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, Type, Union

from freqtrade.constants import Config
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: Config, *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
        # Init/loading of parameters is done as part of ft_bot_start().

    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_all_parameters(cls) -> Dict:
        """ Detect all parameters and return them as a list"""
        params: Dict[str, Any] = {
            'buy': list(detect_parameters(cls, 'buy')),
            'sell': list(detect_parameters(cls, 'sell')),
            'protection': list(detect_parameters(cls, '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))
            self.max_open_trades = params.get('max_open_trades', {}).get(
                'max_open_trades', getattr(self, 'max_open_trades', -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 detect_parameters(self, 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


def detect_parameters(
        obj: Union[HyperStrategyMixin, Type[HyperStrategyMixin]],
        category: str
        ) -> Iterator[Tuple[str, BaseParameter]]:
    """
    Detect all parameters for 'category' for "obj"
    :param obj: Strategy object or class
    :param category: category - usually `'buy', 'sell', 'protection',...
    """
    for attr_name in dir(obj):
        if not attr_name.startswith('__'):  # Ignore internals, not strictly necessary.
            attr = getattr(obj, 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