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Merge branch 'freqtrade:develop' into strategy_utils

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hippocritical
2022-12-27 22:34:24 +01:00
committed by GitHub
parent 70e9fa6136 cd4faa9c59
commit 126b8dac07
25 changed files with 517 additions and 488 deletions
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50
freqtrade/data/btanalysis.py
View File

@@ -20,8 +20,8 @@ from freqtrade.persistence import LocalTrade, Trade, init_db
logger = logging.getLogger(__name__)
# Newest format
BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date',
'open_rate', 'close_rate',
BT_DATA_COLUMNS = ['pair', 'stake_amount', 'max_stake_amount', 'amount',
'open_date', 'close_date', 'open_rate', 'close_rate',
'fee_open', 'fee_close', 'trade_duration',
'profit_ratio', 'profit_abs', 'exit_reason',
'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs',
@@ -241,6 +241,33 @@ def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, s
return results
def _load_backtest_data_df_compatibility(df: pd.DataFrame) -> pd.DataFrame:
"""
Compatibility support for older backtest data.
"""
df['open_date'] = pd.to_datetime(df['open_date'],
utc=True,
infer_datetime_format=True
)
df['close_date'] = pd.to_datetime(df['close_date'],
utc=True,
infer_datetime_format=True
)
# Compatibility support for pre short Columns
if 'is_short' not in df.columns:
df['is_short'] = False
if 'leverage' not in df.columns:
df['leverage'] = 1.0
if 'enter_tag' not in df.columns:
df['enter_tag'] = df['buy_tag']
df = df.drop(['buy_tag'], axis=1)
if 'max_stake_amount' not in df.columns:
df['max_stake_amount'] = df['stake_amount']
if 'orders' not in df.columns:
df['orders'] = None
return df
def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame:
"""
Load backtest data file.
@@ -269,24 +296,7 @@ def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = Non
data = data['strategy'][strategy]['trades']
df = pd.DataFrame(data)
if not df.empty:
df['open_date'] = pd.to_datetime(df['open_date'],
utc=True,
infer_datetime_format=True
)
df['close_date'] = pd.to_datetime(df['close_date'],
utc=True,
infer_datetime_format=True
)
# Compatibility support for pre short Columns
if 'is_short' not in df.columns:
df['is_short'] = 0
if 'leverage' not in df.columns:
df['leverage'] = 1.0
if 'enter_tag' not in df.columns:
df['enter_tag'] = df['buy_tag']
df = df.drop(['buy_tag'], axis=1)
if 'orders' not in df.columns:
df['orders'] = None
df = _load_backtest_data_df_compatibility(df)
else:
# old format - only with lists.

2
freqtrade/exchange/binance.py
View File

@@ -31,7 +31,7 @@ class Binance(Exchange):
"ccxt_futures_name": "future"
}
_ft_has_futures: Dict = {
"stoploss_order_types": {"limit": "limit", "market": "market"},
"stoploss_order_types": {"limit": "stop", "market": "stop_market"},
"tickers_have_price": False,
}

15
freqtrade/persistence/migrations.py
View File

@@ -109,11 +109,10 @@ def migrate_trades_and_orders_table(
else:
is_short = get_column_def(cols, 'is_short', '0')
# Margin Properties
# Futures Properties
interest_rate = get_column_def(cols, 'interest_rate', '0.0')
# Futures properties
funding_fees = get_column_def(cols, 'funding_fees', '0.0')
max_stake_amount = get_column_def(cols, 'max_stake_amount', 'stake_amount')
# If ticker-interval existed use that, else null.
if has_column(cols, 'ticker_interval'):
@@ -162,7 +161,8 @@ def migrate_trades_and_orders_table(
timeframe, open_trade_value, close_profit_abs,
trading_mode, leverage, liquidation_price, is_short,
interest_rate, funding_fees, realized_profit,
amount_precision, price_precision, precision_mode, contract_size
amount_precision, price_precision, precision_mode, contract_size,
max_stake_amount
)
select id, lower(exchange), pair, {base_currency} base_currency,
{stake_currency} stake_currency,
@@ -190,7 +190,8 @@ def migrate_trades_and_orders_table(
{is_short} is_short, {interest_rate} interest_rate,
{funding_fees} funding_fees, {realized_profit} realized_profit,
{amount_precision} amount_precision, {price_precision} price_precision,
{precision_mode} precision_mode, {contract_size} contract_size
{precision_mode} precision_mode, {contract_size} contract_size,
{max_stake_amount} max_stake_amount
from {trade_back_name}
"""))
@@ -310,8 +311,8 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
# if ('orders' not in previous_tables
# or not has_column(cols_orders, 'funding_fee')):
migrating = False
# if not has_column(cols_trades, 'contract_size'):
if not has_column(cols_orders, 'funding_fee'):
# if not has_column(cols_orders, 'funding_fee'):
if not has_column(cols_trades, 'max_stake_amount'):
migrating = True
logger.info(f"Running database migration for trades - "
f"backup: {table_back_name}, {order_table_bak_name}")

8
freqtrade/persistence/trade_model.py
View File

@@ -293,6 +293,7 @@ class LocalTrade():
close_profit: Optional[float] = None
close_profit_abs: Optional[float] = None
stake_amount: float = 0.0
max_stake_amount: float = 0.0
amount: float = 0.0
amount_requested: Optional[float] = None
open_date: datetime
@@ -469,8 +470,8 @@ class LocalTrade():
'amount': round(self.amount, 8),
'amount_requested': round(self.amount_requested, 8) if self.amount_requested else None,
'stake_amount': round(self.stake_amount, 8),
'max_stake_amount': round(self.max_stake_amount, 8) if self.max_stake_amount else None,
'strategy': self.strategy,
'buy_tag': self.enter_tag,
'enter_tag': self.enter_tag,
'timeframe': self.timeframe,
@@ -507,7 +508,6 @@ class LocalTrade():
'profit_pct': round(self.close_profit * 100, 2) if self.close_profit else None,
'profit_abs': self.close_profit_abs,
'sell_reason': self.exit_reason, # Deprecated
'exit_reason': self.exit_reason,
'exit_order_status': self.exit_order_status,
'stop_loss_abs': self.stop_loss,
@@ -876,6 +876,7 @@ class LocalTrade():
ZERO = FtPrecise(0.0)
current_amount = FtPrecise(0.0)
current_stake = FtPrecise(0.0)
max_stake_amount = FtPrecise(0.0)
total_stake = 0.0 # Total stake after all buy orders (does not subtract!)
avg_price = FtPrecise(0.0)
close_profit = 0.0
@@ -917,7 +918,9 @@ class LocalTrade():
exit_rate, amount=exit_amount, open_rate=avg_price)
else:
total_stake = total_stake + self._calc_open_trade_value(tmp_amount, price)
max_stake_amount += (tmp_amount * price)
self.funding_fees = funding_fees
self.max_stake_amount = float(max_stake_amount)
if close_profit:
self.close_profit = close_profit
@@ -1169,6 +1172,7 @@ class Trade(_DECL_BASE, LocalTrade):
close_profit = Column(Float)
close_profit_abs = Column(Float)
stake_amount = Column(Float, nullable=False)
max_stake_amount = Column(Float)
amount = Column(Float)
amount_requested = Column(Float)
open_date = Column(DateTime, nullable=False, default=datetime.utcnow)

3
freqtrade/rpc/api_server/api_schemas.py
View File

@@ -217,8 +217,8 @@ class TradeSchema(BaseModel):
amount: float
amount_requested: float
stake_amount: float
max_stake_amount: Optional[float]
strategy: str
buy_tag: Optional[str] # Deprecated
enter_tag: Optional[str]
timeframe: int
fee_open: Optional[float]
@@ -243,7 +243,6 @@ class TradeSchema(BaseModel):
profit_pct: Optional[float]
profit_abs: Optional[float]
profit_fiat: Optional[float]
sell_reason: Optional[str] # Deprecated
exit_reason: Optional[str]
exit_order_status: Optional[str]
stop_loss_abs: Optional[float]