stable/freqtrade/strategy/interface.py

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"""
IStrategy interface
This module defines the interface to apply for strategies
"""
import logging
from abc import ABC, abstractmethod
from datetime import datetime
from enum import Enum
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from typing import Dict, List, NamedTuple, Optional, Tuple
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import warnings
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import arrow
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from pandas import DataFrame
from freqtrade import constants
from freqtrade.exchange.exchange_helpers import parse_ticker_dataframe
from freqtrade.persistence import Trade
logger = logging.getLogger(__name__)
class SignalType(Enum):
"""
Enum to distinguish between buy and sell signals
"""
BUY = "buy"
SELL = "sell"
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class SellType(Enum):
"""
Enum to distinguish between sell reasons
"""
ROI = "roi"
STOP_LOSS = "stop_loss"
TRAILING_STOP_LOSS = "trailing_stop_loss"
SELL_SIGNAL = "sell_signal"
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FORCE_SELL = "force_sell"
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NONE = ""
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class SellCheckTuple(NamedTuple):
"""
NamedTuple for Sell type + reason
"""
sell_flag: bool
sell_type: SellType
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class IStrategy(ABC):
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"""
Interface for freqtrade strategies
Defines the mandatory structure must follow any custom strategies
Attributes you can use:
minimal_roi -> Dict: Minimal ROI designed for the strategy
stoploss -> float: optimal stoploss designed for the strategy
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ticker_interval -> str: value of the ticker interval to use for the strategy
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"""
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_populate_fun_len: int = 0
_buy_fun_len: int = 0
_sell_fun_len: int = 0
# associated minimal roi
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minimal_roi: Dict
# associated stoploss
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stoploss: float
# associated ticker interval
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ticker_interval: str
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# Optional order types
order_types: Dict = {
'buy': 'limit',
'sell': 'limit',
'stoploss': 'limit'
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}
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# run "populate_indicators" only for new candle
process_only_new_candles: bool = False
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# Dict to determine if analysis is necessary
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_last_candle_seen_per_pair: Dict[str, datetime] = {}
def __init__(self, config: dict) -> None:
self.config = config
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self._last_candle_seen_per_pair = {}
@abstractmethod
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
Populate indicators that will be used in the Buy and Sell strategy
:param dataframe: Raw data from the exchange and parsed by parse_ticker_dataframe()
:param metadata: Additional information, like the currently traded pair
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:return: a Dataframe with all mandatory indicators for the strategies
"""
@abstractmethod
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
Based on TA indicators, populates the buy signal for the given dataframe
:param dataframe: DataFrame
:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
"""
@abstractmethod
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
Based on TA indicators, populates the sell signal for the given dataframe
:param dataframe: DataFrame
:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with sell column
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"""
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def get_strategy_name(self) -> str:
"""
Returns strategy class name
"""
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return self.__class__.__name__
def analyze_ticker(self, ticker_history: List[Dict], metadata: dict) -> DataFrame:
"""
Parses the given ticker history and returns a populated DataFrame
add several TA indicators and buy signal to it
:return DataFrame with ticker data and indicator data
"""
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dataframe = parse_ticker_dataframe(ticker_history)
pair = str(metadata.get('pair'))
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# Test if seen this pair and last candle before.
# always run if process_only_new_candles is set to true
if (not self.process_only_new_candles or
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self._last_candle_seen_per_pair.get(pair, None) != dataframe.iloc[-1]['date']):
# Defs that only make change on new candle data.
logging.debug("TA Analysis Launched")
dataframe = self.advise_indicators(dataframe, metadata)
dataframe = self.advise_buy(dataframe, metadata)
dataframe = self.advise_sell(dataframe, metadata)
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self._last_candle_seen_per_pair[pair] = dataframe.iloc[-1]['date']
else:
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logging.debug("Skippinig TA Analysis for already analyzed candle")
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dataframe['buy'] = 0
dataframe['sell'] = 0
# Other Defs in strategy that want to be called every loop here
# twitter_sell = self.watch_twitter_feed(dataframe, metadata)
logging.debug("Loop Analysis Launched")
return dataframe
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def get_signal(self, pair: str, interval: str,
ticker_hist: Optional[List[Dict]]) -> Tuple[bool, bool]:
"""
Calculates current signal based several technical analysis indicators
:param pair: pair in format ANT/BTC
:param interval: Interval to use (in min)
:return: (Buy, Sell) A bool-tuple indicating buy/sell signal
"""
if not ticker_hist:
logger.warning('Empty ticker history for pair %s', pair)
return False, False
try:
dataframe = self.analyze_ticker(ticker_hist, {'pair': pair})
except ValueError as error:
logger.warning(
'Unable to analyze ticker for pair %s: %s',
pair,
str(error)
)
return False, False
except Exception as error:
logger.exception(
'Unexpected error when analyzing ticker for pair %s: %s',
pair,
str(error)
)
return False, False
if dataframe.empty:
logger.warning('Empty dataframe for pair %s', pair)
return False, False
latest = dataframe.iloc[-1]
# Check if dataframe is out of date
signal_date = arrow.get(latest['date'])
interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
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offset = self.config.get('exchange', {}).get('outdated_offset', 5)
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + offset))):
logger.warning(
'Outdated history for pair %s. Last tick is %s minutes old',
pair,
(arrow.utcnow() - signal_date).seconds // 60
)
return False, False
(buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1
logger.debug(
'trigger: %s (pair=%s) buy=%s sell=%s',
latest['date'],
pair,
str(buy),
str(sell)
)
return buy, sell
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def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,
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sell: bool, low: float = None, high: float = None,
force_stoploss: float = 0) -> SellCheckTuple:
"""
This function evaluate if on the condition required to trigger a sell has been reached
if the threshold is reached and updates the trade record.
:return: True if trade should be sold, False otherwise
"""
# Set current rate to low for backtesting sell
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current_rate = low or rate
current_profit = trade.calc_profit_percent(current_rate)
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stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
current_time=date, current_profit=current_profit,
force_stoploss=force_stoploss)
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if stoplossflag.sell_flag:
return stoplossflag
# Set current rate to low for backtesting sell
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current_rate = high or rate
current_profit = trade.calc_profit_percent(current_rate)
experimental = self.config.get('experimental', {})
if buy and experimental.get('ignore_roi_if_buy_signal', False):
logger.debug('Buy signal still active - not selling.')
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
# Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee)
if self.min_roi_reached(trade=trade, current_profit=current_profit, current_time=date):
logger.debug('Required profit reached. Selling..')
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return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)
if experimental.get('sell_profit_only', False):
logger.debug('Checking if trade is profitable..')
if trade.calc_profit(rate=rate) <= 0:
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
if sell and not buy and experimental.get('use_sell_signal', False):
logger.debug('Sell signal received. Selling..')
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return SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL)
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
def stop_loss_reached(self, current_rate: float, trade: Trade, current_time: datetime,
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current_profit: float, force_stoploss: float) -> SellCheckTuple:
"""
Based on current profit of the trade and configured (trailing) stoploss,
decides to sell or not
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:param current_profit: current profit in percent
"""
trailing_stop = self.config.get('trailing_stop', False)
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trade.adjust_stop_loss(trade.open_rate, force_stoploss if force_stoploss
else self.stoploss, initial=True)
# evaluate if the stoploss was hit
if self.stoploss is not None and trade.stop_loss >= current_rate:
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selltype = SellType.STOP_LOSS
if trailing_stop:
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selltype = SellType.TRAILING_STOP_LOSS
logger.debug(
f"HIT STOP: current price at {current_rate:.6f}, "
f"stop loss is {trade.stop_loss:.6f}, "
f"initial stop loss was at {trade.initial_stop_loss:.6f}, "
f"trade opened at {trade.open_rate:.6f}")
logger.debug(f"trailing stop saved {trade.stop_loss - trade.initial_stop_loss:.6f}")
logger.debug('Stop loss hit.')
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return SellCheckTuple(sell_flag=True, sell_type=selltype)
# update the stop loss afterwards, after all by definition it's supposed to be hanging
if trailing_stop:
# check if we have a special stop loss for positive condition
# and if profit is positive
stop_loss_value = self.stoploss
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sl_offset = self.config.get('trailing_stop_positive_offset', 0.0)
if 'trailing_stop_positive' in self.config and current_profit > sl_offset:
# Ignore mypy error check in configuration that this is a float
stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore
logger.debug(f"using positive stop loss mode: {stop_loss_value} "
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f"with offset {sl_offset:.4g} "
f"since we have profit {current_profit:.4f}%")
trade.adjust_stop_loss(current_rate, stop_loss_value)
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool:
"""
Based an earlier trade and current price and ROI configuration, decides whether bot should
sell
:return True if bot should sell at current rate
"""
# Check if time matches and current rate is above threshold
time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60
for duration, threshold in self.minimal_roi.items():
if time_diff <= duration:
return False
if current_profit > threshold:
return True
return False
def tickerdata_to_dataframe(self, tickerdata: Dict[str, List]) -> Dict[str, DataFrame]:
"""
Creates a dataframe and populates indicators for given ticker data
"""
return {pair: self.advise_indicators(parse_ticker_dataframe(pair_data), {'pair': pair})
for pair, pair_data in tickerdata.items()}
def advise_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Populate indicators that will be used in the Buy and Sell strategy
This method should not be overridden.
:param dataframe: Raw data from the exchange and parsed by parse_ticker_dataframe()
:param metadata: Additional information, like the currently traded pair
:return: a Dataframe with all mandatory indicators for the strategies
"""
if self._populate_fun_len == 2:
warnings.warn("deprecated - check out the Sample strategy to see "
"the current function headers!", DeprecationWarning)
return self.populate_indicators(dataframe) # type: ignore
else:
return self.populate_indicators(dataframe, metadata)
def advise_buy(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators, populates the buy signal for the given dataframe
This method should not be overridden.
:param dataframe: DataFrame
:param pair: Additional information, like the currently traded pair
:return: DataFrame with buy column
"""
if self._buy_fun_len == 2:
warnings.warn("deprecated - check out the Sample strategy to see "
"the current function headers!", DeprecationWarning)
return self.populate_buy_trend(dataframe) # type: ignore
else:
return self.populate_buy_trend(dataframe, metadata)
def advise_sell(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators, populates the sell signal for the given dataframe
This method should not be overridden.
:param dataframe: DataFrame
:param pair: Additional information, like the currently traded pair
:return: DataFrame with sell column
"""
if self._sell_fun_len == 2:
warnings.warn("deprecated - check out the Sample strategy to see "
"the current function headers!", DeprecationWarning)
return self.populate_sell_trend(dataframe) # type: ignore
else:
return self.populate_sell_trend(dataframe, metadata)