OctoBot-Trading 2.4.173__tar.gz → 2.4.174__tar.gz

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/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).
 
+## [2.4.174] - 2025-05-13
+### Fixed
+[Portfolio] handle portfolia deltas hedge cases
+
 ## [2.4.173] - 2025-04-24
 ### Fixed
 [TradingMode] add skip_portfolio_available_check_before_creating_orders

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174/OctoBot_Trading.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: OctoBot-Trading
-Version: 2.4.173
+Version: 2.4.174
 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 [2.4.173](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
+# OctoBot-Trading [2.4.174](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-2.4.173/OctoBot_Trading.egg-info → OctoBot-Trading-2.4.174}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.1
 Name: OctoBot-Trading
-Version: 2.4.173
+Version: 2.4.174
 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 [2.4.173](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
+# OctoBot-Trading [2.4.174](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-2.4.173 → OctoBot-Trading-2.4.174}/README.md

@@ -1,4 +1,4 @@
-# OctoBot-Trading [2.4.173](https://github.com/Drakkar-Software/OctoBot-Trading/blob/master/CHANGELOG.md)
+# OctoBot-Trading [2.4.174](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-2.4.173 → OctoBot-Trading-2.4.174}/octobot_trading/__init__.py

@@ -15,4 +15,4 @@
 #  License along with this library.
 
 PROJECT_NAME = "OctoBot-Trading"
-VERSION = "2.4.173"  # major.minor.revision
+VERSION = "2.4.174"  # major.minor.revision

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/octobot_trading/api/__init__.py

@@ -173,6 +173,7 @@ from octobot_trading.api.portfolio import (
     is_usd_like_coin,
     resolve_sub_portfolios,
     get_portfolio_filled_orders_deltas,
+    get_assets_delta_from_orders,
     get_global_portfolio_currencies_values,
 )
 from octobot_trading.api.profitability import (
@@ -365,6 +366,7 @@ __all__ = [
     "is_usd_like_coin",
     "resolve_sub_portfolios",
     "get_portfolio_filled_orders_deltas",
+    "get_assets_delta_from_orders",
     "get_global_portfolio_currencies_values",
     "get_origin_portfolio_value",
     "get_profitability_stats",

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/octobot_trading/api/portfolio.py

@@ -142,3 +142,9 @@ def get_portfolio_filled_orders_deltas(
     return personal_data.get_portfolio_filled_orders_deltas(
         previous_portfolio_content, updated_portfolio_content, filled_orders
     )
+
+
+def get_assets_delta_from_orders(
+    orders: list[personal_data.Order]
+) -> (dict[str, decimal.Decimal], dict[str, decimal.Decimal], dict[str, decimal.Decimal]):
+    return personal_data.get_assets_delta_from_orders(orders)

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/octobot_trading/modes/channel/abstract_mode_producer.py

@@ -135,7 +135,8 @@ class AbstractTradingModeProducer(modes_channel.ModeChannelProducer):
             await self.inner_start()
         finally:
             self.logger.debug(
-                f"Ready to trade on {self.exchange_manager.exchange_name}, symbol: {self.trading_mode.symbol}"
+                f"Ready to trade on {self.exchange_manager.exchange_name if self.exchange_manager else ''}, "
+                f"symbol: {self.trading_mode.symbol if self.trading_mode.symbol else ''}"
             )
             self._is_ready_to_trade.set()
 

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/octobot_trading/personal_data/__init__.py

@@ -161,6 +161,7 @@ from octobot_trading.personal_data.portfolios import (
     get_asset_price_from_converter_or_tickers,
     resolve_sub_portfolios,
     get_portfolio_filled_orders_deltas,
+    get_assets_delta_from_orders,
     HistoricalAssetValue,
     HistoricalPortfolioValueManager,
     SubPortfolioData,
@@ -433,6 +434,7 @@ __all__ = [
     "get_asset_price_from_converter_or_tickers",
     "resolve_sub_portfolios",
     "get_portfolio_filled_orders_deltas",
+    "get_assets_delta_from_orders",
     "AUTHENTICATED_UPDATER_PRODUCERS",
     "AUTHENTICATED_UPDATER_SIMULATOR_PRODUCERS",
     "TraderOrderTypeClasses",

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/octobot_trading/personal_data/portfolios/__init__.py

@@ -85,6 +85,7 @@ from octobot_trading.personal_data.portfolios.portfolio_util import (
     get_asset_price_from_converter_or_tickers,
     resolve_sub_portfolios,
     get_portfolio_filled_orders_deltas,
+    get_assets_delta_from_orders,
 )
 from octobot_trading.personal_data.portfolios.history import (
     create_historical_asset_value_from_dict_like_object,
@@ -128,6 +129,7 @@ __all__ = [
     "get_asset_price_from_converter_or_tickers",
     "resolve_sub_portfolios",
     "get_portfolio_filled_orders_deltas",
+    "get_assets_delta_from_orders",
     "create_historical_asset_value_from_dict_like_object",
     "get_draw_down",
     "HistoricalAssetValue",

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/octobot_trading/personal_data/portfolios/portfolio_util.py

@@ -474,7 +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, possible_fees_asset_deltas = _get_assets_delta_from_orders(filled_orders)
+    orders_asset_deltas, expected_fee_related_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 = {}
@@ -491,7 +491,11 @@ def get_portfolio_filled_orders_deltas(
         max_allowed_equivalent_total_holding = (
             holding_total * (constants.ONE + constants.SUB_PORTFOLIO_ALLOWED_DELTA_RATIO)
         )
-        if order_asset_delta * min_allowed_equivalent_total_holding < 0:
+        if (
+            order_asset_delta * min_allowed_equivalent_total_holding < 0
+            and (order_asset_delta + possible_fees_asset_deltas.get(asset_name, constants.ZERO))
+                * min_allowed_equivalent_total_holding < 0
+        ):
             # different sign: incompatible, this is unexpected
             ignored_deltas[asset_name] = holdings_delta
         elif (
@@ -504,32 +508,60 @@ def get_portfolio_filled_orders_deltas(
             # 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)
+            # try while taking expected and lower than expected fees into account
+            asset_name in expected_fee_related_deltas and (
+                any(
+                    abs(min_allowed_equivalent_total_holding)
+                    # fees bring back the order delta into the expected portfolio delta window
+                    < abs(order_asset_delta + expected_fee)
+                    < abs(max_allowed_equivalent_total_holding)
+                    for expected_fee in (
+                        # try with smaller fees in case user is paying less fees (when having large volume)
+                        expected_fee_related_deltas[asset_name] / decimal.Decimal(4),
+                        expected_fee_related_deltas[asset_name] / decimal.Decimal(2),
+                        expected_fee_related_deltas[asset_name],
+                    )
+                )
             )
         ):
             # 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
-            # As potential fees have already been taken into account, THIS IS UNEXPECTED.
-            # Add it to ignored_deltas
-            ignored_deltas[asset_name] = holdings_delta
+            # last chance: try with potential fees, in case the expected fee currency was wrong
+            if (
+                # try while taking possible fees into account
+                asset_name in possible_fees_asset_deltas and (
+                    abs(min_allowed_equivalent_total_holding)
+                    # fees bring back the order delta into the expected portfolio delta window
+                    < abs(order_asset_delta + possible_fees_asset_deltas[asset_name])
+                    < abs(max_allowed_equivalent_total_holding)
+                )
+            ):
+                orders_linked_deltas[asset_name] = holdings_delta
+            else:
+                # 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
             # => updates both total and available
+            # Should very rarely happen as it might reduce the total portfolio if done when unecessary
+            commons_logging.get_logger(__name__).warning(
+                f"Too large portfolio {asset_name} delta: {holdings_delta}, reducing to order delta: {order_asset_delta}"
+            )
             orders_linked_deltas[asset_name] = {
                 key: order_asset_delta
                 for key in holdings_delta
             }
-        # check amount, adapt if necessary
     for asset_name, order_delta in orders_asset_deltas.items():
-        if asset_name not in portfolios_asset_deltas:
+        can_have_no_delta = (
+            (order_delta == constants.ZERO)
+            or (order_delta + possible_fees_asset_deltas.get(asset_name, constants.ZERO)) == constants.ZERO
+            or (order_delta - possible_fees_asset_deltas.get(asset_name, constants.ZERO)) == constants.ZERO
+        )
+        if asset_name not in portfolios_asset_deltas and not can_have_no_delta:
             # asset not in portfolio delta, this is unexpected, register it in ignored deltas
             ignored_deltas[asset_name] = {
                 commons_constants.PORTFOLIO_TOTAL: order_delta,
@@ -559,11 +591,11 @@ def _get_assets_delta_from_portfolio(
     return asset_deltas
 
 
-
-def _get_assets_delta_from_orders(orders: list[order_import.Order]) -> (
-    dict[str, decimal.Decimal], dict[str, decimal.Decimal]
+def get_assets_delta_from_orders(orders: list[order_import.Order]) -> (
+    dict[str, decimal.Decimal], dict[str, decimal.Decimal], dict[str, decimal.Decimal]
 ):
     asset_deltas = {}
+    expected_fee_related_deltas = {}
     possible_fee_related_deltas = {}
     for order in orders:
         base, quote = symbol_util.parse_symbol(order.symbol).base_and_quote()
@@ -585,11 +617,29 @@ def _get_assets_delta_from_orders(orders: list[order_import.Order]) -> (
             else:
                 asset_deltas[unit_and_amount[0]] += unit_and_amount[1] * multiplier
         # order "probable" related deltas (account for worse case fees)
-        forecasted_fees = order.get_computed_fee(use_origin_quantity_and_price=True)
+        expected_forecasted_fees = order.get_computed_fee(use_origin_quantity_and_price=True)
+        possible_forecasted_fees = _get_other_asset_forecasted_fees(order, expected_forecasted_fees)
         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
+            for fee in (expected_forecasted_fees, possible_forecasted_fees):
+                is_expected_fee = fee is expected_forecasted_fees
+                if asset_amount := order_util.get_fees_for_currency(fee, fee_asset):
+                    for delta_counter in (expected_fee_related_deltas, possible_fee_related_deltas):
+                        if delta_counter is expected_fee_related_deltas and not is_expected_fee:
+                            # when updating expected_fee_related_deltas, only account for expected fees
+                            continue
+                        if fee_asset not in delta_counter:
+                            delta_counter[fee_asset] = -asset_amount
+                        else:
+                            delta_counter[fee_asset] += -asset_amount
+    return asset_deltas, expected_fee_related_deltas, possible_fee_related_deltas
+
+def _get_other_asset_forecasted_fees(order: order_import.Order, forecasted_fees: dict) -> dict:
+    base, quote = symbol_util.parse_symbol(order.symbol).base_and_quote()
+    other_fee = copy.deepcopy(forecasted_fees)
+    if base_fee := order_util.get_fees_for_currency(forecasted_fees, base):
+        other_fee[enums.FeePropertyColumns.CURRENCY.value] = quote
+        other_fee[enums.FeePropertyColumns.COST.value] = base_fee * order.origin_price
+    elif quote_fee := order_util.get_fees_for_currency(forecasted_fees, quote):
+        other_fee[enums.FeePropertyColumns.CURRENCY.value] = base
+        other_fee[enums.FeePropertyColumns.COST.value] = quote_fee / order.origin_price
+    return other_fee

{OctoBot-Trading-2.4.173 → OctoBot-Trading-2.4.174}/tests/personal_data/portfolios/test_portfolio_util.py

@@ -336,6 +336,21 @@ def test_get_portfolio_filled_orders_deltas():
         )
         error_log.assert_not_called()
 
+        # only equivalent sell and buy orders: no BTC delta
+        pre_trade_content = _content({"BTC": 0.1, "USDT": 1000})
+        post_trade_content = _content({"BTC": 0.1, "USDT": 995})  # now has SOL but no BTC
+        filled_orders = [
+            _order("BTC/USDT", 0.05, 550, "sell"),
+            _order("BTC/USDT", 0.05, 555, "buy"),
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            _content({"USDT": -5}),
+            {}, # BTC is not a missing delta as there is no delta (delta = 0)
+        )
+        error_log.assert_not_called()
+
 
 def test_get_portfolio_filled_orders_deltas_considering_fees():
     pre_trade_content = _content({"BTC": 0.1, "USDT": 600.2})
@@ -412,7 +427,7 @@ def test_get_portfolio_filled_orders_deltas_considering_fees():
         )
         error_log.assert_not_called()
 
-        # B. success with  explaining fees
+        # 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 = [
@@ -428,6 +443,71 @@ def test_get_portfolio_filled_orders_deltas_considering_fees():
         )
         error_log.assert_not_called()
 
+        # only equivalent sell and buy orders: no BTC delta
+        pre_trade_content = _content({"BTC": 0.1, "USDT": 1000})
+        post_trade_content = _content({"BTC": 0.1, "USDT": 995})
+        filled_orders = [
+            _order("BTC/USDT", 0.05, 550, "sell", {"USDT": 1}),
+            _order("BTC/USDT", 0.05, 553, "buy", {"USDT": 1}),
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            _content({"USDT": -5}),
+            {}, # BTC is not a missing delta as there is no delta (delta = 0)
+        )
+        error_log.assert_not_called()
+
+        # actual fee currency is different from expected fee currency, delta is explained by these fees
+        BTC_fees = 0.00000109889 # 10% of computed BTC delta is fees but it's only fetched from portfolio, not expected order fees
+        pre_trade_content = _content({"BTC": 0.00226262681, "USDT": 4376.532183487584})
+        post_trade_content = _content({"BTC": 0.00227318792 - BTC_fees, "USDT": 4375.22614367084})
+        filled_orders = [
+            _order("BTC/USDT", 0.00108723, 111.778333746, "sell", {"USDT": 0.111778333746}),
+            _order("BTC/USDT", 0.00109889, 112.972595229, "buy", {"USDT": 0.111778333746}), # expects USDT as fees but was actually BTC
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            # BTC delta from unexpected fees are taken into account and don't create missing deltas
+            _content({"BTC": 0.00000946222, "USDT": -1.306039816744}),
+            {},
+        )
+        error_log.assert_not_called()
+
+        # actual fee currency is different from expected fee currency, delta is explained by these fees
+        pre_trade_content = _content({"BTC": 0.00226262681, "USDT": 4376.532183487584})
+        post_trade_content = _content({"BTC": 0.00227318792, "USDT": 4375.22614367084})
+        filled_orders = [
+            _order("BTC/USDT", 0.00108723, 111.778333746, "sell", {"USDT": 0.111778333746}), # expects USDT as fees but was actually something else (like BNB)
+            _order("BTC/USDT", 0.00109779111, 112.972595229, "buy", {"USDT": 0.111778333746}), # expects USDT as fees but was actually something else (like BNB)
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            # USDT delta == 4375.22614367084 - 4376.532183487584
+            _content({"USDT": -1.306039816744, "BTC": 0.00001056111}),
+            {},
+        )
+        error_log.assert_not_called()
+
+        actual_fees = 0.2775394125  # 0.6% fees
+        # actual fees is much smaller than expected, portfolio delta is accepted
+        pre_trade_content = _content({"MANA": 103.42087452540375, "USDC": actual_fees})
+        post_trade_content = _content({"MANA": 72.65087452540375, "USDC": 0.0827944124999931})
+        filled_orders = [
+            _order("MANA/USDC", 103.05, 37.005255, "sell", {"USDC": actual_fees * 2}), # expects 1.2% fees
+            _order("MANA/USDC", 72.28, 36.644921175, "buy", {"USDC": actual_fees * 2}),    # expects 1.2% fees
+        ]
+        assert personal_data.get_portfolio_filled_orders_deltas(
+            pre_trade_content, post_trade_content, filled_orders
+        ) == (
+            # USDC delta from portfolio is accepted and not considered as missing
+            _content({"MANA": -30.77, "USDC": -0.1947450000000069}),
+            {},
+        )
+        error_log.assert_not_called()
+
 
 def test_resolve_sub_portfolios_with_filling_assets_with_locked_funds():
     master_pf = _sub_pf(