Merge pull request freqtrade#12559 from freqtrade/feat/dry_stop

Enhance dry-run stoploss functionality

Author: xmatthias

freqtrade/exchange/exchange.py

@@ -104,6 +104,7 @@
     deep_merge_dicts,
     file_dump_json,
     file_load_json,
+    safe_value_fallback,
     safe_value_fallback2,
 )
 from freqtrade.util import FtTTLCache, PeriodicCache, dt_from_ts, dt_now
@@ -1119,6 +1120,7 @@ def create_dry_run_order(
         leverage: float,
         params: dict | None = None,
         stop_loss: bool = False,
+        stop_price: float | None = None,
     ) -> CcxtOrder:
         now = dt_now()
         order_id = f"dry_run_{side}_{pair}_{now.timestamp()}"
@@ -1145,7 +1147,7 @@ def create_dry_run_order(
         }
         if stop_loss:
             dry_order["info"] = {"stopPrice": dry_order["price"]}
-            dry_order[self._ft_has["stop_price_prop"]] = dry_order["price"]
+            dry_order[self._ft_has["stop_price_prop"]] = stop_price or dry_order["price"]
             # Workaround to avoid filling stoploss orders immediately
             dry_order["ft_order_type"] = "stoploss"
         orderbook: OrderBook | None = None
@@ -1163,7 +1165,11 @@ def create_dry_run_order(
 
         if dry_order["type"] == "market" and not dry_order.get("ft_order_type"):
             # Update market order pricing
-            average = self.get_dry_market_fill_price(pair, side, amount, rate, orderbook)
+            slippage = 0.05
+            worst_rate = rate * ((1 + slippage) if side == "buy" else (1 - slippage))
+            average = self.get_dry_market_fill_price(
+                pair, side, amount, rate, worst_rate, orderbook
+            )
             dry_order.update(
                 {
                     "average": average,
@@ -1203,7 +1209,13 @@ def add_dry_order_fee(
         return dry_order
 
     def get_dry_market_fill_price(
-        self, pair: str, side: str, amount: float, rate: float, orderbook: OrderBook | None
+        self,
+        pair: str,
+        side: str,
+        amount: float,
+        rate: float,
+        worst_rate: float,
+        orderbook: OrderBook | None,
     ) -> float:
         """
         Get the market order fill price based on orderbook interpolation
@@ -1212,8 +1224,6 @@ def get_dry_market_fill_price(
             if not orderbook:
                 orderbook = self.fetch_l2_order_book(pair, 20)
             ob_type: OBLiteral = "asks" if side == "buy" else "bids"
-            slippage = 0.05
-            max_slippage_val = rate * ((1 + slippage) if side == "buy" else (1 - slippage))
 
             remaining_amount = amount
             filled_value = 0.0
@@ -1237,11 +1247,10 @@ def get_dry_market_fill_price(
             forecast_avg_filled_price = max(filled_value, 0) / amount
             # Limit max. slippage to specified value
             if side == "buy":
-                forecast_avg_filled_price = min(forecast_avg_filled_price, max_slippage_val)
+                forecast_avg_filled_price = min(forecast_avg_filled_price, worst_rate)
 
             else:
-                forecast_avg_filled_price = max(forecast_avg_filled_price, max_slippage_val)
-
+                forecast_avg_filled_price = max(forecast_avg_filled_price, worst_rate)
             return self.price_to_precision(pair, forecast_avg_filled_price)
 
         return rate
@@ -1253,13 +1262,15 @@ def _dry_is_price_crossed(
         limit: float,
         orderbook: OrderBook | None = None,
         offset: float = 0.0,
+        is_stop: bool = False,
     ) -> bool:
         if not self.exchange_has("fetchL2OrderBook"):
-            return True
+            # True unless checking a stoploss order
+            return not is_stop
         if not orderbook:
             orderbook = self.fetch_l2_order_book(pair, 1)
         try:
-            if side == "buy":
+            if (side == "buy" and not is_stop) or (side == "sell" and is_stop):
                 price = orderbook["asks"][0][0]
                 if limit * (1 - offset) >= price:
                     return True
@@ -1278,6 +1289,38 @@ def check_dry_limit_order_filled(
         """
         Check dry-run limit order fill and update fee (if it filled).
         """
+        if order["status"] != "closed" and order.get("ft_order_type") == "stoploss":
+            pair = order["symbol"]
+            if not orderbook and self.exchange_has("fetchL2OrderBook"):
+                orderbook = self.fetch_l2_order_book(pair, 20)
+            price = safe_value_fallback(order, self._ft_has["stop_price_prop"], "price")
+            crossed = self._dry_is_price_crossed(
+                pair, order["side"], price, orderbook, is_stop=True
+            )
+            if crossed:
+                average = self.get_dry_market_fill_price(
+                    pair,
+                    order["side"],
+                    order["amount"],
+                    price,
+                    worst_rate=order["price"],
+                    orderbook=orderbook,
+                )
+                order.update(
+                    {
+                        "status": "closed",
+                        "filled": order["amount"],
+                        "remaining": 0,
+                        "average": average,
+                        "cost": order["amount"] * average,
+                    }
+                )
+                self.add_dry_order_fee(
+                    pair,
+                    order,
+                    "taker" if immediate else "maker",
+                )
+            return order
         if (
             order["status"] != "closed"
             and order["type"] in ["limit"]
@@ -1517,8 +1560,9 @@ def create_stoploss(
                 ordertype,
                 side,
                 amount,
-                stop_price_norm,
+                limit_rate or stop_price_norm,
                 stop_loss=True,
+                stop_price=stop_price_norm,
                 leverage=leverage,
             )
             return dry_order

tests/exchange/test_binance.py

@@ -157,7 +157,8 @@ def test_create_stoploss_order_dry_run_binance(default_conf, mocker):
     assert "type" in order
 
     assert order["type"] == order_type
-    assert order["price"] == 220
+    assert order["price"] == 217.8
+    assert order["stopPrice"] == 220
     assert order["amount"] == 1
 
 

tests/exchange/test_exchange.py

@@ -1111,21 +1111,29 @@ def test_create_dry_run_order_fees(
 
 
 @pytest.mark.parametrize(
-    "side,limit,offset,expected",
+    "side,limit,offset,is_stop,expected",
     [
-        ("buy", 46.0, 0.0, True),
-        ("buy", 26.0, 0.0, True),
-        ("buy", 25.55, 0.0, False),
-        ("buy", 1, 0.0, False),  # Very far away
-        ("sell", 25.5, 0.0, True),
-        ("sell", 50, 0.0, False),  # Very far away
-        ("sell", 25.58, 0.0, False),
-        ("sell", 25.563, 0.01, False),
-        ("sell", 5.563, 0.01, True),
+        ("buy", 46.0, 0.0, False, True),
+        ("buy", 46.0, 0.0, True, False),
+        ("buy", 26.0, 0.0, False, True),
+        ("buy", 26.0, 0.0, True, False),  # Stop - didn't trigger
+        ("buy", 25.55, 0.0, False, False),
+        ("buy", 25.55, 0.0, True, True),  # Stop - triggered
+        ("buy", 1, 0.0, False, False),  # Very far away
+        ("buy", 1, 0.0, True, True),  # Current price is above stop - triggered
+        ("sell", 25.5, 0.0, False, True),
+        ("sell", 50, 0.0, False, False),  # Very far away
+        ("sell", 25.58, 0.0, False, False),
+        ("sell", 25.563, 0.01, False, False),
+        ("sell", 25.563, 0.0, True, False),  # stop order - Not triggered, best bid
+        ("sell", 25.566, 0.0, True, True),  # stop order - triggered
+        ("sell", 26, 0.01, True, True),  # stop order - triggered
+        ("sell", 5.563, 0.01, False, True),
+        ("sell", 5.563, 0.0, True, False),  # stop order - not triggered
     ],
 )
 def test__dry_is_price_crossed_with_orderbook(
-    default_conf, mocker, order_book_l2_usd, side, limit, offset, expected
+    default_conf, mocker, order_book_l2_usd, side, limit, offset, is_stop, expected
 ):
     # Best bid 25.563
     # Best ask 25.566
@@ -1134,14 +1142,14 @@ def test__dry_is_price_crossed_with_orderbook(
     exchange.fetch_l2_order_book = order_book_l2_usd
     orderbook = order_book_l2_usd.return_value
     result = exchange._dry_is_price_crossed(
-        "LTC/USDT", side, limit, orderbook=orderbook, offset=offset
+        "LTC/USDT", side, limit, orderbook=orderbook, offset=offset, is_stop=is_stop
     )
     assert result is expected
     assert order_book_l2_usd.call_count == 0
 
     # Test without passing orderbook
     order_book_l2_usd.reset_mock()
-    result = exchange._dry_is_price_crossed("LTC/USDT", side, limit, offset=offset)
+    result = exchange._dry_is_price_crossed("LTC/USDT", side, limit, offset=offset, is_stop=is_stop)
     assert result is expected
 
 
@@ -1165,7 +1173,10 @@ def test__dry_is_price_crossed_without_orderbook_support(default_conf, mocker):
     exchange.fetch_l2_order_book = MagicMock()
     mocker.patch(f"{EXMS}.exchange_has", return_value=False)
     assert exchange._dry_is_price_crossed("LTC/USDT", "buy", 1.0)
+    assert exchange._dry_is_price_crossed("LTC/USDT", "sell", 1.0)
     assert exchange.fetch_l2_order_book.call_count == 0
+    assert not exchange._dry_is_price_crossed("LTC/USDT", "buy", 1.0, is_stop=True)
+    assert not exchange._dry_is_price_crossed("LTC/USDT", "sell", 1.0, is_stop=True)
 
 
 @pytest.mark.parametrize(
@@ -1176,7 +1187,7 @@ def test__dry_is_price_crossed_without_orderbook_support(default_conf, mocker):
         (False, False, "sell", 1.0, "open", None, 0, None),
     ],
 )
-def test_check_dry_limit_order_filled_parametrized(
+def test_check_dry_limit_order_filled(
     default_conf,
     mocker,
     crossed,
@@ -1220,6 +1231,70 @@ def test_check_dry_limit_order_filled_parametrized(
     assert fee_mock.call_count == expected_calls
 
 
+@pytest.mark.parametrize(
+    "immediate,crossed,expected_status,expected_fee_type",
+    [
+        (True, True, "closed", "taker"),
+        (False, True, "closed", "maker"),
+        (True, False, "open", None),
+    ],
+)
+def test_check_dry_limit_order_filled_stoploss(
+    default_conf, mocker, immediate, crossed, expected_status, expected_fee_type, order_book_l2_usd
+):
+    exchange = get_patched_exchange(mocker, default_conf)
+    mocker.patch.multiple(
+        EXMS,
+        exchange_has=MagicMock(return_value=True),
+        _dry_is_price_crossed=MagicMock(return_value=crossed),
+        fetch_l2_order_book=order_book_l2_usd,
+    )
+    average_mock = mocker.patch(f"{EXMS}.get_dry_market_fill_price", return_value=24.25)
+    fee_mock = mocker.patch(
+        f"{EXMS}.add_dry_order_fee",
+        autospec=True,
+        side_effect=lambda self, pair, dry_order, taker_or_maker: dry_order,
+    )
+
+    amount = 1.75
+    order = {
+        "symbol": "LTC/USDT",
+        "status": "open",
+        "type": "limit",
+        "side": "sell",
+        "amount": amount,
+        "filled": 0.0,
+        "remaining": amount,
+        "price": 25.0,
+        "average": 0.0,
+        "cost": 0.0,
+        "fee": None,
+        "ft_order_type": "stoploss",
+        "stopLossPrice": 24.5,
+    }
+
+    result = exchange.check_dry_limit_order_filled(order, immediate=immediate)
+
+    assert result["status"] == expected_status
+    assert order_book_l2_usd.call_count == 1
+    if crossed:
+        assert result["filled"] == amount
+        assert result["remaining"] == 0
+        assert result["average"] == 24.25
+        assert result["cost"] == pytest.approx(amount * 24.25)
+        assert average_mock.call_count == 1
+        assert fee_mock.call_count == 1
+        assert fee_mock.call_args[0][1] == "LTC/USDT"
+        assert fee_mock.call_args[0][3] == expected_fee_type
+    else:
+        assert result["filled"] == 0.0
+        assert result["remaining"] == amount
+        assert result["average"] == 0.0
+
+        assert average_mock.call_count == 0
+        assert fee_mock.call_count == 0
+
+
 @pytest.mark.parametrize(
     "side,price,filled,converted",
     [

tests/exchange/test_htx.py

@@ -123,7 +123,8 @@ def test_create_stoploss_order_dry_run_htx(default_conf, mocker):
     assert "type" in order
 
     assert order["type"] == order_type
-    assert order["price"] == 220
+    assert order["price"] == 217.8
+    assert order["stopPrice"] == 220
     assert order["amount"] == 1