Merge pull request #17 from Pasta-fantasia/16-error-cant-create-stop-…

…loss-grouped_amount_canceled_orders_and_new_trades

fix: [ERROR] Can't create stop loss grouped_amount_canceled_orders_an…

CHANGELOG.md

@@ -1,3 +1,6 @@
+# 0.1.3
+- fix: [ERROR] Can't create stop loss grouped_amount_canceled_orders_and_new_trades #16
+
 # 0.1.2
 - fix: [ERROR] Error creating market sell order: binance Account has insufficient balance for requested action. #14
 

elena_basics/strategies/common_sl_budget.py

@@ -125,7 +125,7 @@ def _cancel_active_orders_with_lower_stop_loss(self, new_stop_loss: float) -> fl
                     self._logger.error(f"Error canceling order: {order.id}.")
         return total_amount_canceled_orders, canceled_orders
 
-    def manage_trailing_stop_losses(self, data: pd.DataFrame, estimated_close_price: float, band_length: float,
+    def manage_trailing_stop_losses(self, data: pd.DataFrame, estimated_close_price: float, base_free: float, band_length: float,
                                     band_mult: float, band_low_pct: float, minimal_benefit_to_start_trailing: float,
                                     min_price_to_start_trailing: float):
         # TRAILING STOP LOGIC
@@ -144,14 +144,12 @@ def manage_trailing_stop_losses(self, data: pd.DataFrame, estimated_close_price:
         self._metrics_manager.gauge("stop_price", self.id, stop_price, ["indicator"])
 
         if stop_price < new_stop_loss * 0.8:
-            self._logger.error(
-                f"price ({stop_price}) is too far from new_stop_loss({new_stop_loss}) it may happend on test envs.")
+            self._logger.error(f"price ({stop_price}) is too far from new_stop_loss({new_stop_loss}) it may happend on test envs.")
             new_stop_loss = 0
             stop_price = 0
 
         if new_stop_loss > estimated_close_price:
-            self._logger.warning(
-                f"new_stop_loss ({new_stop_loss}) should be never higher than last_close({estimated_close_price})")
+            self._logger.warning(f"new_stop_loss ({new_stop_loss}) should be never higher than last_close({estimated_close_price})")
             new_stop_loss = 0
             stop_price = 0
 
@@ -169,8 +167,16 @@ def manage_trailing_stop_losses(self, data: pd.DataFrame, estimated_close_price:
         grouped_amount_canceled_orders_and_new_trades = total_amount_canceled_orders + new_trades_on_limit_amount
 
         if grouped_amount_canceled_orders_and_new_trades >= self.limit_min_amount():
-            new_order = self.stop_loss(amount=grouped_amount_canceled_orders_and_new_trades, stop_price=new_stop_loss,
-                                       price=stop_price)
+            # verify balance
+            max_sell = min(grouped_amount_canceled_orders_and_new_trades, base_free)
+            if max_sell < grouped_amount_canceled_orders_and_new_trades:
+                sale_diff = grouped_amount_canceled_orders_and_new_trades - max_sell
+                self._logger.error(f"Stop loss amount is higher than balance. Balance: {max_sell} but trying to sell {grouped_amount_canceled_orders_and_new_trades}.")
+                grouped_amount_canceled_orders_and_new_trades = max_sell
+            else:
+                sale_diff = 0.0
+
+            new_order = self.stop_loss(amount=grouped_amount_canceled_orders_and_new_trades, stop_price=new_stop_loss,price=stop_price)
 
             if new_order:
                 canceled_orders.append("new_grouped_order")
@@ -180,6 +186,13 @@ def manage_trailing_stop_losses(self, data: pd.DataFrame, estimated_close_price:
                     if trade.exit_order_id in canceled_orders:
                         trade.exit_order_id = new_order.id
                         trade.exit_price = new_stop_loss  # not real until the stop loss really executes.
+                        if sale_diff > 0:
+                            if trade.size >= sale_diff:
+                                self._logger.error(f"Trade ID: {trade.id}, size {trade.size} changed to {trade.size - sale_diff}")
+                                trade.size = self.amount_to_precision(trade.size - sale_diff)
+                                sale_diff = 0.0
+                if sale_diff > 0:
+                    self._logger.error(f"After checking all trades {sale_diff} was higher than any trade... that's not a rounding problem.")
             else:
                 # TODO
                 self._logger.error("Can't create stop loss grouped_amount_canceled_orders_and_new_trades ")

elena_basics/strategies/dca_conditional_lr_trailing_stop.py

@@ -74,6 +74,9 @@ def next(self) -> BotStatus:
             self._logger.error("Cannot get balance")
             return
 
+        base_symbol = self.pair.base
+        base_free = balance.currencies[base_symbol].free
+
         data_points = int(max(self.lr_buy_longitude,self.band_length) + 10)  # make sure we ask the enough data for the indicator
         data = self.read_candles(page_size=data_points)
 
@@ -86,6 +89,6 @@ def next(self) -> BotStatus:
             self.buy_based_on_budget(balance, estimated_close_price, min_amount, min_cost, self.spend_on_order)
 
         # TRAILING STOP LOGIC
-        self.manage_trailing_stop_losses(data, estimated_close_price, self.band_length, self.band_mult, self.band_low_pct, self.minimal_benefit_to_start_trailing, self.min_price_to_start_trailing)
+        self.manage_trailing_stop_losses(data, estimated_close_price, base_free, self.band_length, self.band_mult, self.band_low_pct, self.minimal_benefit_to_start_trailing, self.min_price_to_start_trailing)
 
         return self.status

elena_basics/strategies/noise.py

@@ -111,6 +111,9 @@ def next(self) -> BotStatus:
             self._logger.error("Cannot get balance")
             return
 
+        base_symbol = self.pair.base
+        base_free = balance.currencies[base_symbol].free
+
         # https://github.com/twopirllc/pandas-ta/issues/523
         # In this case, macd aborts further calculation since close.size < slow + signal - 1 (32 < 26 + 9 - 1 = 34)
 
@@ -158,15 +161,12 @@ def next(self) -> BotStatus:
 
             if sell_size > 0:
                 # verify balance
-                base_symbol = self.pair.base
-                # poner una sell size mayor para forzar la lógica
-                base_free = balance.currencies[base_symbol].free
                 max_sell = min(sell_size, base_free)
                 if max_sell < sell_size:
                     sale_diff = sell_size - max_sell
                     trade = trades_to_close[0]
                     self._logger.error(f"Selling too much, balance is {max_sell} but trying to sell {sell_size}. Trade ID: {trade.id}, size {trade.size} changed to {trade.size - sale_diff}")
-                    trade.size = trade.size - sale_diff
+                    trade.size = self.amount_to_precision(trade.size - sale_diff)
                     sell_size = max_sell
 
                 for order_id in orders_to_cancel:
@@ -202,6 +202,6 @@ def next(self) -> BotStatus:
 
 
         # TRAILING STOP LOGIC
-        self.manage_trailing_stop_losses(data, estimated_close_price, self.sell_band_length, self.sell_band_mult, self.sell_band_low_pct, self.minimal_benefit_to_start_trailing, self.min_price_to_start_trailing)
+        self.manage_trailing_stop_losses(data, estimated_close_price, base_free, self.sell_band_length, self.sell_band_mult, self.sell_band_low_pct, self.minimal_benefit_to_start_trailing, self.min_price_to_start_trailing)
 
         return self.status

setup.cfg

@@ -1,6 +1,6 @@
 [metadata]
 name = elena_basics
-version = 0.1.2
+version = 0.1.3
 author = "L Software Foundation"
 author_email = "fransimo@gmail.com, pjover@gmail.com"
 description = Sample project to link L + CCTX + Backtesting.py