stable/freqtrade/strategy/hyper.py

"""
IHyperStrategy interface, hyperoptable Parameter class.
This module defines a base class for auto-hyperoptable strategies.
"""
import logging
from abc import ABC, abstractmethod
from contextlib import suppress
from typing import Any, Dict, Iterator, Optional, Sequence, Tuple, Union


with suppress(ImportError):
    from skopt.space import Integer, Real, Categorical
    from freqtrade.optimize.space import SKDecimal

from freqtrade.exceptions import OperationalException
from freqtrade.state import RunMode


logger = logging.getLogger(__name__)


class BaseParameter(ABC):
    """
    Defines a parameter that can be optimized by hyperopt.
    """
    category: Optional[str]
    default: Any
    value: Any
    hyperopt: bool = False

    def __init__(self, *, default: Any, space: Optional[str] = None,
                 optimize: bool = True, load: bool = True, **kwargs):
        """
        Initialize hyperopt-optimizable parameter.
        :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
         parameter field
         name is prefixed with 'buy_' or 'sell_'.
        :param optimize: Include parameter in hyperopt optimizations.
        :param load: Load parameter value from {space}_params.
        :param kwargs: Extra parameters to skopt.space.(Integer|Real|Categorical).
        """
        if 'name' in kwargs:
            raise OperationalException(
                'Name is determined by parameter field name and can not be specified manually.')
        self.category = space
        self._space_params = kwargs
        self.value = default
        self.optimize = optimize
        self.load = load

    def __repr__(self):
        return f'{self.__class__.__name__}({self.value})'

    @abstractmethod
    def get_space(self, name: str) -> Union['Integer', 'Real', 'SKDecimal', 'Categorical']:
        """
        Get-space - will be used by Hyperopt to get the hyperopt Space
        """


class NumericParameter(BaseParameter):
    """ Internal parameter used for Numeric purposes """
    float_or_int = Union[int, float]
    default: float_or_int
    value: float_or_int

    def __init__(self, low: Union[float_or_int, Sequence[float_or_int]],
                 high: Optional[float_or_int] = None, *, default: float_or_int,
                 space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
        """
        Initialize hyperopt-optimizable numeric parameter.
        Cannot be instantiated, but provides the validation for other numeric parameters
        :param low: Lower end (inclusive) of optimization space or [low, high].
        :param high: Upper end (inclusive) of optimization space.
                     Must be none of entire range is passed first parameter.
        :param default: A default value.
        :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
                      parameter fieldname is prefixed with 'buy_' or 'sell_'.
        :param optimize: Include parameter in hyperopt optimizations.
        :param load: Load parameter value from {space}_params.
        :param kwargs: Extra parameters to skopt.space.*.
        """
        if high is not None and isinstance(low, Sequence):
            raise OperationalException(f'{self.__class__.__name__} space invalid.')
        if high is None or isinstance(low, Sequence):
            if not isinstance(low, Sequence) or len(low) != 2:
                raise OperationalException(f'{self.__class__.__name__} space must be [low, high]')
            self.low, self.high = low
        else:
            self.low = low
            self.high = high

        super().__init__(default=default, space=space, optimize=optimize,
                         load=load, **kwargs)


class IntParameter(NumericParameter):
    default: int
    value: int

    def __init__(self, low: Union[int, Sequence[int]], high: Optional[int] = None, *, default: int,
                 space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
        """
        Initialize hyperopt-optimizable integer parameter.
        :param low: Lower end (inclusive) of optimization space or [low, high].
        :param high: Upper end (inclusive) of optimization space.
                     Must be none of entire range is passed first parameter.
        :param default: A default value.
        :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
                      parameter fieldname is prefixed with 'buy_' or 'sell_'.
        :param optimize: Include parameter in hyperopt optimizations.
        :param load: Load parameter value from {space}_params.
        :param kwargs: Extra parameters to skopt.space.Integer.
        """

        super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
                         load=load, **kwargs)

    def get_space(self, name: str) -> 'Integer':
        """
        Create skopt optimization space.
        :param name: A name of parameter field.
        """
        return Integer(low=self.low, high=self.high, name=name, **self._space_params)

    @property
    def range(self):
        """
        Get each value in this space as list.
        Returns a List from low to high (inclusive) in Hyperopt mode.
        Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
        calculating 100ds of indicators.
        """
        if self.hyperopt:
            # Scikit-optimize ranges are "inclusive", while python's "range" is exclusive
            return range(self.low, self.high + 1)
        else:
            return range(self.value, self.value + 1)


class RealParameter(NumericParameter):
    default: float
    value: float

    def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
                 default: float, space: Optional[str] = None, optimize: bool = True,
                 load: bool = True, **kwargs):
        """
        Initialize hyperopt-optimizable floating point parameter with unlimited precision.
        :param low: Lower end (inclusive) of optimization space or [low, high].
        :param high: Upper end (inclusive) of optimization space.
                     Must be none if entire range is passed first parameter.
        :param default: A default value.
        :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
                      parameter fieldname is prefixed with 'buy_' or 'sell_'.
        :param optimize: Include parameter in hyperopt optimizations.
        :param load: Load parameter value from {space}_params.
        :param kwargs: Extra parameters to skopt.space.Real.
        """
        super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
                         load=load, **kwargs)

    def get_space(self, name: str) -> 'Real':
        """
        Create skopt optimization space.
        :param name: A name of parameter field.
        """
        return Real(low=self.low, high=self.high, name=name, **self._space_params)


class DecimalParameter(NumericParameter):
    default: float
    value: float

    def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
                 default: float, decimals: int = 3, space: Optional[str] = None,
                 optimize: bool = True, load: bool = True, **kwargs):
        """
        Initialize hyperopt-optimizable decimal parameter with a limited precision.
        :param low: Lower end (inclusive) of optimization space or [low, high].
        :param high: Upper end (inclusive) of optimization space.
                     Must be none if entire range is passed first parameter.
        :param default: A default value.
        :param decimals: A number of decimals after floating point to be included in testing.
        :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
                      parameter fieldname is prefixed with 'buy_' or 'sell_'.
        :param optimize: Include parameter in hyperopt optimizations.
        :param load: Load parameter value from {space}_params.
        :param kwargs: Extra parameters to skopt.space.Integer.
        """
        self._decimals = decimals
        default = round(default, self._decimals)

        super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
                         load=load, **kwargs)

    def get_space(self, name: str) -> 'SKDecimal':
        """
        Create skopt optimization space.
        :param name: A name of parameter field.
        """
        return SKDecimal(low=self.low, high=self.high, decimals=self._decimals, name=name,
                         **self._space_params)


class CategoricalParameter(BaseParameter):
    default: Any
    value: Any
    opt_range: Sequence[Any]

    def __init__(self, categories: Sequence[Any], *, default: Optional[Any] = None,
                 space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
        """
        Initialize hyperopt-optimizable parameter.
        :param categories: Optimization space, [a, b, ...].
        :param default: A default value. If not specified, first item from specified space will be
         used.
        :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
         parameter field
         name is prefixed with 'buy_' or 'sell_'.
        :param optimize: Include parameter in hyperopt optimizations.
        :param load: Load parameter value from {space}_params.
        :param kwargs: Extra parameters to skopt.space.Categorical.
        """
        if len(categories) < 2:
            raise OperationalException(
                'CategoricalParameter space must be [a, b, ...] (at least two parameters)')
        self.opt_range = categories
        super().__init__(default=default, space=space, optimize=optimize,
                         load=load, **kwargs)

    def get_space(self, name: str) -> 'Categorical':
        """
        Create skopt optimization space.
        :param name: A name of parameter field.
        """
        return Categorical(self.opt_range, name=name, **self._space_params)


class HyperStrategyMixin(object):
    """
    A helper base class which allows HyperOptAuto class to reuse implementations of of buy/sell
     strategy logic.
    """

    def __init__(self, config: Dict[str, Any], *args, **kwargs):
        """
        Initialize hyperoptable strategy mixin.
        """
        self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT)

    def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]:
        """
        Find all optimizeable parameters and return (name, attr) iterator.
        :param category:
        :return:
        """
        if category not in ('buy', 'sell', None):
            raise OperationalException('Category must be one of: "buy", "sell", None.')
        for attr_name in dir(self):
            if not attr_name.startswith('__'):  # Ignore internals, not strictly necessary.
                attr = getattr(self, attr_name)
                if issubclass(attr.__class__, BaseParameter):
                    if (category and attr_name.startswith(category + '_')
                            and attr.category is not None and attr.category != category):
                        raise OperationalException(
                            f'Inconclusive parameter name {attr_name}, category: {attr.category}.')
                    if (category is None or category == attr.category or
                            (attr_name.startswith(category + '_') and attr.category is None)):
                        yield attr_name, attr

    def _load_hyper_params(self, hyperopt: bool = False) -> None:
        """
        Load Hyperoptable parameters
        """
        self._load_params(getattr(self, 'buy_params', None), 'buy', hyperopt)
        self._load_params(getattr(self, 'sell_params', None), 'sell', hyperopt)

    def _load_params(self, params: dict, space: str, hyperopt: bool = False) -> None:
        """
        Set optimizeable parameter values.
        :param params: Dictionary with new parameter values.
        """
        if not params:
            logger.info(f"No params for {space} found, using default values.")

        for attr_name, attr in self.enumerate_parameters():
            attr.hyperopt = hyperopt
            if params and attr_name in params:
                if attr.load:
                    attr.value = params[attr_name]
                    logger.info(f'Strategy Parameter: {attr_name} = {attr.value}')
                else:
                    logger.warning(f'Parameter "{attr_name}" exists, but is disabled. '
                                   f'Default value "{attr.value}" used.')
            else:
                logger.info(f'Strategy Parameter(default): {attr_name} = {attr.value}')