INTERFACE_VERSION = 3
def version(self) -> str:
- return "3.3.134"
+ return "3.3.135"
timeframe = "5m"
),
}
)
+ process_throttle_secs = self.config.get("internals", {}).get(
+ "process_throttle_secs", 5
+ )
self._throttle_modulo = max(
1,
int(
round(
(timeframe_to_minutes(self.config.get("timeframe")) * 60)
- / self.config.get("internals", {}).get("process_throttle_secs", 5)
+ / process_throttle_secs
)
),
)
+ self._max_pnl_history_size = int(8 * 60 * 60 / process_throttle_secs)
def feature_engineering_expand_all(
self, dataframe: DataFrame, period: int, metadata: dict[str, Any], **kwargs
)
def get_take_profit_price(
- self, df: DataFrame, trade: Trade, natr_ratio_percent: float
+ self, df: DataFrame, trade: Trade, exit_stage: int
) -> Optional[float]:
+ natr_ratio_percent = (
+ self.partial_exit_stages[exit_stage][0]
+ if exit_stage in self.partial_exit_stages
+ else 1.0
+ )
take_profit_distance = self.get_take_profit_distance(
df, trade, natr_ratio_percent
)
take_profit_price = (
trade.open_rate + (-1 if trade.is_short else 1) * take_profit_distance
)
- previous_take_profit_price = trade.get_custom_data("take_profit_price")
+ trade_take_profit_price_history = (
+ QuickAdapterV3.get_trade_take_profit_price_history(trade)
+ )
+ previous_take_profit_price = (
+ trade_take_profit_price_history[-1]
+ if trade_take_profit_price_history
+ else None
+ )
if previous_take_profit_price != take_profit_price:
- trade.set_custom_data("take_profit_price", take_profit_price)
+ QuickAdapterV3.append_trade_take_profit_price(trade, take_profit_price)
+
+ if exit_stage not in self.partial_exit_stages:
+ if not trade_take_profit_price_history:
+ return None
+ return (
+ min(trade_take_profit_price_history)
+ if trade.is_short
+ else max(trade_take_profit_price_history)
+ )
return take_profit_price
+ @staticmethod
+ def _get_trade_history(trade: Trade) -> dict[str, list[float]]:
+ return trade.get_custom_data(
+ "history", {"unrealized_pnl": [], "take_profit_price": []}
+ )
+
+ @staticmethod
+ def get_trade_unrealized_pnl_history(trade: Trade) -> list[float]:
+ history = QuickAdapterV3._get_trade_history(trade)
+ return history.get("unrealized_pnl", [])
+
+ @staticmethod
+ def get_trade_take_profit_price_history(trade: Trade) -> list[float]:
+ history = QuickAdapterV3._get_trade_history(trade)
+ return history.get("take_profit_price", [])
+
+ def append_trade_unrealized_pnl(self, trade: Trade, pnl: float) -> None:
+ history = QuickAdapterV3._get_trade_history(trade)
+ pnl_history = history.setdefault("unrealized_pnl", [])
+ pnl_history.append(pnl)
+ if len(pnl_history) > self._max_pnl_history_size:
+ history["unrealized_pnl"] = pnl_history[-self._max_pnl_history_size :]
+ trade.set_custom_data("history", history)
+
+ @staticmethod
+ def append_trade_take_profit_price(trade: Trade, take_profit_price: float) -> None:
+ history = QuickAdapterV3._get_trade_history(trade)
+ history.setdefault("take_profit_price", []).append(take_profit_price)
+ trade.set_custom_data("history", history)
+
def adjust_trade_position(
self,
trade: Trade,
if df.empty:
return None
- natr_ratio_percent, stake_percent = self.partial_exit_stages[exit_stage]
-
- take_profit_price = self.get_take_profit_price(df, trade, natr_ratio_percent)
+ take_profit_price = self.get_take_profit_price(df, trade, exit_stage)
if isna(take_profit_price):
return None
pair=trade.pair,
current_time=current_time,
callback=lambda: logger.info(
- f"Trade {trade.trade_direction} for {trade.pair}: open price {trade.open_rate}, current price {current_rate}, partial exit stage {exit_stage} price {take_profit_price}"
+ f"Trade {trade.trade_direction} for {trade.pair}: partial exit stage {exit_stage}, open price {trade.open_rate}, current price {current_rate}, exit price {take_profit_price}"
),
)
if trade_partial_exit:
+ stake_percent = self.partial_exit_stages[exit_stage][1]
trade_partial_stake_amount = trade.stake_amount * stake_percent
trade.set_custom_data("exit_stage", exit_stage + 1)
return (
raise ValueError(f"Invalid side: {side}. Expected 'long' or 'short'")
+ def get_trade_pnl_momentum(self, trade: Trade):
+ unrealized_pnl_history = QuickAdapterV3.get_trade_unrealized_pnl_history(trade)
+
+ velocity = np.diff(unrealized_pnl_history)
+ acceleration = np.diff(velocity)
+
+ median_velocity = np.median(velocity) if velocity.size > 0 else 0.0
+ median_acceleration = np.median(acceleration) if acceleration.size > 0 else 0.0
+
+ return median_velocity, median_acceleration
+
def custom_exit(
self,
pair: str,
current_profit: float,
**kwargs,
) -> Optional[str]:
+ self.append_trade_unrealized_pnl(trade, current_profit)
+
df, _ = self.dp.get_analyzed_dataframe(
pair=pair, timeframe=self.config.get("timeframe")
)
if exit_stage in self.partial_exit_stages:
return None
- take_profit_price = self.get_take_profit_price(df, trade, 1.0)
- if isna(take_profit_price):
- return None
-
end_partial_exit_stage = list(self.partial_exit_stages.keys())[-1]
final_exit_stage = end_partial_exit_stage + 1
- trade_exit = QuickAdapterV3.can_take_profit(
+
+ trade_pnl_velocity, trade_pnl_acceleration = self.get_trade_pnl_momentum(trade)
+ trade_pnl_momentum_decline = (
+ trade_pnl_velocity <= np.finfo(float).eps
+ and trade_pnl_acceleration < np.finfo(float).eps
+ )
+
+ take_profit_price = self.get_take_profit_price(df, trade, final_exit_stage)
+ if isna(take_profit_price):
+ return None
+ trade_take_profit_exit = QuickAdapterV3.can_take_profit(
trade, current_rate, take_profit_price
)
+
+ trade_exit = trade_take_profit_exit and trade_pnl_momentum_decline
if not trade_exit:
self.throttle_callback(
pair=pair,
current_time=current_time,
callback=lambda: logger.info(
- f"Trade {trade.trade_direction} for {pair}: open price {trade.open_rate}, current price {current_rate}, final exit stage {final_exit_stage} price {take_profit_price}"
+ f"Trade {trade.trade_direction} for {pair}: final exit stage {final_exit_stage}, open price {trade.open_rate}, current price {current_rate}, exit price {take_profit_price}, pnl velocity {trade_pnl_velocity}, pnl acceleration {trade_pnl_acceleration}"
),
)
if trade_exit:
repositories / freqai-strategies.git / commitdiff
