[Staggered] use dynamic order fees when available

Trading/Mode/grid_trading_mode/grid_trading.py

@@ -137,12 +137,12 @@ def init_user_inputs(self, inputs: dict) -> None:
                   "total order cost (price * volume).",
         )
         self.UI.user_input(
-            self.CONFIG_REINVEST_PROFITS, commons_enums.UserInputTypes.BOOLEAN,
-            default_config[self.CONFIG_REINVEST_PROFITS], inputs,
+            self.CONFIG_IGNORE_EXCHANGE_FEES, commons_enums.UserInputTypes.BOOLEAN,
+            default_config[self.CONFIG_IGNORE_EXCHANGE_FEES], inputs,
             parent_input_name=self.CONFIG_PAIR_SETTINGS,
-            title="Reinvest profits: when checked, profits will be included in mirror orders resulting in maximum "
-                  "size mirror orders. When unchecked, a part of the total volume will be reduced to take "
-                  "exchange fees into account. WARNING: incompatible with fixed volume on mirror orders.",
+            title="Ignore exchange fees: when checked, exchange fees won't be considered when creating mirror orders. "
+                  "When unchecked, a part of the total volume will be reduced to take exchange "
+                  "fees into account.",
         )
         self.UI.user_input(
             self.CONFIG_MIRROR_ORDER_DELAY, commons_enums.UserInputTypes.FLOAT,
@@ -157,7 +157,7 @@ def init_user_inputs(self, inputs: dict) -> None:
             default_config[self.CONFIG_USE_FIXED_VOLUMES_FOR_MIRROR_ORDERS], inputs,
             parent_input_name=self.CONFIG_PAIR_SETTINGS,
             title="Fixed volume on mirror orders: when checked, sell and buy orders volume settings will be used for "
-                  "mirror orders. WARNING: incompatible with profits reinvesting.",
+                  "mirror orders. WARNING: incompatible with 'Ignore exchange fees'.",
         )
         self.UI.user_input(
             self.CONFIG_USE_EXISTING_ORDERS_ONLY, commons_enums.UserInputTypes.BOOLEAN,
@@ -188,7 +188,7 @@ def get_default_pair_config(self, symbol, flat_spread, flat_increment) -> dict:
           self.CONFIG_STARTING_PRICE: 0,
           self.CONFIG_BUY_VOLUME_PER_ORDER: 0,
           self.CONFIG_SELL_VOLUME_PER_ORDER: 0,
-          self.CONFIG_REINVEST_PROFITS: False,
+          self.CONFIG_IGNORE_EXCHANGE_FEES: False,
           self.CONFIG_MIRROR_ORDER_DELAY: 0,
           self.CONFIG_USE_FIXED_VOLUMES_FOR_MIRROR_ORDERS: False,
           self.CONFIG_USE_EXISTING_ORDERS_ONLY: False,
@@ -278,8 +278,11 @@ def read_config(self):
                                                                                        self.buy_volume_per_order)))
         self.limit_orders_count_if_necessary = \
             self.symbol_trading_config.get(self.trading_mode.LIMIT_ORDERS_IF_NECESSARY, True)
-        self.reinvest_profits = self.symbol_trading_config.get(self.trading_mode.CONFIG_REINVEST_PROFITS,
-                                                               self.reinvest_profits)
+        # tmp: ensure "reinvest_profits" legacy param still works
+        self.ignore_exchange_fees = self.symbol_trading_config.get("reinvest_profits", self.ignore_exchange_fees)
+        # end tmp
+        self.ignore_exchange_fees = self.symbol_trading_config.get(self.trading_mode.CONFIG_IGNORE_EXCHANGE_FEES,
+                                                                   self.ignore_exchange_fees)
         self.use_fixed_volume_for_mirror_orders = self.symbol_trading_config.get(
             self.trading_mode.CONFIG_USE_FIXED_VOLUMES_FOR_MIRROR_ORDERS,
             self.use_fixed_volume_for_mirror_orders

Trading/Mode/staggered_orders_trading_mode/config/StaggeredOrdersTradingMode.json

@@ -11,7 +11,7 @@
     "allow_instant_fill": true,
     "operational_depth": 100,
     "mirror_order_delay": 0,
-    "reinvest_profits": false,
+    "ignore_exchange_fees": false,
     "use_existing_orders_only": false
     },
   {
@@ -24,7 +24,7 @@
     "allow_instant_fill": true,
     "operational_depth": 50,
     "mirror_order_delay": 0,
-    "reinvest_profits": false,
+    "ignore_exchange_fees": false,
     "use_existing_orders_only": false
   },
   {
@@ -37,7 +37,7 @@
     "allow_instant_fill": true,
     "operational_depth": 50,
     "mirror_order_delay": 0,
-    "reinvest_profits": false,
+    "ignore_exchange_fees": false,
     "use_existing_orders_only": false
   }
   ]

Trading/Mode/staggered_orders_trading_mode/staggered_orders_trading.py

@@ -118,7 +118,7 @@ class StaggeredOrdersTradingMode(trading_modes.AbstractTradingMode):
     CONFIG_SELL_FUNDS = "sell_funds"
     CONFIG_SELL_VOLUME_PER_ORDER = "sell_volume_per_order"
     CONFIG_BUY_VOLUME_PER_ORDER = "buy_volume_per_order"
-    CONFIG_REINVEST_PROFITS = "reinvest_profits"
+    CONFIG_IGNORE_EXCHANGE_FEES = "ignore_exchange_fees"
     CONFIG_USE_FIXED_VOLUMES_FOR_MIRROR_ORDERS = "use_fixed_volume_for_mirror_orders"
     CONFIG_DEFAULT_SPREAD_PERCENT = 1.5
     CONFIG_DEFAULT_INCREMENT_PERCENT = 0.5
@@ -189,10 +189,10 @@ def init_user_inputs(self, inputs: dict) -> None:
                   "is filled. This can generate extra profits on quick market moves.",
         )
         self.UI.user_input(
-            self.CONFIG_REINVEST_PROFITS, commons_enums.UserInputTypes.BOOLEAN, False, inputs,
+            self.CONFIG_IGNORE_EXCHANGE_FEES, commons_enums.UserInputTypes.BOOLEAN, False, inputs,
             parent_input_name=self.CONFIG_PAIR_SETTINGS,
-            title="Reinvest profits: when checked, profits will be included in mirror orders resulting in maximum "
-                  "size mirror orders. When unchecked, a part of the total volume will be reduced to take exchange "
+            title="Ignore exchange fees: when checked, exchange fees won't be considered when creating mirror orders. "
+                  "When unchecked, a part of the total volume will be reduced to take exchange "
                   "fees into account.",
         )
         self.UI.user_input(
@@ -509,7 +509,7 @@ def __init__(self, channel, config, trading_mode, exchange_manager):
         self.symbol_trading_config = None
 
         self.use_existing_orders_only = self.limit_orders_count_if_necessary = \
-            self.reinvest_profits = self.use_fixed_volume_for_mirror_orders = False
+            self.ignore_exchange_fees = self.use_fixed_volume_for_mirror_orders = False
         self.mode = self.spread \
             = self.increment = self.operational_depth \
             = self.lowest_buy = self.highest_sell \
@@ -581,8 +581,11 @@ def read_config(self):
                                                                             self.buy_funds)))
         self.sell_funds = decimal.Decimal(str(self.symbol_trading_config.get(self.trading_mode.CONFIG_SELL_FUNDS,
                                                                              self.sell_funds)))
-        self.reinvest_profits = self.symbol_trading_config.get(self.trading_mode.CONFIG_REINVEST_PROFITS,
-                                                               self.reinvest_profits)
+        # tmp: ensure "reinvest_profits" legacy param still works
+        self.ignore_exchange_fees = self.symbol_trading_config.get("reinvest_profits", self.ignore_exchange_fees)
+        # end tmp
+        self.ignore_exchange_fees = self.symbol_trading_config.get(self.trading_mode.CONFIG_IGNORE_EXCHANGE_FEES,
+                                                                   self.ignore_exchange_fees)
 
     async def start(self) -> None:
         await super().start()
@@ -704,7 +707,8 @@ async def order_filled_callback(self, filled_order):
         filled_price = decimal.Decimal(str(filled_order[trading_enums.ExchangeConstantsOrderColumns.PRICE.value]))
         filled_volume = decimal.Decimal(str(filled_order[trading_enums.ExchangeConstantsOrderColumns.FILLED.value]))
         price = filled_price + price_increment if now_selling else filled_price - price_increment
-        volume = self._compute_mirror_order_volume(now_selling, filled_price, price, filled_volume)
+        fee = filled_order[trading_enums.ExchangeConstantsOrderColumns.FEE.value]
+        volume = self._compute_mirror_order_volume(now_selling, filled_price, price, filled_volume, fee)
         new_order = OrderData(new_side, volume, price, self.symbol, False, associated_entry_id)
         self.logger.debug(f"Creating mirror order: {new_order} after filled order: {filled_order}")
         if self.mirror_order_delay == 0 or trading_api.get_is_backtesting(self.exchange_manager):
@@ -717,7 +721,7 @@ async def order_filled_callback(self, filled_order):
                 self._lock_portfolio_and_create_order_when_possible(new_order, filled_price)
             ))
 
-    def _compute_mirror_order_volume(self, now_selling, filled_price, target_price, filled_volume):
+    def _compute_mirror_order_volume(self, now_selling, filled_price, target_price, filled_volume, paid_fees: dict):
         # use target volumes if set
         if self.sell_volume_per_order != trading_constants.ZERO and now_selling:
             return self.sell_volume_per_order
@@ -729,12 +733,23 @@ def _compute_mirror_order_volume(self, now_selling, filled_price, target_price,
             # buying => adapt order quantity
             new_order_quantity = filled_price / target_price * filled_volume
         # use max possible volume
-        if self.reinvest_profits:
+        if self.ignore_exchange_fees:
             return new_order_quantity
         # remove exchange fees
-        quantity_change = self.max_fees
-        quantity = new_order_quantity * (1 - quantity_change)
-        return quantity
+        if paid_fees:
+            base, quote = symbol_util.parse_symbol(self.symbol).base_and_quote()
+            fees_in_base = trading_personal_data.get_fees_for_currency(paid_fees, base)
+            fees_in_base += trading_personal_data.get_fees_for_currency(paid_fees, quote) / filled_price
+            if fees_in_base == trading_constants.ZERO:
+                self.logger.debug(
+                    f"Zero fees for trade on {self.symbol}"
+                )
+        else:
+            self.logger.debug(
+                f"No fees given to compute {self.symbol} mirror order size, using default ratio of {self.max_fees}"
+            )
+            fees_in_base = new_order_quantity * self.max_fees
+        return new_order_quantity - fees_in_base
 
     async def _lock_portfolio_and_create_order_when_possible(self, new_order, filled_price):
         await asyncio.wait_for(self.allowed_mirror_orders.wait(), timeout=None)
@@ -1335,7 +1350,9 @@ def _get_quantity_from_recent_trades(self, price, max_quantity, recent_trades, c
         if trade is None:
             return None
         now_selling = trade.side == trading_enums.TradeOrderSide.BUY
-        return self._compute_mirror_order_volume(now_selling, trade.executed_price, price, trade.executed_quantity)
+        return self._compute_mirror_order_volume(
+            now_selling, trade.executed_price, price, trade.executed_quantity, trade.fee
+        )
 
     def _get_associated_trade(self, price, trades, selling):
         increment_window = self.flat_increment / 4

Trading/Mode/staggered_orders_trading_mode/tests/test_staggered_orders_trading_mode.py

@@ -1148,35 +1148,74 @@ async def test_order_fill_callback_with_mirror_delay():
 async def test_compute_mirror_order_volume():
     async with _get_tools("BTC/USD", fees=0) as tools:
         producer, _, exchange_manager = tools
-        # no profit reinvesting
+        # no ignore_exchange_fees
         # no fixed volumes
-        producer.reinvest_profits = producer.use_fixed_volume_for_mirror_orders = False
+        producer.ignore_exchange_fees = producer.use_fixed_volume_for_mirror_orders = False
         # 1% max fees
-        producer.max_fees = 0.01
+        producer.max_fees = decimal.Decimal("0.01")
         # take exchange fees into account
-        assert producer._compute_mirror_order_volume(True, 100, 120, 2) == 2 * (1 - producer.max_fees)
-        assert producer._compute_mirror_order_volume(False, 100, 80, 2) == 2 * (100 / 80) * (1 - producer.max_fees)
+        assert producer._compute_mirror_order_volume(
+            True, decimal.Decimal("100"), decimal.Decimal("120"), decimal.Decimal("2"), None
+        ) == 2 * (1 - producer.max_fees)
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), {}
+        ) == 2 * (decimal.Decimal("100") / decimal.Decimal("80")) * (1 - producer.max_fees)
+        # with given fees
+        fees = {
+            trading_enums.FeePropertyColumns.COST.value: decimal.Decimal("0.032"),
+            trading_enums.FeePropertyColumns.CURRENCY.value: "BTC"
+        }
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), fees
+        ) == 2 * (decimal.Decimal("100") / decimal.Decimal("80")) - decimal.Decimal("0.032")
+        fees = {
+            trading_enums.FeePropertyColumns.COST.value: decimal.Decimal("2.3"),
+            trading_enums.FeePropertyColumns.CURRENCY.value: "USD"
+        }
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), fees
+        ) == 2 * (decimal.Decimal("100") / decimal.Decimal("80")) - (decimal.Decimal("2.3") / decimal.Decimal("100"))
 
-        # with profits reinvesting
-        producer.reinvest_profits = True
+        # with ignore_exchange_fees
+        producer.ignore_exchange_fees = True
         # consider fees already taken, sell everything
-        assert producer._compute_mirror_order_volume(True, 100, 120, 2) == 2
-        assert producer._compute_mirror_order_volume(False, 100, 80, 2) == 2 * (100 / 80)
+        assert producer._compute_mirror_order_volume(
+            True, decimal.Decimal("100"), decimal.Decimal("120"), decimal.Decimal("2"), None
+        ) == 2
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), {}
+        ) == 2 * (decimal.Decimal("100") / decimal.Decimal("80"))
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), fees
+        ) == 2 * (decimal.Decimal("100") / decimal.Decimal("80"))
 
         # with fixed volumes
-        producer.reinvest_profits = False
+        producer.ignore_exchange_fees = False
         producer.sell_volume_per_order = 3
         # consider fees already taken, sell everything
-        assert producer._compute_mirror_order_volume(True, 100, 120, 2) == 3
+        assert producer._compute_mirror_order_volume(
+            True, decimal.Decimal("100"), decimal.Decimal("120"), decimal.Decimal("2"), fees
+        ) == 3
         # buy order
-        assert producer._compute_mirror_order_volume(False, 100, 80, 2) == 2 * (100 / 80) * (1 - producer.max_fees)
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), None
+        ) == 2 * (decimal.Decimal("100") / decimal.Decimal("80")) * (1 - producer.max_fees)
         producer.buy_volume_per_order = 5
-        assert producer._compute_mirror_order_volume(False, 100, 80, 2) == 5
-
-        # with fixed volumes and profits reinvesting
-        producer.reinvest_profits = True
-        assert producer._compute_mirror_order_volume(True, 100, 120, 2) == 3
-        assert producer._compute_mirror_order_volume(False, 100, 80, 2) == 5
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), {}
+        ) == 5
+
+        # with fixed volumes and ignore_exchange_fees
+        producer.ignore_exchange_fees = True
+        assert producer._compute_mirror_order_volume(
+            True, decimal.Decimal("100"), decimal.Decimal("120"), decimal.Decimal("2"), None
+        ) == 3
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), {}
+        ) == 5
+        assert producer._compute_mirror_order_volume(
+            False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("2"), fees
+        ) == 5
 
 
 async def test_create_order():

profiles/grid_trading/specific_config/GridTradingMode.json

@@ -12,7 +12,7 @@
       "starting_price": 0,
       "buy_volume_per_order": 0,
       "sell_volume_per_order": 0,
-      "reinvest_profits": false,
+      "ignore_exchange_fees": false,
       "use_fixed_volume_for_mirror_orders": false,
       "mirror_order_delay": 0,
       "use_existing_orders_only": false
@@ -28,7 +28,7 @@
       "starting_price": 0,
       "buy_volume_per_order": 0,
       "sell_volume_per_order": 0,
-      "reinvest_profits": false,
+      "ignore_exchange_fees": false,
       "use_fixed_volume_for_mirror_orders": false,
       "mirror_order_delay": 0,
       "use_existing_orders_only": false
@@ -44,7 +44,7 @@
       "starting_price": 0,
       "buy_volume_per_order": 0,
       "sell_volume_per_order": 0,
-      "reinvest_profits": false,
+      "ignore_exchange_fees": false,
       "use_fixed_volume_for_mirror_orders": false,
       "mirror_order_delay": 0,
       "use_existing_orders_only": false

profiles/staggered_orders_trading/specific_config/StaggeredOrdersTradingMode.json

@@ -11,7 +11,7 @@
     "allow_instant_fill": true,
     "operational_depth": 100,
     "mirror_order_delay": 0,
-    "reinvest_profits": false,
+    "ignore_exchange_fees": false,
     "use_existing_orders_only": false
     },
   {
@@ -24,7 +24,7 @@
     "allow_instant_fill": true,
     "operational_depth": 50,
     "mirror_order_delay": 0,
-    "reinvest_profits": false,
+    "ignore_exchange_fees": false,
     "use_existing_orders_only": false
   },
   {
@@ -37,7 +37,7 @@
     "allow_instant_fill": true,
     "operational_depth": 50,
     "mirror_order_delay": 0,
-    "reinvest_profits": false,
+    "ignore_exchange_fees": false,
     "use_existing_orders_only": false
   }
   ]