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optimizing trade db handling to lower monthly cost

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This commit is contained in:
Gert Wohlgemuth 2018-06-02 14:44:09 -07:00
parent cd462db993
commit 13b533820f
6 changed files with 161 additions and 90 deletions
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97
freqtrade/aws/backtesting_lambda.py
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@ -7,8 +7,9 @@ import boto3
import simplejson as json
from boto3.dynamodb.conditions import Key
from freqtrade.aws.tables import get_trade_table, get_strategy_table
from freqtrade.aws.tables import get_strategy_table
from freqtrade.optimize.backtesting import Backtesting
from requests import post
db = boto3.resource('dynamodb')
@ -25,7 +26,7 @@ def backtest(event, context):
{
'strategy' : 'url handle where we can find the strategy'
'stake_currency' : 'our desired stake currency'
'asset' : '[] asset we are interested in. If empy, we fill use a default list
'asset' : '[] asset we are interested in.
'username' : user who's strategy should be evaluated
'name' : name of the strategy we want to evaluate
'exchange' : name of the exchange we should be using
@ -48,7 +49,6 @@ def backtest(event, context):
name = event['body']['name']
user = event['body']['user']
trade_table = get_trade_table()
table = get_strategy_table()
response = table.query(
@ -58,7 +58,7 @@ def backtest(event, context):
)
till = datetime.datetime.today()
fromDate = till - datetime.timedelta(days=7)
fromDate = till - datetime.timedelta(days=1)
if 'from' in event['body']:
fromDate = datetime.datetime.strptime(event['body']['from'], '%Y%m%d')
@ -71,15 +71,14 @@ def backtest(event, context):
print("backtesting from {} till {} for {} with {} vs {}".format(fromDate, till, name,
event['body'][
'stake_currency'],
event['body']['asset']))
event['body']['assets']))
configuration = _generate_configuration(event, fromDate, name, response, till)
backtesting = Backtesting(configuration)
result = backtesting.start()
result_data = []
for index, row in result.iterrows():
data = {
"id": "{}.{}:{}".format(user, name, row['currency'].upper()),
"id": "{}.{}:{}:test".format(user, name, row['currency'].upper()),
"trade": "{} to {}".format(row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
row['exit'].strftime('%Y-%m-%d %H:%M:%S')),
"pair": row['currency'],
@ -90,18 +89,12 @@ def backtest(event, context):
"exit_date": row['exit'].strftime('%Y-%m-%d %H:%M:%S')
}
data = json.dumps(data, use_decimal=True)
data = json.loads(data, use_decimal=True)
# persist data
trade_table.put_item(Item=data)
result_data.append(data)
_submit_result_to_backend(data)
# fire request message to aggregate this strategy now
return {
"statusCode": 200,
"body": json.dumps(result_data)
"statusCode": 200
}
else:
return {
@ -120,6 +113,19 @@ def backtest(event, context):
raise Exception("not a valid event: {}".format(event))
def _submit_result_to_backend(data):
"""
submits the given result to the backend system for further processing and analysis
:param data:
:return:
"""
print(data)
try:
print(post("{}/trade".format(os.environ['BASE_URL']), data=data))
except Exception as e:
print("submission ignored: {}".format(e))
def _generate_configuration(event, fromDate, name, response, till):
"""
generates the configuration for us on the fly
@ -147,11 +153,9 @@ def _generate_configuration(event, fromDate, name, response, till):
"enabled": True,
"key": "key",
"secret": "secret",
"pair_whitelist": [
"{}/{}".format(event['body']['asset'].upper(),
event['body']['stake_currency']).upper(),
]
"pair_whitelist": list(
map(lambda x: "{}/{}".format(x, response['Items'][0]['stake_currency']).upper(),
response['Items'][0]['assets']))
},
"telegram": {
"enabled": False,
@ -207,37 +211,34 @@ def cron(event, context):
for i in response['Items']:
# fire a message to our queue
for x in i['assets']:
# test each asset by it self
message = {
"user": i['user'],
"name": i['name'],
"asset": i['assets'],
"stake_currency": i['stake_currency']
}
message = {
"user": i['user'],
"name": i['name'],
"asset": x,
"stake_currency": i['stake_currency']
}
# triggered over html, let's provide
# a date range for the backtesting
if 'pathParameters' in event:
if 'from' in event['pathParameters']:
message['from'] = event['pathParameters']['from']
else:
message['from'] = datetime.datetime.today().strftime('%Y%m%d')
if 'till' in event['pathParameters']:
message['till'] = event['pathParameters']['till']
else:
message['till'] = (datetime.datetime.today() - datetime.timedelta(days=1)).strftime('%Y%m%d')
# triggered over html, let's provide
# a date range for the backtesting
if 'pathParameters' in event:
if 'from' in event['pathParameters']:
message['from'] = event['pathParameters']['from']
else:
message['from'] = datetime.datetime.today().strftime('%Y%m%d')
if 'till' in event['pathParameters']:
message['till'] = event['pathParameters']['till']
else:
message['till'] = (datetime.datetime.today() - datetime.timedelta(days=1)).strftime('%Y%m%d')
serialized = json.dumps(message, use_decimal=True)
# submit item to queue for routing to the correct persistence
serialized = json.dumps(message, use_decimal=True)
# submit item to queue for routing to the correct persistence
result = client.publish(
TopicArn=topic_arn,
Message=json.dumps({'default': serialized}),
Subject="schedule backtesting",
MessageStructure='json'
)
result = client.publish(
TopicArn=topic_arn,
Message=json.dumps({'default': serialized}),
Subject="schedule",
MessageStructure='json'
)
if 'LastEvaluatedKey' in response:
return table.scan(

37
freqtrade/aws/trade.py Normal file
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@ -0,0 +1,37 @@
import boto3
import simplejson as json
import os
from freqtrade.aws.tables import get_trade_table
def store(event, context):
"""
stores the received data in the internal database
:param data:
:return:
"""
if 'Records' in event:
for x in event['Records']:
if 'Sns' in x and 'Message' in x['Sns']:
data = json.loads(x['Sns']['Message'], use_decimal=True)
get_trade_table().put_item(Item=data)
def submit(event, context):
"""
submits a new trade to be registered in the internal queue system
:param event:
:param context:
:return:
"""
data = json.loads(event['body'])
client = boto3.client('sns')
topic_arn = client.create_topic(Name=os.environ['tradeTopic'])['TopicArn']
result = client.publish(
TopicArn=topic_arn,
Message=json.dumps({'default': data}),
Subject="persist data",
MessageStructure='json'
)

47
freqtrade/tests/aws/test_backtest.py
View File

@ -4,6 +4,8 @@ from base64 import urlsafe_b64encode
import boto3
import pytest
import simplejson as json
from mock import Mock
from freqtrade.aws.backtesting_lambda import backtest, cron
from freqtrade.aws.strategy import submit, get_trades
@ -73,11 +75,11 @@ class MyFancyTestStrategy(IStrategy):
"from": "20180401",
"till": "20180501",
"stake_currency": "usdt",
"asset": "ltc"
"assets": ["ltc"]
}
data = json.loads(backtest({
assert backtest({
"Records": [
{
"Sns": {
@ -85,29 +87,14 @@ class MyFancyTestStrategy(IStrategy):
"Message": json.dumps(request)
}
}]
}, {})['body'])
# evaluate that we now have trades in the database
# sadly not always a given at this tage
# due to the dynamic nature. Should pick a strategy for testing
# which generates a lot of trades
if len(data) > 0:
data = get_trades({
'pathParameters': {
'user': "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
"name": "MyFancyTestStrategy",
'stake': "USDT",
'asset': "{}".format(data[0]['pair'].split("/")[0])
}
}, {})['body']
print(data)
assert len(json.loads(data)) > 0
}, {})['statusCode'] == 200
def test_backtest(lambda_context):
content = """# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from typing import Dict, List
from hyperopt import hp
from functools import reduce
from pandas import DataFrame
@ -167,10 +154,10 @@ class MyFancyTestStrategy(IStrategy):
"user": "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
"name": "MyFancyTestStrategy",
"stake_currency": "usdt",
"asset": "ltc"
"assets": ["ltc"]
}
data = json.loads(backtest({
assert backtest({
"Records": [
{
"Sns": {
@ -178,23 +165,7 @@ class MyFancyTestStrategy(IStrategy):
"Message": json.dumps(request)
}
}]
}, {})['body'])
# evaluate that we now have trades in the database
# sadly not always a given at this tage
# due to the dynamic nature. Should pick a strategy for testing
# which generates a lot of trades
if len(data) > 0:
data = get_trades({
'pathParameters': {
'user': "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
"name": "MyFancyTestStrategy",
"stake": "usdt",
"asset": "ltc"
}
}, {})['body']
print(data)
assert len(json.loads(data)) > 0
}, {})['statusCode'] == 200
def test_cron(lambda_context):

40
freqtrade/tests/aws/test_trade.py Normal file
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@ -0,0 +1,40 @@
from freqtrade.aws.trade import store
from freqtrade.aws.tables import get_trade_table
import simplejson as json
from boto3.dynamodb.conditions import Key, Attr
def test_store(lambda_context):
store({
"Records": [
{
"Sns": {
"Subject": "trade",
"Message": json.dumps(
{
'id': 'GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG.MyFancyTestStrategy:BTC/USDT:test',
'trade': '2018-05-05 14:15:00 to 2018-05-18 00:40:00',
'pair': 'BTC/USDT',
'duration': 625,
'profit_percent': -0.20453928,
'profit_stake': -0.20514198,
'entry_date': '2018-05-05 14:15:00',
'exit_date': '2018-05-18 00:40:00'
}
)
}
}]
}
, {})
# trade table should not have 1 item in it, with our given key
table = get_trade_table()
response = table.query(
KeyConditionExpression=Key('id')
.eq('GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG.MyFancyTestStrategy:BTC/USDT:test')
)
print(response)
assert 'Items' in response
assert len(response['Items']) == 1

3
freqtrade/tests/conftest.py
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@ -631,6 +631,7 @@ def lambda_context():
os.environ["strategyTable"] = "StrategyTable"
os.environ["tradeTable"] = "TradeTable"
os.environ["topic"] = "UnitTestTopic"
os.environ["BASE_URL"] = "http://127.0.0.1/test"
client = session.client('sns')
client.create_topic(Name=os.environ["topic"])
@ -643,7 +644,7 @@ def lambda_context():
responses.add_passthru('https://api.github.com')
responses.add_passthru('https://bittrex.com')
responses.add_passthru('https://api.binance.com')
# here we will define required tables later
yield
sns.stop()
dynamo.stop()

27
serverless.yml
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@ -199,7 +199,31 @@ functions:
environment:
topic: ${self:custom.snsTopic}
strategyTable: ${self:custom.strategyTable}
BASE_URL: ${self:custom.customDomain.domainName}/${self:custom.customDomain.stage}
# submits a new trade to the system
trade:
memorySize: 128
handler: freqtrade/aws/trade.submit
events:
- http:
path: trade
method: post
cors: true
environment:
tradeTopic: ${self:custom.snsTradeTopic}
# stores the received message in the trade table
trade-store:
memorySize: 128
handler: freqtrade/aws/trade.store
events:
- sns: ${self:custom.snsTradeTopic}
environment:
tradeTable: ${self:custom.tradeTable}
#submits a new strategy to the system
submit_github:
@ -232,9 +256,6 @@ functions:
tradeTable: ${self:custom.tradeTable}
strategyTable: ${self:custom.strategyTable}
# not more than 2 runners at any given time
reservedConcurrency: 2
# schedules all registered strategies on a daily base
schedule:
memorySize: 128