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Merge pull request #4454 from freqtrade/backtest_compound_speed

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Backtest compound, wallet, ...
This commit is contained in:
Matthias
2021-03-10 10:07:40 +01:00
committed by GitHub
parent 60f6b998d3 4b550dab17
commit 0db5c9746f
38 changed files with 715 additions and 315 deletions
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3
freqtrade/persistence/__init__.py
View File

@@ -1,4 +1,5 @@
# flake8: noqa: F401
from freqtrade.persistence.models import Order, Trade, clean_dry_run_db, cleanup_db, init_db
from freqtrade.persistence.models import (LocalTrade, Order, Trade, clean_dry_run_db, cleanup_db,
init_db)
from freqtrade.persistence.pairlock_middleware import PairLocks

2
freqtrade/persistence/migrations.py
View File

@@ -141,7 +141,7 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
inspector = inspect(engine)
cols = inspector.get_columns('trades')
if 'orders' not in previous_tables:
if 'orders' not in previous_tables and 'trades' in previous_tables:
logger.info('Moving open orders to Orders table.')
migrate_open_orders_to_trades(engine)
else:

267
freqtrade/persistence/models.py
View File

@@ -199,67 +199,67 @@ class Order(_DECL_BASE):
return Order.query.filter(Order.ft_is_open.is_(True)).all()
class Trade(_DECL_BASE):
class LocalTrade():
"""
Trade database model.
Also handles updating and querying trades
Used in backtesting - must be aligned to Trade model!
"""
__tablename__ = 'trades'
use_db: bool = True
use_db: bool = False
# Trades container for backtesting
trades: List['Trade'] = []
trades: List['LocalTrade'] = []
id = Column(Integer, primary_key=True)
id: int = 0
orders = relationship("Order", order_by="Order.id", cascade="all, delete-orphan")
orders: List[Order] = []
exchange = Column(String, nullable=False)
pair = Column(String, nullable=False, index=True)
is_open = Column(Boolean, nullable=False, default=True, index=True)
fee_open = Column(Float, nullable=False, default=0.0)
fee_open_cost = Column(Float, nullable=True)
fee_open_currency = Column(String, nullable=True)
fee_close = Column(Float, nullable=False, default=0.0)
fee_close_cost = Column(Float, nullable=True)
fee_close_currency = Column(String, nullable=True)
open_rate = Column(Float)
open_rate_requested = Column(Float)
exchange: str = ''
pair: str = ''
is_open: bool = True
fee_open: float = 0.0
fee_open_cost: Optional[float] = None
fee_open_currency: str = ''
fee_close: float = 0.0
fee_close_cost: Optional[float] = None
fee_close_currency: str = ''
open_rate: float = 0.0
open_rate_requested: Optional[float] = None
# open_trade_value - calculated via _calc_open_trade_value
open_trade_value = Column(Float)
close_rate = Column(Float)
close_rate_requested = Column(Float)
close_profit = Column(Float)
close_profit_abs = Column(Float)
stake_amount = Column(Float, nullable=False)
amount = Column(Float)
amount_requested = Column(Float)
open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
close_date = Column(DateTime)
open_order_id = Column(String)
open_trade_value: float = 0.0
close_rate: Optional[float] = None
close_rate_requested: Optional[float] = None
close_profit: Optional[float] = None
close_profit_abs: Optional[float] = None
stake_amount: float = 0.0
amount: float = 0.0
amount_requested: Optional[float] = None
open_date: datetime
close_date: Optional[datetime] = None
open_order_id: Optional[str] = None
# absolute value of the stop loss
stop_loss = Column(Float, nullable=True, default=0.0)
stop_loss: float = 0.0
# percentage value of the stop loss
stop_loss_pct = Column(Float, nullable=True)
stop_loss_pct: float = 0.0
# absolute value of the initial stop loss
initial_stop_loss = Column(Float, nullable=True, default=0.0)
initial_stop_loss: float = 0.0
# percentage value of the initial stop loss
initial_stop_loss_pct = Column(Float, nullable=True)
initial_stop_loss_pct: float = 0.0
# stoploss order id which is on exchange
stoploss_order_id = Column(String, nullable=True, index=True)
stoploss_order_id: Optional[str] = None
# last update time of the stoploss order on exchange
stoploss_last_update = Column(DateTime, nullable=True)
stoploss_last_update: Optional[datetime] = None
# absolute value of the highest reached price
max_rate = Column(Float, nullable=True, default=0.0)
max_rate: float = 0.0
# Lowest price reached
min_rate = Column(Float, nullable=True)
sell_reason = Column(String, nullable=True)
sell_order_status = Column(String, nullable=True)
strategy = Column(String, nullable=True)
timeframe = Column(Integer, nullable=True)
min_rate: float = 0.0
sell_reason: str = ''
sell_order_status: str = ''
strategy: str = ''
timeframe: Optional[int] = None
def __init__(self, **kwargs):
super().__init__(**kwargs)
for key in kwargs:
setattr(self, key, kwargs[key])
self.recalc_open_trade_value()
def __repr__(self):
@@ -268,6 +268,14 @@ class Trade(_DECL_BASE):
return (f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
f'open_rate={self.open_rate:.8f}, open_since={open_since})')
@property
def open_date_utc(self):
return self.open_date.replace(tzinfo=timezone.utc)
@property
def close_date_utc(self):
return self.close_date.replace(tzinfo=timezone.utc)
def to_json(self) -> Dict[str, Any]:
return {
'trade_id': self.id,
@@ -306,9 +314,9 @@ class Trade(_DECL_BASE):
'close_profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
'close_profit_abs': self.close_profit_abs, # Deprecated
'trade_duration_s': (int((self.close_date - self.open_date).total_seconds())
'trade_duration_s': (int((self.close_date_utc - self.open_date_utc).total_seconds())
if self.close_date else None),
'trade_duration': (int((self.close_date - self.open_date).total_seconds() // 60)
'trade_duration': (int((self.close_date_utc - self.open_date_utc).total_seconds() // 60)
if self.close_date else None),
'profit_ratio': self.close_profit,
@@ -341,8 +349,7 @@ class Trade(_DECL_BASE):
"""
Resets all trades. Only active for backtesting mode.
"""
if not Trade.use_db:
Trade.trades = []
LocalTrade.trades = []
def adjust_min_max_rates(self, current_price: float) -> None:
"""
@@ -410,8 +417,8 @@ class Trade(_DECL_BASE):
if order_type in ('market', 'limit') and order['side'] == 'buy':
# Update open rate and actual amount
self.open_rate = Decimal(safe_value_fallback(order, 'average', 'price'))
self.amount = Decimal(safe_value_fallback(order, 'filled', 'amount'))
self.open_rate = float(safe_value_fallback(order, 'average', 'price'))
self.amount = float(safe_value_fallback(order, 'filled', 'amount'))
self.recalc_open_trade_value()
if self.is_open:
logger.info(f'{order_type.upper()}_BUY has been fulfilled for {self}.')
@@ -435,7 +442,7 @@ class Trade(_DECL_BASE):
Sets close_rate to the given rate, calculates total profit
and marks trade as closed
"""
self.close_rate = Decimal(rate)
self.close_rate = rate
self.close_profit = self.calc_profit_ratio()
self.close_profit_abs = self.calc_profit()
self.close_date = self.close_date or datetime.utcnow()
@@ -480,14 +487,6 @@ class Trade(_DECL_BASE):
def update_order(self, order: Dict) -> None:
Order.update_orders(self.orders, order)
def delete(self) -> None:
for order in self.orders:
Order.session.delete(order)
Trade.session.delete(self)
Trade.session.flush()
def _calc_open_trade_value(self) -> float:
"""
Calculate the open_rate including open_fee.
@@ -517,7 +516,7 @@ class Trade(_DECL_BASE):
if rate is None and not self.close_rate:
return 0.0
sell_trade = Decimal(self.amount) * Decimal(rate or self.close_rate)
sell_trade = Decimal(self.amount) * Decimal(rate or self.close_rate) # type: ignore
fees = sell_trade * Decimal(fee or self.fee_close)
return float(sell_trade - fees)
@@ -589,7 +588,7 @@ class Trade(_DECL_BASE):
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
) -> List['Trade']:
) -> List['LocalTrade']:
"""
Helper function to query Trades.
Returns a List of trades, filtered on the parameters given.
@@ -598,30 +597,19 @@ class Trade(_DECL_BASE):
:return: unsorted List[Trade]
"""
if Trade.use_db:
trade_filter = []
if pair:
trade_filter.append(Trade.pair == pair)
if open_date:
trade_filter.append(Trade.open_date > open_date)
if close_date:
trade_filter.append(Trade.close_date > close_date)
if is_open is not None:
trade_filter.append(Trade.is_open.is_(is_open))
return Trade.get_trades(trade_filter).all()
else:
# Offline mode - without database
sel_trades = [trade for trade in Trade.trades]
if pair:
sel_trades = [trade for trade in sel_trades if trade.pair == pair]
if open_date:
sel_trades = [trade for trade in sel_trades if trade.open_date > open_date]
if close_date:
sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date]
if is_open is not None:
sel_trades = [trade for trade in sel_trades if trade.is_open == is_open]
return sel_trades
# Offline mode - without database
sel_trades = [trade for trade in LocalTrade.trades]
if pair:
sel_trades = [trade for trade in sel_trades if trade.pair == pair]
if open_date:
sel_trades = [trade for trade in sel_trades if trade.open_date > open_date]
if close_date:
sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date]
if is_open is not None:
sel_trades = [trade for trade in sel_trades if trade.is_open == is_open]
return sel_trades
@staticmethod
def get_open_trades() -> List[Any]:
@@ -663,9 +651,12 @@ class Trade(_DECL_BASE):
Calculates total invested amount in open trades
in stake currency
"""
total_open_stake_amount = Trade.session.query(func.sum(Trade.stake_amount))\
.filter(Trade.is_open.is_(True))\
.scalar()
if Trade.use_db:
total_open_stake_amount = Trade.session.query(
func.sum(Trade.stake_amount)).filter(Trade.is_open.is_(True)).scalar()
else:
total_open_stake_amount = sum(
t.stake_amount for t in Trade.get_trades_proxy(is_open=True))
return total_open_stake_amount or 0
@staticmethod
@@ -723,6 +714,108 @@ class Trade(_DECL_BASE):
logger.info(f"New stoploss: {trade.stop_loss}.")
class Trade(_DECL_BASE, LocalTrade):
"""
Trade database model.
Also handles updating and querying trades
Note: Fields must be aligned with LocalTrade class
"""
__tablename__ = 'trades'
use_db: bool = True
id = Column(Integer, primary_key=True)
orders = relationship("Order", order_by="Order.id", cascade="all, delete-orphan")
exchange = Column(String, nullable=False)
pair = Column(String, nullable=False, index=True)
is_open = Column(Boolean, nullable=False, default=True, index=True)
fee_open = Column(Float, nullable=False, default=0.0)
fee_open_cost = Column(Float, nullable=True)
fee_open_currency = Column(String, nullable=True)
fee_close = Column(Float, nullable=False, default=0.0)
fee_close_cost = Column(Float, nullable=True)
fee_close_currency = Column(String, nullable=True)
open_rate = Column(Float)
open_rate_requested = Column(Float)
# open_trade_value - calculated via _calc_open_trade_value
open_trade_value = Column(Float)
close_rate = Column(Float)
close_rate_requested = Column(Float)
close_profit = Column(Float)
close_profit_abs = Column(Float)
stake_amount = Column(Float, nullable=False)
amount = Column(Float)
amount_requested = Column(Float)
open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
close_date = Column(DateTime)
open_order_id = Column(String)
# absolute value of the stop loss
stop_loss = Column(Float, nullable=True, default=0.0)
# percentage value of the stop loss
stop_loss_pct = Column(Float, nullable=True)
# absolute value of the initial stop loss
initial_stop_loss = Column(Float, nullable=True, default=0.0)
# percentage value of the initial stop loss
initial_stop_loss_pct = Column(Float, nullable=True)
# stoploss order id which is on exchange
stoploss_order_id = Column(String, nullable=True, index=True)
# last update time of the stoploss order on exchange
stoploss_last_update = Column(DateTime, nullable=True)
# absolute value of the highest reached price
max_rate = Column(Float, nullable=True, default=0.0)
# Lowest price reached
min_rate = Column(Float, nullable=True)
sell_reason = Column(String, nullable=True)
sell_order_status = Column(String, nullable=True)
strategy = Column(String, nullable=True)
timeframe = Column(Integer, nullable=True)
def __init__(self, **kwargs):
super().__init__(**kwargs)
self.recalc_open_trade_value()
def delete(self) -> None:
for order in self.orders:
Order.session.delete(order)
Trade.session.delete(self)
Trade.session.flush()
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
) -> List['LocalTrade']:
"""
Helper function to query Trades.
Returns a List of trades, filtered on the parameters given.
In live mode, converts the filter to a database query and returns all rows
In Backtest mode, uses filters on Trade.trades to get the result.
:return: unsorted List[Trade]
"""
if Trade.use_db:
trade_filter = []
if pair:
trade_filter.append(Trade.pair == pair)
if open_date:
trade_filter.append(Trade.open_date > open_date)
if close_date:
trade_filter.append(Trade.close_date > close_date)
if is_open is not None:
trade_filter.append(Trade.is_open.is_(is_open))
return Trade.get_trades(trade_filter).all()
else:
return LocalTrade.get_trades_proxy(
pair=pair, is_open=is_open,
open_date=open_date,
close_date=close_date
)
class PairLock(_DECL_BASE):
"""
Pair Locks database model.

8
freqtrade/persistence/pairlock_middleware.py
View File

@@ -123,3 +123,11 @@ class PairLocks():
now = datetime.now(timezone.utc)
return len(PairLocks.get_pair_locks(pair, now)) > 0 or PairLocks.is_global_lock(now)
@staticmethod
def get_all_locks() -> List[PairLock]:
if PairLocks.use_db:
return PairLock.query.all()
else:
return PairLocks.locks