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[Staggered] use dynamic order fees when available #1108

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merged 3 commits into from
Nov 18, 2023
Merged

[Staggered] use dynamic order fees when available #1108

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a83e298
[Staggered] use dynamic order fees when available
GuillaumeDSM Nov 18, 2023
b9d1852
[StaggeredOrders] add mirror order fees logs
GuillaumeDSM Nov 18, 2023
59d6cb8
[Staggered][Grid] rename reinvest_profits into ignore_exchange_fees
GuillaumeDSM Nov 18, 2023
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26 changes: 20 additions & 6 deletions Trading/Mode/staggered_orders_trading_mode/staggered_orders_trading.py
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Original file line number Diff line number Diff line change
Expand Up @@ -704,7 +704,8 @@ 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):
Expand All @@ -717,7 +718,7 @@ 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
Expand All @@ -732,9 +733,20 @@ def _compute_mirror_order_volume(self, now_selling, filled_price, target_price,
if self.reinvest_profits:
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)
Expand Down Expand Up @@ -1335,7 +1347,9 @@ 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
Expand Down
59 changes: 49 additions & 10 deletions Trading/Mode/staggered_orders_trading_mode/tests/test_staggered_orders_trading_mode.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1152,31 +1152,70 @@ async def test_compute_mirror_order_volume():
# no fixed volumes
producer.reinvest_profits = 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
# 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.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
assert producer._compute_mirror_order_volume(
False, decimal.Decimal("100"), decimal.Decimal("80"), decimal.Decimal("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(
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():
Expand Down