freqtrade/wallets.py
# 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, IntOrInf
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, is_backtest: bool = False) -> None:
self._config = config
self._is_backtest = is_backtest
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 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 self._is_backtest:
# Live / Dry-run mode
tot_profit = Trade.get_total_closed_profit()
else:
# Backtest mode
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 not self._is_backtest:
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, max_open_trades: IntOrInf) -> float:
"""
Calculate stake amount for "unlimited" stake amount
:return: 0 if max number of trades reached, else stake_amount to use.
"""
if max_open_trades == 0:
return 0
possible_stake = (available_amount + val_tied_up) / 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, max_open_trades: IntOrInf, 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 up-to-date.
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, max_open_trades)
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 not self._is_backtest:
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 not self._is_backtest:
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 not self._is_backtest:
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 not self._is_backtest:
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