stable/freqtrade/constants.py

# pragma pylint: disable=too-few-public-methods

"""
bot constants
"""
from typing import List, Literal, Tuple

from freqtrade.enums import CandleType


DEFAULT_CONFIG = "config.json"
DEFAULT_EXCHANGE = "bittrex"
PROCESS_THROTTLE_SECS = 5  # sec
HYPEROPT_EPOCH = 100  # epochs
RETRY_TIMEOUT = 30  # sec
TIMEOUT_UNITS = ["minutes", "seconds"]
EXPORT_OPTIONS = ["none", "trades", "signals"]
DEFAULT_DB_PROD_URL = "sqlite:///tradesv3.sqlite"
DEFAULT_DB_DRYRUN_URL = "sqlite:///tradesv3.dryrun.sqlite"
UNLIMITED_STAKE_AMOUNT = "unlimited"
DEFAULT_AMOUNT_RESERVE_PERCENT = 0.05
REQUIRED_ORDERTIF = ["entry", "exit"]
REQUIRED_ORDERTYPES = ["entry", "exit", "stoploss", "stoploss_on_exchange"]
PRICING_SIDES = ["ask", "bid", "same", "other"]
ORDERTYPE_POSSIBILITIES = ["limit", "market"]
ORDERTIF_POSSIBILITIES = ["gtc", "fok", "ioc"]
HYPEROPT_LOSS_BUILTIN = [
    "ShortTradeDurHyperOptLoss",
    "OnlyProfitHyperOptLoss",
    "SharpeHyperOptLoss",
    "SharpeHyperOptLossDaily",
    "SortinoHyperOptLoss",
    "SortinoHyperOptLossDaily",
    "CalmarHyperOptLoss",
    "MaxDrawDownHyperOptLoss",
    "MaxDrawDownRelativeHyperOptLoss",
    "ProfitDrawDownHyperOptLoss",
]
AVAILABLE_PAIRLISTS = [
    "StaticPairList",
    "VolumePairList",
    "AgeFilter",
    "OffsetFilter",
    "PerformanceFilter",
    "PrecisionFilter",
    "PriceFilter",
    "RangeStabilityFilter",
    "ShuffleFilter",
    "SpreadFilter",
    "VolatilityFilter",
]
AVAILABLE_PROTECTIONS = ["CooldownPeriod", "LowProfitPairs", "MaxDrawdown", "StoplossGuard"]
AVAILABLE_DATAHANDLERS = ["json", "jsongz", "hdf5"]
BACKTEST_BREAKDOWNS = ["day", "week", "month"]
BACKTEST_CACHE_AGE = ["none", "day", "week", "month"]
BACKTEST_CACHE_DEFAULT = "day"
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = "%Y-%m-%d %H:%M:%S"
MATH_CLOSE_PREC = 1e-14  # Precision used for float comparisons
DEFAULT_DATAFRAME_COLUMNS = ["date", "open", "high", "low", "close", "volume"]
# Don't modify sequence of DEFAULT_TRADES_COLUMNS
# it has wide consequences for stored trades files
DEFAULT_TRADES_COLUMNS = ["timestamp", "id", "type", "side", "price", "amount", "cost"]
TRADING_MODES = ["spot", "margin", "futures"]
MARGIN_MODES = ["cross", "isolated", ""]

LAST_BT_RESULT_FN = ".last_result.json"
FTHYPT_FILEVERSION = "fthypt_fileversion"

USERPATH_HYPEROPTS = "hyperopts"
USERPATH_STRATEGIES = "strategies"
USERPATH_NOTEBOOKS = "notebooks"
USERPATH_FREQAIMODELS = "freqaimodels"

TELEGRAM_SETTING_OPTIONS = ["on", "off", "silent"]
WEBHOOK_FORMAT_OPTIONS = ["form", "json", "raw"]

ENV_VAR_PREFIX = "FREQTRADE__"

NON_OPEN_EXCHANGE_STATES = ("cancelled", "canceled", "closed", "expired")

# Define decimals per coin for outputs
# Only used for outputs.
DECIMAL_PER_COIN_FALLBACK = 3  # Should be low to avoid listing all possible FIAT's
DECIMALS_PER_COIN = {
    "BTC": 8,
    "ETH": 5,
}

DUST_PER_COIN = {"BTC": 0.0001, "ETH": 0.01}

# Source files with destination directories within user-directory
USER_DATA_FILES = {
    "sample_strategy.py": USERPATH_STRATEGIES,
    "sample_hyperopt_loss.py": USERPATH_HYPEROPTS,
    "strategy_analysis_example.ipynb": USERPATH_NOTEBOOKS,
}

SUPPORTED_FIAT = [
    "AUD",
    "BRL",
    "CAD",
    "CHF",
    "CLP",
    "CNY",
    "CZK",
    "DKK",
    "EUR",
    "GBP",
    "HKD",
    "HUF",
    "IDR",
    "ILS",
    "INR",
    "JPY",
    "KRW",
    "MXN",
    "MYR",
    "NOK",
    "NZD",
    "PHP",
    "PKR",
    "PLN",
    "RUB",
    "UAH",
    "SEK",
    "SGD",
    "THB",
    "TRY",
    "TWD",
    "ZAR",
    "USD",
    "BTC",
    "ETH",
    "XRP",
    "LTC",
    "BCH",
]

MINIMAL_CONFIG = {
    "stake_currency": "",
    "dry_run": True,
    "exchange": {
        "name": "",
        "key": "",
        "secret": "",
        "pair_whitelist": [],
        "ccxt_async_config": {},
    },
}

# Required json-schema for user specified config
CONF_SCHEMA = {
    "type": "object",
    "properties": {
        "max_open_trades": {"type": ["integer", "number"], "minimum": -1},
        "new_pairs_days": {"type": "integer", "default": 30},
        "timeframe": {"type": "string"},
        "stake_currency": {"type": "string"},
        "stake_amount": {
            "type": ["number", "string"],
            "minimum": 0.0001,
            "pattern": UNLIMITED_STAKE_AMOUNT,
        },
        "tradable_balance_ratio": {"type": "number", "minimum": 0.0, "maximum": 1, "default": 0.99},
        "available_capital": {
            "type": "number",
            "minimum": 0,
        },
        "amend_last_stake_amount": {"type": "boolean", "default": False},
        "last_stake_amount_min_ratio": {
            "type": "number",
            "minimum": 0.0,
            "maximum": 1.0,
            "default": 0.5,
        },
        "fiat_display_currency": {"type": "string", "enum": SUPPORTED_FIAT},
        "dry_run": {"type": "boolean"},
        "dry_run_wallet": {"type": "number", "default": DRY_RUN_WALLET},
        "cancel_open_orders_on_exit": {"type": "boolean", "default": False},
        "process_only_new_candles": {"type": "boolean"},
        "minimal_roi": {
            "type": "object",
            "patternProperties": {"^[0-9.]+$": {"type": "number"}},
            "minProperties": 1,
        },
        "amount_reserve_percent": {"type": "number", "minimum": 0.0, "maximum": 0.5},
        "stoploss": {"type": "number", "maximum": 0, "exclusiveMaximum": True, "minimum": -1},
        "trailing_stop": {"type": "boolean"},
        "trailing_stop_positive": {"type": "number", "minimum": 0, "maximum": 1},
        "trailing_stop_positive_offset": {"type": "number", "minimum": 0, "maximum": 1},
        "trailing_only_offset_is_reached": {"type": "boolean"},
        "use_exit_signal": {"type": "boolean"},
        "exit_profit_only": {"type": "boolean"},
        "exit_profit_offset": {"type": "number"},
        "ignore_roi_if_entry_signal": {"type": "boolean"},
        "ignore_buying_expired_candle_after": {"type": "number"},
        "trading_mode": {"type": "string", "enum": TRADING_MODES},
        "margin_mode": {"type": "string", "enum": MARGIN_MODES},
        "liquidation_buffer": {"type": "number", "minimum": 0.0, "maximum": 0.99},
        "backtest_breakdown": {
            "type": "array",
            "items": {"type": "string", "enum": BACKTEST_BREAKDOWNS},
        },
        "bot_name": {"type": "string"},
        "unfilledtimeout": {
            "type": "object",
            "properties": {
                "entry": {"type": "number", "minimum": 1},
                "exit": {"type": "number", "minimum": 1},
                "exit_timeout_count": {"type": "number", "minimum": 0, "default": 0},
                "unit": {"type": "string", "enum": TIMEOUT_UNITS, "default": "minutes"},
            },
        },
        "entry_pricing": {
            "type": "object",
            "properties": {
                "price_last_balance": {
                    "type": "number",
                    "minimum": 0,
                    "maximum": 1,
                    "exclusiveMaximum": False,
                },
                "price_side": {"type": "string", "enum": PRICING_SIDES, "default": "same"},
                "use_order_book": {"type": "boolean"},
                "order_book_top": {
                    "type": "integer",
                    "minimum": 1,
                    "maximum": 50,
                },
                "check_depth_of_market": {
                    "type": "object",
                    "properties": {
                        "enabled": {"type": "boolean"},
                        "bids_to_ask_delta": {"type": "number", "minimum": 0},
                    },
                },
            },
            "required": ["price_side"],
        },
        "exit_pricing": {
            "type": "object",
            "properties": {
                "price_side": {"type": "string", "enum": PRICING_SIDES, "default": "same"},
                "price_last_balance": {
                    "type": "number",
                    "minimum": 0,
                    "maximum": 1,
                    "exclusiveMaximum": False,
                },
                "use_order_book": {"type": "boolean"},
                "order_book_top": {
                    "type": "integer",
                    "minimum": 1,
                    "maximum": 50,
                },
            },
            "required": ["price_side"],
        },
        "custom_price_max_distance_ratio": {"type": "number", "minimum": 0.0},
        "order_types": {
            "type": "object",
            "properties": {
                "entry": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
                "exit": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
                "force_exit": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
                "force_entry": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
                "emergency_exit": {
                    "type": "string",
                    "enum": ORDERTYPE_POSSIBILITIES,
                    "default": "market",
                },
                "stoploss": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
                "stoploss_on_exchange": {"type": "boolean"},
                "stoploss_on_exchange_interval": {"type": "number"},
                "stoploss_on_exchange_limit_ratio": {
                    "type": "number",
                    "minimum": 0.0,
                    "maximum": 1.0,
                },
            },
            "required": ["entry", "exit", "stoploss", "stoploss_on_exchange"],
        },
        "order_time_in_force": {
            "type": "object",
            "properties": {
                "entry": {"type": "string", "enum": ORDERTIF_POSSIBILITIES},
                "exit": {"type": "string", "enum": ORDERTIF_POSSIBILITIES},
            },
            "required": REQUIRED_ORDERTIF,
        },
        "exchange": {"$ref": "#/definitions/exchange"},
        "edge": {"$ref": "#/definitions/edge"},
        "experimental": {
            "type": "object",
            "properties": {"block_bad_exchanges": {"type": "boolean"}},
        },
        "pairlists": {
            "type": "array",
            "items": {
                "type": "object",
                "properties": {
                    "method": {"type": "string", "enum": AVAILABLE_PAIRLISTS},
                },
                "required": ["method"],
            },
        },
        "protections": {
            "type": "array",
            "items": {
                "type": "object",
                "properties": {
                    "method": {"type": "string", "enum": AVAILABLE_PROTECTIONS},
                    "stop_duration": {"type": "number", "minimum": 0.0},
                    "stop_duration_candles": {"type": "number", "minimum": 0},
                    "trade_limit": {"type": "number", "minimum": 1},
                    "lookback_period": {"type": "number", "minimum": 1},
                    "lookback_period_candles": {"type": "number", "minimum": 1},
                },
                "required": ["method"],
            },
        },
        "telegram": {
            "type": "object",
            "properties": {
                "enabled": {"type": "boolean"},
                "token": {"type": "string"},
                "chat_id": {"type": "string"},
                "balance_dust_level": {"type": "number", "minimum": 0.0},
                "notification_settings": {
                    "type": "object",
                    "default": {},
                    "properties": {
                        "status": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
                        "warning": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
                        "startup": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
                        "entry": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
                        "entry_cancel": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
                        "entry_fill": {
                            "type": "string",
                            "enum": TELEGRAM_SETTING_OPTIONS,
                            "default": "off",
                        },
                        "exit": {
                            "type": ["string", "object"],
                            "additionalProperties": {
                                "type": "string",
                                "enum": TELEGRAM_SETTING_OPTIONS,
                            },
                        },
                        "exit_cancel": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
                        "exit_fill": {
                            "type": "string",
                            "enum": TELEGRAM_SETTING_OPTIONS,
                            "default": "off",
                        },
                        "protection_trigger": {
                            "type": "string",
                            "enum": TELEGRAM_SETTING_OPTIONS,
                            "default": "off",
                        },
                        "protection_trigger_global": {
                            "type": "string",
                            "enum": TELEGRAM_SETTING_OPTIONS,
                        },
                    },
                },
                "reload": {"type": "boolean"},
            },
            "required": ["enabled", "token", "chat_id"],
        },
        "webhook": {
            "type": "object",
            "properties": {
                "enabled": {"type": "boolean"},
                "url": {"type": "string"},
                "format": {"type": "string", "enum": WEBHOOK_FORMAT_OPTIONS, "default": "form"},
                "retries": {"type": "integer", "minimum": 0},
                "retry_delay": {"type": "number", "minimum": 0},
                "webhookentry": {"type": "object"},
                "webhookentrycancel": {"type": "object"},
                "webhookentryfill": {"type": "object"},
                "webhookexit": {"type": "object"},
                "webhookexitcancel": {"type": "object"},
                "webhookexitfill": {"type": "object"},
                "webhookstatus": {"type": "object"},
            },
        },
        "api_server": {
            "type": "object",
            "properties": {
                "enabled": {"type": "boolean"},
                "listen_ip_address": {"format": "ipv4"},
                "listen_port": {"type": "integer", "minimum": 1024, "maximum": 65535},
                "username": {"type": "string"},
                "password": {"type": "string"},
                "jwt_secret_key": {"type": "string"},
                "CORS_origins": {"type": "array", "items": {"type": "string"}},
                "verbosity": {"type": "string", "enum": ["error", "info"]},
            },
            "required": ["enabled", "listen_ip_address", "listen_port", "username", "password"],
        },
        "db_url": {"type": "string"},
        "export": {"type": "string", "enum": EXPORT_OPTIONS, "default": "trades"},
        "disableparamexport": {"type": "boolean"},
        "initial_state": {"type": "string", "enum": ["running", "stopped"]},
        "force_entry_enable": {"type": "boolean"},
        "disable_dataframe_checks": {"type": "boolean"},
        "internals": {
            "type": "object",
            "default": {},
            "properties": {
                "process_throttle_secs": {"type": "integer"},
                "interval": {"type": "integer"},
                "sd_notify": {"type": "boolean"},
            },
        },
        "dataformat_ohlcv": {"type": "string", "enum": AVAILABLE_DATAHANDLERS, "default": "json"},
        "dataformat_trades": {
            "type": "string",
            "enum": AVAILABLE_DATAHANDLERS,
            "default": "jsongz",
        },
        "position_adjustment_enable": {"type": "boolean"},
        "max_entry_position_adjustment": {"type": ["integer", "number"], "minimum": -1},
    },
    "definitions": {
        "exchange": {
            "type": "object",
            "properties": {
                "name": {"type": "string"},
                "sandbox": {"type": "boolean", "default": False},
                "key": {"type": "string", "default": ""},
                "secret": {"type": "string", "default": ""},
                "password": {"type": "string", "default": ""},
                "uid": {"type": "string"},
                "pair_whitelist": {
                    "type": "array",
                    "items": {
                        "type": "string",
                    },
                    "uniqueItems": True,
                },
                "pair_blacklist": {
                    "type": "array",
                    "items": {
                        "type": "string",
                    },
                    "uniqueItems": True,
                },
                "unknown_fee_rate": {"type": "number"},
                "outdated_offset": {"type": "integer", "minimum": 1},
                "markets_refresh_interval": {"type": "integer"},
                "ccxt_config": {"type": "object"},
                "ccxt_async_config": {"type": "object"},
            },
            "required": ["name"],
        },
        "edge": {
            "type": "object",
            "properties": {
                "enabled": {"type": "boolean"},
                "process_throttle_secs": {"type": "integer", "minimum": 600},
                "calculate_since_number_of_days": {"type": "integer"},
                "allowed_risk": {"type": "number"},
                "stoploss_range_min": {"type": "number"},
                "stoploss_range_max": {"type": "number"},
                "stoploss_range_step": {"type": "number"},
                "minimum_winrate": {"type": "number"},
                "minimum_expectancy": {"type": "number"},
                "min_trade_number": {"type": "number"},
                "max_trade_duration_minute": {"type": "integer"},
                "remove_pumps": {"type": "boolean"},
            },
            "required": ["process_throttle_secs", "allowed_risk"],
        },
        "freqai": {
            "type": "object",
            "properties": {
                "timeframes": {"type": "list"},
                "train_period": {"type": "integer", "default": 0},
                "backtest_period": {"type": "integer", "default": 7},
                "identifier": {"type": "str", "default": "example"},
                "base_features": {"type": "list"},
                "corr_pairlist": {"type": "list"},
                "feature_parameters": {
                    "type": "object",
                    "properties": {
                        "period": {"type": "integer"},
                        "shift": {"type": "integer", "default": 0},
                        "DI_threshold": {"type": "integer", "default": 0},
                        "weight_factor": {"type": "number", "default": 0},
                        "principal_component_analysis": {"type": "boolean", "default": False},
                        "remove_outliers": {"type": "boolean", "default": False},
                    },
                },
                "data_split_parameters": {
                    "type": "object",
                    "properties": {
                        "test_size": {"type": "number"},
                        "random_state": {"type": "integer"},
                    },
                },
                "model_training_parameters": {
                    "type": "object",
                    "properties": {
                        "n_estimators": {"type": "integer", "default": 2000},
                        "random_state": {"type": "integer", "default": 1},
                        "learning_rate": {"type": "number", "default": 0.02},
                        "task_type": {"type": "string", "default": "CPU"},
                    },
                },
            },
        },
    },
}

SCHEMA_TRADE_REQUIRED = [
    "exchange",
    "timeframe",
    "max_open_trades",
    "stake_currency",
    "stake_amount",
    "tradable_balance_ratio",
    "last_stake_amount_min_ratio",
    "dry_run",
    "dry_run_wallet",
    "exit_pricing",
    "entry_pricing",
    "stoploss",
    "minimal_roi",
    "internals",
    "dataformat_ohlcv",
    "dataformat_trades",
]

SCHEMA_BACKTEST_REQUIRED = [
    "exchange",
    "max_open_trades",
    "stake_currency",
    "stake_amount",
    "dry_run_wallet",
    "dataformat_ohlcv",
    "dataformat_trades",
]
SCHEMA_BACKTEST_REQUIRED_FINAL = SCHEMA_BACKTEST_REQUIRED + [
    "stoploss",
    "minimal_roi",
]

SCHEMA_MINIMAL_REQUIRED = [
    "exchange",
    "dry_run",
    "dataformat_ohlcv",
    "dataformat_trades",
]

CANCEL_REASON = {
    "TIMEOUT": "cancelled due to timeout",
    "PARTIALLY_FILLED_KEEP_OPEN": "partially filled - keeping order open",
    "PARTIALLY_FILLED": "partially filled",
    "FULLY_CANCELLED": "fully cancelled",
    "ALL_CANCELLED": "cancelled (all unfilled and partially filled open orders cancelled)",
    "CANCELLED_ON_EXCHANGE": "cancelled on exchange",
    "FORCE_EXIT": "forcesold",
    "REPLACE": "cancelled to be replaced by new limit order",
    "USER_CANCEL": "user requested order cancel"
}

# List of pairs with their timeframes
PairWithTimeframe = Tuple[str, str, CandleType]
ListPairsWithTimeframes = List[PairWithTimeframe]

# Type for trades list
TradeList = List[List]

LongShort = Literal['long', 'short']
EntryExit = Literal['entry', 'exit']
BuySell = Literal['buy', 'sell']