stable/freqtrade/strategy/hyper.py

"""
IHyperStrategy interface, hyperoptable Parameter class.
This module defines a base class for auto-hyperoptable strategies.
"""
import logging
from pathlib import Path
from typing import Any, Dict, Iterator, List, Tuple

from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.misc import deep_merge_dicts, json_load
from freqtrade.optimize.hyperopt_tools import HyperoptTools
from freqtrade.strategy.parameters import BaseParameter


logger = logging.getLogger(__name__)


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

    def __init__(self, config: Dict[str, Any], *args, **kwargs):
        """
        Initialize hyperoptable strategy mixin.
        """
        self.config = config
        self.ft_buy_params: List[BaseParameter] = []
        self.ft_sell_params: List[BaseParameter] = []
        self.ft_protection_params: List[BaseParameter] = []

        params = self.load_params_from_file()
        params = params.get('params', {})
        self._ft_params_from_file = params

        if config.get('runmode') != RunMode.BACKTEST:
            self.ft_load_hyper_params(config.get('runmode') == RunMode.HYPEROPT)

    def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]:
        """
        Find all optimizable parameters and return (name, attr) iterator.
        :param category:
        :return:
        """
        if category not in ('buy', 'sell', 'protection', None):
            raise OperationalException(
                'Category must be one of: "buy", "sell", "protection", None.')

        if category is None:
            params = self.ft_buy_params + self.ft_sell_params + self.ft_protection_params
        else:
            params = getattr(self, f"ft_{category}_params")

        for par in params:
            yield par.name, par

    @classmethod
    def detect_parameters(cls, category: str) -> Iterator[Tuple[str, BaseParameter]]:
        """ Detect all parameters for 'category' """
        for attr_name in dir(cls):
            if not attr_name.startswith('__'):  # Ignore internals, not strictly necessary.
                attr = getattr(cls, attr_name)
                if issubclass(attr.__class__, BaseParameter):
                    if (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 == attr.category or
                            (attr_name.startswith(category + '_') and attr.category is None)):
                        yield attr_name, attr

    @classmethod
    def detect_all_parameters(cls) -> Dict:
        """ Detect all parameters and return them as a list"""
        params: Dict[str, Any] = {
            'buy': list(cls.detect_parameters('buy')),
            'sell': list(cls.detect_parameters('sell')),
            'protection': list(cls.detect_parameters('protection')),
        }
        params.update({
            'count': len(params['buy'] + params['sell'] + params['protection'])
        })

        return params

    def ft_load_params_from_file(self) -> None:
        """
        Load Parameters from parameter file
        Should/must run before config values are loaded in strategy_resolver.
        """
        if self._ft_params_from_file:
            # Set parameters from Hyperopt results file
            params = self._ft_params_from_file
            self.minimal_roi = params.get('roi', getattr(self, 'minimal_roi', {}))

            self.stoploss = params.get('stoploss', {}).get(
                'stoploss', getattr(self, 'stoploss', -0.1))
            trailing = params.get('trailing', {})
            self.trailing_stop = trailing.get(
                'trailing_stop', getattr(self, 'trailing_stop', False))
            self.trailing_stop_positive = trailing.get(
                'trailing_stop_positive', getattr(self, 'trailing_stop_positive', None))
            self.trailing_stop_positive_offset = trailing.get(
                'trailing_stop_positive_offset',
                getattr(self, 'trailing_stop_positive_offset', 0))
            self.trailing_only_offset_is_reached = trailing.get(
                'trailing_only_offset_is_reached',
                getattr(self, 'trailing_only_offset_is_reached', 0.0))

    def ft_load_hyper_params(self, hyperopt: bool = False) -> None:
        """
        Load Hyperoptable parameters
        Prevalence:
        * Parameters from parameter file
        * Parameters defined in parameters objects (buy_params, sell_params, ...)
        * Parameter defaults
        """

        buy_params = deep_merge_dicts(self._ft_params_from_file.get('buy', {}),
                                      getattr(self, 'buy_params', {}))
        sell_params = deep_merge_dicts(self._ft_params_from_file.get('sell', {}),
                                       getattr(self, 'sell_params', {}))
        protection_params = deep_merge_dicts(self._ft_params_from_file.get('protection', {}),
                                             getattr(self, 'protection_params', {}))

        self._ft_load_params(buy_params, 'buy', hyperopt)
        self._ft_load_params(sell_params, 'sell', hyperopt)
        self._ft_load_params(protection_params, 'protection', hyperopt)

    def load_params_from_file(self) -> Dict:
        filename_str = getattr(self, '__file__', '')
        if not filename_str:
            return {}
        filename = Path(filename_str).with_suffix('.json')

        if filename.is_file():
            logger.info(f"Loading parameters from file {filename}")
            try:
                with filename.open('r') as f:
                    params = json_load(f)
                if params.get('strategy_name') != self.__class__.__name__:
                    raise OperationalException('Invalid parameter file provided.')
                return params
            except ValueError:
                logger.warning("Invalid parameter file format.")
                return {}
        logger.info("Found no parameter file.")

        return {}

    def _ft_load_params(self, params: Dict, space: str, hyperopt: bool = False) -> None:
        """
        Set optimizable parameter values.
        :param params: Dictionary with new parameter values.
        """
        if not params:
            logger.info(f"No params for {space} found, using default values.")
        param_container: List[BaseParameter] = getattr(self, f"ft_{space}_params")

        for attr_name, attr in self.detect_parameters(space):
            attr.name = attr_name
            attr.in_space = hyperopt and HyperoptTools.has_space(self.config, space)
            if not attr.category:
                attr.category = space

            param_container.append(attr)

            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}')

    def get_no_optimize_params(self):
        """
        Returns list of Parameters that are not part of the current optimize job
        """
        params: Dict[str, Dict] = {
            'buy': {},
            'sell': {},
            'protection': {},
        }
        for name, p in self.enumerate_parameters():
            if not p.optimize or not p.in_space:
                params[p.category][name] = p.value
        return params