OctoBot-Trading 2.4.168__tar.gz → 2.4.169__tar.gz

{OctoBot-Trading-2.4.168 → OctoBot-Trading-2.4.169}/CHANGELOG.md

@@ -4,6 +4,10 @@ All notable changes to this project will be documented in this file.
 The format is based on [Keep a Changelog](https://keepachangelog.com/en/1.0.0/),
 and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0.html).
 
+## [2.4.169] - 2025-04-11
+### Fixed
+[Subportfolio] handle fees hedge cases for filled oreders deltas 
+
 ## [2.4.168] - 2025-04-01
 ### Updated
 [Subportfolio] handle locked funds from open orders

{OctoBot-Trading-2.4.168 → OctoBot-Trading-2.4.169/OctoBot_Trading.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: OctoBot-Trading
-Version: 2.4.168
+Version: 2.4.169
 Summary: OctoBot project trading package
 Home-page: https://github.com/Drakkar-Software/OctoBot-Trading
 Author: Drakkar-Software
@@ -16,7 +16,7 @@ Classifier: Operating System :: POSIX
 Requires-Python: >=3.8
 License-File: LICENSE
 
-# OctoBot-Trading [2.4.168](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
+# OctoBot-Trading [2.4.169](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
 [![Codacy Badge](https://api.codacy.com/project/badge/Grade/903b6b22bceb4661b608a86fea655f69)](https://app.codacy.com/gh/Drakkar-Software/OctoBot-Trading?utm_source=github.com&utm_medium=referral&utm_content=Drakkar-Software/OctoBot-Trading&utm_campaign=Badge_Grade_Dashboard)
 [![PyPI](https://img.shields.io/pypi/v/OctoBot-Trading.svg)](https://pypi.python.org/pypi/OctoBot-Trading/)
 [![Coverage Status](https://coveralls.io/repos/github/Drakkar-Software/OctoBot-Trading/badge.svg?branch=master)](https://coveralls.io/github/Drakkar-Software/OctoBot-Trading?branch=master)

{OctoBot-Trading-2.4.168/OctoBot_Trading.egg-info → OctoBot-Trading-2.4.169}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: OctoBot-Trading
-Version: 2.4.168
+Version: 2.4.169
 Summary: OctoBot project trading package
 Home-page: https://github.com/Drakkar-Software/OctoBot-Trading
 Author: Drakkar-Software
@@ -16,7 +16,7 @@ Classifier: Operating System :: POSIX
 Requires-Python: >=3.8
 License-File: LICENSE
 
-# OctoBot-Trading [2.4.168](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
+# OctoBot-Trading [2.4.169](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
 [![Codacy Badge](https://api.codacy.com/project/badge/Grade/903b6b22bceb4661b608a86fea655f69)](https://app.codacy.com/gh/Drakkar-Software/OctoBot-Trading?utm_source=github.com&utm_medium=referral&utm_content=Drakkar-Software/OctoBot-Trading&utm_campaign=Badge_Grade_Dashboard)
 [![PyPI](https://img.shields.io/pypi/v/OctoBot-Trading.svg)](https://pypi.python.org/pypi/OctoBot-Trading/)
 [![Coverage Status](https://coveralls.io/repos/github/Drakkar-Software/OctoBot-Trading/badge.svg?branch=master)](https://coveralls.io/github/Drakkar-Software/OctoBot-Trading?branch=master)

{OctoBot-Trading-2.4.168 → OctoBot-Trading-2.4.169}/README.md

@@ -1,4 +1,4 @@
-# OctoBot-Trading [2.4.168](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
+# OctoBot-Trading [2.4.169](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
 [![Codacy Badge](https://api.codacy.com/project/badge/Grade/903b6b22bceb4661b608a86fea655f69)](https://app.codacy.com/gh/Drakkar-Software/OctoBot-Trading?utm_source=github.com&utm_medium=referral&utm_content=Drakkar-Software/OctoBot-Trading&utm_campaign=Badge_Grade_Dashboard)
 [![PyPI](https://img.shields.io/pypi/v/OctoBot-Trading.svg)](https://pypi.python.org/pypi/OctoBot-Trading/)
 [![Coverage Status](https://coveralls.io/repos/github/Drakkar-Software/OctoBot-Trading/badge.svg?branch=master)](https://coveralls.io/github/Drakkar-Software/OctoBot-Trading?branch=master)

{OctoBot-Trading-2.4.168 → OctoBot-Trading-2.4.169}/octobot_trading/__init__.py

@@ -15,4 +15,4 @@
 #  License along with this library.
 
 PROJECT_NAME = "OctoBot-Trading"
-VERSION = "2.4.168"  # major.minor.revision
+VERSION = "2.4.169"  # major.minor.revision

{OctoBot-Trading-2.4.168 → OctoBot-Trading-2.4.169}/octobot_trading/personal_data/portfolios/portfolio_util.py

@@ -20,6 +20,7 @@ import typing
 import octobot_trading.personal_data.portfolios.asset as asset
 import octobot_trading.personal_data.portfolios.assets
 import octobot_trading.personal_data.orders.order as order_import
+import octobot_trading.personal_data.orders.order_util as order_util
 import octobot_trading.personal_data.portfolios.sub_portfolio_data as sub_portfolio_data
 import octobot_trading.constants as constants
 import octobot_trading.enums as enums
@@ -426,7 +427,8 @@ def _fill_missing_assets_from_allowed_filling_assets(
             if filling_asset in funds_deltas:
                 funds_deltas[filling_asset][commons_constants.PORTFOLIO_TOTAL] += funds_to_add_in_filling_asset
                 funds_deltas[filling_asset][commons_constants.PORTFOLIO_AVAILABLE] += funds_to_add_in_filling_asset
-            else:
+            elif funds_to_add_in_filling_asset != constants.ZERO:
+                # only add delta when delta is not 0
                 funds_deltas[filling_asset] = {
                     commons_constants.PORTFOLIO_TOTAL: funds_to_add_in_filling_asset,
                     commons_constants.PORTFOLIO_AVAILABLE: funds_to_add_in_filling_asset
@@ -472,7 +474,7 @@ def get_portfolio_filled_orders_deltas(
     updated_portfolio_content: dict[str, dict[str, decimal.Decimal]],
     filled_orders: list[order_import.Order]
 ) -> (dict[str, dict[str, decimal.Decimal]], dict[str, dict[str, decimal.Decimal]]):
-    orders_asset_deltas = _get_assets_delta_from_orders(filled_orders)
+    orders_asset_deltas, possible_fees_asset_deltas = _get_assets_delta_from_orders(filled_orders)
     portfolios_asset_deltas = _get_assets_delta_from_portfolio(previous_portfolio_content, updated_portfolio_content)
     # return portfolio asset deltas that can approximately be explained by given orders
     orders_linked_deltas = {}
@@ -501,9 +503,22 @@ def get_portfolio_filled_orders_deltas(
             # similar delta (+/- fees)
             # this delta is due to these orders: add it
             orders_linked_deltas[asset_name] = holdings_delta
+        elif (
+            # try while taking possible fees into account
+            # approx same value
+            asset_name in possible_fees_asset_deltas and (
+                abs(min_allowed_equivalent_total_holding)
+                < abs(order_asset_delta + possible_fees_asset_deltas[asset_name])
+                < abs(max_allowed_equivalent_total_holding)
+            )
+        ):
+            # similar delta considering fees
+            # this delta is due to these orders: add it
+            orders_linked_deltas[asset_name] = holdings_delta
         elif abs(order_asset_delta) > abs(max_allowed_equivalent_total_holding):
-            # too little in portfolio delta to be from those orders: add it to ignored_deltas: there should be
-            # something in delta but there is not, this is unexpected
+            # too little in portfolio delta to be from those orders
+            # As potential fees have already been taken into account, THIS IS UNEXPECTED.
+            # Add it to ignored_deltas
             ignored_deltas[asset_name] = holdings_delta
         elif abs(min_allowed_equivalent_total_holding) > abs(order_asset_delta):
             # too much in portfolio delta: only take what is linked to the orders deltas
@@ -545,10 +560,14 @@ def _get_assets_delta_from_portfolio(
 
 
 
-def _get_assets_delta_from_orders(orders: list[order_import.Order]) -> dict[str, decimal.Decimal]:
+def _get_assets_delta_from_orders(orders: list[order_import.Order]) -> (
+    dict[str, decimal.Decimal], dict[str, decimal.Decimal]
+):
     asset_deltas = {}
+    possible_fee_related_deltas = {}
     for order in orders:
         base, quote = symbol_util.parse_symbol(order.symbol).base_and_quote()
+        # order "expected" related deltas
         added_unit_and_amount = (
             (base, order.origin_quantity)
             if order.side is enums.TradeOrderSide.BUY else (quote, order.total_cost)
@@ -565,4 +584,12 @@ def _get_assets_delta_from_orders(orders: list[order_import.Order]) -> dict[str,
                 asset_deltas[unit_and_amount[0]] = unit_and_amount[1] * multiplier
             else:
                 asset_deltas[unit_and_amount[0]] += unit_and_amount[1] * multiplier
-    return asset_deltas
+        # order "probable" related deltas (account for worse case fees)
+        forecasted_fees = order.get_computed_fee(use_origin_quantity_and_price=True)
+        for fee_asset in (base, quote):
+            if asset_amount := order_util.get_fees_for_currency(forecasted_fees, fee_asset):
+                if fee_asset not in possible_fee_related_deltas:
+                    possible_fee_related_deltas[fee_asset] = -asset_amount
+                else:
+                    possible_fee_related_deltas[fee_asset] += -asset_amount
+    return asset_deltas, possible_fee_related_deltas

{OctoBot-Trading-2.4.168 → OctoBot-Trading-2.4.169}/tests/personal_data/portfolios/test_portfolio_util.py

@@ -245,13 +245,13 @@ def test_resolve_sub_portfolios_with_filling_assets():
                 # 62 = 40 (for USDT) + 22 (for 11 TRX)
                 _content({"BTC": 0.04, "USDC": 0, "USDT": 0, "TRX": 0}),
                 # BTC not considered as missing since the missing amount % is very low
-                funds_deltas=_content({"USDC": 0}),
+                funds_deltas={},
                 missing_funds=_missing_funds({"TRX": 11, "USDT": 40}),
             ),
             _sub_pf(
                 5,
                 _content({"ADA": 0, "ETH": 1, "USDC": 0, "USDT": 0}),
-                funds_deltas=_content({"USDC": 0}),
+                funds_deltas={},
                 missing_funds=_missing_funds({"ADA": 1199, "USDT": 4}),
             ),
         ]
@@ -337,6 +337,98 @@ def test_get_portfolio_filled_orders_deltas():
         error_log.assert_not_called()
 
 
+def test_get_portfolio_filled_orders_deltas_considering_fees():
+    pre_trade_content = _content({"BTC": 0.1, "USDT": 600.2})
+    post_trade_content = _content({"BTC": 0.2, "USDT": 50.2})    # paid 50 USDT in fees
+    error_log = mock.Mock()
+    with mock.patch.object(octobot_commons.logging, "get_logger", mock.Mock(return_value=mock.Mock(error=error_log))):
+        # no filled order
+        assert personal_data.get_portfolio_filled_orders_deltas(pre_trade_content, post_trade_content, []) == (
+            {}, {}
+        )
+        error_log.assert_not_called()
+
+        # with fees: delta is found
+        filled_orders = [
+            _order("BTC/USDT", 0.06, 100, "buy", {"USDT": 25}),
+            _order("BTC/USDT", 0.05, 450, "buy", {"USDT": 25}),
+            _order("BTC/USDT", 0.01, 50, "sell", {"BTC": 0.0000001}),
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            # all orders found in deltas because fees have been taken into account
+            _content({"BTC": 0.1, "USDT": -550}),
+            {}
+        )
+        error_log.assert_not_called()
+
+        # without fees explanation
+        filled_orders = [
+            _order("BTC/USDT", 0.06, 100, "buy", {"USDT": 0.025}),
+            _order("BTC/USDT", 0.05, 450, "buy", {"USDT": 0.025}),
+            _order("BTC/USDT", 0.01, 50, "sell", {"BTC": 0.0000001}),
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            # fees can't explain the additional -50 only consider -500
+            _content({"BTC": 0.1, "USDT": -500}),
+            {}
+        )
+        error_log.assert_not_called()
+
+        # with small numbers
+        pre_trade_content = _content({"BTC": 0.1, "USDT": 0.2})
+        post_trade_content = _content({"BTC": 0.089, "USDT": 0.1})    # paid 0.1 USDT and 0.001 BTC in fees
+        filled_orders = [
+            _order("BTC/USDT", 0.1, 100, "sell", {"USDT": 0.1}),
+            _order("BTC/USDT", 0.09, 100, "buy", {"BTC": 0.001}),
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            _content({"BTC": -0.011, "USDT": -0.1}),
+            {}
+        )
+        error_log.assert_not_called()
+
+        # with USDT holdings increasing
+
+        # A. return ignored assets because no explaining fees
+        pre_trade_content = _content({"BTC": 0.1, "USDT": 0.2})
+        post_trade_content = _content({"BTC": 0.089, "USDT": 0.8})
+        filled_orders = [
+            _order("BTC/USDT", 0.1, 100, "sell", {"USDT": 0.000001}),
+            _order("BTC/USDT", 0.09, 99.3, "buy", {"BTC": 0.000000001}),
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            # 0.6 is NOT explained by 0.7 from order delta - 0.000001 fees
+            _content({"BTC": -0.01}),   # takes a bit too much of post trade portfolio (fees are not considered),
+            # will be adapted later on if necessary
+            _content({"USDT": 0.6}) # ignored assets
+        )
+        error_log.assert_not_called()
+
+        # B. success with  explaining fees
+        pre_trade_content = _content({"BTC": 0.1, "USDT": 0.2})
+        post_trade_content = _content({"BTC": 0.089, "USDT": 0.8})
+        filled_orders = [
+            _order("BTC/USDT", 0.1, 100, "sell", {"USDT": 0.1}),
+            _order("BTC/USDT", 0.09, 99.3, "buy", {"BTC": 0.001}),
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            # 0.6 is explained by 0.7 from order delta - 0.1 fees
+            _content({"BTC": -0.011, "USDT": 0.6}),
+            {}
+        )
+        error_log.assert_not_called()
+
+
 def test_resolve_sub_portfolios_with_filling_assets_with_locked_funds():
     master_pf = _sub_pf(
         0,
@@ -441,7 +533,7 @@ def _missing_funds(funds: dict[str, float]) -> dict[str, decimal.Decimal]:
         for key, val in funds.items()
     }
 
-def _order(symbol: str, quantity: float, cost: float, side: str) -> personal_data.Order:
+def _order(symbol: str, quantity: float, cost: float, side: str, fee: dict = None) -> personal_data.Order:
     trader = mock.Mock(exchange_manager=mock.Mock())
     order = personal_data.Order(trader)
     order.symbol = symbol
@@ -449,6 +541,11 @@ def _order(symbol: str, quantity: float, cost: float, side: str) -> personal_dat
     order.total_cost = decimal.Decimal(str(cost))
     order.origin_price = order.total_cost / order.origin_quantity
     order.side = enums.TradeOrderSide(side)
+    order.get_computed_fee = mock.Mock(return_value={
+        enums.FeePropertyColumns.COST.value: decimal.Decimal(str(next(iter(fee.values())) if fee else 0)),
+        enums.FeePropertyColumns.CURRENCY.value: next(iter(fee.keys())) if fee else None,
+        enums.FeePropertyColumns.IS_FROM_EXCHANGE.value: False,
+    })
     return order
 
 def _open_order(symbol: str, quantity: float, cost: float, side: str, fee_cost: float, fee_unit: str) -> personal_data.Order: