Merge pull request #8909 from freqtrade/backtest_adjustment

introduce order.stake_amount

docs/strategy-callbacks.md

@@ -750,7 +750,7 @@ class DigDeeperStrategy(IStrategy):
         # Hope you have a deep wallet!
         try:
             # This returns first order stake size
-            stake_amount = filled_entries[0].cost
+            stake_amount = filled_entries[0].stake_amount
             # This then calculates current safety order size
             stake_amount = stake_amount * (1 + (count_of_entries * 0.25))
             return stake_amount

docs/trade-object.md

@@ -141,7 +141,8 @@ Most properties here can be None as they are dependant on the exchange response.
 `amount` | float | Amount in base currency
 `filled` | float | Filled amount (in base currency)
 `remaining` | float | Remaining amount
-`cost` | float | Cost of the order - usually average * filled
+`cost` | float | Cost of the order - usually average * filled (*Exchange dependant on futures, may contain the cost with or without leverage and may be in contracts.*)
+`stake_amount` | float | Stake amount used for this order. *Added in 2023.7.*
 `order_date` | datetime | Order creation date **use `order_date_utc` instead**
 `order_date_utc` | datetime | Order creation date (in UTC)
 `order_fill_date` | datetime |  Order fill date **use `order_fill_utc` instead**

freqtrade/optimize/backtesting.py

@@ -679,6 +679,7 @@ class Backtesting:
             remaining=amount,
             cost=amount * close_rate,
         )
+        order._trade_bt = trade
         trade.orders.append(order)
         return trade
 
@@ -901,8 +902,9 @@ class Backtesting:
                 amount=amount,
                 filled=0,
                 remaining=amount,
-                cost=stake_amount + trade.fee_open,
+                cost=amount * propose_rate + trade.fee_open,
             )
+            order._trade_bt = trade
             trade.orders.append(order)
             if pos_adjust and self._get_order_filled(order.ft_price, row):
                 order.close_bt_order(current_time, trade)

freqtrade/persistence/trade_model.py

@@ -38,6 +38,7 @@ class Order(ModelBase):
     Mirrors CCXT Order structure
     """
     __tablename__ = 'orders'
+    __allow_unmapped__ = True
     session: ClassVar[SessionType]
 
     # Uniqueness should be ensured over pair, order_id
@@ -47,7 +48,8 @@ class Order(ModelBase):
     id: Mapped[int] = mapped_column(Integer, primary_key=True)
     ft_trade_id: Mapped[int] = mapped_column(Integer, ForeignKey('trades.id'), index=True)
 
-    trade: Mapped["Trade"] = relationship("Trade", back_populates="orders")
+    _trade_live: Mapped["Trade"] = relationship("Trade", back_populates="orders")
+    _trade_bt: "LocalTrade" = None  # type: ignore
 
     # order_side can only be 'buy', 'sell' or 'stoploss'
     ft_order_side: Mapped[str] = mapped_column(String(25), nullable=False)
@@ -119,6 +121,15 @@ class Order(ModelBase):
     def safe_amount_after_fee(self) -> float:
         return self.safe_filled - self.safe_fee_base
 
+    @property
+    def trade(self) -> "LocalTrade":
+        return self._trade_bt or self._trade_live
+
+    @property
+    def stake_amount(self) -> float:
+        """ Amount in stake currency used for this order"""
+        return self.safe_amount * self.safe_price / self.trade.leverage
+
     def __repr__(self):
 
         return (f"Order(id={self.id}, trade={self.ft_trade_id}, order_id={self.order_id}, "

tests/optimize/test_backtesting.py

@@ -601,6 +601,9 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
 
     trade = backtesting._enter_trade(pair, row=row, direction='short')
     assert pytest.approx(trade.liquidation_price) == 0.11787191
+    assert pytest.approx(trade.orders[0].cost) == (
+        trade.stake_amount * trade.leverage + trade.fee_open)
+    assert pytest.approx(trade.orders[-1].stake_amount) == trade.stake_amount
 
     # Stake-amount too high!
     mocker.patch(f"{EXMS}.get_min_pair_stake_amount", return_value=600.0)

tests/persistence/test_persistence.py

@@ -563,14 +563,14 @@ def test_calc_open_close_trade_price(
     trade.open_order_id = f'something-{is_short}-{lev}-{exchange}'
 
     oobj = Order.parse_from_ccxt_object(entry_order, 'ADA/USDT', trade.entry_side)
-    oobj.trade = trade
+    oobj._trade_live = trade
     oobj.update_from_ccxt_object(entry_order)
     trade.update_trade(oobj)
 
     trade.funding_fees = funding_fees
 
     oobj = Order.parse_from_ccxt_object(exit_order, 'ADA/USDT', trade.exit_side)
-    oobj.trade = trade
+    oobj._trade_live = trade
     oobj.update_from_ccxt_object(exit_order)
     trade.update_trade(oobj)
 

tests/test_integration.py

@@ -429,6 +429,7 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, leverage, fee, mocker)
     assert pytest.approx(trade.stop_loss) == 1.99 * (1 - 0.1 / leverage)
     assert pytest.approx(trade.initial_stop_loss) == 1.96 * (1 - 0.1 / leverage)
     assert trade.initial_stop_loss_pct == -0.1
+    assert pytest.approx(trade.orders[-1].stake_amount) == trade.stake_amount
 
     # 2nd order - not filling
     freqtrade.strategy.adjust_trade_position = MagicMock(return_value=120)