Merge pull request #11412 from freqtrade/feat/adjust_order_price

Add adjust_order_price callback

tests/freqtradebot/test_integration.py

@@ -436,6 +436,7 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
 
     # Replace new order with diff. order at a lower price
     freqtrade.strategy.adjust_entry_price = MagicMock(return_value=1.95)
+    freqtrade.strategy.adjust_exit_price = MagicMock(side_effect=ValueError)
     freqtrade.strategy.adjust_trade_position = MagicMock(return_value=None)
     freqtrade.process()
     trade = Trade.get_trades().first()
@@ -445,6 +446,8 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
     assert pytest.approx(trade.stake_amount) == 60
     assert trade.orders[-1].price == 1.95
     assert pytest.approx(trade.orders[-1].cost) == 120 * leverage
+    assert freqtrade.strategy.adjust_entry_price.call_count == 1
+    assert freqtrade.strategy.adjust_exit_price.call_count == 0
 
     # Fill DCA order
     freqtrade.strategy.adjust_trade_position = MagicMock(return_value=None)
@@ -469,6 +472,7 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
     mocker.patch(f"{EXMS}._dry_is_price_crossed", return_value=False)
     freqtrade.strategy.custom_exit = MagicMock(return_value="Exit now")
     freqtrade.strategy.adjust_entry_price = MagicMock(return_value=2.02)
+    freqtrade.strategy.adjust_exit_price = MagicMock(side_effect=ValueError)
     freqtrade.process()
     trade = Trade.get_trades().first()
     assert len(trade.orders) == 5
@@ -478,8 +482,9 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
     assert pytest.approx(trade.amount) == 91.689215 * leverage
     assert pytest.approx(trade.orders[-1].amount) == 91.689215 * leverage
     assert freqtrade.strategy.adjust_entry_price.call_count == 0
+    assert freqtrade.strategy.adjust_exit_price.call_count == 0
 
-    # Process again, should not adjust entry price
+    # Process again, should not adjust price
     freqtrade.process()
     trade = Trade.get_trades().first()
 
@@ -490,6 +495,21 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
     assert trade.orders[-1].price == 2.02
     # Adjust entry price cannot be called - this is an exit order
     assert freqtrade.strategy.adjust_entry_price.call_count == 0
+    assert freqtrade.strategy.adjust_exit_price.call_count == 1
+
+    freqtrade.strategy.adjust_exit_price = MagicMock(return_value=2.03)
+
+    # Process again, should adjust exit price
+    freqtrade.process()
+    trade = Trade.get_trades().first()
+
+    assert trade.orders[-2].status == "canceled"
+    assert len(trade.orders) == 6
+    assert trade.orders[-1].side == trade.exit_side
+    assert trade.orders[-1].status == "open"
+    assert trade.orders[-1].price == 2.03
+    assert freqtrade.strategy.adjust_entry_price.call_count == 0
+    assert freqtrade.strategy.adjust_exit_price.call_count == 1
 
 
 @pytest.mark.parametrize("leverage", [1, 2])

tests/optimize/__init__.py

@@ -45,6 +45,7 @@ class BTContainer(NamedTuple):
     leverage: float = 1.0
     timeout: int | None = None
     adjust_entry_price: float | None = None
+    adjust_exit_price: float | None = None
     adjust_trade_position: list[float] | None = None
 
 

tests/optimize/test_backtest_detail.py

@@ -1217,6 +1217,46 @@ tc57 = BTContainer(
     ],
 )
 
+# Test 58: Custom-exit-price short - below all candles
+tc58 = BTContainer(
+    data=[
+        # D   O     H     L     C    V    EL XL ES Xs  BT
+        [0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
+        [1, 5000, 5200, 4951, 5000, 6172, 0, 0, 0, 0],  # enter trade (signal on last candle)
+        [2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 1],  # Exit - delayed
+        [3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 0],  #
+        [4, 4750, 5100, 4350, 4750, 6172, 0, 0, 0, 0],
+    ],
+    stop_loss=-0.10,
+    roi={"0": 1.00},
+    profit_perc=-0.01,
+    use_exit_signal=True,
+    timeout=1000,
+    custom_exit_price=4300,
+    adjust_exit_price=5050,
+    trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)],
+)
+
+# Test 59: Custom-exit-price above all candles - readjust order
+tc59 = BTContainer(
+    data=[
+        # D   O     H     L     C    V    EL XL ES Xs  BT
+        [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+        [1, 5000, 5500, 4951, 5000, 6172, 0, 0],
+        [2, 4900, 5250, 4500, 5100, 6172, 0, 1],  # exit
+        [3, 5100, 5100, 4650, 4750, 6172, 0, 0],  # order readjust
+        [4, 4750, 4950, 4350, 4750, 6172, 0, 0],
+    ],
+    stop_loss=-0.2,
+    roi={"0": 0.10},
+    profit_perc=-0.02,
+    use_exit_signal=True,
+    timeout=1000,
+    custom_exit_price=5300,
+    adjust_exit_price=4900,
+    trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)],
+)
+
 
 TESTS = [
     tc0,
@@ -1277,6 +1317,8 @@ TESTS = [
     tc55,
     tc56,
     tc57,
+    tc58,
+    tc59,
 ]
 
 
@@ -1330,6 +1372,8 @@ def test_backtest_results(default_conf, mocker, caplog, data: BTContainer) -> No
         )
     if data.adjust_entry_price:
         backtesting.strategy.adjust_entry_price = MagicMock(return_value=data.adjust_entry_price)
+    if data.adjust_exit_price:
+        backtesting.strategy.adjust_exit_price = MagicMock(return_value=data.adjust_exit_price)
 
     backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
     backtesting.strategy.leverage = lambda **kwargs: data.leverage

tests/strategy/strats/broken_strats/broken_futures_strategies.py

@@ -21,10 +21,12 @@ class TestStrategyNoImplementSell(TestStrategyNoImplements):
         return super().populate_entry_trend(dataframe, metadata)
 
 
-class TestStrategyImplementCustomSell(TestStrategyNoImplementSell):
+class TestStrategyImplementEmptyWorking(TestStrategyNoImplementSell):
     def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         return super().populate_exit_trend(dataframe, metadata)
 
+
+class TestStrategyImplementCustomSell(TestStrategyImplementEmptyWorking):
     def custom_sell(
         self,
         pair: str,
@@ -55,3 +57,34 @@ class TestStrategyImplementSellTimeout(TestStrategyNoImplementSell):
         self, pair: str, trade, order: Order, current_time: datetime, **kwargs
     ) -> bool:
         return False
+
+
+class TestStrategyAdjustOrderPrice(TestStrategyImplementEmptyWorking):
+    def adjust_entry_price(
+        self,
+        trade,
+        order,
+        pair,
+        current_time,
+        proposed_rate,
+        current_order_rate,
+        entry_tag,
+        side,
+        **kwargs,
+    ):
+        return proposed_rate
+
+    def adjust_order_price(
+        self,
+        trade,
+        order,
+        pair,
+        current_time,
+        proposed_rate,
+        current_order_rate,
+        entry_tag,
+        side,
+        is_entry,
+        **kwargs,
+    ):
+        return proposed_rate

tests/strategy/test_strategy_loading.py

@@ -460,6 +460,10 @@ def test_missing_implements(default_conf, caplog):
     ):
         StrategyResolver.load_strategy(default_conf)
 
+    default_conf["strategy"] = "TestStrategyAdjustOrderPrice"
+    with pytest.raises(OperationalException, match=r"If you implement `adjust_order_price`.*"):
+        StrategyResolver.load_strategy(default_conf)
+
 
 def test_call_deprecated_function(default_conf):
     default_location = Path(__file__).parent / "strats/broken_strats/"