value(self.exchange_manager) * \
max_amount_ratio
try:
max_theoretical_amount = max_amount_in_ref_market / trading_api.get_current_crypto_currency_value(
self.exchange_manager, quote)
self.exchange_manager, currency)
return min(max_theoretical_amount, quantity)
except KeyError:
self.logger.error(f"Missing price information in reference market for {quote}. Skipping buy order "
self.logger.error(f"Missing price information in reference market for {currency}. Skipping buy order "
f"as is it required to ensure the maximum currency percent parameter. "
f"Set it to 100 to buy anyway.")
return trading_constants.ZERO
Expand Down Expand Up @@ -719,10 +676,9 @@ async def create_new_orders(self, symbol, final_note, state, **kwargs):
created_orders.append(current_order)

elif state == trading_enums.EvaluatorStates.SHORT.value and not self.DISABLE_SELL_ORDERS:
quantity = user_volume or \
await self._get_sell_limit_quantity_from_risk(
ctx, final_note, max_sell_size, base, increasing_position
)
quantity = user_volume or await self._get_limit_quantity_from_risk(
ctx, final_note, max_sell_size, base, True, increasing_position
)
quantity = trading_personal_data.decimal_add_dusts_to_quantity_if_necessary(quantity, price,
symbol_market,
max_sell_size)
Expand Down Expand Up @@ -786,10 +742,9 @@ async def create_new_orders(self, symbol, final_note, state, **kwargs):
return []

elif state == trading_enums.EvaluatorStates.LONG.value and not self.DISABLE_BUY_ORDERS:
quantity = await self._get_buy_limit_quantity_from_risk(
ctx, final_note, max_buy_size, base, increasing_position
) \
if user_volume == 0 else user_volume
quantity = await self._get_limit_quantity_from_risk(
ctx, final_note, max_buy_size, base, False, increasing_position
) if user_volume == 0 else user_volume
limit_price = user_stop_price if create_stop_only else trading_personal_data.decimal_adapt_price(
symbol_market, user_price or (price * self._get_limit_price_from_risk(final_note))
)
Expand Down
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