stable/freqtrade/plot/plotting.py

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Python
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import logging
from pathlib import Path
from typing import Any, Dict, List
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import pandas as pd
from freqtrade.configuration import TimeRange
from freqtrade.data import history
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from freqtrade.data.btanalysis import (combine_tickers_with_mean,
create_cum_profit,
extract_trades_of_period, load_trades)
from freqtrade.resolvers import StrategyResolver
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logger = logging.getLogger(__name__)
try:
from plotly.subplots import make_subplots
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from plotly.offline import plot
import plotly.graph_objects as go
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except ImportError:
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logger.exception("Module plotly not found \n Please install using `pip3 install plotly`")
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exit(1)
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def init_plotscript(config):
"""
Initialize objects needed for plotting
:return: Dict with tickers, trades and pairs
"""
if "pairs" in config:
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pairs = config["pairs"]
else:
pairs = config["exchange"]["pair_whitelist"]
# Set timerange to use
timerange = TimeRange.parse_timerange(config.get("timerange"))
tickers = history.load_data(
datadir=Path(str(config.get("datadir"))),
pairs=pairs,
timeframe=config.get('ticker_interval', '5m'),
timerange=timerange,
)
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trades = load_trades(config['trade_source'],
db_url=config.get('db_url'),
exportfilename=config.get('exportfilename'),
)
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trades = history.trim_dataframe(trades, timerange, 'open_time')
return {"tickers": tickers,
"trades": trades,
"pairs": pairs,
}
def add_indicators(fig, row, indicators: List[str], data: pd.DataFrame) -> make_subplots:
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"""
Generator all the indicator selected by the user for a specific row
:param fig: Plot figure to append to
:param row: row number for this plot
:param indicators: List of indicators present in the dataframe
:param data: candlestick DataFrame
"""
for indicator in indicators:
if indicator in data:
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scatter = go.Scatter(
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x=data['date'],
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y=data[indicator].values,
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mode='lines',
name=indicator
)
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fig.add_trace(scatter, row, 1)
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else:
logger.info(
'Indicator "%s" ignored. Reason: This indicator is not found '
'in your strategy.',
indicator
)
return fig
def add_profit(fig, row, data: pd.DataFrame, column: str, name: str) -> make_subplots:
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"""
Add profit-plot
:param fig: Plot figure to append to
:param row: row number for this plot
:param data: candlestick DataFrame
:param column: Column to use for plot
:param name: Name to use
:return: fig with added profit plot
"""
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profit = go.Scatter(
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x=data.index,
y=data[column],
name=name,
)
fig.add_trace(profit, row, 1)
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return fig
def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
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"""
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Add trades to "fig"
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"""
# Trades can be empty
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if trades is not None and len(trades) > 0:
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trade_buys = go.Scatter(
x=trades["open_time"],
y=trades["open_rate"],
mode='markers',
name='trade_buy',
marker=dict(
symbol='square-open',
size=11,
line=dict(width=2),
color='green'
)
)
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# Create description for sell summarizing the trade
desc = trades.apply(lambda row: f"{round(row['profitperc'], 3)}%, {row['sell_reason']}, "
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f"{row['duration']} min",
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axis=1)
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trade_sells = go.Scatter(
x=trades["close_time"],
y=trades["close_rate"],
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text=desc,
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mode='markers',
name='trade_sell',
marker=dict(
symbol='square-open',
size=11,
line=dict(width=2),
color='red'
)
)
fig.add_trace(trade_buys, 1, 1)
fig.add_trace(trade_sells, 1, 1)
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else:
logger.warning("No trades found.")
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return fig
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def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFrame = None,
indicators1: List[str] = [],
indicators2: List[str] = [],) -> go.Figure:
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"""
Generate the graph from the data generated by Backtesting or from DB
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Volume will always be ploted in row2, so Row 1 and 3 are to our disposal for custom indicators
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:param pair: Pair to Display on the graph
:param data: OHLCV DataFrame containing indicators and buy/sell signals
:param trades: All trades created
:param indicators1: List containing Main plot indicators
:param indicators2: List containing Sub plot indicators
:return: None
"""
# Define the graph
fig = make_subplots(
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rows=3,
cols=1,
shared_xaxes=True,
row_width=[1, 1, 4],
vertical_spacing=0.0001,
)
fig['layout'].update(title=pair)
fig['layout']['yaxis1'].update(title='Price')
fig['layout']['yaxis2'].update(title='Volume')
fig['layout']['yaxis3'].update(title='Other')
fig['layout']['xaxis']['rangeslider'].update(visible=False)
# Common information
candles = go.Candlestick(
x=data.date,
open=data.open,
high=data.high,
low=data.low,
close=data.close,
name='Price'
)
fig.add_trace(candles, 1, 1)
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if 'buy' in data.columns:
df_buy = data[data['buy'] == 1]
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if len(df_buy) > 0:
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buys = go.Scatter(
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x=df_buy.date,
y=df_buy.close,
mode='markers',
name='buy',
marker=dict(
symbol='triangle-up-dot',
size=9,
line=dict(width=1),
color='green',
)
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)
fig.add_trace(buys, 1, 1)
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else:
logger.warning("No buy-signals found.")
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if 'sell' in data.columns:
df_sell = data[data['sell'] == 1]
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if len(df_sell) > 0:
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sells = go.Scatter(
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x=df_sell.date,
y=df_sell.close,
mode='markers',
name='sell',
marker=dict(
symbol='triangle-down-dot',
size=9,
line=dict(width=1),
color='red',
)
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)
fig.add_trace(sells, 1, 1)
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else:
logger.warning("No sell-signals found.")
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# TODO: Figure out why scattergl causes problems plotly/plotly.js#2284
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if 'bb_lowerband' in data and 'bb_upperband' in data:
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bb_lower = go.Scatter(
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x=data.date,
y=data.bb_lowerband,
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showlegend=False,
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line={'color': 'rgba(255,255,255,0)'},
)
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bb_upper = go.Scatter(
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x=data.date,
y=data.bb_upperband,
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name='Bollinger Band',
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fill="tonexty",
fillcolor="rgba(0,176,246,0.2)",
line={'color': 'rgba(255,255,255,0)'},
)
fig.add_trace(bb_lower, 1, 1)
fig.add_trace(bb_upper, 1, 1)
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if 'bb_upperband' in indicators1 and 'bb_lowerband' in indicators1:
indicators1.remove('bb_upperband')
indicators1.remove('bb_lowerband')
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# Add indicators to main plot
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fig = add_indicators(fig=fig, row=1, indicators=indicators1, data=data)
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fig = plot_trades(fig, trades)
# Volume goes to row 2
volume = go.Bar(
x=data['date'],
y=data['volume'],
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name='Volume',
marker_color='DarkSlateGrey',
marker_line_color='DarkSlateGrey'
)
fig.add_trace(volume, 2, 1)
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# Add indicators to separate row
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fig = add_indicators(fig=fig, row=3, indicators=indicators2, data=data)
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return fig
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def generate_profit_graph(pairs: str, tickers: Dict[str, pd.DataFrame],
trades: pd.DataFrame, timeframe: str) -> go.Figure:
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# Combine close-values for all pairs, rename columns to "pair"
df_comb = combine_tickers_with_mean(tickers, "close")
# Add combined cumulative profit
df_comb = create_cum_profit(df_comb, trades, 'cum_profit', timeframe)
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# Plot the pairs average close prices, and total profit growth
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avgclose = go.Scatter(
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x=df_comb.index,
y=df_comb['mean'],
name='Avg close price',
)
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fig = make_subplots(rows=3, cols=1, shared_xaxes=True,
row_width=[1, 1, 1],
vertical_spacing=0.05,
subplot_titles=["AVG Close Price", "Combined Profit", "Profit per pair"])
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fig['layout'].update(title="Freqtrade Profit plot")
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fig['layout']['yaxis1'].update(title='Price')
fig['layout']['yaxis2'].update(title='Profit')
fig['layout']['yaxis3'].update(title='Profit')
fig['layout']['xaxis']['rangeslider'].update(visible=False)
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fig.add_trace(avgclose, 1, 1)
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fig = add_profit(fig, 2, df_comb, 'cum_profit', 'Profit')
for pair in pairs:
profit_col = f'cum_profit_{pair}'
df_comb = create_cum_profit(df_comb, trades[trades['pair'] == pair], profit_col, timeframe)
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fig = add_profit(fig, 3, df_comb, profit_col, f"Profit {pair}")
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return fig
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def generate_plot_filename(pair, timeframe) -> str:
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"""
Generate filenames per pair/timeframe to be used for storing plots
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"""
pair_name = pair.replace("/", "_")
file_name = 'freqtrade-plot-' + pair_name + '-' + timeframe + '.html'
logger.info('Generate plot file for %s', pair)
return file_name
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def store_plot_file(fig, filename: str, directory: Path, auto_open: bool = False) -> None:
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"""
Generate a plot html file from pre populated fig plotly object
:param fig: Plotly Figure to plot
:param filename: Name to store the file as
:param directory: Directory to store the file in
:param auto_open: Automatically open files saved
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:return: None
"""
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directory.mkdir(parents=True, exist_ok=True)
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_filename = directory.joinpath(filename)
plot(fig, filename=str(_filename),
auto_open=auto_open)
logger.info(f"Stored plot as {_filename}")
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def load_and_plot_trades(config: Dict[str, Any]):
"""
From configuration provided
- Initializes plot-script
- Get tickers data
- Generate Dafaframes populated with indicators and signals based on configured strategy
- Load trades excecuted during the selected period
- Generate Plotly plot objects
- Generate plot files
:return: None
"""
strategy = StrategyResolver.load_strategy(config)
plot_elements = init_plotscript(config)
trades = plot_elements['trades']
pair_counter = 0
for pair, data in plot_elements["tickers"].items():
pair_counter += 1
logger.info("analyse pair %s", pair)
tickers = {}
tickers[pair] = data
dataframe = strategy.analyze_ticker(tickers[pair], {'pair': pair})
trades_pair = trades.loc[trades['pair'] == pair]
trades_pair = extract_trades_of_period(dataframe, trades_pair)
fig = generate_candlestick_graph(
pair=pair,
data=dataframe,
trades=trades_pair,
indicators1=config["indicators1"],
indicators2=config["indicators2"],
)
store_plot_file(fig, filename=generate_plot_filename(pair, config['ticker_interval']),
directory=config['user_data_dir'] / "plot")
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logger.info('End of plotting process. %s plots generated', pair_counter)
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def plot_profit(config: Dict[str, Any]) -> None:
"""
Plots the total profit for all pairs.
Note, the profit calculation isn't realistic.
But should be somewhat proportional, and therefor useful
in helping out to find a good algorithm.
"""
plot_elements = init_plotscript(config)
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trades = plot_elements['trades']
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# Filter trades to relevant pairs
# Remove open pairs - we don't know the profit yet so can't calculate profit for these.
# Also, If only one open pair is left, then the profit-generation would fail.
trades = trades[(trades['pair'].isin(plot_elements["pairs"]))
& (~trades['close_time'].isnull())
]
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# Create an average close price of all the pairs that were involved.
# this could be useful to gauge the overall market trend
fig = generate_profit_graph(plot_elements["pairs"], plot_elements["tickers"],
trades, config.get('ticker_interval', '5m'))
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store_plot_file(fig, filename='freqtrade-profit-plot.html',
directory=config['user_data_dir'] / "plot", auto_open=True)