2018-06-23 12:18:30 +00:00
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import logging
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2019-06-30 07:41:43 +00:00
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from pathlib import Path
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2019-08-22 14:24:57 +00:00
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from typing import Any, Dict, List
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2019-05-29 05:19:21 +00:00
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2019-05-28 05:00:57 +00:00
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import pandas as pd
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2020-01-04 02:07:51 +00:00
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2019-08-14 08:07:32 +00:00
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from freqtrade.configuration import TimeRange
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2019-06-30 08:31:36 +00:00
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from freqtrade.data.btanalysis import (combine_tickers_with_mean,
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2019-08-22 14:02:03 +00:00
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create_cum_profit,
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extract_trades_of_period, load_trades)
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2020-01-04 02:07:51 +00:00
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from freqtrade.data.converter import trim_dataframe
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from freqtrade.data.history import load_data
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from freqtrade.misc import pair_to_filename
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2019-08-22 14:24:57 +00:00
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from freqtrade.resolvers import StrategyResolver
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2018-06-23 12:18:30 +00:00
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logger = logging.getLogger(__name__)
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try:
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2019-07-22 18:39:38 +00:00
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from plotly.subplots import make_subplots
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2018-06-23 12:18:30 +00:00
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from plotly.offline import plot
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2019-07-22 18:39:38 +00:00
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import plotly.graph_objects as go
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2018-06-23 12:18:30 +00:00
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except ImportError:
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2019-08-22 14:51:00 +00:00
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logger.exception("Module plotly not found \n Please install using `pip3 install plotly`")
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2019-05-29 05:19:21 +00:00
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exit(1)
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2019-05-28 05:00:57 +00:00
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2019-06-30 09:06:51 +00:00
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def init_plotscript(config):
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"""
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Initialize objects needed for plotting
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2019-08-22 18:32:06 +00:00
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:return: Dict with tickers, trades and pairs
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2019-06-30 09:06:51 +00:00
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"""
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if "pairs" in config:
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2019-08-16 12:37:10 +00:00
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pairs = config["pairs"]
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2019-06-30 09:06:51 +00:00
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else:
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pairs = config["exchange"]["pair_whitelist"]
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# Set timerange to use
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2019-08-14 08:07:32 +00:00
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timerange = TimeRange.parse_timerange(config.get("timerange"))
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2019-06-30 09:06:51 +00:00
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2020-01-04 02:07:51 +00:00
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tickers = load_data(
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2019-12-23 14:13:55 +00:00
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datadir=config.get("datadir"),
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2019-06-30 09:06:51 +00:00
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pairs=pairs,
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2019-11-02 19:19:13 +00:00
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timeframe=config.get('ticker_interval', '5m'),
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2019-06-30 09:06:51 +00:00
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timerange=timerange,
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2019-12-28 13:57:39 +00:00
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data_format=config.get('dataformat_ohlcv', 'json'),
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2019-06-30 09:06:51 +00:00
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)
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2019-08-22 18:17:36 +00:00
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trades = load_trades(config['trade_source'],
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db_url=config.get('db_url'),
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exportfilename=config.get('exportfilename'),
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)
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2019-12-25 14:47:04 +00:00
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trades = trim_dataframe(trades, timerange, 'open_time')
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2019-06-30 09:06:51 +00:00
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return {"tickers": tickers,
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"trades": trades,
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"pairs": pairs,
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}
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2019-06-30 07:41:43 +00:00
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2020-01-04 10:13:45 +00:00
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def add_indicators(fig, row, indicators: Dict[str, Dict], data: pd.DataFrame) -> make_subplots:
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2019-05-28 05:00:57 +00:00
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"""
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2020-01-03 12:27:22 +00:00
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Generate all the indicators selected by the user for a specific row, based on the configuration
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2019-05-28 05:00:57 +00:00
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:param fig: Plot figure to append to
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:param row: row number for this plot
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2020-01-03 12:27:22 +00:00
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:param indicators: Dict of Indicators with configuration options.
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Dict key must correspond to dataframe column.
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2019-05-28 05:00:57 +00:00
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:param data: candlestick DataFrame
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"""
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2020-01-03 12:27:22 +00:00
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for indicator, conf in indicators.items():
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2020-01-04 10:13:45 +00:00
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logger.debug(f"indicator {indicator} with config {conf}")
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2019-05-28 05:00:57 +00:00
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if indicator in data:
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2020-01-03 19:10:22 +00:00
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kwargs = {'x': data['date'],
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'y': data[indicator].values,
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'mode': 'lines',
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'name': indicator
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}
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if 'color' in conf:
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kwargs.update({'line': {'color': conf['color']}})
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2019-09-24 00:00:07 +00:00
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scatter = go.Scatter(
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2020-01-03 19:10:22 +00:00
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**kwargs
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2019-05-28 05:00:57 +00:00
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)
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2019-09-24 00:00:07 +00:00
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fig.add_trace(scatter, row, 1)
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2019-05-28 05:00:57 +00:00
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else:
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logger.info(
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'Indicator "%s" ignored. Reason: This indicator is not found '
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'in your strategy.',
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indicator
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)
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return fig
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2019-07-22 18:39:38 +00:00
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def add_profit(fig, row, data: pd.DataFrame, column: str, name: str) -> make_subplots:
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2019-06-30 08:14:33 +00:00
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"""
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Add profit-plot
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:param fig: Plot figure to append to
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:param row: row number for this plot
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:param data: candlestick DataFrame
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:param column: Column to use for plot
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:param name: Name to use
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:return: fig with added profit plot
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"""
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2019-10-05 08:32:42 +00:00
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profit = go.Scatter(
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2019-06-30 08:14:33 +00:00
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x=data.index,
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y=data[column],
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name=name,
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)
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2019-07-22 18:39:38 +00:00
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fig.add_trace(profit, row, 1)
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2019-06-30 08:14:33 +00:00
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return fig
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2019-07-22 18:39:38 +00:00
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def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
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2019-05-28 05:00:57 +00:00
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"""
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2019-06-30 07:47:07 +00:00
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Add trades to "fig"
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2019-05-28 05:00:57 +00:00
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"""
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# Trades can be empty
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2019-05-28 18:23:16 +00:00
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if trades is not None and len(trades) > 0:
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2020-01-04 19:27:27 +00:00
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# Create description for sell summarizing the trade
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trades['desc'] = trades.apply(lambda row: f"{round(row['profitperc'] * 100, 1)}%, "
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f"{row['sell_reason']}, {row['duration']} min",
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axis=1)
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2019-05-28 05:00:57 +00:00
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trade_buys = go.Scatter(
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x=trades["open_time"],
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y=trades["open_rate"],
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mode='markers',
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2020-01-04 19:27:27 +00:00
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name='Trade buy',
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text=trades["desc"],
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marker=dict(
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symbol='circle-open',
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size=11,
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line=dict(width=2),
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color='cyan'
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)
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)
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trade_sells = go.Scatter(
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x=trades.loc[trades['profitperc'] > 0, "close_time"],
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y=trades.loc[trades['profitperc'] > 0, "close_rate"],
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text=trades.loc[trades['profitperc'] > 0, "desc"],
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mode='markers',
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name='Sell - Profit',
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2019-05-28 05:00:57 +00:00
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marker=dict(
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symbol='square-open',
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size=11,
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line=dict(width=2),
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color='green'
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)
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)
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2020-01-04 19:27:27 +00:00
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trade_sells_loss = go.Scatter(
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x=trades.loc[trades['profitperc'] <= 0, "close_time"],
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y=trades.loc[trades['profitperc'] <= 0, "close_rate"],
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text=trades.loc[trades['profitperc'] <= 0, "desc"],
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2019-05-28 05:00:57 +00:00
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mode='markers',
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2020-01-04 19:27:27 +00:00
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name='Sell - Loss',
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2019-05-28 05:00:57 +00:00
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marker=dict(
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symbol='square-open',
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size=11,
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line=dict(width=2),
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color='red'
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)
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)
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2019-07-22 18:39:38 +00:00
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fig.add_trace(trade_buys, 1, 1)
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fig.add_trace(trade_sells, 1, 1)
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2020-01-04 19:27:27 +00:00
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fig.add_trace(trade_sells_loss, 1, 1)
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2019-06-22 13:45:20 +00:00
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else:
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logger.warning("No trades found.")
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2019-05-28 05:00:57 +00:00
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return fig
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2020-01-04 11:54:58 +00:00
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def create_plotconfig(indicators1: List[str], indicators2: List[str],
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plot_config: Dict[str, Dict]) -> Dict[str, Dict]:
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2020-01-04 10:13:45 +00:00
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"""
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Combines indicators 1 and indicators 2 into plot_config if necessary
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:param indicators1: List containing Main plot indicators
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:param indicators2: List containing Sub plot indicators
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:param plot_config: Dict of Dicts containing advanced plot configuration
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:return: plot_config - eventually with indicators 1 and 2
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"""
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2020-01-05 18:50:21 +00:00
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if plot_config:
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if indicators1:
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plot_config['main_plot'] = {ind: {} for ind in indicators1}
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if indicators2:
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plot_config['subplots'] = {'Other': {ind: {} for ind in indicators2}}
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2020-01-04 10:13:45 +00:00
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if not plot_config:
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# If no indicators and no plot-config given, use defaults.
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if not indicators1:
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indicators1 = ['sma', 'ema3', 'ema5']
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if not indicators2:
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2020-01-04 10:30:21 +00:00
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indicators2 = ['macd', 'macdsignal']
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2020-01-04 10:13:45 +00:00
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# Create subplot configuration if plot_config is not available.
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plot_config = {
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'main_plot': {ind: {} for ind in indicators1},
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'subplots': {'Other': {ind: {} for ind in indicators2}},
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}
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if 'main_plot' not in plot_config:
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plot_config['main_plot'] = {}
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if 'subplots' not in plot_config:
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plot_config['subplots'] = {}
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2020-01-04 10:18:51 +00:00
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return plot_config
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2020-01-04 10:13:45 +00:00
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def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFrame = None, *,
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2019-06-30 07:47:07 +00:00
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indicators1: List[str] = [],
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2020-01-04 10:13:45 +00:00
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indicators2: List[str] = [],
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plot_config: Dict[str, Dict] = {},
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) -> go.Figure:
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2019-05-28 05:00:57 +00:00
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"""
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Generate the graph from the data generated by Backtesting or from DB
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2019-06-16 18:14:31 +00:00
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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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2019-05-28 05:00:57 +00:00
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:param pair: Pair to Display on the graph
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:param data: OHLCV DataFrame containing indicators and buy/sell signals
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:param trades: All trades created
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:param indicators1: List containing Main plot indicators
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:param indicators2: List containing Sub plot indicators
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2020-01-04 10:13:45 +00:00
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:param plot_config: Dict of Dicts containing advanced plot configuration
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:return: Plotly figure
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2019-05-28 05:00:57 +00:00
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"""
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2020-01-04 10:18:51 +00:00
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plot_config = create_plotconfig(indicators1, indicators2, plot_config)
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2019-05-28 05:00:57 +00:00
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2020-01-04 10:13:45 +00:00
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rows = 2 + len(plot_config['subplots'])
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row_widths = [1 for _ in plot_config['subplots']]
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2019-05-28 05:00:57 +00:00
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# Define the graph
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2019-07-22 18:39:38 +00:00
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fig = make_subplots(
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2020-01-04 10:13:45 +00:00
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rows=rows,
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2019-05-28 05:00:57 +00:00
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cols=1,
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shared_xaxes=True,
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2020-01-04 10:13:45 +00:00
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row_width=row_widths + [1, 4],
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2019-05-28 05:00:57 +00:00
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vertical_spacing=0.0001,
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)
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fig['layout'].update(title=pair)
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fig['layout']['yaxis1'].update(title='Price')
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fig['layout']['yaxis2'].update(title='Volume')
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2020-01-04 10:13:45 +00:00
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for i, name in enumerate(plot_config['subplots']):
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fig['layout'][f'yaxis{3 + i}'].update(title=name)
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2019-05-28 05:00:57 +00:00
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fig['layout']['xaxis']['rangeslider'].update(visible=False)
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# Common information
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candles = go.Candlestick(
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x=data.date,
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open=data.open,
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high=data.high,
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low=data.low,
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close=data.close,
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name='Price'
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)
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2019-07-22 18:39:38 +00:00
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fig.add_trace(candles, 1, 1)
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2019-05-28 05:00:57 +00:00
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if 'buy' in data.columns:
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df_buy = data[data['buy'] == 1]
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2019-05-28 18:23:16 +00:00
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if len(df_buy) > 0:
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2019-05-29 05:19:21 +00:00
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buys = go.Scatter(
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2019-05-28 18:23:16 +00:00
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x=df_buy.date,
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y=df_buy.close,
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mode='markers',
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name='buy',
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marker=dict(
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symbol='triangle-up-dot',
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size=9,
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line=dict(width=1),
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color='green',
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)
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2019-05-28 05:00:57 +00:00
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)
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2019-07-22 18:39:38 +00:00
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fig.add_trace(buys, 1, 1)
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2019-05-28 18:23:16 +00:00
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else:
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logger.warning("No buy-signals found.")
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2019-05-28 05:00:57 +00:00
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if 'sell' in data.columns:
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df_sell = data[data['sell'] == 1]
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2019-05-28 18:23:16 +00:00
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if len(df_sell) > 0:
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2019-05-29 05:19:21 +00:00
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sells = go.Scatter(
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2019-05-28 18:23:16 +00:00
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x=df_sell.date,
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y=df_sell.close,
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mode='markers',
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name='sell',
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marker=dict(
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symbol='triangle-down-dot',
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size=9,
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line=dict(width=1),
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color='red',
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)
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2019-05-28 05:00:57 +00:00
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)
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2019-07-22 18:39:38 +00:00
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fig.add_trace(sells, 1, 1)
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2019-05-28 18:23:16 +00:00
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else:
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logger.warning("No sell-signals found.")
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2019-05-28 05:00:57 +00:00
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2019-09-26 03:09:50 +00:00
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# TODO: Figure out why scattergl causes problems plotly/plotly.js#2284
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2019-05-28 05:00:57 +00:00
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if 'bb_lowerband' in data and 'bb_upperband' in data:
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2019-09-24 00:00:07 +00:00
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bb_lower = go.Scatter(
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2019-05-28 05:00:57 +00:00
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x=data.date,
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y=data.bb_lowerband,
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2019-09-24 00:00:07 +00:00
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showlegend=False,
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2019-05-28 05:00:57 +00:00
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line={'color': 'rgba(255,255,255,0)'},
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)
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2019-09-24 00:00:07 +00:00
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bb_upper = go.Scatter(
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2019-05-28 05:00:57 +00:00
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x=data.date,
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y=data.bb_upperband,
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2019-09-24 00:00:07 +00:00
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name='Bollinger Band',
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2019-05-28 05:00:57 +00:00
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fill="tonexty",
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fillcolor="rgba(0,176,246,0.2)",
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line={'color': 'rgba(255,255,255,0)'},
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)
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2019-07-22 18:39:38 +00:00
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fig.add_trace(bb_lower, 1, 1)
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fig.add_trace(bb_upper, 1, 1)
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2020-01-04 10:13:45 +00:00
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if ('bb_upperband' in plot_config['main_plot']
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and 'bb_lowerband' in plot_config['main_plot']):
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del plot_config['main_plot']['bb_upperband']
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del plot_config['main_plot']['bb_lowerband']
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2019-10-05 08:32:42 +00:00
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2019-05-28 05:00:57 +00:00
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# Add indicators to main plot
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2020-01-04 10:13:45 +00:00
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fig = add_indicators(fig=fig, row=1, indicators=plot_config['main_plot'], data=data)
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2019-05-28 05:00:57 +00:00
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fig = plot_trades(fig, trades)
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# Volume goes to row 2
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volume = go.Bar(
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x=data['date'],
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y=data['volume'],
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2019-09-26 03:09:50 +00:00
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name='Volume',
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marker_color='DarkSlateGrey',
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marker_line_color='DarkSlateGrey'
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2020-01-03 12:27:22 +00:00
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)
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2019-07-22 18:39:38 +00:00
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fig.add_trace(volume, 2, 1)
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2019-05-28 05:00:57 +00:00
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2019-09-24 00:00:07 +00:00
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# Add indicators to separate row
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2020-01-04 10:13:45 +00:00
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for i, name in enumerate(plot_config['subplots']):
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fig = add_indicators(fig=fig, row=3 + i,
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indicators=plot_config['subplots'][name],
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data=data)
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2019-05-28 05:00:57 +00:00
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return fig
|
2019-05-31 04:41:55 +00:00
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|
2019-06-30 11:15:41 +00:00
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def generate_profit_graph(pairs: str, tickers: Dict[str, pd.DataFrame],
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2019-10-28 13:24:12 +00:00
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trades: pd.DataFrame, timeframe: str) -> go.Figure:
|
2019-06-30 08:31:36 +00:00
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# Combine close-values for all pairs, rename columns to "pair"
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df_comb = combine_tickers_with_mean(tickers, "close")
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# Add combined cumulative profit
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2019-10-28 13:24:12 +00:00
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df_comb = create_cum_profit(df_comb, trades, 'cum_profit', timeframe)
|
2019-06-30 08:31:36 +00:00
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# Plot the pairs average close prices, and total profit growth
|
2019-10-05 08:32:42 +00:00
|
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avgclose = go.Scatter(
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2019-06-30 08:31:36 +00:00
|
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x=df_comb.index,
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y=df_comb['mean'],
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name='Avg close price',
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)
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|
2019-08-24 12:49:35 +00:00
|
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fig = make_subplots(rows=3, cols=1, shared_xaxes=True,
|
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row_width=[1, 1, 1],
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vertical_spacing=0.05,
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subplot_titles=["AVG Close Price", "Combined Profit", "Profit per pair"])
|
2019-08-24 13:21:16 +00:00
|
|
|
fig['layout'].update(title="Freqtrade Profit plot")
|
2019-08-24 12:49:35 +00:00
|
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fig['layout']['yaxis1'].update(title='Price')
|
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fig['layout']['yaxis2'].update(title='Profit')
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fig['layout']['yaxis3'].update(title='Profit')
|
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fig['layout']['xaxis']['rangeslider'].update(visible=False)
|
2019-06-30 08:31:36 +00:00
|
|
|
|
2019-07-22 18:39:38 +00:00
|
|
|
fig.add_trace(avgclose, 1, 1)
|
2019-06-30 08:31:36 +00:00
|
|
|
fig = add_profit(fig, 2, df_comb, 'cum_profit', 'Profit')
|
|
|
|
|
|
|
|
for pair in pairs:
|
|
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|
profit_col = f'cum_profit_{pair}'
|
2019-10-28 13:24:12 +00:00
|
|
|
df_comb = create_cum_profit(df_comb, trades[trades['pair'] == pair], profit_col, timeframe)
|
2019-06-30 08:31:36 +00:00
|
|
|
|
|
|
|
fig = add_profit(fig, 3, df_comb, profit_col, f"Profit {pair}")
|
|
|
|
|
2019-06-30 08:47:55 +00:00
|
|
|
return fig
|
2019-06-30 08:31:36 +00:00
|
|
|
|
|
|
|
|
2019-11-02 19:19:13 +00:00
|
|
|
def generate_plot_filename(pair, timeframe) -> str:
|
2019-06-30 07:47:07 +00:00
|
|
|
"""
|
2019-11-02 19:19:13 +00:00
|
|
|
Generate filenames per pair/timeframe to be used for storing plots
|
2019-06-30 07:47:07 +00:00
|
|
|
"""
|
2020-01-04 02:07:51 +00:00
|
|
|
pair_s = pair_to_filename(pair)
|
|
|
|
file_name = 'freqtrade-plot-' + pair_s + '-' + timeframe + '.html'
|
2019-06-29 18:30:31 +00:00
|
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|
|
|
|
|
logger.info('Generate plot file for %s', pair)
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|
|
|
|
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|
return file_name
|
|
|
|
|
|
|
|
|
2019-07-31 04:54:45 +00:00
|
|
|
def store_plot_file(fig, filename: str, directory: Path, auto_open: bool = False) -> None:
|
2019-05-31 04:41:55 +00:00
|
|
|
"""
|
|
|
|
Generate a plot html file from pre populated fig plotly object
|
|
|
|
:param fig: Plotly Figure to plot
|
2019-11-02 19:19:13 +00:00
|
|
|
:param filename: Name to store the file as
|
|
|
|
:param directory: Directory to store the file in
|
|
|
|
:param auto_open: Automatically open files saved
|
2019-05-31 04:41:55 +00:00
|
|
|
:return: None
|
|
|
|
"""
|
2019-07-31 04:54:45 +00:00
|
|
|
directory.mkdir(parents=True, exist_ok=True)
|
2019-05-31 04:41:55 +00:00
|
|
|
|
2019-08-05 04:55:51 +00:00
|
|
|
_filename = directory.joinpath(filename)
|
2019-08-04 08:25:46 +00:00
|
|
|
plot(fig, filename=str(_filename),
|
2019-06-29 18:30:31 +00:00
|
|
|
auto_open=auto_open)
|
2019-08-04 08:25:46 +00:00
|
|
|
logger.info(f"Stored plot as {_filename}")
|
2019-08-22 14:02:03 +00:00
|
|
|
|
|
|
|
|
2019-09-05 20:00:16 +00:00
|
|
|
def load_and_plot_trades(config: Dict[str, Any]):
|
2019-08-22 14:02:03 +00:00
|
|
|
"""
|
|
|
|
From configuration provided
|
|
|
|
- Initializes plot-script
|
2019-08-22 14:21:48 +00:00
|
|
|
- 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
|
2019-08-22 14:02:03 +00:00
|
|
|
:return: None
|
|
|
|
"""
|
2019-12-23 09:23:48 +00:00
|
|
|
strategy = StrategyResolver.load_strategy(config)
|
2019-08-22 18:32:06 +00:00
|
|
|
|
2019-08-22 14:02:03 +00:00
|
|
|
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,
|
2020-01-07 06:16:31 +00:00
|
|
|
indicators1=config.get("indicators1", []),
|
|
|
|
indicators2=config.get("indicators2", []),
|
2020-01-04 10:13:45 +00:00
|
|
|
plot_config=strategy.plot_config if hasattr(strategy, 'plot_config') else {}
|
2019-08-22 14:02:03 +00:00
|
|
|
)
|
|
|
|
|
|
|
|
store_plot_file(fig, filename=generate_plot_filename(pair, config['ticker_interval']),
|
|
|
|
directory=config['user_data_dir'] / "plot")
|
|
|
|
|
2019-08-22 14:43:28 +00:00
|
|
|
logger.info('End of plotting process. %s plots generated', pair_counter)
|
2019-08-22 14:51:00 +00:00
|
|
|
|
|
|
|
|
|
|
|
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)
|
2019-11-13 19:44:55 +00:00
|
|
|
trades = plot_elements['trades']
|
2019-08-22 14:51:00 +00:00
|
|
|
# Filter trades to relevant pairs
|
2019-11-13 19:45:16 +00:00
|
|
|
# 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())
|
|
|
|
]
|
|
|
|
|
2019-08-22 14:51:00 +00:00
|
|
|
# Create an average close price of all the pairs that were involved.
|
|
|
|
# this could be useful to gauge the overall market trend
|
2019-10-28 13:24:12 +00:00
|
|
|
fig = generate_profit_graph(plot_elements["pairs"], plot_elements["tickers"],
|
|
|
|
trades, config.get('ticker_interval', '5m'))
|
2019-08-22 14:51:00 +00:00
|
|
|
store_plot_file(fig, filename='freqtrade-profit-plot.html',
|
|
|
|
directory=config['user_data_dir'] / "plot", auto_open=True)
|