diff --git a/.devcontainer/devcontainer.json b/.devcontainer/devcontainer.json index 1882e3bdf..41b8475ec 100644 --- a/.devcontainer/devcontainer.json +++ b/.devcontainer/devcontainer.json @@ -1,11 +1,20 @@ { "name": "freqtrade Develop", - - "dockerComposeFile": [ - "docker-compose.yml" + "build": { + "dockerfile": "Dockerfile", + "context": ".." + }, + // Use 'forwardPorts' to make a list of ports inside the container available locally. + "forwardPorts": [ + 8080 ], + "mounts": [ + "source=freqtrade-bashhistory,target=/home/ftuser/commandhistory,type=volume" + ], + // Uncomment to connect as a non-root user if you've added one. See https://aka.ms/vscode-remote/containers/non-root. + "remoteUser": "ftuser", - "service": "ft_vscode", + "postCreateCommand": "freqtrade create-userdir --userdir user_data/", "workspaceFolder": "/freqtrade/", @@ -25,20 +34,6 @@ "ms-python.vscode-pylance", "davidanson.vscode-markdownlint", "ms-azuretools.vscode-docker", + "vscode-icons-team.vscode-icons", ], - - // Use 'forwardPorts' to make a list of ports inside the container available locally. - // "forwardPorts": [], - - // Uncomment the next line if you want start specific services in your Docker Compose config. - // "runServices": [], - - // Uncomment the next line if you want to keep your containers running after VS Code shuts down. - // "shutdownAction": "none", - - // Uncomment the next line to run commands after the container is created - for example installing curl. - // "postCreateCommand": "sudo apt-get update && apt-get install -y git", - - // Uncomment to connect as a non-root user if you've added one. See https://aka.ms/vscode-remote/containers/non-root. - "remoteUser": "ftuser" } diff --git a/.devcontainer/docker-compose.yml b/.devcontainer/docker-compose.yml deleted file mode 100644 index 20ec247d1..000000000 --- a/.devcontainer/docker-compose.yml +++ /dev/null @@ -1,24 +0,0 @@ ---- -version: '3' -services: - ft_vscode: - build: - context: .. - dockerfile: ".devcontainer/Dockerfile" - volumes: - # Allow git usage within container - - "${HOME}/.ssh:/home/ftuser/.ssh:ro" - - "${HOME}/.gitconfig:/home/ftuser/.gitconfig:ro" - - ..:/freqtrade:cached - # Persist bash-history - - freqtrade-vscode-server:/home/ftuser/.vscode-server - - freqtrade-bashhistory:/home/ftuser/commandhistory - # Expose API port - ports: - - "127.0.0.1:8080:8080" - command: /bin/sh -c "while sleep 1000; do :; done" - - -volumes: - freqtrade-vscode-server: - freqtrade-bashhistory: diff --git a/.github/PULL_REQUEST_TEMPLATE.md b/.github/PULL_REQUEST_TEMPLATE.md index 20ef27f0f..7c0655b20 100644 --- a/.github/PULL_REQUEST_TEMPLATE.md +++ b/.github/PULL_REQUEST_TEMPLATE.md @@ -2,14 +2,16 @@ Thank you for sending your pull request. But first, have you included unit tests, and is your code PEP8 conformant? [More details](https://github.com/freqtrade/freqtrade/blob/develop/CONTRIBUTING.md) ## Summary + Explain in one sentence the goal of this PR Solve the issue: #___ ## Quick changelog -- -- +- +- ## What's new? + *Explain in details what this PR solve or improve. You can include visuals.* diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml index 42959c3b5..228a60389 100644 --- a/.github/workflows/ci.yml +++ b/.github/workflows/ci.yml @@ -79,15 +79,15 @@ jobs: - name: Backtesting run: | - cp config_bittrex.json.example config.json + cp config_examples/config_bittrex.example.json config.json freqtrade create-userdir --userdir user_data freqtrade backtesting --datadir tests/testdata --strategy SampleStrategy - name: Hyperopt run: | - cp config_bittrex.json.example config.json + cp config_examples/config_bittrex.example.json config.json freqtrade create-userdir --userdir user_data - freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt --hyperopt-loss SharpeHyperOptLossDaily --print-all + freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt-loss SharpeHyperOptLossDaily --print-all - name: Flake8 run: | @@ -172,15 +172,15 @@ jobs: - name: Backtesting run: | - cp config_bittrex.json.example config.json + cp config_examples/config_bittrex.example.json config.json freqtrade create-userdir --userdir user_data freqtrade backtesting --datadir tests/testdata --strategy SampleStrategy - name: Hyperopt run: | - cp config_bittrex.json.example config.json + cp config_examples/config_bittrex.example.json config.json freqtrade create-userdir --userdir user_data - freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt --hyperopt-loss SharpeHyperOptLossDaily --print-all + freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt-loss SharpeHyperOptLossDaily --print-all - name: Flake8 run: | @@ -239,15 +239,15 @@ jobs: - name: Backtesting run: | - cp config_bittrex.json.example config.json + cp config_examples/config_bittrex.example.json config.json freqtrade create-userdir --userdir user_data freqtrade backtesting --datadir tests/testdata --strategy SampleStrategy - name: Hyperopt run: | - cp config_bittrex.json.example config.json + cp config_examples/config_bittrex.example.json config.json freqtrade create-userdir --userdir user_data - freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt --hyperopt-loss SharpeHyperOptLossDaily --print-all + freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt-loss SharpeHyperOptLossDaily --print-all - name: Flake8 run: | @@ -334,6 +334,7 @@ jobs: runs-on: ubuntu-20.04 if: (github.event_name == 'push' || github.event_name == 'schedule' || github.event_name == 'release') && github.repository == 'freqtrade/freqtrade' + steps: - uses: actions/checkout@v2 @@ -411,3 +412,31 @@ jobs: channel: '#notifications' url: ${{ secrets.SLACK_WEBHOOK }} + + deploy_arm: + needs: [ deploy ] + # Only run on 64bit machines + runs-on: [self-hosted, linux, ARM64] + if: (github.event_name == 'push' || github.event_name == 'schedule' || github.event_name == 'release') && github.repository == 'freqtrade/freqtrade' + + steps: + - uses: actions/checkout@v2 + + - name: Extract branch name + shell: bash + run: echo "##[set-output name=branch;]$(echo ${GITHUB_REF##*/})" + id: extract_branch + + - name: Dockerhub login + env: + DOCKER_PASSWORD: ${{ secrets.DOCKER_PASSWORD }} + DOCKER_USERNAME: ${{ secrets.DOCKER_USERNAME }} + run: | + echo "${DOCKER_PASSWORD}" | docker login --username ${DOCKER_USERNAME} --password-stdin + + - name: Build and test and push docker images + env: + IMAGE_NAME: freqtradeorg/freqtrade + BRANCH_NAME: ${{ steps.extract_branch.outputs.branch }} + run: | + build_helpers/publish_docker_arm64.sh diff --git a/.gitignore b/.gitignore index 4720ff5cb..16df71194 100644 --- a/.gitignore +++ b/.gitignore @@ -95,3 +95,8 @@ target/ #exceptions !*.gitkeep +!config_examples/config_binance.example.json +!config_examples/config_bittrex.example.json +!config_examples/config_ftx.example.json +!config_examples/config_full.example.json +!config_examples/config_kraken.example.json diff --git a/.travis.yml b/.travis.yml index 4535c44cb..15c174bfe 100644 --- a/.travis.yml +++ b/.travis.yml @@ -26,14 +26,14 @@ jobs: # - coveralls || true name: pytest - script: - - cp config_bittrex.json.example config.json + - cp config_examples/config_bittrex.example.json config.json - freqtrade create-userdir --userdir user_data - freqtrade backtesting --datadir tests/testdata --strategy SampleStrategy name: backtest - script: - - cp config_bittrex.json.example config.json + - cp config_examples/config_bittrex.example.json config.json - freqtrade create-userdir --userdir user_data - - freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt SampleHyperOpt --hyperopt-loss SharpeHyperOptLossDaily + - freqtrade hyperopt --datadir tests/testdata -e 5 --strategy SampleStrategy --hyperopt-loss SharpeHyperOptLossDaily name: hyperopt - script: flake8 name: flake8 diff --git a/CONTRIBUTING.md b/CONTRIBUTING.md index 040cf3e98..c4ccc1b9f 100644 --- a/CONTRIBUTING.md +++ b/CONTRIBUTING.md @@ -12,7 +12,7 @@ Few pointers for contributions: - New features need to contain unit tests, must conform to PEP8 (max-line-length = 100) and should be documented with the introduction PR. - PR's can be declared as `[WIP]` - which signify Work in Progress Pull Requests (which are not finished). -If you are unsure, discuss the feature on our [discord server](https://discord.gg/p7nuUNVfP7), on [Slack](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw) or in a [issue](https://github.com/freqtrade/freqtrade/issues) before a PR. +If you are unsure, discuss the feature on our [discord server](https://discord.gg/p7nuUNVfP7) or in a [issue](https://github.com/freqtrade/freqtrade/issues) before a Pull Request. ## Getting started diff --git a/Dockerfile b/Dockerfile index 804b1086b..f7e26efe3 100644 --- a/Dockerfile +++ b/Dockerfile @@ -1,4 +1,4 @@ -FROM python:3.9.6-slim-buster as base +FROM python:3.9.7-slim-buster as base # Setup env ENV LANG C.UTF-8 @@ -13,7 +13,7 @@ RUN mkdir /freqtrade \ && apt-get update \ && apt-get -y install sudo libatlas3-base curl sqlite3 libhdf5-serial-dev \ && apt-get clean \ - && useradd -u 1000 -G sudo -U -m ftuser \ + && useradd -u 1000 -G sudo -U -m -s /bin/bash ftuser \ && chown ftuser:ftuser /freqtrade \ # Allow sudoers && echo "ftuser ALL=(ALL) NOPASSWD: /bin/chown" >> /etc/sudoers diff --git a/README.md b/README.md index 4082995f0..01effd7bc 100644 --- a/README.md +++ b/README.md @@ -26,10 +26,11 @@ hesitate to read the source code and understand the mechanism of this bot. Please read the [exchange specific notes](docs/exchanges.md) to learn about eventual, special configurations needed for each exchange. +- [X] [Binance](https://www.binance.com/) ([*Note for binance users](docs/exchanges.md#binance-blacklist)) - [X] [Bittrex](https://bittrex.com/) -- [X] [Binance](https://www.binance.com/) ([*Note for binance users](docs/exchanges.md#blacklists)) - [X] [Kraken](https://kraken.com/) - [X] [FTX](https://ftx.com) +- [X] [Gate.io](https://www.gate.io/ref/6266643) - [ ] [potentially many others](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_ ### Community tested @@ -37,7 +38,7 @@ Please read the [exchange specific notes](docs/exchanges.md) to learn about even Exchanges confirmed working by the community: - [X] [Bitvavo](https://bitvavo.com/) -- [X] [Kukoin](https://www.kucoin.com/) +- [X] [Kucoin](https://www.kucoin.com/) ## Documentation @@ -78,22 +79,22 @@ For any other type of installation please refer to [Installation doc](https://ww ``` usage: freqtrade [-h] [-V] - {trade,create-userdir,new-config,new-hyperopt,new-strategy,download-data,convert-data,convert-trade-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,plot-dataframe,plot-profit} + {trade,create-userdir,new-config,new-strategy,download-data,convert-data,convert-trade-data,list-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,install-ui,plot-dataframe,plot-profit,webserver} ... Free, open source crypto trading bot positional arguments: - {trade,create-userdir,new-config,new-hyperopt,new-strategy,download-data,convert-data,convert-trade-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,plot-dataframe,plot-profit} + {trade,create-userdir,new-config,new-strategy,download-data,convert-data,convert-trade-data,list-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,install-ui,plot-dataframe,plot-profit,webserver} trade Trade module. create-userdir Create user-data directory. new-config Create new config - new-hyperopt Create new hyperopt new-strategy Create new strategy download-data Download backtesting data. convert-data Convert candle (OHLCV) data from one format to another. convert-trade-data Convert trade data from one format to another. + list-data List downloaded data. backtesting Backtesting module. edge Edge module. hyperopt Hyperopt module. @@ -107,8 +108,10 @@ positional arguments: list-timeframes Print available timeframes for the exchange. show-trades Show trades. test-pairlist Test your pairlist configuration. + install-ui Install FreqUI plot-dataframe Plot candles with indicators. plot-profit Generate plot showing profits. + webserver Webserver module. optional arguments: -h, --help show this help message and exit @@ -142,13 +145,9 @@ The project is currently setup in two main branches: ## Support -### Help / Discord / Slack +### Help / Discord -For any questions not covered by the documentation or for further information about the bot, or to simply engage with like-minded individuals, we encourage you to join our slack channel. - -Please check out our [discord server](https://discord.gg/p7nuUNVfP7). - -You can also join our [Slack channel](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw). +For any questions not covered by the documentation or for further information about the bot, or to simply engage with like-minded individuals, we encourage you to join the Freqtrade [discord server](https://discord.gg/p7nuUNVfP7). ### [Bugs / Issues](https://github.com/freqtrade/freqtrade/issues?q=is%3Aissue) @@ -179,7 +178,7 @@ to understand the requirements before sending your pull-requests. Coding is not a necessity to contribute - maybe start with improving our documentation? Issues labeled [good first issue](https://github.com/freqtrade/freqtrade/labels/good%20first%20issue) can be good first contributions, and will help get you familiar with the codebase. -**Note** before starting any major new feature work, *please open an issue describing what you are planning to do* or talk to us on [discord](https://discord.gg/p7nuUNVfP7) or [Slack](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw). This will ensure that interested parties can give valuable feedback on the feature, and let others know that you are working on it. +**Note** before starting any major new feature work, *please open an issue describing what you are planning to do* or talk to us on [discord](https://discord.gg/p7nuUNVfP7) (please use the #dev channel for this). This will ensure that interested parties can give valuable feedback on the feature, and let others know that you are working on it. **Important:** Always create your PR against the `develop` branch, not `stable`. diff --git a/build_helpers/TA_Lib-0.4.20-cp37-cp37m-win_amd64.whl b/build_helpers/TA_Lib-0.4.20-cp37-cp37m-win_amd64.whl deleted file mode 100644 index b4eee9c47..000000000 Binary files a/build_helpers/TA_Lib-0.4.20-cp37-cp37m-win_amd64.whl and /dev/null differ diff --git a/build_helpers/TA_Lib-0.4.20-cp38-cp38-win_amd64.whl b/build_helpers/TA_Lib-0.4.20-cp38-cp38-win_amd64.whl deleted file mode 100644 index de7393fde..000000000 Binary files a/build_helpers/TA_Lib-0.4.20-cp38-cp38-win_amd64.whl and /dev/null differ diff --git a/build_helpers/TA_Lib-0.4.21-cp37-cp37m-win_amd64.whl b/build_helpers/TA_Lib-0.4.21-cp37-cp37m-win_amd64.whl new file mode 100644 index 000000000..bccfd090f Binary files /dev/null and b/build_helpers/TA_Lib-0.4.21-cp37-cp37m-win_amd64.whl differ diff --git a/build_helpers/TA_Lib-0.4.21-cp38-cp38-win_amd64.whl b/build_helpers/TA_Lib-0.4.21-cp38-cp38-win_amd64.whl new file mode 100644 index 000000000..67b41bf99 Binary files /dev/null and b/build_helpers/TA_Lib-0.4.21-cp38-cp38-win_amd64.whl differ diff --git a/build_helpers/TA_Lib-0.4.21-cp39-cp39-win_amd64.whl b/build_helpers/TA_Lib-0.4.21-cp39-cp39-win_amd64.whl new file mode 100644 index 000000000..da9d74558 Binary files /dev/null and b/build_helpers/TA_Lib-0.4.21-cp39-cp39-win_amd64.whl differ diff --git a/build_helpers/install_ta-lib.sh b/build_helpers/install_ta-lib.sh index dd87cf105..d12b16364 100755 --- a/build_helpers/install_ta-lib.sh +++ b/build_helpers/install_ta-lib.sh @@ -12,9 +12,12 @@ if [ ! -f "${INSTALL_LOC}/lib/libta_lib.a" ]; then && curl 'http://git.savannah.gnu.org/gitweb/?p=config.git;a=blob_plain;f=config.sub;hb=HEAD' -o config.sub \ && ./configure --prefix=${INSTALL_LOC}/ \ && make -j$(nproc) \ - && which sudo && sudo make install || make install \ - && cd .. + && which sudo && sudo make install || make install + if [ -x "$(command -v apt-get)" ]; then + echo "Updating library path using ldconfig" + sudo ldconfig + fi + cd .. && rm -rf ./ta-lib/ else echo "TA-lib already installed, skipping installation" fi -# && sed -i.bak "s|0.00000001|0.000000000000000001 |g" src/ta_func/ta_utility.h \ diff --git a/build_helpers/install_windows.ps1 b/build_helpers/install_windows.ps1 index d2a27dd26..ec38ea212 100644 --- a/build_helpers/install_windows.ps1 +++ b/build_helpers/install_windows.ps1 @@ -6,10 +6,13 @@ python -m pip install --upgrade pip $pyv = python -c "import sys; print(f'{sys.version_info.major}.{sys.version_info.minor}')" if ($pyv -eq '3.7') { - pip install build_helpers\TA_Lib-0.4.20-cp37-cp37m-win_amd64.whl + pip install build_helpers\TA_Lib-0.4.21-cp37-cp37m-win_amd64.whl } if ($pyv -eq '3.8') { - pip install build_helpers\TA_Lib-0.4.20-cp38-cp38-win_amd64.whl + pip install build_helpers\TA_Lib-0.4.21-cp38-cp38-win_amd64.whl +} +if ($pyv -eq '3.9') { + pip install build_helpers\TA_Lib-0.4.21-cp39-cp39-win_amd64.whl } pip install -r requirements-dev.txt diff --git a/build_helpers/publish_docker_arm64.sh b/build_helpers/publish_docker_arm64.sh new file mode 100755 index 000000000..1ad8074d4 --- /dev/null +++ b/build_helpers/publish_docker_arm64.sh @@ -0,0 +1,78 @@ +#!/bin/sh + +# Use BuildKit, otherwise building on ARM fails +export DOCKER_BUILDKIT=1 + +# Replace / with _ to create a valid tag +TAG=$(echo "${BRANCH_NAME}" | sed -e "s/\//_/g") +TAG_PLOT=${TAG}_plot +TAG_PI="${TAG}_pi" + +TAG_ARM=${TAG}_arm +TAG_PLOT_ARM=${TAG_PLOT}_arm +CACHE_IMAGE=freqtradeorg/freqtrade_cache + +echo "Running for ${TAG}" + +# Add commit and commit_message to docker container +echo "${GITHUB_SHA}" > freqtrade_commit + +if [ "${GITHUB_EVENT_NAME}" = "schedule" ]; then + echo "event ${GITHUB_EVENT_NAME}: full rebuild - skipping cache" + # Build regular image + docker build -t freqtrade:${TAG_ARM} . + +else + echo "event ${GITHUB_EVENT_NAME}: building with cache" + # Build regular image + docker pull ${IMAGE_NAME}:${TAG_ARM} + docker build --cache-from ${IMAGE_NAME}:${TAG_ARM} -t freqtrade:${TAG_ARM} . + +fi + +if [ $? -ne 0 ]; then + echo "failed building multiarch images" + return 1 +fi +# Tag image for upload and next build step +docker tag freqtrade:$TAG_ARM ${CACHE_IMAGE}:$TAG_ARM + +docker build --cache-from freqtrade:${TAG_ARM} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG_ARM} -t freqtrade:${TAG_PLOT_ARM} -f docker/Dockerfile.plot . + +docker tag freqtrade:$TAG_PLOT_ARM ${CACHE_IMAGE}:$TAG_PLOT_ARM + +# Run backtest +docker run --rm -v $(pwd)/config_examples/config_bittrex.example.json:/freqtrade/config.json:ro -v $(pwd)/tests:/tests freqtrade:${TAG_ARM} backtesting --datadir /tests/testdata --strategy-path /tests/strategy/strats/ --strategy StrategyTestV2 + +if [ $? -ne 0 ]; then + echo "failed running backtest" + return 1 +fi + +docker images + +# docker push ${IMAGE_NAME} +docker push ${CACHE_IMAGE}:$TAG_PLOT_ARM +docker push ${CACHE_IMAGE}:$TAG_ARM + +# Create multi-arch image +# Make sure that all images contained here are pushed to github first. +# Otherwise installation might fail. +echo "create manifests" + +docker manifest create --amend ${IMAGE_NAME}:${TAG} ${CACHE_IMAGE}:${TAG_ARM} ${IMAGE_NAME}:${TAG_PI} ${CACHE_IMAGE}:${TAG} +docker manifest push -p ${IMAGE_NAME}:${TAG} + +docker manifest create ${IMAGE_NAME}:${TAG_PLOT} ${CACHE_IMAGE}:${TAG_PLOT_ARM} ${CACHE_IMAGE}:${TAG_PLOT} +docker manifest push -p ${IMAGE_NAME}:${TAG_PLOT} + +# Tag as latest for develop builds +if [ "${TAG}" = "develop" ]; then + docker manifest create ${IMAGE_NAME}:latest ${CACHE_IMAGE}:${TAG_ARM} ${IMAGE_NAME}:${TAG_PI} ${CACHE_IMAGE}:${TAG} + docker manifest push -p ${IMAGE_NAME}:latest +fi + +docker images + +# Cleanup old images from arm64 node. +docker image prune -a --force --filter "until=24h" diff --git a/build_helpers/publish_docker_multi.sh b/build_helpers/publish_docker_multi.sh index a6b06ce7d..dd6ac841e 100755 --- a/build_helpers/publish_docker_multi.sh +++ b/build_helpers/publish_docker_multi.sh @@ -9,7 +9,8 @@ TAG_PI="${TAG}_pi" PI_PLATFORM="linux/arm/v7" echo "Running for ${TAG}" -CACHE_TAG=freqtradeorg/freqtrade_cache:${TAG}_cache +CACHE_IMAGE=freqtradeorg/freqtrade_cache +CACHE_TAG=${CACHE_IMAGE}:${TAG_PI}_cache # Add commit and commit_message to docker container echo "${GITHUB_SHA}" > freqtrade_commit @@ -45,14 +46,14 @@ if [ $? -ne 0 ]; then return 1 fi # Tag image for upload and next build step -docker tag freqtrade:$TAG ${IMAGE_NAME}:$TAG +docker tag freqtrade:$TAG ${CACHE_IMAGE}:$TAG -docker build --cache-from freqtrade:${TAG} --build-arg sourceimage=${TAG} -t freqtrade:${TAG_PLOT} -f docker/Dockerfile.plot . +docker build --cache-from freqtrade:${TAG} --build-arg sourceimage=${CACHE_IMAGE} --build-arg sourcetag=${TAG} -t freqtrade:${TAG_PLOT} -f docker/Dockerfile.plot . -docker tag freqtrade:$TAG_PLOT ${IMAGE_NAME}:$TAG_PLOT +docker tag freqtrade:$TAG_PLOT ${CACHE_IMAGE}:$TAG_PLOT # Run backtest -docker run --rm -v $(pwd)/config_bittrex.json.example:/freqtrade/config.json:ro -v $(pwd)/tests:/tests freqtrade:${TAG} backtesting --datadir /tests/testdata --strategy-path /tests/strategy/strats/ --strategy DefaultStrategy +docker run --rm -v $(pwd)/config_examples/config_bittrex.example.json:/freqtrade/config.json:ro -v $(pwd)/tests:/tests freqtrade:${TAG} backtesting --datadir /tests/testdata --strategy-path /tests/strategy/strats/ --strategy StrategyTestV2 if [ $? -ne 0 ]; then echo "failed running backtest" @@ -61,22 +62,9 @@ fi docker images -docker push ${IMAGE_NAME} -docker push ${IMAGE_NAME}:$TAG_PLOT -docker push ${IMAGE_NAME}:$TAG - -# Create multiarch image -# Make sure that all images contained here are pushed to github first. -# Otherwise installation might fail. - -docker manifest create freqtradeorg/freqtrade:${TAG} ${IMAGE_NAME}:${TAG} ${IMAGE_NAME}:${TAG_PI} -docker manifest push freqtradeorg/freqtrade:${TAG} - -# Tag as latest for develop builds -if [ "${TAG}" = "develop" ]; then - docker manifest create freqtradeorg/freqtrade:latest ${IMAGE_NAME}:${TAG} ${IMAGE_NAME}:${TAG_PI} - docker manifest push freqtradeorg/freqtrade:latest -fi +docker push ${CACHE_IMAGE} +docker push ${CACHE_IMAGE}:$TAG_PLOT +docker push ${CACHE_IMAGE}:$TAG docker images diff --git a/config_binance.json.example b/config_examples/config_binance.example.json similarity index 100% rename from config_binance.json.example rename to config_examples/config_binance.example.json diff --git a/config_bittrex.json.example b/config_examples/config_bittrex.example.json similarity index 100% rename from config_bittrex.json.example rename to config_examples/config_bittrex.example.json diff --git a/config_ftx.json.example b/config_examples/config_ftx.example.json similarity index 100% rename from config_ftx.json.example rename to config_examples/config_ftx.example.json diff --git a/config_full.json.example b/config_examples/config_full.example.json similarity index 86% rename from config_full.json.example rename to config_examples/config_full.example.json index d404391a4..c415d70b0 100644 --- a/config_full.json.example +++ b/config_examples/config_full.example.json @@ -78,33 +78,6 @@ "refresh_period": 1440 } ], - "protections": [ - { - "method": "StoplossGuard", - "lookback_period_candles": 60, - "trade_limit": 4, - "stop_duration_candles": 60, - "only_per_pair": false - }, - { - "method": "CooldownPeriod", - "stop_duration_candles": 20 - }, - { - "method": "MaxDrawdown", - "lookback_period_candles": 200, - "trade_limit": 20, - "stop_duration_candles": 10, - "max_allowed_drawdown": 0.2 - }, - { - "method": "LowProfitPairs", - "lookback_period_candles": 360, - "trade_limit": 1, - "stop_duration_candles": 2, - "required_profit": 0.02 - } - ], "exchange": { "name": "binance", "sandbox": false, @@ -176,7 +149,9 @@ }, "sell_fill": "on", "buy_cancel": "on", - "sell_cancel": "on" + "sell_cancel": "on", + "protection_trigger": "off", + "protection_trigger_global": "on" }, "reload": true, "balance_dust_level": 0.01 @@ -201,7 +176,7 @@ "heartbeat_interval": 60 }, "disable_dataframe_checks": false, - "strategy": "DefaultStrategy", + "strategy": "SampleStrategy", "strategy_path": "user_data/strategies/", "dataformat_ohlcv": "json", "dataformat_trades": "jsongz" diff --git a/config_kraken.json.example b/config_examples/config_kraken.example.json similarity index 100% rename from config_kraken.json.example rename to config_examples/config_kraken.example.json diff --git a/docker/Dockerfile.plot b/docker/Dockerfile.plot index d2fc3618a..e7f6bbb16 100644 --- a/docker/Dockerfile.plot +++ b/docker/Dockerfile.plot @@ -1,5 +1,6 @@ -ARG sourceimage=develop -FROM freqtradeorg/freqtrade:${sourceimage} +ARG sourceimage=freqtradeorg/freqtrade +ARG sourcetag=develop +FROM ${sourceimage}:${sourcetag} # Install dependencies COPY requirements-plot.txt /freqtrade/ diff --git a/docs/advanced-hyperopt.md b/docs/advanced-hyperopt.md index 5e71df67c..f5a52ff49 100644 --- a/docs/advanced-hyperopt.md +++ b/docs/advanced-hyperopt.md @@ -67,10 +67,10 @@ Currently, the arguments are: This function needs to return a floating point number (`float`). Smaller numbers will be interpreted as better results. The parameters and balancing for this is up to you. !!! Note - This function is called once per iteration - so please make sure to have this as optimized as possible to not slow hyperopt down unnecessarily. + This function is called once per epoch - so please make sure to have this as optimized as possible to not slow hyperopt down unnecessarily. -!!! Note - Please keep the arguments `*args` and `**kwargs` in the interface to allow us to extend this interface later. +!!! Note "`*args` and `**kwargs`" + Please keep the arguments `*args` and `**kwargs` in the interface to allow us to extend this interface in the future. ## Overriding pre-defined spaces @@ -80,10 +80,56 @@ To override a pre-defined space (`roi_space`, `generate_roi_table`, `stoploss_sp class MyAwesomeStrategy(IStrategy): class HyperOpt: # Define a custom stoploss space. - def stoploss_space(self): + def stoploss_space(): return [SKDecimal(-0.05, -0.01, decimals=3, name='stoploss')] + + # Define custom ROI space + def roi_space() -> List[Dimension]: + return [ + Integer(10, 120, name='roi_t1'), + Integer(10, 60, name='roi_t2'), + Integer(10, 40, name='roi_t3'), + SKDecimal(0.01, 0.04, decimals=3, name='roi_p1'), + SKDecimal(0.01, 0.07, decimals=3, name='roi_p2'), + SKDecimal(0.01, 0.20, decimals=3, name='roi_p3'), + ] ``` +!!! Note + All overrides are optional and can be mixed/matched as necessary. + +### Overriding Base estimator + +You can define your own estimator for Hyperopt by implementing `generate_estimator()` in the Hyperopt subclass. + +```python +class MyAwesomeStrategy(IStrategy): + class HyperOpt: + def generate_estimator(): + return "RF" + +``` + +Possible values are either one of "GP", "RF", "ET", "GBRT" (Details can be found in the [scikit-optimize documentation](https://scikit-optimize.github.io/)), or "an instance of a class that inherits from `RegressorMixin` (from sklearn) and where the `predict` method has an optional `return_std` argument, which returns `std(Y | x)` along with `E[Y | x]`". + +Some research will be necessary to find additional Regressors. + +Example for `ExtraTreesRegressor` ("ET") with additional parameters: + +```python +class MyAwesomeStrategy(IStrategy): + class HyperOpt: + def generate_estimator(): + from skopt.learning import ExtraTreesRegressor + # Corresponds to "ET" - but allows additional parameters. + return ExtraTreesRegressor(n_estimators=100) + +``` + +!!! Note + While custom estimators can be provided, it's up to you as User to do research on possible parameters and analyze / understand which ones should be used. + If you're unsure about this, best use one of the Defaults (`"ET"` has proven to be the most versatile) without further parameters. + ## Space options For the additional spaces, scikit-optimize (in combination with Freqtrade) provides the following space types: @@ -105,281 +151,3 @@ from freqtrade.optimize.space import Categorical, Dimension, Integer, SKDecimal, Assuming the definition of a rather small space (`SKDecimal(0.10, 0.15, decimals=2, name='xxx')`) - SKDecimal will have 5 possibilities (`[0.10, 0.11, 0.12, 0.13, 0.14, 0.15]`). A corresponding real space `Real(0.10, 0.15 name='xxx')` on the other hand has an almost unlimited number of possibilities (`[0.10, 0.010000000001, 0.010000000002, ... 0.014999999999, 0.01500000000]`). - ---- - -## Legacy Hyperopt - -This Section explains the configuration of an explicit Hyperopt file (separate to the strategy). - -!!! Warning "Deprecated / legacy mode" - Since the 2021.4 release you no longer have to write a separate hyperopt class, but all strategies can be hyperopted. - Please read the [main hyperopt page](hyperopt.md) for more details. - -### Prepare hyperopt file - -Configuring an explicit hyperopt file is similar to writing your own strategy, and many tasks will be similar. - -!!! Tip "About this page" - For this page, we will be using a fictional strategy called `AwesomeStrategy` - which will be optimized using the `AwesomeHyperopt` class. - -#### Create a Custom Hyperopt File - -The simplest way to get started is to use the following command, which will create a new hyperopt file from a template, which will be located under `user_data/hyperopts/AwesomeHyperopt.py`. - -Let assume you want a hyperopt file `AwesomeHyperopt.py`: - -``` bash -freqtrade new-hyperopt --hyperopt AwesomeHyperopt -``` - -#### Legacy Hyperopt checklist - -Checklist on all tasks / possibilities in hyperopt - -Depending on the space you want to optimize, only some of the below are required: - -* fill `buy_strategy_generator` - for buy signal optimization -* fill `indicator_space` - for buy signal optimization -* fill `sell_strategy_generator` - for sell signal optimization -* fill `sell_indicator_space` - for sell signal optimization - -!!! Note - `populate_indicators` needs to create all indicators any of thee spaces may use, otherwise hyperopt will not work. - -Optional in hyperopt - can also be loaded from a strategy (recommended): - -* `populate_indicators` - fallback to create indicators -* `populate_buy_trend` - fallback if not optimizing for buy space. should come from strategy -* `populate_sell_trend` - fallback if not optimizing for sell space. should come from strategy - -!!! Note - You always have to provide a strategy to Hyperopt, even if your custom Hyperopt class contains all methods. - Assuming the optional methods are not in your hyperopt file, please use `--strategy AweSomeStrategy` which contains these methods so hyperopt can use these methods instead. - -Rarely you may also need to override: - -* `roi_space` - for custom ROI optimization (if you need the ranges for the ROI parameters in the optimization hyperspace that differ from default) -* `generate_roi_table` - for custom ROI optimization (if you need the ranges for the values in the ROI table that differ from default or the number of entries (steps) in the ROI table which differs from the default 4 steps) -* `stoploss_space` - for custom stoploss optimization (if you need the range for the stoploss parameter in the optimization hyperspace that differs from default) -* `trailing_space` - for custom trailing stop optimization (if you need the ranges for the trailing stop parameters in the optimization hyperspace that differ from default) - -#### Defining a buy signal optimization - -Let's say you are curious: should you use MACD crossings or lower Bollinger -Bands to trigger your buys. And you also wonder should you use RSI or ADX to -help with those buy decisions. If you decide to use RSI or ADX, which values -should I use for them? So let's use hyperparameter optimization to solve this -mystery. - -We will start by defining a search space: - -```python - def indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching strategy parameters - """ - return [ - Integer(20, 40, name='adx-value'), - Integer(20, 40, name='rsi-value'), - Categorical([True, False], name='adx-enabled'), - Categorical([True, False], name='rsi-enabled'), - Categorical(['bb_lower', 'macd_cross_signal'], name='trigger') - ] -``` - -Above definition says: I have five parameters I want you to randomly combine -to find the best combination. Two of them are integer values (`adx-value` and `rsi-value`) and I want you test in the range of values 20 to 40. -Then we have three category variables. First two are either `True` or `False`. -We use these to either enable or disable the ADX and RSI guards. -The last one we call `trigger` and use it to decide which buy trigger we want to use. - -So let's write the buy strategy generator using these values: - -```python - @staticmethod - def buy_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the buy strategy parameters to be used by Hyperopt. - """ - def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - conditions = [] - # GUARDS AND TRENDS - if 'adx-enabled' in params and params['adx-enabled']: - conditions.append(dataframe['adx'] > params['adx-value']) - if 'rsi-enabled' in params and params['rsi-enabled']: - conditions.append(dataframe['rsi'] < params['rsi-value']) - - # TRIGGERS - if 'trigger' in params: - if params['trigger'] == 'bb_lower': - conditions.append(dataframe['close'] < dataframe['bb_lowerband']) - if params['trigger'] == 'macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macd'], dataframe['macdsignal'] - )) - - # Check that volume is not 0 - conditions.append(dataframe['volume'] > 0) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'buy'] = 1 - - return dataframe - - return populate_buy_trend -``` - -Hyperopt will now call `populate_buy_trend()` many times (`epochs`) with different value combinations. -It will use the given historical data and make buys based on the buy signals generated with the above function. -Based on the results, hyperopt will tell you which parameter combination produced the best results (based on the configured [loss function](#loss-functions)). - -!!! Note - The above setup expects to find ADX, RSI and Bollinger Bands in the populated indicators. - When you want to test an indicator that isn't used by the bot currently, remember to - add it to the `populate_indicators()` method in your strategy or hyperopt file. - -#### Sell optimization - -Similar to the buy-signal above, sell-signals can also be optimized. -Place the corresponding settings into the following methods - -* Inside `sell_indicator_space()` - the parameters hyperopt shall be optimizing. -* Within `sell_strategy_generator()` - populate the nested method `populate_sell_trend()` to apply the parameters. - -The configuration and rules are the same than for buy signals. -To avoid naming collisions in the search-space, please prefix all sell-spaces with `sell-`. - -### Execute Hyperopt - -Once you have updated your hyperopt configuration you can run it. -Because hyperopt tries a lot of combinations to find the best parameters it will take time to get a good result. More time usually results in better results. - -We strongly recommend to use `screen` or `tmux` to prevent any connection loss. - -```bash -freqtrade hyperopt --config config.json --hyperopt --hyperopt-loss --strategy -e 500 --spaces all -``` - -Use `` as the name of the custom hyperopt used. - -The `-e` option will set how many evaluations hyperopt will do. Since hyperopt uses Bayesian search, running too many epochs at once may not produce greater results. Experience has shown that best results are usually not improving much after 500-1000 epochs. -Doing multiple runs (executions) with a few 1000 epochs and different random state will most likely produce different results. - -The `--spaces all` option determines that all possible parameters should be optimized. Possibilities are listed below. - -!!! Note - Hyperopt will store hyperopt results with the timestamp of the hyperopt start time. - Reading commands (`hyperopt-list`, `hyperopt-show`) can use `--hyperopt-filename ` to read and display older hyperopt results. - You can find a list of filenames with `ls -l user_data/hyperopt_results/`. - -#### Running Hyperopt using methods from a strategy - -Hyperopt can reuse `populate_indicators`, `populate_buy_trend`, `populate_sell_trend` from your strategy, assuming these methods are **not** in your custom hyperopt file, and a strategy is provided. - -```bash -freqtrade hyperopt --hyperopt AwesomeHyperopt --hyperopt-loss SharpeHyperOptLossDaily --strategy AwesomeStrategy -``` - -### Understand the Hyperopt Result - -Once Hyperopt is completed you can use the result to create a new strategy. -Given the following result from hyperopt: - -``` -Best result: - - 44/100: 135 trades. Avg profit 0.57%. Total profit 0.03871918 BTC (0.7722%). Avg duration 180.4 mins. Objective: 1.94367 - -Buy hyperspace params: -{ 'adx-value': 44, - 'rsi-value': 29, - 'adx-enabled': False, - 'rsi-enabled': True, - 'trigger': 'bb_lower'} -``` - -You should understand this result like: - -* The buy trigger that worked best was `bb_lower`. -* You should not use ADX because `adx-enabled: False`) -* You should **consider** using the RSI indicator (`rsi-enabled: True` and the best value is `29.0` (`rsi-value: 29.0`) - -You have to look inside your strategy file into `buy_strategy_generator()` -method, what those values match to. - -So for example you had `rsi-value: 29.0` so we would look at `rsi`-block, that translates to the following code block: - -```python -(dataframe['rsi'] < 29.0) -``` - -Translating your whole hyperopt result as the new buy-signal would then look like: - -```python -def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame: - dataframe.loc[ - ( - (dataframe['rsi'] < 29.0) & # rsi-value - dataframe['close'] < dataframe['bb_lowerband'] # trigger - ), - 'buy'] = 1 - return dataframe -``` - -### Validate backtesting results - -Once the optimized parameters and conditions have been implemented into your strategy, you should backtest the strategy to make sure everything is working as expected. - -To achieve same results (number of trades, their durations, profit, etc.) than during Hyperopt, please use same configuration and parameters (timerange, timeframe, ...) used for hyperopt `--dmmp`/`--disable-max-market-positions` and `--eps`/`--enable-position-stacking` for Backtesting. - -Should results don't match, please double-check to make sure you transferred all conditions correctly. -Pay special care to the stoploss (and trailing stoploss) parameters, as these are often set in configuration files, which override changes to the strategy. -You should also carefully review the log of your backtest to ensure that there were no parameters inadvertently set by the configuration (like `stoploss` or `trailing_stop`). - -### Sharing methods with your strategy - -Hyperopt classes provide access to the Strategy via the `strategy` class attribute. -This can be a great way to reduce code duplication if used correctly, but will also complicate usage for inexperienced users. - -``` python -from pandas import DataFrame -from freqtrade.strategy.interface import IStrategy -import freqtrade.vendor.qtpylib.indicators as qtpylib - -class MyAwesomeStrategy(IStrategy): - - buy_params = { - 'rsi-value': 30, - 'adx-value': 35, - } - - def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - return self.buy_strategy_generator(self.buy_params, dataframe, metadata) - - @staticmethod - def buy_strategy_generator(params, dataframe: DataFrame, metadata: dict) -> DataFrame: - dataframe.loc[ - ( - qtpylib.crossed_above(dataframe['rsi'], params['rsi-value']) & - dataframe['adx'] > params['adx-value']) & - dataframe['volume'] > 0 - ) - , 'buy'] = 1 - return dataframe - -class MyAwesomeHyperOpt(IHyperOpt): - ... - @staticmethod - def buy_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the buy strategy parameters to be used by Hyperopt. - """ - def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - # Call strategy's buy strategy generator - return self.StrategyClass.buy_strategy_generator(params, dataframe, metadata) - - return populate_buy_trend -``` diff --git a/docs/backtesting.md b/docs/backtesting.md index 89980c670..66e682745 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -18,6 +18,7 @@ usage: freqtrade backtesting [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-p PAIRS [PAIRS ...]] [--eps] [--dmmp] [--enable-protections] [--dry-run-wallet DRY_RUN_WALLET] + [--timeframe-detail TIMEFRAME_DETAIL] [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]] [--export {none,trades}] [--export-filename PATH] @@ -55,6 +56,9 @@ optional arguments: --dry-run-wallet DRY_RUN_WALLET, --starting-balance DRY_RUN_WALLET Starting balance, used for backtesting / hyperopt and dry-runs. + --timeframe-detail TIMEFRAME_DETAIL + Specify detail timeframe for backtesting (`1m`, `5m`, + `30m`, `1h`, `1d`). --strategy-list STRATEGY_LIST [STRATEGY_LIST ...] Provide a space-separated list of strategies to backtest. Please note that ticker-interval needs to be @@ -62,7 +66,7 @@ optional arguments: this together with `--export trades`, the strategy- name is injected into the filename (so `backtest- data.json` becomes `backtest-data- - DefaultStrategy.json` + SampleStrategy.json` --export {none,trades} Export backtest results (default: trades). --export-filename PATH @@ -425,7 +429,12 @@ It contains some useful key metrics about performance of your strategy on backte - `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command). - `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column. -### Assumptions made by backtesting +### Further backtest-result analysis + +To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file). +You can then load the trades to perform further analysis as shown in our [data analysis](data-analysis.md#backtesting) backtesting section. + +## Assumptions made by backtesting Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: @@ -456,10 +465,30 @@ Also, keep in mind that past results don't guarantee future success. In addition to the above assumptions, strategy authors should carefully read the [Common Mistakes](strategy-customization.md#common-mistakes-when-developing-strategies) section, to avoid using data in backtesting which is not available in real market conditions. -### Further backtest-result analysis +### Improved backtest accuracy -To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file). -You can then load the trades to perform further analysis as shown in our [data analysis](data-analysis.md#backtesting) backtesting section. +One big limitation of backtesting is it's inability to know how prices moved intra-candle (was high before close, or viceversa?). +So assuming you run backtesting with a 1h timeframe, there will be 4 prices for that candle (Open, High, Low, Close). + +While backtesting does take some assumptions (read above) about this - this can never be perfect, and will always be biased in one way or the other. +To mitigate this, freqtrade can use a lower (faster) timeframe to simulate intra-candle movements. + +To utilize this, you can append `--timeframe-detail 5m` to your regular backtesting command. + +``` bash +freqtrade backtesting --strategy AwesomeStrategy --timeframe 1h --timeframe-detail 5m +``` + +This will load 1h data as well as 5m data for the timeframe. The strategy will be analyzed with the 1h timeframe - and for every "open trade candle" (candles where a trade is open) the 5m data will be used to simulate intra-candle movements. +All callback functions (`custom_sell()`, `custom_stoploss()`, ... ) will be running for each 5m candle once the trade is opened (so 12 times in the above example of 1h timeframe, and 5m detailed timeframe). + +`--timeframe-detail` must be smaller than the original timeframe, otherwise backtesting will fail to start. + +Obviously this will require more memory (5m data is bigger than 1h data), and will also impact runtime (depending on the amount of trades and trade durations). +Also, data must be available / downloaded already. + +!!! Tip + You can use this function as the last part of strategy development, to ensure your strategy is not exploiting one of the [backtesting assumptions](#assumptions-made-by-backtesting). Strategies that perform similarly well with this mode have a good chance to perform well in dry/live modes too (although only forward-testing (dry-mode) can really confirm a strategy). ## Backtesting multiple strategies diff --git a/docs/bot-basics.md b/docs/bot-basics.md index 943af0362..80443a0bf 100644 --- a/docs/bot-basics.md +++ b/docs/bot-basics.md @@ -7,7 +7,7 @@ This page provides you some basic concepts on how Freqtrade works and operates. * **Strategy**: Your trading strategy, telling the bot what to do. * **Trade**: Open position. * **Open Order**: Order which is currently placed on the exchange, and is not yet complete. -* **Pair**: Tradable pair, usually in the format of Quote/Base (e.g. XRP/USDT). +* **Pair**: Tradable pair, usually in the format of Base/Quote (e.g. XRP/USDT). * **Timeframe**: Candle length to use (e.g. `"5m"`, `"1h"`, ...). * **Indicators**: Technical indicators (SMA, EMA, RSI, ...). * **Limit order**: Limit orders which execute at the defined limit price or better. @@ -35,12 +35,13 @@ By default, loop runs every few seconds (`internals.process_throttle_secs`) and * Calls `check_buy_timeout()` strategy callback for open buy orders. * Calls `check_sell_timeout()` strategy callback for open sell orders. * Verifies existing positions and eventually places sell orders. - * Considers stoploss, ROI and sell-signal. - * Determine sell-price based on `ask_strategy` configuration setting. + * Considers stoploss, ROI and sell-signal, `custom_sell()` and `custom_stoploss()`. + * Determine sell-price based on `ask_strategy` configuration setting or by using the `custom_exit_price()` callback. * Before a sell order is placed, `confirm_trade_exit()` strategy callback is called. * Check if trade-slots are still available (if `max_open_trades` is reached). * Verifies buy signal trying to enter new positions. - * Determine buy-price based on `bid_strategy` configuration setting. + * Determine buy-price based on `bid_strategy` configuration setting, or by using the `custom_entry_price()` callback. + * Determine stake size by calling the `custom_stake_amount()` callback. * Before a buy order is placed, `confirm_trade_entry()` strategy callback is called. This loop will be repeated again and again until the bot is stopped. @@ -52,9 +53,10 @@ This loop will be repeated again and again until the bot is stopped. * Load historic data for configured pairlist. * Calls `bot_loop_start()` once. * Calculate indicators (calls `populate_indicators()` once per pair). -* Calculate buy / sell signals (calls `populate_buy_trend()` and `populate_sell_trend()` once per pair) -* Confirm trade buy / sell (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy) +* Calculate buy / sell signals (calls `populate_buy_trend()` and `populate_sell_trend()` once per pair). * Loops per candle simulating entry and exit points. + * Confirm trade buy / sell (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy). + * Call `custom_stoploss()` and `custom_sell()` to find custom exit points. * Generate backtest report output !!! Note diff --git a/docs/bot-usage.md b/docs/bot-usage.md index b65220722..c6a7f6103 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -12,22 +12,22 @@ This page explains the different parameters of the bot and how to run it. ``` usage: freqtrade [-h] [-V] - {trade,create-userdir,new-config,new-hyperopt,new-strategy,download-data,convert-data,convert-trade-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,plot-dataframe,plot-profit} + {trade,create-userdir,new-config,new-strategy,download-data,convert-data,convert-trade-data,list-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,install-ui,plot-dataframe,plot-profit,webserver} ... Free, open source crypto trading bot positional arguments: - {trade,create-userdir,new-config,new-hyperopt,new-strategy,download-data,convert-data,convert-trade-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,plot-dataframe,plot-profit} + {trade,create-userdir,new-config,new-strategy,download-data,convert-data,convert-trade-data,list-data,backtesting,edge,hyperopt,hyperopt-list,hyperopt-show,list-exchanges,list-hyperopts,list-markets,list-pairs,list-strategies,list-timeframes,show-trades,test-pairlist,install-ui,plot-dataframe,plot-profit,webserver} trade Trade module. create-userdir Create user-data directory. new-config Create new config - new-hyperopt Create new hyperopt new-strategy Create new strategy download-data Download backtesting data. convert-data Convert candle (OHLCV) data from one format to another. convert-trade-data Convert trade data from one format to another. + list-data List downloaded data. backtesting Backtesting module. edge Edge module. hyperopt Hyperopt module. @@ -41,8 +41,10 @@ positional arguments: list-timeframes Print available timeframes for the exchange. show-trades Show trades. test-pairlist Test your pairlist configuration. + install-ui Install FreqUI plot-dataframe Plot candles with indicators. plot-profit Generate plot showing profits. + webserver Webserver module. optional arguments: -h, --help show this help message and exit diff --git a/docs/configuration.md b/docs/configuration.md index 5c6236e58..6ccea4c73 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -5,11 +5,42 @@ By default, these settings are configured via the configuration file (see below) ## The Freqtrade configuration file -The bot uses a set of configuration parameters during its operation that all together conform the bot configuration. It normally reads its configuration from a file (Freqtrade configuration file). +The bot uses a set of configuration parameters during its operation that all together conform to the bot configuration. It normally reads its configuration from a file (Freqtrade configuration file). Per default, the bot loads the configuration from the `config.json` file, located in the current working directory. -You can specify a different configuration file used by the bot with the `-c/--config` command line option. +You can specify a different configuration file used by the bot with the `-c/--config` command-line option. + +If you used the [Quick start](installation.md/#quick-start) method for installing +the bot, the installation script should have already created the default configuration file (`config.json`) for you. + +If the default configuration file is not created we recommend to use `freqtrade new-config --config config.json` to generate a basic configuration file. + +The Freqtrade configuration file is to be written in JSON format. + +Additionally to the standard JSON syntax, you may use one-line `// ...` and multi-line `/* ... */` comments in your configuration files and trailing commas in the lists of parameters. + +Do not worry if you are not familiar with JSON format -- simply open the configuration file with an editor of your choice, make some changes to the parameters you need, save your changes and, finally, restart the bot or, if it was previously stopped, run it again with the changes you made to the configuration. The bot validates the syntax of the configuration file at startup and will warn you if you made any errors editing it, pointing out problematic lines. + +### Environment variables + +Set options in the Freqtrade configuration via environment variables. +This takes priority over the corresponding value in configuration or strategy. + +Environment variables must be prefixed with `FREQTRADE__` to be loaded to the freqtrade configuration. + +`__` serves as level separator, so the format used should correspond to `FREQTRADE__{section}__{key}`. +As such - an environment variable defined as `export FREQTRADE__STAKE_AMOUNT=200` would result in `{stake_amount: 200}`. + +A more complex example might be `export FREQTRADE__EXCHANGE__KEY=` to keep your exchange key secret. This will move the value to the `exchange.key` section of the configuration. +Using this scheme, all configuration settings will also be available as environment variables. + +Please note that Environment variables will overwrite corresponding settings in your configuration, but command line Arguments will always win. + +!!! Note + Environment variables detected are logged at startup - so if you can't find why a value is not what you think it should be based on the configuration, make sure it's not loaded from an environment variable. + +### Multiple configuration files Multiple configuration files can be specified and used by the bot or the bot can read its configuration parameters from the process standard input stream. @@ -22,36 +53,27 @@ Multiple configuration files can be specified and used by the bot or the bot can The 2nd file should only specify what you intend to override. If a key is in more than one of the configurations, then the "last specified configuration" wins (in the above example, `config-private.json`). -If you used the [Quick start](installation.md/#quick-start) method for installing -the bot, the installation script should have already created the default configuration file (`config.json`) for you. - -If default configuration file is not created we recommend you to use `freqtrade new-config --config config.json` to generate a basic configuration file. - -The Freqtrade configuration file is to be written in the JSON format. - -Additionally to the standard JSON syntax, you may use one-line `// ...` and multi-line `/* ... */` comments in your configuration files and trailing commas in the lists of parameters. - -Do not worry if you are not familiar with JSON format -- simply open the configuration file with an editor of your choice, make some changes to the parameters you need, save your changes and, finally, restart the bot or, if it was previously stopped, run it again with the changes you made to the configuration. The bot validates syntax of the configuration file at startup and will warn you if you made any errors editing it, pointing out problematic lines. - ## Configuration parameters The table below will list all configuration parameters available. Freqtrade can also load many options via command line (CLI) arguments (check out the commands `--help` output for details). -The prevelance for all Options is as follows: +The prevalence for all Options is as follows: - CLI arguments override any other option -- Configuration files are used in sequence (last file wins), and override Strategy configurations. -- Strategy configurations are only used if they are not set via configuration or via command line arguments. These options are marked with [Strategy Override](#parameters-in-the-strategy) in the below table. +- [Environment Variables](#environment-variables) +- Configuration files are used in sequence (the last file wins) and override Strategy configurations. +- Strategy configurations are only used if they are not set via configuration or command-line arguments. These options are marked with [Strategy Override](#parameters-in-the-strategy) in the below table. Mandatory parameters are marked as **Required**, which means that they are required to be set in one of the possible ways. | Parameter | Description | |------------|-------------| -| `max_open_trades` | **Required.** Number of open trades your bot is allowed to have. Only one open trade per pair is possible, so the length of your pairlist is another limitation which can apply. If -1 then it is ignored (i.e. potentially unlimited open trades, limited by the pairlist). [More information below](#configuring-amount-per-trade).
**Datatype:** Positive integer or -1. +| `max_open_trades` | **Required.** Number of open trades your bot is allowed to have. Only one open trade per pair is possible, so the length of your pairlist is another limitation that can apply. If -1 then it is ignored (i.e. potentially unlimited open trades, limited by the pairlist). [More information below](#configuring-amount-per-trade).
**Datatype:** Positive integer or -1. | `stake_currency` | **Required.** Crypto-currency used for trading.
**Datatype:** String | `stake_amount` | **Required.** Amount of crypto-currency your bot will use for each trade. Set it to `"unlimited"` to allow the bot to use all available balance. [More information below](#configuring-amount-per-trade).
**Datatype:** Positive float or `"unlimited"`. | `tradable_balance_ratio` | Ratio of the total account balance the bot is allowed to trade. [More information below](#configuring-amount-per-trade).
*Defaults to `0.99` 99%).*
**Datatype:** Positive float between `0.1` and `1.0`. +| `available_capital` | Available starting capital for the bot. Useful when running multiple bots on the same exchange account.[More information below](#configuring-amount-per-trade).
**Datatype:** Positive float. | `amend_last_stake_amount` | Use reduced last stake amount if necessary. [More information below](#configuring-amount-per-trade).
*Defaults to `false`.*
**Datatype:** Boolean | `last_stake_amount_min_ratio` | Defines minimum stake amount that has to be left and executed. Applies only to the last stake amount when it's amended to a reduced value (i.e. if `amend_last_stake_amount` is set to `true`). [More information below](#configuring-amount-per-trade).
*Defaults to `0.5`.*
**Datatype:** Float (as ratio) | `amount_reserve_percent` | Reserve some amount in min pair stake amount. The bot will reserve `amount_reserve_percent` + stoploss value when calculating min pair stake amount in order to avoid possible trade refusals.
*Defaults to `0.05` (5%).*
**Datatype:** Positive Float as ratio. @@ -83,11 +105,12 @@ Mandatory parameters are marked as **Required**, which means that they are requi | `ask_strategy.order_book_top` | Bot will use the top N rate in Order Book "price_side" to sell. I.e. a value of 2 will allow the bot to pick the 2nd ask rate in [Order Book Asks](#sell-price-with-orderbook-enabled)
*Defaults to `1`.*
**Datatype:** Positive Integer | `use_sell_signal` | Use sell signals produced by the strategy in addition to the `minimal_roi`. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `true`.*
**Datatype:** Boolean | `sell_profit_only` | Wait until the bot reaches `sell_profit_offset` before taking a sell decision. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `false`.*
**Datatype:** Boolean -| `sell_profit_offset` | Sell-signal is only active above this value. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `0.0`.*
**Datatype:** Float (as ratio) +| `sell_profit_offset` | Sell-signal is only active above this value. Only active in combination with `sell_profit_only=True`. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `0.0`.*
**Datatype:** Float (as ratio) | `ignore_roi_if_buy_signal` | Do not sell if the buy signal is still active. This setting takes preference over `minimal_roi` and `use_sell_signal`. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `false`.*
**Datatype:** Boolean | `ignore_buying_expired_candle_after` | Specifies the number of seconds until a buy signal is no longer used.
**Datatype:** Integer | `order_types` | Configure order-types depending on the action (`"buy"`, `"sell"`, `"stoploss"`, `"stoploss_on_exchange"`). [More information below](#understand-order_types). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Dict | `order_time_in_force` | Configure time in force for buy and sell orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Dict +| `custom_price_max_distance_ratio` | Configure maximum distance ratio between current and custom entry or exit price.
*Defaults to `0.02` 2%).*
**Datatype:** Positive float | `exchange.name` | **Required.** Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename).
**Datatype:** String | `exchange.sandbox` | Use the 'sandbox' version of the exchange, where the exchange provides a sandbox for risk-free integration. See [here](sandbox-testing.md) in more details.
**Datatype:** Boolean | `exchange.key` | API key to use for the exchange. Only required when you are in production mode.
**Keep it in secret, do not disclose publicly.**
**Datatype:** String @@ -140,7 +163,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi ### Parameters in the strategy -The following parameters can be set in configuration file or strategy. +The following parameters can be set in the configuration file or strategy. Values set in the configuration file always overwrite values set in the strategy. * `minimal_roi` @@ -164,43 +187,59 @@ Values set in the configuration file always overwrite values set in the strategy ### Configuring amount per trade -There are several methods to configure how much of the stake currency the bot will use to enter a trade. All methods respect the [available balance configuration](#available-balance) as explained below. +There are several methods to configure how much of the stake currency the bot will use to enter a trade. All methods respect the [available balance configuration](#tradable-balance) as explained below. #### Minimum trade stake -The minimum stake amount will depend by exchange and pair, and is usually listed in the exchange support pages. +The minimum stake amount will depend on exchange and pair and is usually listed in the exchange support pages. Assuming the minimum tradable amount for XRP/USD is 20 XRP (given by the exchange), and the price is 0.6$. -The minimum stake amount to buy this pair is therefore `20 * 0.6 ~= 12`. +The minimum stake amount to buy this pair is, therefore, `20 * 0.6 ~= 12`. This exchange has also a limit on USD - where all orders must be > 10$ - which however does not apply in this case. To guarantee safe execution, freqtrade will not allow buying with a stake-amount of 10.1$, instead, it'll make sure that there's enough space to place a stoploss below the pair (+ an offset, defined by `amount_reserve_percent`, which defaults to 5%). -With a reserve of 5%, the minimum stake amount would be ~12.6$ (`12 * (1 + 0.05)`). If we take in account a stoploss of 10% on top of that - we'd end up with a value of ~14$ (`12.6 / (1 - 0.1)`). +With a reserve of 5%, the minimum stake amount would be ~12.6$ (`12 * (1 + 0.05)`). If we take into account a stoploss of 10% on top of that - we'd end up with a value of ~14$ (`12.6 / (1 - 0.1)`). To limit this calculation in case of large stoploss values, the calculated minimum stake-limit will never be more than 50% above the real limit. !!! Warning Since the limits on exchanges are usually stable and are not updated often, some pairs can show pretty high minimum limits, simply because the price increased a lot since the last limit adjustment by the exchange. -#### Available balance +#### Tradable balance By default, the bot assumes that the `complete amount - 1%` is at it's disposal, and when using [dynamic stake amount](#dynamic-stake-amount), it will split the complete balance into `max_open_trades` buckets per trade. Freqtrade will reserve 1% for eventual fees when entering a trade and will therefore not touch that by default. You can configure the "untouched" amount by using the `tradable_balance_ratio` setting. -For example, if you have 10 ETH available in your wallet on the exchange and `tradable_balance_ratio=0.5` (which is 50%), then the bot will use a maximum amount of 5 ETH for trading and considers this as available balance. The rest of the wallet is untouched by the trades. +For example, if you have 10 ETH available in your wallet on the exchange and `tradable_balance_ratio=0.5` (which is 50%), then the bot will use a maximum amount of 5 ETH for trading and considers this as an available balance. The rest of the wallet is untouched by the trades. + +!!! Danger + This setting should **not** be used when running multiple bots on the same account. Please look at [Available Capital to the bot](#assign-available-capital) instead. !!! Warning - The `tradable_balance_ratio` setting applies to the current balance (free balance + tied up in trades). Therefore, assuming the starting balance of 1000, a configuration with `tradable_balance_ratio=0.99` will not guarantee that 10 currency units will always remain available on the exchange. For example, the free amount may reduce to 5 units if the total balance is reduced to 500 (either by a losing streak, or by withdrawing balance). + The `tradable_balance_ratio` setting applies to the current balance (free balance + tied up in trades). Therefore, assuming the starting balance of 1000, a configuration with `tradable_balance_ratio=0.99` will not guarantee that 10 currency units will always remain available on the exchange. For example, the free amount may reduce to 5 units if the total balance is reduced to 500 (either by a losing streak or by withdrawing balance). + +#### Assign available Capital + +To fully utilize compounding profits when using multiple bots on the same exchange account, you'll want to limit each bot to a certain starting balance. +This can be accomplished by setting `available_capital` to the desired starting balance. + +Assuming your account has 10.000 USDT and you want to run 2 different strategies on this exchange. +You'd set `available_capital=5000` - granting each bot an initial capital of 5000 USDT. +The bot will then split this starting balance equally into `max_open_trades` buckets. +Profitable trades will result in increased stake-sizes for this bot - without affecting the stake-sizes of the other bot. + +!!! Warning "Incompatible with `tradable_balance_ratio`" + Setting this option will replace any configuration of `tradable_balance_ratio`. #### Amend last stake amount Assuming we have the tradable balance of 1000 USDT, `stake_amount=400`, and `max_open_trades=3`. -The bot would open 2 trades, and will be unable to fill the last trading slot, since the requested 400 USDT are no longer available, since 800 USDT are already tied in other trades. +The bot would open 2 trades and will be unable to fill the last trading slot, since the requested 400 USDT are no longer available since 800 USDT are already tied in other trades. -To overcome this, the option `amend_last_stake_amount` can be set to `True`, which will enable the bot to reduce stake_amount to the available balance in order to fill the last trade slot. +To overcome this, the option `amend_last_stake_amount` can be set to `True`, which will enable the bot to reduce stake_amount to the available balance to fill the last trade slot. In the example above this would mean: @@ -228,7 +267,7 @@ For example, the bot will at most use (0.05 BTC x 3) = 0.15 BTC, assuming a conf #### Dynamic stake amount -Alternatively, you can use a dynamic stake amount, which will use the available balance on the exchange, and divide that equally by the amount of allowed trades (`max_open_trades`). +Alternatively, you can use a dynamic stake amount, which will use the available balance on the exchange, and divide that equally by the number of allowed trades (`max_open_trades`). To configure this, set `stake_amount="unlimited"`. We also recommend to set `tradable_balance_ratio=0.99` (99%) - to keep a minimum balance for eventual fees. @@ -246,18 +285,18 @@ To allow the bot to trade all the available `stake_currency` in your account (mi ``` !!! Tip "Compounding profits" - This configuration will allow increasing / decreasing stakes depending on the performance of the bot (lower stake if bot is loosing, higher stakes if the bot has a winning record, since higher balances are available), and will result in profit compounding. + This configuration will allow increasing/decreasing stakes depending on the performance of the bot (lower stake if the bot is losing, higher stakes if the bot has a winning record since higher balances are available), and will result in profit compounding. !!! Note "When using Dry-Run Mode" - When using `"stake_amount" : "unlimited",` in combination with Dry-Run, Backtesting or Hyperopt, the balance will be simulated starting with a stake of `dry_run_wallet` which will evolve over time. - It is therefore important to set `dry_run_wallet` to a sensible value (like 0.05 or 0.01 for BTC and 1000 or 100 for USDT, for example), otherwise it may simulate trades with 100 BTC (or more) or 0.05 USDT (or less) at once - which may not correspond to your real available balance or is less than the exchange minimal limit for the order amount for the stake currency. + When using `"stake_amount" : "unlimited",` in combination with Dry-Run, Backtesting or Hyperopt, the balance will be simulated starting with a stake of `dry_run_wallet` which will evolve. + It is therefore important to set `dry_run_wallet` to a sensible value (like 0.05 or 0.01 for BTC and 1000 or 100 for USDT, for example), otherwise, it may simulate trades with 100 BTC (or more) or 0.05 USDT (or less) at once - which may not correspond to your real available balance or is less than the exchange minimal limit for the order amount for the stake currency. --8<-- "includes/pricing.md" ### Understand minimal_roi The `minimal_roi` configuration parameter is a JSON object where the key is a duration -in minutes and the value is the minimum ROI as ratio. +in minutes and the value is the minimum ROI as a ratio. See the example below: ```json @@ -272,7 +311,7 @@ See the example below: Most of the strategy files already include the optimal `minimal_roi` value. This parameter can be set in either Strategy or Configuration file. If you use it in the configuration file, it will override the `minimal_roi` value from the strategy file. -If it is not set in either Strategy or Configuration, a default of 1000% `{"0": 10}` is used, and minimal roi is disabled unless your trade generates 1000% profit. +If it is not set in either Strategy or Configuration, a default of 1000% `{"0": 10}` is used, and minimal ROI is disabled unless your trade generates 1000% profit. !!! Note "Special case to forcesell after a specific time" A special case presents using `"": -1` as ROI. This forces the bot to sell a trade after N Minutes, no matter if it's positive or negative, so represents a time-limited force-sell. @@ -318,7 +357,7 @@ the buy order is fulfilled. `order_types` set in the configuration file overwrites values set in the strategy as a whole, so you need to configure the whole `order_types` dictionary in one place. If this is configured, the following 4 values (`buy`, `sell`, `stoploss` and -`stoploss_on_exchange`) need to be present, otherwise the bot will fail to start. +`stoploss_on_exchange`) need to be present, otherwise, the bot will fail to start. For information on (`emergencysell`,`forcesell`, `forcebuy`, `stoploss_on_exchange`,`stoploss_on_exchange_interval`,`stoploss_on_exchange_limit_ratio`) please see stop loss documentation [stop loss on exchange](stoploss.md) @@ -369,7 +408,7 @@ Configuration: If `stoploss_on_exchange` is enabled and the stoploss is cancelled manually on the exchange, then the bot will create a new stoploss order. !!! Warning "Warning: stoploss_on_exchange failures" - If stoploss on exchange creation fails for some reason, then an "emergency sell" is initiated. By default, this will sell the asset using a market order. The order-type for the emergency-sell can be changed by setting the `emergencysell` value in the `order_types` dictionary - however this is not advised. + If stoploss on exchange creation fails for some reason, then an "emergency sell" is initiated. By default, this will sell the asset using a market order. The order-type for the emergency-sell can be changed by setting the `emergencysell` value in the `order_types` dictionary - however, this is not advised. ### Understand order_time_in_force @@ -379,12 +418,12 @@ is executed on the exchange. Three commonly used time in force are: **GTC (Good Till Canceled):** This is most of the time the default time in force. It means the order will remain -on exchange till it is canceled by user. It can be fully or partially fulfilled. +on exchange till it is cancelled by the user. It can be fully or partially fulfilled. If partially fulfilled, the remaining will stay on the exchange till cancelled. **FOK (Fill Or Kill):** -It means if the order is not executed immediately AND fully then it is canceled by the exchange. +It means if the order is not executed immediately AND fully then it is cancelled by the exchange. **IOC (Immediate Or Canceled):** @@ -405,8 +444,8 @@ The possible values are: `gtc` (default), `fok` or `ioc`. ``` !!! Warning - This is an ongoing work. For now it is supported only for binance. - Please don't change the default value unless you know what you are doing and have researched the impact of using different values. + This is ongoing work. For now, it is supported only for binance and kucoin. + Please don't change the default value unless you know what you are doing and have researched the impact of using different values for your particular exchange. ### Exchange configuration @@ -414,7 +453,7 @@ Freqtrade is based on [CCXT library](https://github.com/ccxt/ccxt) that supports exchange markets and trading APIs. The complete up-to-date list can be found in the [CCXT repo homepage](https://github.com/ccxt/ccxt/tree/master/python). However, the bot was tested by the development team with only Bittrex, Binance and Kraken, - so the these are the only officially supported exchanges: + so these are the only officially supported exchanges: - [Bittrex](https://bittrex.com/): "bittrex" - [Binance](https://www.binance.com/): "binance" @@ -440,11 +479,11 @@ A exchange configuration for "binance" would look as follows: }, ``` -This configuration enables binance, as well as rate limiting to avoid bans from the exchange. +This configuration enables binance, as well as rate-limiting to avoid bans from the exchange. `"rateLimit": 200` defines a wait-event of 0.2s between each call. This can also be completely disabled by setting `"enableRateLimit"` to false. !!! Note - Optimal settings for rate limiting depend on the exchange and the size of the whitelist, so an ideal parameter will vary on many other settings. + Optimal settings for rate-limiting depend on the exchange and the size of the whitelist, so an ideal parameter will vary on many other settings. We try to provide sensible defaults per exchange where possible, if you encounter bans please make sure that `"enableRateLimit"` is enabled and increase the `"rateLimit"` parameter step by step. ### What values can be used for fiat_display_currency? @@ -458,7 +497,7 @@ The valid values are: "AUD", "BRL", "CAD", "CHF", "CLP", "CNY", "CZK", "DKK", "EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY", "KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN", "RUB", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR", "USD" ``` -In addition to fiat currencies, a range of cryto currencies are supported. +In addition to fiat currencies, a range of crypto currencies is supported. The valid values are: @@ -469,7 +508,7 @@ The valid values are: ## Using Dry-run mode We recommend starting the bot in the Dry-run mode to see how your bot will -behave and what is the performance of your strategy. In the Dry-run mode the +behave and what is the performance of your strategy. In the Dry-run mode, the bot does not engage your money. It only runs a live simulation without creating trades on the exchange. @@ -495,7 +534,7 @@ creating trades on the exchange. Once you will be happy with your bot performance running in the Dry-run mode, you can switch it to production mode. !!! Note - A simulated wallet is available during dry-run mode, and will assume a starting capital of `dry_run_wallet` (defaults to 1000). + A simulated wallet is available during dry-run mode and will assume a starting capital of `dry_run_wallet` (defaults to 1000). ### Considerations for dry-run @@ -503,20 +542,21 @@ Once you will be happy with your bot performance running in the Dry-run mode, yo * Wallets (`/balance`) are simulated based on `dry_run_wallet`. * Orders are simulated, and will not be posted to the exchange. * Market orders fill based on orderbook volume the moment the order is placed. -* Limit orders fill once price reaches the defined level - or time out based on `unfilledtimeout` settings. +* Limit orders fill once the price reaches the defined level - or time out based on `unfilledtimeout` settings. * In combination with `stoploss_on_exchange`, the stop_loss price is assumed to be filled. * Open orders (not trades, which are stored in the database) are reset on bot restart. ## Switch to production mode -In production mode, the bot will engage your money. Be careful, since a wrong -strategy can lose all your money. Be aware of what you are doing when -you run it in production mode. +In production mode, the bot will engage your money. Be careful, since a wrong strategy can lose all your money. +Be aware of what you are doing when you run it in production mode. + +When switching to Production mode, please make sure to use a different / fresh database to avoid dry-run trades messing with your exchange money and eventually tainting your statistics. ### Setup your exchange account You will need to create API Keys (usually you get `key` and `secret`, some exchanges require an additional `password`) from the Exchange website and you'll need to insert this into the appropriate fields in the configuration or when asked by the `freqtrade new-config` command. -API Keys are usually only required for live trading (trading for real money, bot running in "production mode", executing real orders on the exchange) and are not required for the bot running in dry-run (trade simulation) mode. When you setup the bot in dry-run mode, you may fill these fields with empty values. +API Keys are usually only required for live trading (trading for real money, bot running in "production mode", executing real orders on the exchange) and are not required for the bot running in dry-run (trade simulation) mode. When you set up the bot in dry-run mode, you may fill these fields with empty values. ### To switch your bot in production mode @@ -528,7 +568,7 @@ API Keys are usually only required for live trading (trading for real money, bot "dry_run": false, ``` -**Insert your Exchange API key (change them by fake api keys):** +**Insert your Exchange API key (change them by fake API keys):** ```json { @@ -546,7 +586,7 @@ API Keys are usually only required for live trading (trading for real money, bot You should also make sure to read the [Exchanges](exchanges.md) section of the documentation to be aware of potential configuration details specific to your exchange. !!! Hint "Keep your secrets secret" - To keep your secrets secret, we recommend to use a 2nd configuration for your API keys. + To keep your secrets secret, we recommend using a 2nd configuration for your API keys. Simply use the above snippet in a new configuration file (e.g. `config-private.json`) and keep your settings in this file. You can then start the bot with `freqtrade trade --config user_data/config.json --config user_data/config-private.json <...>` to have your keys loaded. @@ -556,7 +596,7 @@ You should also make sure to read the [Exchanges](exchanges.md) section of the d To use a proxy with freqtrade, add the kwarg `"aiohttp_trust_env"=true` to the `"ccxt_async_kwargs"` dict in the exchange section of the configuration. -An example for this can be found in `config_full.json.example` +An example for this can be found in `config_examples/config_full.example.json` ``` json "ccxt_async_config": { diff --git a/docs/data-download.md b/docs/data-download.md index 0ca86b0d3..5f605c404 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -204,6 +204,61 @@ It'll also remove original jsongz data files (`--erase` parameter). freqtrade convert-trade-data --format-from jsongz --format-to json --datadir ~/.freqtrade/data/kraken --erase ``` +### Sub-command trades to ohlcv + +When you need to use `--dl-trades` (kraken only) to download data, conversion of trades data to ohlcv data is the last step. +This command will allow you to repeat this last step for additional timeframes without re-downloading the data. + +``` +usage: freqtrade trades-to-ohlcv [-h] [-v] [--logfile FILE] [-V] [-c PATH] + [-d PATH] [--userdir PATH] + [-p PAIRS [PAIRS ...]] + [-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]] + [--exchange EXCHANGE] + [--data-format-ohlcv {json,jsongz,hdf5}] + [--data-format-trades {json,jsongz,hdf5}] + +optional arguments: + -h, --help show this help message and exit + -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...] + Limit command to these pairs. Pairs are space- + separated. + -t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...], --timeframes {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...] + Specify which tickers to download. Space-separated + list. Default: `1m 5m`. + --exchange EXCHANGE Exchange name (default: `bittrex`). Only valid if no + config is provided. + --data-format-ohlcv {json,jsongz,hdf5} + Storage format for downloaded candle (OHLCV) data. + (default: `json`). + --data-format-trades {json,jsongz,hdf5} + Storage format for downloaded trades data. (default: + `jsongz`). + +Common arguments: + -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). + --logfile FILE Log to the file specified. Special values are: + 'syslog', 'journald'. See the documentation for more + details. + -V, --version show program's version number and exit + -c PATH, --config PATH + Specify configuration file (default: + `userdir/config.json` or `config.json` whichever + exists). Multiple --config options may be used. Can be + set to `-` to read config from stdin. + -d PATH, --datadir PATH + Path to directory with historical backtesting data. + --userdir PATH, --user-data-dir PATH + Path to userdata directory. + +``` + +#### Example trade-to-ohlcv conversion + +``` bash +freqtrade trades-to-ohlcv --exchange kraken -t 5m 1h 1d --pairs BTC/EUR ETH/EUR +``` + ### Sub-command list-data You can get a list of downloaded data using the `list-data` sub-command. diff --git a/docs/deprecated.md b/docs/deprecated.md index b7ad847e6..d86a7ac7a 100644 --- a/docs/deprecated.md +++ b/docs/deprecated.md @@ -38,3 +38,8 @@ Since only quoteVolume can be compared between assets, the other options (bidVol Using `order_book_min` and `order_book_max` used to allow stepping the orderbook and trying to find the next ROI slot - trying to place sell-orders early. As this does however increase risk and provides no benefit, it's been removed for maintainability purposes in 2021.7. + +### Legacy Hyperopt mode + +Using separate hyperopt files was deprecated in 2021.4 and was removed in 2021.9. +Please switch to the new [Parametrized Strategies](hyperopt.md) to benefit from the new hyperopt interface. diff --git a/docs/developer.md b/docs/developer.md index d0731a233..bd138212b 100644 --- a/docs/developer.md +++ b/docs/developer.md @@ -2,7 +2,7 @@ This page is intended for developers of Freqtrade, people who want to contribute to the Freqtrade codebase or documentation, or people who want to understand the source code of the application they're running. -All contributions, bug reports, bug fixes, documentation improvements, enhancements and ideas are welcome. We [track issues](https://github.com/freqtrade/freqtrade/issues) on [GitHub](https://github.com) and also have a dev channel on [discord](https://discord.gg/p7nuUNVfP7) or [slack](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw) where you can ask questions. +All contributions, bug reports, bug fixes, documentation improvements, enhancements and ideas are welcome. We [track issues](https://github.com/freqtrade/freqtrade/issues) on [GitHub](https://github.com) and also have a dev channel on [discord](https://discord.gg/p7nuUNVfP7) where you can ask questions. ## Documentation @@ -240,11 +240,18 @@ The `IProtection` parent class provides a helper method for this in `calculate_l !!! Note This section is a Work in Progress and is not a complete guide on how to test a new exchange with Freqtrade. +!!! Note + Make sure to use an up-to-date version of CCXT before running any of the below tests. + You can get the latest version of ccxt by running `pip install -U ccxt` with activated virtual environment. + Native docker is not supported for these tests, however the available dev-container will support all required actions and eventually necessary changes. + Most exchanges supported by CCXT should work out of the box. To quickly test the public endpoints of an exchange, add a configuration for your exchange to `test_ccxt_compat.py` and run these tests with `pytest --longrun tests/exchange/test_ccxt_compat.py`. Completing these tests successfully a good basis point (it's a requirement, actually), however these won't guarantee correct exchange functioning, as this only tests public endpoints, but no private endpoint (like generate order or similar). +Also try to use `freqtrade download-data` for an extended timerange and verify that the data downloaded correctly (no holes, the specified timerange was actually downloaded). + ### Stoploss On Exchange Check if the new exchange supports Stoploss on Exchange orders through their API. diff --git a/docs/docker_quickstart.md b/docs/docker_quickstart.md index cb66fc7e2..2f350d207 100644 --- a/docs/docker_quickstart.md +++ b/docs/docker_quickstart.md @@ -24,82 +24,21 @@ Freqtrade provides an official Docker image on [Dockerhub](https://hub.docker.co Create a new directory and place the [docker-compose file](https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml) in this directory. -=== "PC/MAC/Linux" - ``` bash - mkdir ft_userdata - cd ft_userdata/ - # Download the docker-compose file from the repository - curl https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml -o docker-compose.yml +``` bash +mkdir ft_userdata +cd ft_userdata/ +# Download the docker-compose file from the repository +curl https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml -o docker-compose.yml - # Pull the freqtrade image - docker-compose pull +# Pull the freqtrade image +docker-compose pull - # Create user directory structure - docker-compose run --rm freqtrade create-userdir --userdir user_data +# Create user directory structure +docker-compose run --rm freqtrade create-userdir --userdir user_data - # Create configuration - Requires answering interactive questions - docker-compose run --rm freqtrade new-config --config user_data/config.json - ``` - -=== "RaspberryPi" - ``` bash - mkdir ft_userdata - cd ft_userdata/ - # Download the docker-compose file from the repository - curl https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml -o docker-compose.yml - - # Edit the compose file to use an image named `*_pi` (stable_pi or develop_pi) - - # Pull the freqtrade image - docker-compose pull - - # Create user directory structure - docker-compose run --rm freqtrade create-userdir --userdir user_data - - # Create configuration - Requires answering interactive questions - docker-compose run --rm freqtrade new-config --config user_data/config.json - ``` - - !!! Note "Change your docker Image" - You have to change the docker image in the docker-compose file for your Raspberry build to work properly. - ``` yml - image: freqtradeorg/freqtrade:stable_pi - # image: freqtradeorg/freqtrade:develop_pi - ``` - -=== "ARM 64 Systenms (Mac M1, Raspberry Pi 4, Jetson Nano)" - In case of a Mac M1, make sure that your docker installation is running in native mode - Arm64 images are not yet provided via Docker Hub and need to be build locally first. - Depending on the device, this may take a few minutes (Apple M1) or multiple hours (Raspberry Pi) - - ``` bash - # Clone Freqtrade repository - git clone https://github.com/freqtrade/freqtrade.git - cd freqtrade - # Optionally switch to the stable version - git checkout stable - - # Modify your docker-compose file to enable building and change the image name - # (see the Note Box below for necessary changes) - - # Build image - docker-compose build - - # Create user directory structure - docker-compose run --rm freqtrade create-userdir --userdir user_data - - # Create configuration - Requires answering interactive questions - docker-compose run --rm freqtrade new-config --config user_data/config.json - ``` - - !!! Note "Change your docker Image" - You have to change the docker image in the docker-compose file for your arm64 build to work properly. - ``` yml - image: freqtradeorg/freqtrade:custom_arm64 - build: - context: . - dockerfile: "Dockerfile" - ``` +# Create configuration - Requires answering interactive questions +docker-compose run --rm freqtrade new-config --config user_data/config.json +``` The above snippet creates a new directory called `ft_userdata`, downloads the latest compose file and pulls the freqtrade image. The last 2 steps in the snippet create the directory with `user_data`, as well as (interactively) the default configuration based on your selections. @@ -117,7 +56,7 @@ The last 2 steps in the snippet create the directory with `user_data`, as well a The `SampleStrategy` is run by default. -!!! Warning "`SampleStrategy` is just a demo!" +!!! Danger "`SampleStrategy` is just a demo!" The `SampleStrategy` is there for your reference and give you ideas for your own strategy. Please always backtest your strategy and use dry-run for some time before risking real money! You will find more information about Strategy development in the [Strategy documentation](strategy-customization.md). @@ -167,6 +106,10 @@ Advanced users may edit the docker-compose file further to include all possible All freqtrade arguments will be available by running `docker-compose run --rm freqtrade `. +!!! Warning "`docker-compose` for trade commands" + Trade commands (`freqtrade trade <...>`) should not be ran via `docker-compose run` - but should use `docker-compose up -d` instead. + This makes sure that the container is properly started (including port forwardings) and will make sure that the container will restart after a system reboot. + !!! Note "`docker-compose run --rm`" Including `--rm` will remove the container after completion, and is highly recommended for all modes except trading mode (running with `freqtrade trade` command). @@ -206,6 +149,24 @@ You'll then also need to modify the `docker-compose.yml` file and uncomment the You can then run `docker-compose build` to build the docker image, and run it using the commands described above. +### Troubleshooting + +#### Docker on Windows + +* Error: `"Timestamp for this request is outside of the recvWindow."` + * The market api requests require a synchronized clock but the time in the docker container shifts a bit over time into the past. + To fix this issue temporarily you need to run `wsl --shutdown` and restart docker again (a popup on windows 10 will ask you to do so). + A permanent solution is either to host the docker container on a linux host or restart the wsl from time to time with the scheduler. + ``` + taskkill /IM "Docker Desktop.exe" /F + wsl --shutdown + start "" "C:\Program Files\Docker\Docker\Docker Desktop.exe" + ``` + +!!! Warning + Due to the above, we do not recommend the usage of docker on windows for production setups, but only for experimentation, datadownload and backtesting. + Best use a linux-VPS for running freqtrade reliably. + ## Plotting with docker-compose Commands `freqtrade plot-profit` and `freqtrade plot-dataframe` ([Documentation](plotting.md)) are available by changing the image to `*_plot` in your docker-compose.yml file. diff --git a/docs/edge.md b/docs/edge.md index 237ff36f6..4402d767f 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -3,7 +3,7 @@ The `Edge Positioning` module uses probability to calculate your win rate and risk reward ratio. It will use these statistics to control your strategy trade entry points, position size and, stoploss. !!! Warning - WHen using `Edge positioning` with a dynamic whitelist (VolumePairList), make sure to also use `AgeFilter` and set it to at least `calculate_since_number_of_days` to avoid problems with missing data. + When using `Edge positioning` with a dynamic whitelist (VolumePairList), make sure to also use `AgeFilter` and set it to at least `calculate_since_number_of_days` to avoid problems with missing data. !!! Note `Edge Positioning` only considers *its own* buy/sell/stoploss signals. It ignores the stoploss, trailing stoploss, and ROI settings in the strategy configuration file. diff --git a/docs/exchanges.md b/docs/exchanges.md index e54f97714..c0fbdc694 100644 --- a/docs/exchanges.md +++ b/docs/exchanges.md @@ -4,6 +4,8 @@ This page combines common gotchas and informations which are exchange-specific a ## Binance +Binance supports [time_in_force](configuration.md#understand-order_time_in_force). + !!! Tip "Stoploss on Exchange" Binance supports `stoploss_on_exchange` and uses stop-loss-limit orders. It provides great advantages, so we recommend to benefit from it. @@ -56,6 +58,12 @@ Bittrex does not support market orders. If you have a message at the bot startup Bittrex also does not support `VolumePairlist` due to limited / split API constellation at the moment. Please use `StaticPairlist`. Other pairlists (other than `VolumePairlist`) should not be affected. +### Volume pairlist + +Bittrex does not support the direct usage of VolumePairList. This can however be worked around by using the advanced mode with `lookback_days: 1` (or more), which will emulate 24h volume. + +Read more in the [pairlist documentation](plugins.md#volumepairlist-advanced-mode). + ### Restricted markets Bittrex split its exchange into US and International versions. @@ -77,8 +85,9 @@ You can get a list of restricted markets by using the following snippet: ``` python import ccxt ct = ccxt.bittrex() -_ = ct.load_markets() -res = [ f"{x['MarketCurrency']}/{x['BaseCurrency']}" for x in ct.publicGetMarkets()['result'] if x['IsRestricted']] +lm = ct.load_markets() + +res = [p for p, x in lm.items() if 'US' in x['info']['prohibitedIn']] print(res) ``` @@ -104,7 +113,7 @@ To use subaccounts with FTX, you need to edit the configuration and add the foll ## Kucoin -Kucoin requries a passphrase for each api key, you will therefore need to add this key into the configuration so your exchange section looks as follows: +Kucoin requires a passphrase for each api key, you will therefore need to add this key into the configuration so your exchange section looks as follows: ```json "exchange": { @@ -112,8 +121,12 @@ Kucoin requries a passphrase for each api key, you will therefore need to add th "key": "your_exchange_key", "secret": "your_exchange_secret", "password": "your_exchange_api_key_password", + // ... +} ``` +Kucoin supports [time_in_force](configuration.md#understand-order_time_in_force). + ### Kucoin Blacklists For Kucoin, please add `"KCS/"` to your blacklist to avoid issues. @@ -157,6 +170,8 @@ For example, to test the order type `FOK` with Kraken, and modify candle limit t "order_time_in_force": ["gtc", "fok"], "ohlcv_candle_limit": 200 } + //... +} ``` !!! Warning diff --git a/docs/faq.md b/docs/faq.md index d015ae50e..285625491 100644 --- a/docs/faq.md +++ b/docs/faq.md @@ -167,12 +167,12 @@ Since hyperopt uses Bayesian search, running for too many epochs may not produce It's therefore recommended to run between 500-1000 epochs over and over until you hit at least 10.000 epochs in total (or are satisfied with the result). You can best judge by looking at the results - if the bot keeps discovering better strategies, it's best to keep on going. ```bash -freqtrade hyperopt --hyperopt SampleHyperopt --hyperopt-loss SharpeHyperOptLossDaily --strategy SampleStrategy -e 1000 +freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --strategy SampleStrategy -e 1000 ``` ### Why does it take a long time to run hyperopt? -* Discovering a great strategy with Hyperopt takes time. Study www.freqtrade.io, the Freqtrade Documentation page, join the Freqtrade [Slack community](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw) - or the Freqtrade [discord community](https://discord.gg/p7nuUNVfP7). While you patiently wait for the most advanced, free crypto bot in the world, to hand you a possible golden strategy specially designed just for you. +* Discovering a great strategy with Hyperopt takes time. Study www.freqtrade.io, the Freqtrade Documentation page, join the Freqtrade [discord community](https://discord.gg/p7nuUNVfP7). While you patiently wait for the most advanced, free crypto bot in the world, to hand you a possible golden strategy specially designed just for you. * If you wonder why it can take from 20 minutes to days to do 1000 epochs here are some answers: diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 4fba925d0..09d43939a 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -44,11 +44,10 @@ usage: freqtrade hyperopt [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH] [--data-format-ohlcv {json,jsongz,hdf5}] [--max-open-trades INT] [--stake-amount STAKE_AMOUNT] [--fee FLOAT] - [-p PAIRS [PAIRS ...]] [--hyperopt NAME] - [--hyperopt-path PATH] [--eps] [--dmmp] - [--enable-protections] + [-p PAIRS [PAIRS ...]] [--hyperopt-path PATH] + [--eps] [--dmmp] [--enable-protections] [--dry-run-wallet DRY_RUN_WALLET] [-e INT] - [--spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...]] + [--spaces {all,buy,sell,roi,stoploss,trailing,protection,default} [{all,buy,sell,roi,stoploss,trailing,protection,default} ...]] [--print-all] [--no-color] [--print-json] [-j JOBS] [--random-state INT] [--min-trades INT] [--hyperopt-loss NAME] [--disable-param-export] @@ -73,10 +72,8 @@ optional arguments: -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...] Limit command to these pairs. Pairs are space- separated. - --hyperopt NAME Specify hyperopt class name which will be used by the - bot. - --hyperopt-path PATH Specify additional lookup path for Hyperopt and - Hyperopt Loss functions. + --hyperopt-path PATH Specify additional lookup path for Hyperopt Loss + functions. --eps, --enable-position-stacking Allow buying the same pair multiple times (position stacking). @@ -92,7 +89,7 @@ optional arguments: Starting balance, used for backtesting / hyperopt and dry-runs. -e INT, --epochs INT Specify number of epochs (default: 100). - --spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...] + --spaces {all,buy,sell,roi,stoploss,trailing,protection,default} [{all,buy,sell,roi,stoploss,trailing,protection,default} ...] Specify which parameters to hyperopt. Space-separated list. --print-all Print all results, not only the best ones. @@ -253,7 +250,7 @@ We continue to define hyperoptable parameters: class MyAwesomeStrategy(IStrategy): buy_adx = DecimalParameter(20, 40, decimals=1, default=30.1, space="buy") buy_rsi = IntParameter(20, 40, default=30, space="buy") - buy_adx_enabled = CategoricalParameter([True, False], default=True, space="buy") + buy_adx_enabled = BooleanParameter(default=True, space="buy") buy_rsi_enabled = CategoricalParameter([True, False], default=False, space="buy") buy_trigger = CategoricalParameter(["bb_lower", "macd_cross_signal"], default="bb_lower", space="buy") ``` @@ -316,6 +313,7 @@ There are four parameter types each suited for different purposes. * `DecimalParameter` - defines a floating point parameter with a limited number of decimals (default 3). Should be preferred instead of `RealParameter` in most cases. * `RealParameter` - defines a floating point parameter with upper and lower boundaries and no precision limit. Rarely used as it creates a space with a near infinite number of possibilities. * `CategoricalParameter` - defines a parameter with a predetermined number of choices. +* `BooleanParameter` - Shorthand for `CategoricalParameter([True, False])` - great for "enable" parameters. !!! Tip "Disabling parameter optimization" Each parameter takes two boolean parameters: @@ -326,7 +324,7 @@ There are four parameter types each suited for different purposes. !!! Warning Hyperoptable parameters cannot be used in `populate_indicators` - as hyperopt does not recalculate indicators for each epoch, so the starting value would be used in this case. -### Optimizing an indicator parameter +## Optimizing an indicator parameter Assuming you have a simple strategy in mind - a EMA cross strategy (2 Moving averages crossing) - and you'd like to find the ideal parameters for this strategy. @@ -336,8 +334,8 @@ from functools import reduce import talib.abstract as ta -from freqtrade.strategy import IStrategy -from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter +from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter, + IStrategy, IntParameter) import freqtrade.vendor.qtpylib.indicators as qtpylib class MyAwesomeStrategy(IStrategy): @@ -413,6 +411,98 @@ While this strategy is most likely too simple to provide consistent profit, it s While this may slow down the hyperopt startup speed, the overall performance will increase as the Hyperopt execution itself may pick the same value for multiple epochs (changing other values). You should however try to use space ranges as small as possible. Every new column will require more memory, and every possibility hyperopt can try will increase the search space. +## Optimizing protections + +Freqtrade can also optimize protections. How you optimize protections is up to you, and the following should be considered as example only. + +The strategy will simply need to define the "protections" entry as property returning a list of protection configurations. + +``` python +from pandas import DataFrame +from functools import reduce + +import talib.abstract as ta + +from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter, + IStrategy, IntParameter) +import freqtrade.vendor.qtpylib.indicators as qtpylib + +class MyAwesomeStrategy(IStrategy): + stoploss = -0.05 + timeframe = '15m' + # Define the parameter spaces + cooldown_lookback = IntParameter(2, 48, default=5, space="protection", optimize=True) + stop_duration = IntParameter(12, 200, default=5, space="protection", optimize=True) + use_stop_protection = BooleanParameter(default=True, space="protection", optimize=True) + + + @property + def protections(self): + prot = [] + + prot.append({ + "method": "CooldownPeriod", + "stop_duration_candles": self.cooldown_lookback.value + }) + if self.use_stop_protection.value: + prot.append({ + "method": "StoplossGuard", + "lookback_period_candles": 24 * 3, + "trade_limit": 4, + "stop_duration_candles": self.stop_duration.value, + "only_per_pair": False + }) + + return prot + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # ... + +``` + +You can then run hyperopt as follows: +`freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy --spaces protection` + +!!! Note + The protection space is not part of the default space, and is only available with the Parameters Hyperopt interface, not with the legacy hyperopt interface (which required separate hyperopt files). + Freqtrade will also automatically change the "--enable-protections" flag if the protection space is selected. + +!!! Warning + If protections are defined as property, entries from the configuration will be ignored. + It is therefore recommended to not define protections in the configuration. + +### Migrating from previous property setups + +A migration from a previous setup is pretty simple, and can be accomplished by converting the protections entry to a property. +In simple terms, the following configuration will be converted to the below. + +``` python +class MyAwesomeStrategy(IStrategy): + protections = [ + { + "method": "CooldownPeriod", + "stop_duration_candles": 4 + } + ] +``` + +Result + +``` python +class MyAwesomeStrategy(IStrategy): + + @property + def protections(self): + return [ + { + "method": "CooldownPeriod", + "stop_duration_candles": 4 + } + ] +``` + +You will then obviously also change potential interesting entries to parameters to allow hyper-optimization. + ## Loss-functions Each hyperparameter tuning requires a target. This is usually defined as a loss function (sometimes also called objective function), which should decrease for more desirable results, and increase for bad results. @@ -465,7 +555,7 @@ For example, to use one month of data, pass `--timerange 20210101-20210201` (fro Full command: ```bash -freqtrade hyperopt --hyperopt --strategy --timerange 20210101-20210201 +freqtrade hyperopt --strategy --timerange 20210101-20210201 ``` ### Running Hyperopt with Smaller Search Space @@ -483,7 +573,8 @@ Legal values are: * `roi`: just optimize the minimal profit table for your strategy * `stoploss`: search for the best stoploss value * `trailing`: search for the best trailing stop values -* `default`: `all` except `trailing` +* `protection`: search for the best protection parameters (read the [protections section](#optimizing-protections) on how to properly define these) +* `default`: `all` except `trailing` and `protection` * space-separated list of any of the above values for example `--spaces roi stoploss` The default Hyperopt Search Space, used when no `--space` command line option is specified, does not include the `trailing` hyperspace. We recommend you to run optimization for the `trailing` hyperspace separately, when the best parameters for other hyperspaces were found, validated and pasted into your custom strategy. @@ -586,11 +677,11 @@ If you are optimizing ROI, Freqtrade creates the 'roi' optimization hyperspace f These ranges should be sufficient in most cases. The minutes in the steps (ROI dict keys) are scaled linearly depending on the timeframe used. The ROI values in the steps (ROI dict values) are scaled logarithmically depending on the timeframe used. -If you have the `generate_roi_table()` and `roi_space()` methods in your custom hyperopt file, remove them in order to utilize these adaptive ROI tables and the ROI hyperoptimization space generated by Freqtrade by default. +If you have the `generate_roi_table()` and `roi_space()` methods in your custom hyperopt, remove them in order to utilize these adaptive ROI tables and the ROI hyperoptimization space generated by Freqtrade by default. Override the `roi_space()` method if you need components of the ROI tables to vary in other ranges. Override the `generate_roi_table()` and `roi_space()` methods and implement your own custom approach for generation of the ROI tables during hyperoptimization if you need a different structure of the ROI tables or other amount of rows (steps). -A sample for these methods can be found in [sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py). +A sample for these methods can be found in the [overriding pre-defined spaces section](advanced-hyperopt.md#overriding-pre-defined-spaces). !!! Note "Reduced search space" To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. @@ -632,7 +723,7 @@ If you are optimizing stoploss values, Freqtrade creates the 'stoploss' optimiza If you have the `stoploss_space()` method in your custom hyperopt file, remove it in order to utilize Stoploss hyperoptimization space generated by Freqtrade by default. -Override the `stoploss_space()` method and define the desired range in it if you need stoploss values to vary in other range during hyperoptimization. A sample for this method can be found in [user_data/hyperopts/sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py). +Override the `stoploss_space()` method and define the desired range in it if you need stoploss values to vary in other range during hyperoptimization. A sample for this method can be found in the [overriding pre-defined spaces section](advanced-hyperopt.md#overriding-pre-defined-spaces). !!! Note "Reduced search space" To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. @@ -670,10 +761,10 @@ As stated in the comment, you can also use it as the values of the corresponding If you are optimizing trailing stop values, Freqtrade creates the 'trailing' optimization hyperspace for you. By default, the `trailing_stop` parameter is always set to True in that hyperspace, the value of the `trailing_only_offset_is_reached` vary between True and False, the values of the `trailing_stop_positive` and `trailing_stop_positive_offset` parameters vary in the ranges 0.02...0.35 and 0.01...0.1 correspondingly, which is sufficient in most cases. -Override the `trailing_space()` method and define the desired range in it if you need values of the trailing stop parameters to vary in other ranges during hyperoptimization. A sample for this method can be found in [user_data/hyperopts/sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py). +Override the `trailing_space()` method and define the desired range in it if you need values of the trailing stop parameters to vary in other ranges during hyperoptimization. A sample for this method can be found in the [overriding pre-defined spaces section](advanced-hyperopt.md#overriding-pre-defined-spaces). !!! Note "Reduced search space" - To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. + To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#overriding-pre-defined-spaces) to change this to your needs. ### Reproducible results @@ -733,8 +824,8 @@ After you run Hyperopt for the desired amount of epochs, you can later list all Once the optimized strategy has been implemented into your strategy, you should backtest this strategy to make sure everything is working as expected. -To achieve same results (number of trades, their durations, profit, etc.) than during Hyperopt, please use same configuration and parameters (timerange, timeframe, ...) used for hyperopt `--dmmp`/`--disable-max-market-positions` and `--eps`/`--enable-position-stacking` for Backtesting. +To achieve same the results (number of trades, their durations, profit, etc.) as during Hyperopt, please use the same configuration and parameters (timerange, timeframe, ...) used for hyperopt `--dmmp`/`--disable-max-market-positions` and `--eps`/`--enable-position-stacking` for Backtesting. -Should results don't match, please double-check to make sure you transferred all conditions correctly. +Should results not match, please double-check to make sure you transferred all conditions correctly. Pay special care to the stoploss (and trailing stoploss) parameters, as these are often set in configuration files, which override changes to the strategy. You should also carefully review the log of your backtest to ensure that there were no parameters inadvertently set by the configuration (like `stoploss` or `trailing_stop`). diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index f19c5a181..b612a4ddf 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -23,6 +23,7 @@ You may also use something like `.*DOWN/BTC` or `.*UP/BTC` to exclude leveraged * [`StaticPairList`](#static-pair-list) (default, if not configured differently) * [`VolumePairList`](#volume-pair-list) * [`AgeFilter`](#agefilter) +* [`OffsetFilter`](#offsetfilter) * [`PerformanceFilter`](#performancefilter) * [`PrecisionFilter`](#precisionfilter) * [`PriceFilter`](#pricefilter) @@ -57,23 +58,87 @@ This option must be configured along with `exchange.skip_pair_validation` in the When used in the chain of Pairlist Handlers in a non-leading position (after StaticPairList and other Pairlist Filters), `VolumePairList` considers outputs of previous Pairlist Handlers, adding its sorting/selection of the pairs by the trading volume. -When used on the leading position of the chain of Pairlist Handlers, it does not consider `pair_whitelist` configuration setting, but selects the top assets from all available markets (with matching stake-currency) on the exchange. +When used in the leading position of the chain of Pairlist Handlers, the `pair_whitelist` configuration setting is ignored. Instead, `VolumePairList` selects the top assets from all available markets with matching stake-currency on the exchange. The `refresh_period` setting allows to define the period (in seconds), at which the pairlist will be refreshed. Defaults to 1800s (30 minutes). The pairlist cache (`refresh_period`) on `VolumePairList` is only applicable to generating pairlists. Filtering instances (not the first position in the list) will not apply any cache and will always use up-to-date data. -`VolumePairList` is based on the ticker data from exchange, as reported by the ccxt library: +`VolumePairList` is per default based on the ticker data from exchange, as reported by the ccxt library: * The `quoteVolume` is the amount of quote (stake) currency traded (bought or sold) in last 24 hours. ```json -"pairlists": [{ +"pairlists": [ + { "method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume", + "min_value": 0, "refresh_period": 1800 -}], + } +], +``` + +You can define a minimum volume with `min_value` - which will filter out pairs with a volume lower than the specified value in the specified timerange. + +### VolumePairList Advanced mode + +`VolumePairList` can also operate in an advanced mode to build volume over a given timerange of specified candle size. It utilizes exchange historical candle data, builds a typical price (calculated by (open+high+low)/3) and multiplies the typical price with every candle's volume. The sum is the `quoteVolume` over the given range. This allows different scenarios, for a more smoothened volume, when using longer ranges with larger candle sizes, or the opposite when using a short range with small candles. + +For convenience `lookback_days` can be specified, which will imply that 1d candles will be used for the lookback. In the example below the pairlist would be created based on the last 7 days: + +```json +"pairlists": [ + { + "method": "VolumePairList", + "number_assets": 20, + "sort_key": "quoteVolume", + "min_value": 0, + "refresh_period": 86400, + "lookback_days": 7 + } +], +``` + +!!! Warning "Range look back and refresh period" + When used in conjunction with `lookback_days` and `lookback_timeframe` the `refresh_period` can not be smaller than the candle size in seconds. As this will result in unnecessary requests to the exchanges API. + +!!! Warning "Performance implications when using lookback range" + If used in first position in combination with lookback, the computation of the range based volume can be time and resource consuming, as it downloads candles for all tradable pairs. Hence it's highly advised to use the standard approach with `VolumeFilter` to narrow the pairlist down for further range volume calculation. + +??? Tip "Unsupported exchanges (Bittrex, Gemini)" + On some exchanges (like Bittrex and Gemini), regular VolumePairList does not work as the api does not natively provide 24h volume. This can be worked around by using candle data to build the volume. + To roughly simulate 24h volume, you can use the following configuration. + Please note that These pairlists will only refresh once per day. + + ```json + "pairlists": [ + { + "method": "VolumePairList", + "number_assets": 20, + "sort_key": "quoteVolume", + "min_value": 0, + "refresh_period": 86400, + "lookback_days": 1 + } + ], + ``` + +More sophisticated approach can be used, by using `lookback_timeframe` for candle size and `lookback_period` which specifies the amount of candles. This example will build the volume pairs based on a rolling period of 3 days of 1h candles: + +```json +"pairlists": [ + { + "method": "VolumePairList", + "number_assets": 20, + "sort_key": "quoteVolume", + "min_value": 0, + "refresh_period": 3600, + "lookback_timeframe": "1h", + "lookback_period": 72 + } +], ``` !!! Note @@ -81,13 +146,40 @@ Filtering instances (not the first position in the list) will not apply any cach #### AgeFilter -Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`). +Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`) or more than `max_days_listed` days (defaults `None` mean infinity). When pairs are first listed on an exchange they can suffer huge price drops and volatility in the first few days while the pair goes through its price-discovery period. Bots can often be caught out buying before the pair has finished dropping in price. -This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days. +This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days and listed before `max_days_listed`. + +#### OffsetFilter + +Offsets an incoming pairlist by a given `offset` value. + +As an example it can be used in conjunction with `VolumeFilter` to remove the top X volume pairs. Or to split +a larger pairlist on two bot instances. + +Example to remove the first 10 pairs from the pairlist: + +```json +"pairlists": [ + // ... + { + "method": "OffsetFilter", + "offset": 10 + } +], +``` + +!!! Warning + When `OffsetFilter` is used to split a larger pairlist among multiple bots in combination with `VolumeFilter` + it can not be guaranteed that pairs won't overlap due to slightly different refresh intervals for the + `VolumeFilter`. + +!!! Note + An offset larger then the total length of the incoming pairlist will result in an empty pairlist. #### PerformanceFilter @@ -99,6 +191,19 @@ Sorts pairs by past trade performance, as follows: Trade count is used as a tie breaker. +You can use the `minutes` parameter to only consider performance of the past X minutes (rolling window). +Not defining this parameter (or setting it to 0) will use all-time performance. + +```json +"pairlists": [ + // ... + { + "method": "PerformanceFilter", + "minutes": 1440 // rolling 24h + } +], +``` + !!! Note `PerformanceFilter` does not support backtesting mode. @@ -155,10 +260,10 @@ If `DOGE/BTC` maximum bid is 0.00000026 and minimum ask is 0.00000027, the ratio #### RangeStabilityFilter -Removes pairs where the difference between lowest low and highest high over `lookback_days` days is below `min_rate_of_change`. Since this is a filter that requires additional data, the results are cached for `refresh_period`. +Removes pairs where the difference between lowest low and highest high over `lookback_days` days is below `min_rate_of_change` or above `max_rate_of_change`. Since this is a filter that requires additional data, the results are cached for `refresh_period`. In the below example: -If the trading range over the last 10 days is <1%, remove the pair from the whitelist. +If the trading range over the last 10 days is <1% or >99%, remove the pair from the whitelist. ```json "pairlists": [ @@ -166,6 +271,7 @@ If the trading range over the last 10 days is <1%, remove the pair from the whit "method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01, + "max_rate_of_change": 0.99, "refresh_period": 1440 } ] @@ -173,6 +279,7 @@ If the trading range over the last 10 days is <1%, remove the pair from the whit !!! Tip This Filter can be used to automatically remove stable coin pairs, which have a very low trading range, and are therefore extremely difficult to trade with profit. + Additionally, it can also be used to automatically remove pairs with extreme high/low variance over a given amount of time. #### VolatilityFilter diff --git a/docs/includes/protections.md b/docs/includes/protections.md index 3ea2dde61..0757d2f6d 100644 --- a/docs/includes/protections.md +++ b/docs/includes/protections.md @@ -1,7 +1,7 @@ ## Protections !!! Warning "Beta feature" - This feature is still in it's testing phase. Should you notice something you think is wrong please let us know via Discord, Slack or via Github Issue. + This feature is still in it's testing phase. Should you notice something you think is wrong please let us know via Discord or via Github Issue. Protections will protect your strategy from unexpected events and market conditions by temporarily stop trading for either one pair, or for all pairs. All protection end times are rounded up to the next candle to avoid sudden, unexpected intra-candle buys. @@ -15,6 +15,10 @@ All protection end times are rounded up to the next candle to avoid sudden, unex !!! Note "Backtesting" Protections are supported by backtesting and hyperopt, but must be explicitly enabled by using the `--enable-protections` flag. +!!! Warning "Setting protections from the configuration" + Setting protections from the configuration via `"protections": [],` key should be considered deprecated and will be removed in a future version. + It is also no longer guaranteed that your protections apply to the strategy in cases where the strategy defines [protections as property](hyperopt.md#optimizing-protections). + ### Available Protections * [`StoplossGuard`](#stoploss-guard) Stop trading if a certain amount of stoploss occurred within a certain time window. @@ -47,15 +51,17 @@ This applies across all pairs, unless `only_per_pair` is set to true, which will The below example stops trading for all pairs for 4 candles after the last trade if the bot hit stoploss 4 times within the last 24 candles. ``` python -protections = [ - { - "method": "StoplossGuard", - "lookback_period_candles": 24, - "trade_limit": 4, - "stop_duration_candles": 4, - "only_per_pair": False - } -] +@property +def protections(self): + return [ + { + "method": "StoplossGuard", + "lookback_period_candles": 24, + "trade_limit": 4, + "stop_duration_candles": 4, + "only_per_pair": False + } + ] ``` !!! Note @@ -69,15 +75,17 @@ protections = [ The below sample stops trading for 12 candles if max-drawdown is > 20% considering all pairs - with a minimum of `trade_limit` trades - within the last 48 candles. If desired, `lookback_period` and/or `stop_duration` can be used. ``` python -protections = [ - { - "method": "MaxDrawdown", - "lookback_period_candles": 48, - "trade_limit": 20, - "stop_duration_candles": 12, - "max_allowed_drawdown": 0.2 - }, -] +@property +def protections(self): + return [ + { + "method": "MaxDrawdown", + "lookback_period_candles": 48, + "trade_limit": 20, + "stop_duration_candles": 12, + "max_allowed_drawdown": 0.2 + }, + ] ``` #### Low Profit Pairs @@ -88,15 +96,17 @@ If that ratio is below `required_profit`, that pair will be locked for `stop_dur The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 candles. ``` python -protections = [ - { - "method": "LowProfitPairs", - "lookback_period_candles": 6, - "trade_limit": 2, - "stop_duration": 60, - "required_profit": 0.02 - } -] +@property +def protections(self): + return [ + { + "method": "LowProfitPairs", + "lookback_period_candles": 6, + "trade_limit": 2, + "stop_duration": 60, + "required_profit": 0.02 + } + ] ``` #### Cooldown Period @@ -106,12 +116,14 @@ protections = [ The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down". ``` python -protections = [ - { - "method": "CooldownPeriod", - "stop_duration_candles": 2 - } -] +@property +def protections(self): + return [ + { + "method": "CooldownPeriod", + "stop_duration_candles": 2 + } + ] ``` !!! Note @@ -136,39 +148,42 @@ from freqtrade.strategy import IStrategy class AwesomeStrategy(IStrategy) timeframe = '1h' - protections = [ - { - "method": "CooldownPeriod", - "stop_duration_candles": 5 - }, - { - "method": "MaxDrawdown", - "lookback_period_candles": 48, - "trade_limit": 20, - "stop_duration_candles": 4, - "max_allowed_drawdown": 0.2 - }, - { - "method": "StoplossGuard", - "lookback_period_candles": 24, - "trade_limit": 4, - "stop_duration_candles": 2, - "only_per_pair": False - }, - { - "method": "LowProfitPairs", - "lookback_period_candles": 6, - "trade_limit": 2, - "stop_duration_candles": 60, - "required_profit": 0.02 - }, - { - "method": "LowProfitPairs", - "lookback_period_candles": 24, - "trade_limit": 4, - "stop_duration_candles": 2, - "required_profit": 0.01 - } - ] + + @property + def protections(self): + return [ + { + "method": "CooldownPeriod", + "stop_duration_candles": 5 + }, + { + "method": "MaxDrawdown", + "lookback_period_candles": 48, + "trade_limit": 20, + "stop_duration_candles": 4, + "max_allowed_drawdown": 0.2 + }, + { + "method": "StoplossGuard", + "lookback_period_candles": 24, + "trade_limit": 4, + "stop_duration_candles": 2, + "only_per_pair": False + }, + { + "method": "LowProfitPairs", + "lookback_period_candles": 6, + "trade_limit": 2, + "stop_duration_candles": 60, + "required_profit": 0.02 + }, + { + "method": "LowProfitPairs", + "lookback_period_candles": 24, + "trade_limit": 4, + "stop_duration_candles": 2, + "required_profit": 0.01 + } + ] # ... ``` diff --git a/docs/index.md b/docs/index.md index 8ecb085de..7735117e2 100644 --- a/docs/index.md +++ b/docs/index.md @@ -36,10 +36,11 @@ Freqtrade is a crypto-currency algorithmic trading software developed in python Please read the [exchange specific notes](exchanges.md) to learn about eventual, special configurations needed for each exchange. -- [X] [Binance](https://www.binance.com/) ([*Note for binance users](exchanges.md#blacklists)) +- [X] [Binance](https://www.binance.com/) ([*Note for binance users](docs/exchanges.md#binance-blacklist)) - [X] [Bittrex](https://bittrex.com/) - [X] [FTX](https://ftx.com) - [X] [Kraken](https://kraken.com/) +- [X] [Gate.io](https://www.gate.io/ref/6266643) - [ ] [potentially many others through ccxt](https://github.com/ccxt/ccxt/). _(We cannot guarantee they will work)_ ### Community tested @@ -47,7 +48,7 @@ Please read the [exchange specific notes](exchanges.md) to learn about eventual, Exchanges confirmed working by the community: - [X] [Bitvavo](https://bitvavo.com/) -- [X] [Kukoin](https://www.kucoin.com/) +- [X] [Kucoin](https://www.kucoin.com/) ## Requirements @@ -73,13 +74,9 @@ Alternatively ## Support -### Help / Discord / Slack +### Help / Discord -For any questions not covered by the documentation or for further information about the bot, or to simply engage with like-minded individuals, we encourage you to join our slack channel. - -Please check out our [discord server](https://discord.gg/p7nuUNVfP7). - -You can also join our [Slack channel](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw). +For any questions not covered by the documentation or for further information about the bot, or to simply engage with like-minded individuals, we encourage you to join the Freqtrade [discord server](https://discord.gg/p7nuUNVfP7). ## Ready to try? diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index d11e5ea4e..9b7c12a43 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1,4 +1,4 @@ -mkdocs==1.2.1 -mkdocs-material==7.1.9 +mkdocs==1.2.2 +mkdocs-material==7.3.0 mdx_truly_sane_lists==1.2 pymdown-extensions==8.2 diff --git a/docs/sql_cheatsheet.md b/docs/sql_cheatsheet.md index 477396931..caa3f53a6 100644 --- a/docs/sql_cheatsheet.md +++ b/docs/sql_cheatsheet.md @@ -110,7 +110,7 @@ DELETE FROM trades WHERE id = 31; Freqtrade supports PostgreSQL by using SQLAlchemy, which supports multiple different database systems. Installation: -`pip install psycopg2` +`pip install psycopg2-binary` Usage: `... --db-url postgresql+psycopg2://:@localhost:5432/` diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index b06cf3ecb..b0d1937f6 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -114,6 +114,36 @@ class AwesomeStrategy(IStrategy): See [Dataframe access](#dataframe-access) for more information about dataframe use in strategy callbacks. +## Buy Tag + +When your strategy has multiple buy signals, you can name the signal that triggered. +Then you can access you buy signal on `custom_sell` + +```python +def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe.loc[ + ( + (dataframe['rsi'] < 35) & + (dataframe['volume'] > 0) + ), + ['buy', 'buy_tag']] = (1, 'buy_signal_rsi') + + return dataframe + +def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, + current_profit: float, **kwargs): + dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) + last_candle = dataframe.iloc[-1].squeeze() + if trade.buy_tag == 'buy_signal_rsi' and last_candle['rsi'] > 80: + return 'sell_signal_rsi' + return None + +``` + +!!! Note + `buy_tag` is limited to 100 characters, remaining data will be truncated. + + ## Custom stoploss The stoploss price can only ever move upwards - if the stoploss value returned from `custom_stoploss` would result in a lower stoploss price than was previously set, it will be ignored. The traditional `stoploss` value serves as an absolute lower level and will be instated as the initial stoploss. @@ -258,6 +288,12 @@ Stoploss values returned from `custom_stoploss()` always specify a percentage re The helper function [`stoploss_from_open()`](strategy-customization.md#stoploss_from_open) can be used to convert from an open price relative stop, to a current price relative stop which can be returned from `custom_stoploss()`. +### Calculating stoploss percentage from absolute price + +Stoploss values returned from `custom_stoploss()` always specify a percentage relative to `current_rate`. In order to set a stoploss at specified absolute price level, we need to use `stop_rate` to calculate what percentage relative to the `current_rate` will give you the same result as if the percentage was specified from the open price. + +The helper function [`stoploss_from_absolute()`](strategy-customization.md#stoploss_from_absolute) can be used to convert from an absolute price, to a current price relative stop which can be returned from `custom_stoploss()`. + #### Stepped stoploss Instead of continuously trailing behind the current price, this example sets fixed stoploss price levels based on the current profit. @@ -327,6 +363,55 @@ See [Dataframe access](#dataframe-access) for more information about dataframe u --- +## Custom order price rules + +By default, freqtrade use the orderbook to automatically set an order price([Relevant documentation](configuration.md#prices-used-for-orders)), you also have the option to create custom order prices based on your strategy. + +You can use this feature by creating a `custom_entry_price()` function in your strategy file to customize entry prices and `custom_exit_price()` for exits. + +!!! Note + If your custom pricing function return None or an invalid value, price will fall back to `proposed_rate`, which is based on the regular pricing configuration. + +### Custom order entry and exit price example + +``` python +from datetime import datetime, timedelta, timezone +from freqtrade.persistence import Trade + +class AwesomeStrategy(IStrategy): + + # ... populate_* methods + + def custom_entry_price(self, pair: str, current_time: datetime, + proposed_rate, **kwargs) -> float: + + dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair, + timeframe=self.timeframe) + new_entryprice = dataframe['bollinger_10_lowerband'].iat[-1] + + return new_entryprice + + def custom_exit_price(self, pair: str, trade: Trade, + current_time: datetime, proposed_rate: float, + current_profit: float, **kwargs) -> float: + + dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair, + timeframe=self.timeframe) + new_exitprice = dataframe['bollinger_10_upperband'].iat[-1] + + return new_exitprice + +``` + +!!! Warning + Modifying entry and exit prices will only work for limit orders. Depending on the price chosen, this can result in a lot of unfilled orders. By default the maximum allowed distance between the current price and the custom price is 2%, this value can be changed in config with the `custom_price_max_distance_ratio` parameter. + +!!! Example + If the new_entryprice is 97, the proposed_rate is 100 and the `custom_price_max_distance_ratio` is set to 2%, The retained valid custom entry price will be 98. + +!!! Warning "No backtesting support" + Custom entry-prices are currently not supported during backtesting. + ## Custom order timeout rules Simple, time-based order-timeouts can be configured either via strategy or in the configuration in the `unfilledtimeout` section. @@ -454,7 +539,7 @@ class AwesomeStrategy(IStrategy): # ... populate_* methods def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, - time_in_force: str, **kwargs) -> bool: + time_in_force: str, current_time: datetime, **kwargs) -> bool: """ Called right before placing a buy order. Timing for this function is critical, so avoid doing heavy computations or @@ -469,6 +554,7 @@ class AwesomeStrategy(IStrategy): :param amount: Amount in target (quote) currency that's going to be traded. :param rate: Rate that's going to be used when using limit orders :param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled). + :param current_time: datetime object, containing the current datetime :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. :return bool: When True is returned, then the buy-order is placed on the exchange. False aborts the process @@ -490,7 +576,8 @@ class AwesomeStrategy(IStrategy): # ... populate_* methods def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float, - rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool: + rate: float, time_in_force: str, sell_reason: str, + current_time: datetime, **kwargs) -> bool: """ Called right before placing a regular sell order. Timing for this function is critical, so avoid doing heavy computations or @@ -508,6 +595,7 @@ class AwesomeStrategy(IStrategy): :param sell_reason: Sell reason. Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss', 'sell_signal', 'force_sell', 'emergency_sell'] + :param current_time: datetime object, containing the current datetime :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. :return bool: When True is returned, then the sell-order is placed on the exchange. False aborts the process @@ -521,6 +609,39 @@ class AwesomeStrategy(IStrategy): ``` +### Stake size management + +It is possible to manage your risk by reducing or increasing stake amount when placing a new trade. + +```python +class AwesomeStrategy(IStrategy): + def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float, + proposed_stake: float, min_stake: float, max_stake: float, + **kwargs) -> float: + + dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe) + current_candle = dataframe.iloc[-1].squeeze() + + if current_candle['fastk_rsi_1h'] > current_candle['fastd_rsi_1h']: + if self.config['stake_amount'] == 'unlimited': + # Use entire available wallet during favorable conditions when in compounding mode. + return max_stake + else: + # Compound profits during favorable conditions instead of using a static stake. + return self.wallets.get_total_stake_amount() / self.config['max_open_trades'] + + # Use default stake amount. + return proposed_stake +``` + +Freqtrade will fall back to the `proposed_stake` value should your code raise an exception. The exception itself will be logged. + +!!! Tip + You do not _have_ to ensure that `min_stake <= returned_value <= max_stake`. Trades will succeed as the returned value will be clamped to supported range and this acton will be logged. + +!!! Tip + Returning `0` or `None` will prevent trades from being placed. + --- ## Derived strategies @@ -580,3 +701,33 @@ The variable 'content', will contain the strategy file in a BASE64 encoded form. ``` Please ensure that 'NameOfStrategy' is identical to the strategy name! + +## Performance warning + +When executing a strategy, one can sometimes be greeted by the following in the logs + +> PerformanceWarning: DataFrame is highly fragmented. + +This is a warning from [`pandas`](https://github.com/pandas-dev/pandas) and as the warning continues to say: +use `pd.concat(axis=1)`. +This can have slight performance implications, which are usually only visible during hyperopt (when optimizing an indicator). + +For example: + +```python +for val in self.buy_ema_short.range: + dataframe[f'ema_short_{val}'] = ta.EMA(dataframe, timeperiod=val) +``` + +should be rewritten to + +```python +frames = [dataframe] +for val in self.buy_ema_short.range: + frames.append({ + f'ema_short_{val}': ta.EMA(dataframe, timeperiod=val) + }) + +# Append columns to existing dataframe +merged_frame = pd.concat(frames, axis=1) +``` diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index cfea60d22..0bfc0a2f6 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -122,6 +122,16 @@ def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame Look into the [user_data/strategies/sample_strategy.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_strategy.py). Then uncomment indicators you need. +#### Indicator libraries + +Out of the box, freqtrade installs the following technical libraries: + +* [ta-lib](http://mrjbq7.github.io/ta-lib/) +* [pandas-ta](https://twopirllc.github.io/pandas-ta/) +* [technical](https://github.com/freqtrade/technical/) + +Additional technical libraries can be installed as necessary, or custom indicators may be written / invented by the strategy author. + ### Strategy startup period Most indicators have an instable startup period, in which they are either not available, or the calculation is incorrect. This can lead to inconsistencies, since Freqtrade does not know how long this instable period should be. @@ -639,6 +649,167 @@ Stoploss values returned from `custom_stoploss` must specify a percentage relati Full examples can be found in the [Custom stoploss](strategy-advanced.md#custom-stoploss) section of the Documentation. +!!! Note + Providing invalid input to `stoploss_from_open()` may produce "CustomStoploss function did not return valid stoploss" warnings. + This may happen if `current_profit` parameter is below specified `open_relative_stop`. Such situations may arise when closing trade + is blocked by `confirm_trade_exit()` method. Warnings can be solved by never blocking stop loss sells by checking `sell_reason` in + `confirm_trade_exit()`, or by using `return stoploss_from_open(...) or 1` idiom, which will request to not change stop loss when + `current_profit < open_relative_stop`. + +### *stoploss_from_absolute()* + +In some situations it may be confusing to deal with stops relative to current rate. Instead, you may define a stoploss level using an absolute price. + +??? Example "Returning a stoploss using absolute price from the custom stoploss function" + + If we want to trail a stop price at 2xATR below current proce we can call `stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate)`. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, stoploss_from_open + + class AwesomeStrategy(IStrategy): + + use_custom_stoploss = True + + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['atr'] = ta.ATR(dataframe, timeperiod=14) + return dataframe + + def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, + current_rate: float, current_profit: float, **kwargs) -> float: + dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) + candle = dataframe.iloc[-1].squeeze() + return stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate) + + ``` + +### *@informative()* + +``` python +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{quote}_{column}_{timeframe} if asset is specified. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ +``` + +In most common case it is possible to easily define informative pairs by using a decorator. All decorated `populate_indicators_*` methods run in isolation, +not having access to data from other informative pairs, in the end all informative dataframes are merged and passed to main `populate_indicators()` method. +When hyperopting, use of hyperoptable parameter `.value` attribute is not supported. Please use `.range` attribute. See [optimizing an indicator parameter](hyperopt.md#optimizing-an-indicator-parameter) +for more information. + +??? Example "Fast and easy way to define informative pairs" + + Most of the time we do not need power and flexibility offered by `merge_informative_pair()`, therefore we can use a decorator to quickly define informative pairs. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, informative + + class AwesomeStrategy(IStrategy): + + # This method is not required. + # def informative_pairs(self): ... + + # Define informative upper timeframe for each pair. Decorators can be stacked on same + # method. Available in populate_indicators as 'rsi_30m' and 'rsi_1h'. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. Available in populate_indicators and other methods as + # 'btc_rsi_1h'. Current stake currency should be specified as {stake} format variable + # instead of hardcoding actual stake currency. Available in populate_indicators and other + # methods as 'btc_usdt_rsi_1h' (when stake currency is USDT). + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/ETH informative pair. You must specify quote currency if it is different from + # stake currency. Available in populate_indicators and other methods as 'eth_btc_rsi_1h'. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. A custom formatter may be specified for formatting + # column names. A callable `fmt(**kwargs) -> str` may be specified, to implement custom + # formatting. Available in populate_indicators and other methods as 'rsi_upper'. + @informative('1h', 'BTC/{stake}', '{column}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi_upper'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + return dataframe + + ``` + +!!! Note + Do not use `@informative` decorator if you need to use data of one informative pair when generating another informative pair. Instead, define informative pairs + manually as described [in the DataProvider section](#complete-data-provider-sample). + +!!! Note + Use string formatting when accessing informative dataframes of other pairs. This will allow easily changing stake currency in config without having to adjust strategy code. + + ``` python + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + stake = self.config['stake_currency'] + dataframe.loc[ + ( + (dataframe[f'btc_{stake}_rsi_1h'] < 35) + & + (dataframe['volume'] > 0) + ), + ['buy', 'buy_tag']] = (1, 'buy_signal_rsi') + + return dataframe + ``` + + Alternatively column renaming may be used to remove stake currency from column names: `@informative('1h', 'BTC/{stake}', fmt='{base}_{column}_{timeframe}')`. + +!!! Warning "Duplicate method names" + Methods tagged with `@informative()` decorator must always have unique names! Re-using same name (for example when copy-pasting already defined informative method) + will overwrite previously defined method and not produce any errors due to limitations of Python programming language. In such cases you will find that indicators + created in earlier-defined methods are not available in the dataframe. Carefully review method names and make sure they are unique! ## Additional data (Wallets) @@ -781,6 +952,8 @@ Printing more than a few rows is also possible (simply use `print(dataframe)` i ## Common mistakes when developing strategies +### Peeking into the future while backtesting + Backtesting analyzes the whole time-range at once for performance reasons. Because of this, strategy authors need to make sure that strategies do not look-ahead into the future. This is a common pain-point, which can cause huge differences between backtesting and dry/live run methods, since they all use data which is not available during dry/live runs, so these strategies will perform well during backtesting, but will fail / perform badly in real conditions. diff --git a/docs/strategy_analysis_example.md b/docs/strategy_analysis_example.md index 27c620c3d..dd7e07824 100644 --- a/docs/strategy_analysis_example.md +++ b/docs/strategy_analysis_example.md @@ -148,13 +148,18 @@ import pandas as pd stats = load_backtest_stats(backtest_dir) strategy_stats = stats['strategy'][strategy] +dates = [] +profits = [] +for date_profit in strategy_stats['daily_profit']: + dates.append(date_profit[0]) + profits.append(date_profit[1]) + equity = 0 equity_daily = [] -for dp in strategy_stats['daily_profit']: +for daily_profit in profits: equity_daily.append(equity) - equity += float(dp) + equity += float(daily_profit) -dates = pd.date_range(strategy_stats['backtest_start'], strategy_stats['backtest_end']) df = pd.DataFrame({'dates': dates,'equity_daily': equity_daily}) @@ -223,7 +228,7 @@ graph = generate_candlestick_graph(pair=pair, # Show graph inline # graph.show() -# Render graph in a seperate window +# Render graph in a separate window graph.show(renderer="browser") ``` diff --git a/docs/telegram-usage.md b/docs/telegram-usage.md index f5d9744b4..b9d01a236 100644 --- a/docs/telegram-usage.md +++ b/docs/telegram-usage.md @@ -93,7 +93,9 @@ Example configuration showing the different settings: "buy_cancel": "silent", "sell_cancel": "on", "buy_fill": "off", - "sell_fill": "off" + "sell_fill": "off", + "protection_trigger": "off", + "protection_trigger_global": "on" }, "reload": true, "balance_dust_level": 0.01 @@ -103,6 +105,7 @@ Example configuration showing the different settings: `buy` notifications are sent when the order is placed, while `buy_fill` notifications are sent when the order is filled on the exchange. `sell` notifications are sent when the order is placed, while `sell_fill` notifications are sent when the order is filled on the exchange. `*_fill` notifications are off by default and must be explicitly enabled. +`protection_trigger` notifications are sent when a protection triggers and `protection_trigger_global` notifications trigger when global protections are triggered. `balance_dust_level` will define what the `/balance` command takes as "dust" - Currencies with a balance below this will be shown. @@ -245,10 +248,10 @@ current max Return a summary of your profit/loss and performance. > **ROI:** Close trades -> ∙ `0.00485701 BTC (258.45%)` +> ∙ `0.00485701 BTC (2.2%) (15.2 Σ%)` > ∙ `62.968 USD` > **ROI:** All trades -> ∙ `0.00255280 BTC (143.43%)` +> ∙ `0.00255280 BTC (1.5%) (6.43 Σ%)` > ∙ `33.095 EUR` > > **Total Trade Count:** `138` @@ -257,6 +260,10 @@ Return a summary of your profit/loss and performance. > **Avg. Duration:** `2:33:45` > **Best Performing:** `PAY/BTC: 50.23%` +The relative profit of `1.2%` is the average profit per trade. +The relative profit of `15.2 Σ%` is be based on the starting capital - so in this case, the starting capital was `0.00485701 * 1.152 = 0.00738 BTC`. +Starting capital is either taken from the `available_capital` setting, or calculated by using current wallet size - profits. + ### /forcesell > **BITTREX:** Selling BTC/LTC with limit `0.01650000 (profit: ~-4.07%, -0.00008168)` diff --git a/docs/utils.md b/docs/utils.md index 524fefc21..d8fbcacb7 100644 --- a/docs/utils.md +++ b/docs/utils.md @@ -26,9 +26,7 @@ optional arguments: ├── data ├── hyperopt_results ├── hyperopts -│   ├── sample_hyperopt_advanced.py │   ├── sample_hyperopt_loss.py -│   └── sample_hyperopt.py ├── notebooks │   └── strategy_analysis_example.ipynb ├── plot @@ -111,46 +109,11 @@ Using the advanced template (populates all optional functions and methods) freqtrade new-strategy --strategy AwesomeStrategy --template advanced ``` -## Create new hyperopt +## List Strategies -Creates a new hyperopt from a template similar to SampleHyperopt. -The file will be named inline with your class name, and will not overwrite existing files. +Use the `list-strategies` subcommand to see all strategies in one particular directory. -Results will be located in `user_data/hyperopts/.py`. - -``` output -usage: freqtrade new-hyperopt [-h] [--userdir PATH] [--hyperopt NAME] - [--template {full,minimal,advanced}] - -optional arguments: - -h, --help show this help message and exit - --userdir PATH, --user-data-dir PATH - Path to userdata directory. - --hyperopt NAME Specify hyperopt class name which will be used by the - bot. - --template {full,minimal,advanced} - Use a template which is either `minimal`, `full` - (containing multiple sample indicators) or `advanced`. - Default: `full`. -``` - -### Sample usage of new-hyperopt - -```bash -freqtrade new-hyperopt --hyperopt AwesomeHyperopt -``` - -With custom user directory - -```bash -freqtrade new-hyperopt --userdir ~/.freqtrade/ --hyperopt AwesomeHyperopt -``` - -## List Strategies and List Hyperopts - -Use the `list-strategies` subcommand to see all strategies in one particular directory and the `list-hyperopts` subcommand to list custom Hyperopts. - -These subcommands are useful for finding problems in your environment with loading strategies or hyperopt classes: modules with strategies or hyperopt classes that contain errors and failed to load are printed in red (LOAD FAILED), while strategies or hyperopt classes with duplicate names are printed in yellow (DUPLICATE NAME). +This subcommand is useful for finding problems in your environment with loading strategies: modules with strategies that contain errors and failed to load are printed in red (LOAD FAILED), while strategies with duplicate names are printed in yellow (DUPLICATE NAME). ``` usage: freqtrade list-strategies [-h] [-v] [--logfile FILE] [-V] [-c PATH] @@ -164,34 +127,6 @@ optional arguments: --no-color Disable colorization of hyperopt results. May be useful if you are redirecting output to a file. -Common arguments: - -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). - --logfile FILE Log to the file specified. Special values are: - 'syslog', 'journald'. See the documentation for more - details. - -V, --version show program's version number and exit - -c PATH, --config PATH - Specify configuration file (default: `config.json`). - Multiple --config options may be used. Can be set to - `-` to read config from stdin. - -d PATH, --datadir PATH - Path to directory with historical backtesting data. - --userdir PATH, --user-data-dir PATH - Path to userdata directory. -``` -``` -usage: freqtrade list-hyperopts [-h] [-v] [--logfile FILE] [-V] [-c PATH] - [-d PATH] [--userdir PATH] - [--hyperopt-path PATH] [-1] [--no-color] - -optional arguments: - -h, --help show this help message and exit - --hyperopt-path PATH Specify additional lookup path for Hyperopt and - Hyperopt Loss functions. - -1, --one-column Print output in one column. - --no-color Disable colorization of hyperopt results. May be - useful if you are redirecting output to a file. - Common arguments: -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). --logfile FILE Log to the file specified. Special values are: @@ -211,18 +146,16 @@ Common arguments: !!! Warning Using these commands will try to load all python files from a directory. This can be a security risk if untrusted files reside in this directory, since all module-level code is executed. -Example: Search default strategies and hyperopts directories (within the default userdir). +Example: Search default strategies directories (within the default userdir). ``` bash freqtrade list-strategies -freqtrade list-hyperopts ``` -Example: Search strategies and hyperopts directory within the userdir. +Example: Search strategies directory within the userdir. ``` bash freqtrade list-strategies --userdir ~/.freqtrade/ -freqtrade list-hyperopts --userdir ~/.freqtrade/ ``` Example: Search dedicated strategy path. @@ -231,12 +164,6 @@ Example: Search dedicated strategy path. freqtrade list-strategies --strategy-path ~/.freqtrade/strategies/ ``` -Example: Search dedicated hyperopt path. - -``` bash -freqtrade list-hyperopt --hyperopt-path ~/.freqtrade/hyperopts/ -``` - ## List Exchanges Use the `list-exchanges` subcommand to see the exchanges available for the bot. @@ -614,6 +541,42 @@ Show whitelist when using a [dynamic pairlist](plugins.md#pairlists). freqtrade test-pairlist --config config.json --quote USDT BTC ``` +## Webserver mode + +!!! Warning "Experimental" + Webserver mode is an experimental mode to increase backesting and strategy development productivity. + There may still be bugs - so if you happen to stumble across these, please report them as github issues, thanks. + +Run freqtrade in webserver mode. +Freqtrade will start the webserver and allow FreqUI to start and control backtesting processes. +This has the advantage that data will not be reloaded between backtesting runs (as long as timeframe and timerange remain identical). +FreqUI will also show the backtesting results. + +``` +usage: freqtrade webserver [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH] + [--userdir PATH] + +optional arguments: + -h, --help show this help message and exit + +Common arguments: + -v, --verbose Verbose mode (-vv for more, -vvv to get all messages). + --logfile FILE Log to the file specified. Special values are: + 'syslog', 'journald'. See the documentation for more + details. + -V, --version show program's version number and exit + -c PATH, --config PATH + Specify configuration file (default: + `userdir/config.json` or `config.json` whichever + exists). Multiple --config options may be used. Can be + set to `-` to read config from stdin. + -d PATH, --datadir PATH + Path to directory with historical backtesting data. + --userdir PATH, --user-data-dir PATH + Path to userdata directory. + +``` + ## List Hyperopt results You can list the hyperoptimization epochs the Hyperopt module evaluated previously with the `hyperopt-list` sub-command. diff --git a/docs/webhook-config.md b/docs/webhook-config.md index 8ce6edc18..288afc384 100644 --- a/docs/webhook-config.md +++ b/docs/webhook-config.md @@ -83,6 +83,7 @@ Possible parameters are: * `fiat_currency` * `order_type` * `current_rate` +* `buy_tag` ### Webhookbuycancel @@ -100,6 +101,7 @@ Possible parameters are: * `fiat_currency` * `order_type` * `current_rate` +* `buy_tag` ### Webhookbuyfill @@ -115,6 +117,7 @@ Possible parameters are: * `stake_amount` * `stake_currency` * `fiat_currency` +* `buy_tag` ### Webhooksell diff --git a/docs/windows_installation.md b/docs/windows_installation.md index edc0a1404..2db0ae913 100644 --- a/docs/windows_installation.md +++ b/docs/windows_installation.md @@ -23,7 +23,7 @@ git clone https://github.com/freqtrade/freqtrade.git Install ta-lib according to the [ta-lib documentation](https://github.com/mrjbq7/ta-lib#windows). -As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial pre-compiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which needs to be downloaded and installed using `pip install TA_Lib‑0.4.20‑cp38‑cp38‑win_amd64.whl` (make sure to use the version matching your python version). +As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial pre-compiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which need to be downloaded and installed using `pip install TA_Lib-0.4.21-cp38-cp38-win_amd64.whl` (make sure to use the version matching your python version). Freqtrade provides these dependencies for the latest 2 Python versions (3.7 and 3.8) and for 64bit Windows. Other versions must be downloaded from the above link. diff --git a/freqtrade/__init__.py b/freqtrade/__init__.py index e96e7f530..2747efc96 100644 --- a/freqtrade/__init__.py +++ b/freqtrade/__init__.py @@ -22,7 +22,7 @@ if __version__ == 'develop': # subprocess.check_output( # ['git', 'log', '--format="%h"', '-n 1'], # stderr=subprocess.DEVNULL).decode("utf-8").rstrip().strip('"') - except Exception: + except Exception: # pragma: no cover # git not available, ignore try: # Try Fallback to freqtrade_commit file (created by CI while building docker image) diff --git a/freqtrade/commands/__init__.py b/freqtrade/commands/__init__.py index 784b99bed..858c99acd 100644 --- a/freqtrade/commands/__init__.py +++ b/freqtrade/commands/__init__.py @@ -8,15 +8,16 @@ Note: Be careful with file-scoped imports in these subfiles. """ from freqtrade.commands.arguments import Arguments from freqtrade.commands.build_config_commands import start_new_config -from freqtrade.commands.data_commands import (start_convert_data, start_download_data, - start_list_data) +from freqtrade.commands.data_commands import (start_convert_data, start_convert_trades, + start_download_data, start_list_data) from freqtrade.commands.deploy_commands import (start_create_userdir, start_install_ui, - start_new_hyperopt, start_new_strategy) + start_new_strategy) from freqtrade.commands.hyperopt_commands import start_hyperopt_list, start_hyperopt_show -from freqtrade.commands.list_commands import (start_list_exchanges, start_list_hyperopts, - start_list_markets, start_list_strategies, - start_list_timeframes, start_show_trades) +from freqtrade.commands.list_commands import (start_list_exchanges, start_list_markets, + start_list_strategies, start_list_timeframes, + start_show_trades) from freqtrade.commands.optimize_commands import start_backtesting, start_edge, start_hyperopt from freqtrade.commands.pairlist_commands import start_test_pairlist from freqtrade.commands.plot_commands import start_plot_dataframe, start_plot_profit from freqtrade.commands.trade_commands import start_trading +from freqtrade.commands.webserver_commands import start_webserver diff --git a/freqtrade/commands/arguments.py b/freqtrade/commands/arguments.py index ba37237f6..9643705a5 100644 --- a/freqtrade/commands/arguments.py +++ b/freqtrade/commands/arguments.py @@ -16,11 +16,13 @@ ARGS_STRATEGY = ["strategy", "strategy_path"] ARGS_TRADE = ["db_url", "sd_notify", "dry_run", "dry_run_wallet", "fee"] +ARGS_WEBSERVER: List[str] = [] + ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv", "max_open_trades", "stake_amount", "fee", "pairs"] ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions", - "enable_protections", "dry_run_wallet", + "enable_protections", "dry_run_wallet", "timeframe_detail", "strategy_list", "export", "exportfilename"] ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path", @@ -53,11 +55,11 @@ ARGS_BUILD_CONFIG = ["config"] ARGS_BUILD_STRATEGY = ["user_data_dir", "strategy", "template"] -ARGS_BUILD_HYPEROPT = ["user_data_dir", "hyperopt", "template"] - ARGS_CONVERT_DATA = ["pairs", "format_from", "format_to", "erase"] ARGS_CONVERT_DATA_OHLCV = ARGS_CONVERT_DATA + ["timeframes"] +ARGS_CONVERT_TRADES = ["pairs", "timeframes", "exchange", "dataformat_ohlcv", "dataformat_trades"] + ARGS_LIST_DATA = ["exchange", "dataformat_ohlcv", "pairs"] ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "timerange", @@ -90,10 +92,10 @@ ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperop NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes", "list-markets", "list-pairs", "list-strategies", "list-data", - "list-hyperopts", "hyperopt-list", "hyperopt-show", - "plot-dataframe", "plot-profit", "show-trades"] + "hyperopt-list", "hyperopt-show", + "plot-dataframe", "plot-profit", "show-trades", "trades-to-ohlcv"] -NO_CONF_ALLOWED = ["create-userdir", "list-exchanges", "new-hyperopt", "new-strategy"] +NO_CONF_ALLOWED = ["create-userdir", "list-exchanges", "new-strategy"] class Arguments: @@ -169,14 +171,14 @@ class Arguments: self.parser = argparse.ArgumentParser(description='Free, open source crypto trading bot') self._build_args(optionlist=['version'], parser=self.parser) - from freqtrade.commands import (start_backtesting, start_convert_data, start_create_userdir, - start_download_data, start_edge, start_hyperopt, - start_hyperopt_list, start_hyperopt_show, start_install_ui, - start_list_data, start_list_exchanges, start_list_hyperopts, + from freqtrade.commands import (start_backtesting, start_convert_data, start_convert_trades, + start_create_userdir, start_download_data, start_edge, + start_hyperopt, start_hyperopt_list, start_hyperopt_show, + start_install_ui, start_list_data, start_list_exchanges, start_list_markets, start_list_strategies, - start_list_timeframes, start_new_config, start_new_hyperopt, - start_new_strategy, start_plot_dataframe, start_plot_profit, - start_show_trades, start_test_pairlist, start_trading) + start_list_timeframes, start_new_config, start_new_strategy, + start_plot_dataframe, start_plot_profit, start_show_trades, + start_test_pairlist, start_trading, start_webserver) subparsers = self.parser.add_subparsers(dest='command', # Use custom message when no subhandler is added @@ -203,12 +205,6 @@ class Arguments: build_config_cmd.set_defaults(func=start_new_config) self._build_args(optionlist=ARGS_BUILD_CONFIG, parser=build_config_cmd) - # add new-hyperopt subcommand - build_hyperopt_cmd = subparsers.add_parser('new-hyperopt', - help="Create new hyperopt") - build_hyperopt_cmd.set_defaults(func=start_new_hyperopt) - self._build_args(optionlist=ARGS_BUILD_HYPEROPT, parser=build_hyperopt_cmd) - # add new-strategy subcommand build_strategy_cmd = subparsers.add_parser('new-strategy', help="Create new strategy") @@ -242,6 +238,15 @@ class Arguments: convert_trade_data_cmd.set_defaults(func=partial(start_convert_data, ohlcv=False)) self._build_args(optionlist=ARGS_CONVERT_DATA, parser=convert_trade_data_cmd) + # Add trades-to-ohlcv subcommand + convert_trade_data_cmd = subparsers.add_parser( + 'trades-to-ohlcv', + help='Convert trade data to OHLCV data.', + parents=[_common_parser], + ) + convert_trade_data_cmd.set_defaults(func=start_convert_trades) + self._build_args(optionlist=ARGS_CONVERT_TRADES, parser=convert_trade_data_cmd) + # Add list-data subcommand list_data_cmd = subparsers.add_parser( 'list-data', @@ -297,15 +302,6 @@ class Arguments: list_exchanges_cmd.set_defaults(func=start_list_exchanges) self._build_args(optionlist=ARGS_LIST_EXCHANGES, parser=list_exchanges_cmd) - # Add list-hyperopts subcommand - list_hyperopts_cmd = subparsers.add_parser( - 'list-hyperopts', - help='Print available hyperopt classes.', - parents=[_common_parser], - ) - list_hyperopts_cmd.set_defaults(func=start_list_hyperopts) - self._build_args(optionlist=ARGS_LIST_HYPEROPTS, parser=list_hyperopts_cmd) - # Add list-markets subcommand list_markets_cmd = subparsers.add_parser( 'list-markets', @@ -384,3 +380,9 @@ class Arguments: ) plot_profit_cmd.set_defaults(func=start_plot_profit) self._build_args(optionlist=ARGS_PLOT_PROFIT, parser=plot_profit_cmd) + + # Add webserver subcommand + webserver_cmd = subparsers.add_parser('webserver', help='Webserver module.', + parents=[_common_parser]) + webserver_cmd.set_defaults(func=start_webserver) + self._build_args(optionlist=ARGS_WEBSERVER, parser=webserver_cmd) diff --git a/freqtrade/commands/build_config_commands.py b/freqtrade/commands/build_config_commands.py index b3f912433..faa8a98f4 100644 --- a/freqtrade/commands/build_config_commands.py +++ b/freqtrade/commands/build_config_commands.py @@ -61,21 +61,27 @@ def ask_user_config() -> Dict[str, Any]: "type": "text", "name": "stake_currency", "message": "Please insert your stake currency:", - "default": 'BTC', + "default": 'USDT', }, { "type": "text", "name": "stake_amount", - "message": "Please insert your stake amount:", - "default": "0.01", + "message": f"Please insert your stake amount (Number or '{UNLIMITED_STAKE_AMOUNT}'):", + "default": "100", "validate": lambda val: val == UNLIMITED_STAKE_AMOUNT or validate_is_float(val), + "filter": lambda val: '"' + UNLIMITED_STAKE_AMOUNT + '"' + if val == UNLIMITED_STAKE_AMOUNT + else val }, { "type": "text", "name": "max_open_trades", "message": f"Please insert max_open_trades (Integer or '{UNLIMITED_STAKE_AMOUNT}'):", "default": "3", - "validate": lambda val: val == UNLIMITED_STAKE_AMOUNT or validate_is_int(val) + "validate": lambda val: val == UNLIMITED_STAKE_AMOUNT or validate_is_int(val), + "filter": lambda val: '"' + UNLIMITED_STAKE_AMOUNT + '"' + if val == UNLIMITED_STAKE_AMOUNT + else val }, { "type": "text", @@ -99,6 +105,8 @@ def ask_user_config() -> Dict[str, Any]: "bittrex", "kraken", "ftx", + "kucoin", + "gateio", Separator(), "other", ], @@ -122,6 +130,12 @@ def ask_user_config() -> Dict[str, Any]: "message": "Insert Exchange Secret", "when": lambda x: not x['dry_run'] }, + { + "type": "password", + "name": "exchange_key_password", + "message": "Insert Exchange API Key password", + "when": lambda x: not x['dry_run'] and x['exchange_name'] == 'kucoin' + }, { "type": "confirm", "name": "telegram", @@ -193,7 +207,7 @@ def deploy_new_config(config_path: Path, selections: Dict[str, Any]) -> None: selections['exchange'] = render_template( templatefile=f"subtemplates/exchange_{exchange_template}.j2", arguments=selections - ) + ) except TemplateNotFound: selections['exchange'] = render_template( templatefile="subtemplates/exchange_generic.j2", diff --git a/freqtrade/commands/cli_options.py b/freqtrade/commands/cli_options.py index f56a2bf18..d350a9426 100644 --- a/freqtrade/commands/cli_options.py +++ b/freqtrade/commands/cli_options.py @@ -1,7 +1,7 @@ """ Definition of cli arguments used in arguments.py """ -from argparse import ArgumentTypeError +from argparse import SUPPRESS, ArgumentTypeError from freqtrade import __version__, constants from freqtrade.constants import HYPEROPT_LOSS_BUILTIN @@ -135,6 +135,10 @@ AVAILABLE_CLI_OPTIONS = { help='Override the value of the `stake_amount` configuration setting.', ), # Backtesting + "timeframe_detail": Arg( + '--timeframe-detail', + help='Specify detail timeframe for backtesting (`1m`, `5m`, `30m`, `1h`, `1d`).', + ), "position_stacking": Arg( '--eps', '--enable-position-stacking', help='Allow buying the same pair multiple times (position stacking).', @@ -162,7 +166,7 @@ AVAILABLE_CLI_OPTIONS = { 'Please note that ticker-interval needs to be set either in config ' 'or via command line. When using this together with `--export trades`, ' 'the strategy-name is injected into the filename ' - '(so `backtest-data.json` becomes `backtest-data-DefaultStrategy.json`', + '(so `backtest-data.json` becomes `backtest-data-SampleStrategy.json`', nargs='+', ), "export": Arg( @@ -199,13 +203,13 @@ AVAILABLE_CLI_OPTIONS = { # Hyperopt "hyperopt": Arg( '--hyperopt', - help='Specify hyperopt class name which will be used by the bot.', + help=SUPPRESS, metavar='NAME', required=False, ), "hyperopt_path": Arg( '--hyperopt-path', - help='Specify additional lookup path for Hyperopt and Hyperopt Loss functions.', + help='Specify additional lookup path for Hyperopt Loss functions.', metavar='PATH', ), "epochs": Arg( @@ -218,7 +222,7 @@ AVAILABLE_CLI_OPTIONS = { "spaces": Arg( '--spaces', help='Specify which parameters to hyperopt. Space-separated list.', - choices=['all', 'buy', 'sell', 'roi', 'stoploss', 'trailing', 'default'], + choices=['all', 'buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection', 'default'], nargs='+', default='default', ), @@ -377,12 +381,12 @@ AVAILABLE_CLI_OPTIONS = { ), "dataformat_ohlcv": Arg( '--data-format-ohlcv', - help='Storage format for downloaded candle (OHLCV) data. (default: `%(default)s`).', + help='Storage format for downloaded candle (OHLCV) data. (default: `json`).', choices=constants.AVAILABLE_DATAHANDLERS, ), "dataformat_trades": Arg( '--data-format-trades', - help='Storage format for downloaded trades data. (default: `%(default)s`).', + help='Storage format for downloaded trades data. (default: `jsongz`).', choices=constants.AVAILABLE_DATAHANDLERS, ), "exchange": Arg( diff --git a/freqtrade/commands/data_commands.py b/freqtrade/commands/data_commands.py index 3877e0801..ee05e6c69 100644 --- a/freqtrade/commands/data_commands.py +++ b/freqtrade/commands/data_commands.py @@ -48,7 +48,8 @@ def start_download_data(args: Dict[str, Any]) -> None: # Init exchange exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config, validate=False) # Manual validations of relevant settings - exchange.validate_pairs(config['pairs']) + if not config['exchange'].get('skip_pair_validation', False): + exchange.validate_pairs(config['pairs']) expanded_pairs = expand_pairlist(config['pairs'], list(exchange.markets)) logger.info(f"About to download pairs: {expanded_pairs}, " @@ -88,6 +89,41 @@ def start_download_data(args: Dict[str, Any]) -> None: f"on exchange {exchange.name}.") +def start_convert_trades(args: Dict[str, Any]) -> None: + + config = setup_utils_configuration(args, RunMode.UTIL_EXCHANGE) + + timerange = TimeRange() + + # Remove stake-currency to skip checks which are not relevant for datadownload + config['stake_currency'] = '' + + if 'pairs' not in config: + raise OperationalException( + "Downloading data requires a list of pairs. " + "Please check the documentation on how to configure this.") + + # Init exchange + exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config, validate=False) + # Manual validations of relevant settings + if not config['exchange'].get('skip_pair_validation', False): + exchange.validate_pairs(config['pairs']) + expanded_pairs = expand_pairlist(config['pairs'], list(exchange.markets)) + + logger.info(f"About to Convert pairs: {expanded_pairs}, " + f"intervals: {config['timeframes']} to {config['datadir']}") + + for timeframe in config['timeframes']: + exchange.validate_timeframes(timeframe) + # Convert downloaded trade data to different timeframes + convert_trades_to_ohlcv( + pairs=expanded_pairs, timeframes=config['timeframes'], + datadir=config['datadir'], timerange=timerange, erase=bool(config.get('erase')), + data_format_ohlcv=config['dataformat_ohlcv'], + data_format_trades=config['dataformat_trades'], + ) + + def start_convert_data(args: Dict[str, Any], ohlcv: bool = True) -> None: """ Convert data from one format to another diff --git a/freqtrade/commands/deploy_commands.py b/freqtrade/commands/deploy_commands.py index cc0d653b9..4f9e5bbad 100644 --- a/freqtrade/commands/deploy_commands.py +++ b/freqtrade/commands/deploy_commands.py @@ -7,7 +7,7 @@ import requests from freqtrade.configuration import setup_utils_configuration from freqtrade.configuration.directory_operations import copy_sample_files, create_userdata_dir -from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGIES +from freqtrade.constants import USERPATH_STRATEGIES from freqtrade.enums import RunMode from freqtrade.exceptions import OperationalException from freqtrade.misc import render_template, render_template_with_fallback @@ -38,15 +38,15 @@ def deploy_new_strategy(strategy_name: str, strategy_path: Path, subtemplate: st indicators = render_template_with_fallback( templatefile=f"subtemplates/indicators_{subtemplate}.j2", templatefallbackfile=f"subtemplates/indicators_{fallback}.j2", - ) + ) buy_trend = render_template_with_fallback( templatefile=f"subtemplates/buy_trend_{subtemplate}.j2", templatefallbackfile=f"subtemplates/buy_trend_{fallback}.j2", - ) + ) sell_trend = render_template_with_fallback( templatefile=f"subtemplates/sell_trend_{subtemplate}.j2", templatefallbackfile=f"subtemplates/sell_trend_{fallback}.j2", - ) + ) plot_config = render_template_with_fallback( templatefile=f"subtemplates/plot_config_{subtemplate}.j2", templatefallbackfile=f"subtemplates/plot_config_{fallback}.j2", @@ -74,8 +74,6 @@ def start_new_strategy(args: Dict[str, Any]) -> None: config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE) if "strategy" in args and args["strategy"]: - if args["strategy"] == "DefaultStrategy": - raise OperationalException("DefaultStrategy is not allowed as name.") new_path = config['user_data_dir'] / USERPATH_STRATEGIES / (args['strategy'] + '.py') @@ -89,58 +87,6 @@ def start_new_strategy(args: Dict[str, Any]) -> None: raise OperationalException("`new-strategy` requires --strategy to be set.") -def deploy_new_hyperopt(hyperopt_name: str, hyperopt_path: Path, subtemplate: str) -> None: - """ - Deploys a new hyperopt template to hyperopt_path - """ - fallback = 'full' - buy_guards = render_template_with_fallback( - templatefile=f"subtemplates/hyperopt_buy_guards_{subtemplate}.j2", - templatefallbackfile=f"subtemplates/hyperopt_buy_guards_{fallback}.j2", - ) - sell_guards = render_template_with_fallback( - templatefile=f"subtemplates/hyperopt_sell_guards_{subtemplate}.j2", - templatefallbackfile=f"subtemplates/hyperopt_sell_guards_{fallback}.j2", - ) - buy_space = render_template_with_fallback( - templatefile=f"subtemplates/hyperopt_buy_space_{subtemplate}.j2", - templatefallbackfile=f"subtemplates/hyperopt_buy_space_{fallback}.j2", - ) - sell_space = render_template_with_fallback( - templatefile=f"subtemplates/hyperopt_sell_space_{subtemplate}.j2", - templatefallbackfile=f"subtemplates/hyperopt_sell_space_{fallback}.j2", - ) - - strategy_text = render_template(templatefile='base_hyperopt.py.j2', - arguments={"hyperopt": hyperopt_name, - "buy_guards": buy_guards, - "sell_guards": sell_guards, - "buy_space": buy_space, - "sell_space": sell_space, - }) - - logger.info(f"Writing hyperopt to `{hyperopt_path}`.") - hyperopt_path.write_text(strategy_text) - - -def start_new_hyperopt(args: Dict[str, Any]) -> None: - - config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE) - - if 'hyperopt' in args and args['hyperopt']: - if args['hyperopt'] == 'DefaultHyperopt': - raise OperationalException("DefaultHyperopt is not allowed as name.") - - new_path = config['user_data_dir'] / USERPATH_HYPEROPTS / (args['hyperopt'] + '.py') - - if new_path.exists(): - raise OperationalException(f"`{new_path}` already exists. " - "Please choose another Hyperopt Name.") - deploy_new_hyperopt(args['hyperopt'], new_path, args['template']) - else: - raise OperationalException("`new-hyperopt` requires --hyperopt to be set.") - - def clean_ui_subdir(directory: Path): if directory.is_dir(): logger.info("Removing UI directory content.") diff --git a/freqtrade/commands/hyperopt_commands.py b/freqtrade/commands/hyperopt_commands.py index 5a2727795..614c4b3f5 100755 --- a/freqtrade/commands/hyperopt_commands.py +++ b/freqtrade/commands/hyperopt_commands.py @@ -1,6 +1,6 @@ import logging from operator import itemgetter -from typing import Any, Dict, List +from typing import Any, Dict from colorama import init as colorama_init @@ -28,30 +28,12 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None: no_details = config.get('hyperopt_list_no_details', False) no_header = False - filteroptions = { - 'only_best': config.get('hyperopt_list_best', False), - 'only_profitable': config.get('hyperopt_list_profitable', False), - 'filter_min_trades': config.get('hyperopt_list_min_trades', 0), - 'filter_max_trades': config.get('hyperopt_list_max_trades', 0), - 'filter_min_avg_time': config.get('hyperopt_list_min_avg_time', None), - 'filter_max_avg_time': config.get('hyperopt_list_max_avg_time', None), - 'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None), - 'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None), - 'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None), - 'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None), - 'filter_min_objective': config.get('hyperopt_list_min_objective', None), - 'filter_max_objective': config.get('hyperopt_list_max_objective', None), - } - results_file = get_latest_hyperopt_file( config['user_data_dir'] / 'hyperopt_results', config.get('hyperoptexportfilename')) # Previous evaluations - epochs = HyperoptTools.load_previous_results(results_file) - total_epochs = len(epochs) - - epochs = hyperopt_filter_epochs(epochs, filteroptions) + epochs, total_epochs = HyperoptTools.load_filtered_results(results_file, config) if print_colorized: colorama_init(autoreset=True) @@ -59,7 +41,7 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None: if not export_csv: try: print(HyperoptTools.get_result_table(config, epochs, total_epochs, - not filteroptions['only_best'], + not config.get('hyperopt_list_best', False), print_colorized, 0)) except KeyboardInterrupt: print('User interrupted..') @@ -71,7 +53,7 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None: if epochs and export_csv: HyperoptTools.export_csv_file( - config, epochs, total_epochs, not filteroptions['only_best'], export_csv + config, epochs, export_csv ) @@ -91,26 +73,9 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None: n = config.get('hyperopt_show_index', -1) - filteroptions = { - 'only_best': config.get('hyperopt_list_best', False), - 'only_profitable': config.get('hyperopt_list_profitable', False), - 'filter_min_trades': config.get('hyperopt_list_min_trades', 0), - 'filter_max_trades': config.get('hyperopt_list_max_trades', 0), - 'filter_min_avg_time': config.get('hyperopt_list_min_avg_time', None), - 'filter_max_avg_time': config.get('hyperopt_list_max_avg_time', None), - 'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None), - 'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None), - 'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None), - 'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None), - 'filter_min_objective': config.get('hyperopt_list_min_objective', None), - 'filter_max_objective': config.get('hyperopt_list_max_objective', None) - } - # Previous evaluations - epochs = HyperoptTools.load_previous_results(results_file) - total_epochs = len(epochs) + epochs, total_epochs = HyperoptTools.load_filtered_results(results_file, config) - epochs = hyperopt_filter_epochs(epochs, filteroptions) filtered_epochs = len(epochs) if n > filtered_epochs: @@ -137,138 +102,3 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None: HyperoptTools.show_epoch_details(val, total_epochs, print_json, no_header, header_str="Epoch details") - - -def hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List: - """ - Filter our items from the list of hyperopt results - TODO: after 2021.5 remove all "legacy" mode queries. - """ - if filteroptions['only_best']: - epochs = [x for x in epochs if x['is_best']] - if filteroptions['only_profitable']: - epochs = [x for x in epochs if x['results_metrics'].get( - 'profit', x['results_metrics'].get('profit_total', 0)) > 0] - - epochs = _hyperopt_filter_epochs_trade_count(epochs, filteroptions) - - epochs = _hyperopt_filter_epochs_duration(epochs, filteroptions) - - epochs = _hyperopt_filter_epochs_profit(epochs, filteroptions) - - epochs = _hyperopt_filter_epochs_objective(epochs, filteroptions) - - logger.info(f"{len(epochs)} " + - ("best " if filteroptions['only_best'] else "") + - ("profitable " if filteroptions['only_profitable'] else "") + - "epochs found.") - return epochs - - -def _hyperopt_filter_epochs_trade(epochs: List, trade_count: int): - """ - Filter epochs with trade-counts > trades - """ - return [ - x for x in epochs - if x['results_metrics'].get( - 'trade_count', x['results_metrics'].get('total_trades', 0) - ) > trade_count - ] - - -def _hyperopt_filter_epochs_trade_count(epochs: List, filteroptions: dict) -> List: - - if filteroptions['filter_min_trades'] > 0: - epochs = _hyperopt_filter_epochs_trade(epochs, filteroptions['filter_min_trades']) - - if filteroptions['filter_max_trades'] > 0: - epochs = [ - x for x in epochs - if x['results_metrics'].get( - 'trade_count', x['results_metrics'].get('total_trades') - ) < filteroptions['filter_max_trades'] - ] - return epochs - - -def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List: - - def get_duration_value(x): - # Duration in minutes ... - if 'duration' in x['results_metrics']: - return x['results_metrics']['duration'] - else: - # New mode - if 'holding_avg_s' in x['results_metrics']: - avg = x['results_metrics']['holding_avg_s'] - return avg // 60 - raise OperationalException( - "Holding-average not available. Please omit the filter on average time, " - "or rerun hyperopt with this version") - - if filteroptions['filter_min_avg_time'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - epochs = [ - x for x in epochs - if get_duration_value(x) > filteroptions['filter_min_avg_time'] - ] - if filteroptions['filter_max_avg_time'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - epochs = [ - x for x in epochs - if get_duration_value(x) < filteroptions['filter_max_avg_time'] - ] - - return epochs - - -def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: - - if filteroptions['filter_min_avg_profit'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - epochs = [ - x for x in epochs - if x['results_metrics'].get( - 'avg_profit', x['results_metrics'].get('profit_mean', 0) * 100 - ) > filteroptions['filter_min_avg_profit'] - ] - if filteroptions['filter_max_avg_profit'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - epochs = [ - x for x in epochs - if x['results_metrics'].get( - 'avg_profit', x['results_metrics'].get('profit_mean', 0) * 100 - ) < filteroptions['filter_max_avg_profit'] - ] - if filteroptions['filter_min_total_profit'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - epochs = [ - x for x in epochs - if x['results_metrics'].get( - 'profit', x['results_metrics'].get('profit_total_abs', 0) - ) > filteroptions['filter_min_total_profit'] - ] - if filteroptions['filter_max_total_profit'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - epochs = [ - x for x in epochs - if x['results_metrics'].get( - 'profit', x['results_metrics'].get('profit_total_abs', 0) - ) < filteroptions['filter_max_total_profit'] - ] - return epochs - - -def _hyperopt_filter_epochs_objective(epochs: List, filteroptions: dict) -> List: - - if filteroptions['filter_min_objective'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - - epochs = [x for x in epochs if x['loss'] < filteroptions['filter_min_objective']] - if filteroptions['filter_max_objective'] is not None: - epochs = _hyperopt_filter_epochs_trade(epochs, 0) - - epochs = [x for x in epochs if x['loss'] > filteroptions['filter_max_objective']] - - return epochs diff --git a/freqtrade/commands/list_commands.py b/freqtrade/commands/list_commands.py index cd26aa60e..38fb098a0 100644 --- a/freqtrade/commands/list_commands.py +++ b/freqtrade/commands/list_commands.py @@ -10,11 +10,11 @@ from colorama import init as colorama_init from tabulate import tabulate from freqtrade.configuration import setup_utils_configuration -from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGIES +from freqtrade.constants import USERPATH_STRATEGIES from freqtrade.enums import RunMode from freqtrade.exceptions import OperationalException from freqtrade.exchange import market_is_active, validate_exchanges -from freqtrade.misc import plural +from freqtrade.misc import parse_db_uri_for_logging, plural from freqtrade.resolvers import ExchangeResolver, StrategyResolver @@ -92,25 +92,6 @@ def start_list_strategies(args: Dict[str, Any]) -> None: _print_objs_tabular(strategy_objs, config.get('print_colorized', False)) -def start_list_hyperopts(args: Dict[str, Any]) -> None: - """ - Print files with HyperOpt custom classes available in the directory - """ - from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver - - config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE) - - directory = Path(config.get('hyperopt_path', config['user_data_dir'] / USERPATH_HYPEROPTS)) - hyperopt_objs = HyperOptResolver.search_all_objects(directory, not args['print_one_column']) - # Sort alphabetically - hyperopt_objs = sorted(hyperopt_objs, key=lambda x: x['name']) - - if args['print_one_column']: - print('\n'.join([s['name'] for s in hyperopt_objs])) - else: - _print_objs_tabular(hyperopt_objs, config.get('print_colorized', False)) - - def start_list_timeframes(args: Dict[str, Any]) -> None: """ Print timeframes available on Exchange @@ -225,7 +206,7 @@ def start_show_trades(args: Dict[str, Any]) -> None: if 'db_url' not in config: raise OperationalException("--db-url is required for this command.") - logger.info(f'Using DB: "{config["db_url"]}"') + logger.info(f'Using DB: "{parse_db_uri_for_logging(config["db_url"])}"') init_db(config['db_url'], clean_open_orders=False) tfilter = [] diff --git a/freqtrade/commands/webserver_commands.py b/freqtrade/commands/webserver_commands.py new file mode 100644 index 000000000..9a5975227 --- /dev/null +++ b/freqtrade/commands/webserver_commands.py @@ -0,0 +1,15 @@ +from typing import Any, Dict + +from freqtrade.enums import RunMode + + +def start_webserver(args: Dict[str, Any]) -> None: + """ + Main entry point for webserver mode + """ + from freqtrade.configuration import Configuration + from freqtrade.rpc.api_server import ApiServer + + # Initialize configuration + config = Configuration(args, RunMode.WEBSERVER).get_config() + ApiServer(config, standalone=True) diff --git a/freqtrade/configuration/PeriodicCache.py b/freqtrade/configuration/PeriodicCache.py new file mode 100644 index 000000000..25c0c47f3 --- /dev/null +++ b/freqtrade/configuration/PeriodicCache.py @@ -0,0 +1,19 @@ +from datetime import datetime, timezone + +from cachetools.ttl import TTLCache + + +class PeriodicCache(TTLCache): + """ + Special cache that expires at "straight" times + A timer with ttl of 3600 (1h) will expire at every full hour (:00). + """ + + def __init__(self, maxsize, ttl, getsizeof=None): + def local_timer(): + ts = datetime.now(timezone.utc).timestamp() + offset = (ts % ttl) + return ts - offset + + # Init with smlight offset + super().__init__(maxsize=maxsize, ttl=ttl-1e-5, timer=local_timer, getsizeof=getsizeof) diff --git a/freqtrade/configuration/__init__.py b/freqtrade/configuration/__init__.py index 607f9cdef..cf41c0ca9 100644 --- a/freqtrade/configuration/__init__.py +++ b/freqtrade/configuration/__init__.py @@ -1,7 +1,8 @@ # flake8: noqa: F401 -from freqtrade.configuration.check_exchange import check_exchange, remove_credentials +from freqtrade.configuration.check_exchange import check_exchange from freqtrade.configuration.config_setup import setup_utils_configuration from freqtrade.configuration.config_validation import validate_config_consistency from freqtrade.configuration.configuration import Configuration +from freqtrade.configuration.PeriodicCache import PeriodicCache from freqtrade.configuration.timerange import TimeRange diff --git a/freqtrade/configuration/check_exchange.py b/freqtrade/configuration/check_exchange.py index f282447d4..fa1f47f9b 100644 --- a/freqtrade/configuration/check_exchange.py +++ b/freqtrade/configuration/check_exchange.py @@ -10,19 +10,6 @@ from freqtrade.exchange import (available_exchanges, is_exchange_known_ccxt, logger = logging.getLogger(__name__) -def remove_credentials(config: Dict[str, Any]) -> None: - """ - Removes exchange keys from the configuration and specifies dry-run - Used for backtesting / hyperopt / edge and utils. - Modifies the input dict! - """ - config['exchange']['key'] = '' - config['exchange']['secret'] = '' - config['exchange']['password'] = '' - config['exchange']['uid'] = '' - config['dry_run'] = True - - def check_exchange(config: Dict[str, Any], check_for_bad: bool = True) -> bool: """ Check if the exchange name in the config file is supported by Freqtrade @@ -51,10 +38,10 @@ def check_exchange(config: Dict[str, Any], check_for_bad: bool = True) -> bool: if not is_exchange_known_ccxt(exchange): raise OperationalException( - f'Exchange "{exchange}" is not known to the ccxt library ' - f'and therefore not available for the bot.\n' - f'The following exchanges are available for Freqtrade: ' - f'{", ".join(available_exchanges())}' + f'Exchange "{exchange}" is not known to the ccxt library ' + f'and therefore not available for the bot.\n' + f'The following exchanges are available for Freqtrade: ' + f'{", ".join(available_exchanges())}' ) valid, reason = validate_exchange(exchange) diff --git a/freqtrade/configuration/config_setup.py b/freqtrade/configuration/config_setup.py index 22836ab19..02f2d4089 100644 --- a/freqtrade/configuration/config_setup.py +++ b/freqtrade/configuration/config_setup.py @@ -3,7 +3,6 @@ from typing import Any, Dict from freqtrade.enums import RunMode -from .check_exchange import remove_credentials from .config_validation import validate_config_consistency from .configuration import Configuration @@ -21,8 +20,8 @@ def setup_utils_configuration(args: Dict[str, Any], method: RunMode) -> Dict[str configuration = Configuration(args, method) config = configuration.get_config() - # Ensure we do not use Exchange credentials - remove_credentials(config) + # Ensure these modes are using Dry-run + config['dry_run'] = True validate_config_consistency(config) return config diff --git a/freqtrade/configuration/config_validation.py b/freqtrade/configuration/config_validation.py index aad03e983..85ff4408f 100644 --- a/freqtrade/configuration/config_validation.py +++ b/freqtrade/configuration/config_validation.py @@ -115,7 +115,7 @@ def _validate_trailing_stoploss(conf: Dict[str, Any]) -> None: if conf.get('stoploss') == 0.0: raise OperationalException( 'The config stoploss needs to be different from 0 to avoid problems with sell orders.' - ) + ) # Skip if trailing stoploss is not activated if not conf.get('trailing_stop', False): return @@ -180,7 +180,7 @@ def _validate_protections(conf: Dict[str, Any]) -> None: raise OperationalException( "Protections must specify either `stop_duration` or `stop_duration_candles`.\n" f"Please fix the protection {prot.get('method')}" - ) + ) if ('lookback_period' in prot and 'lookback_period_candles' in prot): raise OperationalException( diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 1d2e3f802..94b108f2b 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -11,11 +11,12 @@ from freqtrade import constants from freqtrade.configuration.check_exchange import check_exchange from freqtrade.configuration.deprecated_settings import process_temporary_deprecated_settings from freqtrade.configuration.directory_operations import create_datadir, create_userdata_dir +from freqtrade.configuration.environment_vars import enironment_vars_to_dict from freqtrade.configuration.load_config import load_config_file, load_file from freqtrade.enums import NON_UTIL_MODES, TRADING_MODES, RunMode from freqtrade.exceptions import OperationalException from freqtrade.loggers import setup_logging -from freqtrade.misc import deep_merge_dicts +from freqtrade.misc import deep_merge_dicts, parse_db_uri_for_logging logger = logging.getLogger(__name__) @@ -72,6 +73,11 @@ class Configuration: # Merge config options, overwriting old values config = deep_merge_dicts(load_config_file(path), config) + # Load environment variables + env_data = enironment_vars_to_dict() + config = deep_merge_dicts(env_data, config) + + config['config_files'] = files # Normalize config if 'internals' not in config: config['internals'] = {} @@ -144,7 +150,7 @@ class Configuration: config['db_url'] = constants.DEFAULT_DB_PROD_URL logger.info('Dry run is disabled') - logger.info(f'Using DB: "{config["db_url"]}"') + logger.info(f'Using DB: "{parse_db_uri_for_logging(config["db_url"])}"') def _process_common_options(self, config: Dict[str, Any]) -> None: @@ -236,6 +242,9 @@ class Configuration: except ValueError: pass + self._args_to_config(config, argname='timeframe_detail', + logstring='Parameter --timeframe-detail detected, ' + 'using {} for intra-candle backtesting ...') self._args_to_config(config, argname='stake_amount', logstring='Parameter --stake-amount detected, ' 'overriding stake_amount to: {} ...') diff --git a/freqtrade/configuration/deprecated_settings.py b/freqtrade/configuration/deprecated_settings.py index 1b162f7c9..5efe26bd2 100644 --- a/freqtrade/configuration/deprecated_settings.py +++ b/freqtrade/configuration/deprecated_settings.py @@ -108,5 +108,8 @@ def process_temporary_deprecated_settings(config: Dict[str, Any]) -> None: raise OperationalException( "Both 'timeframe' and 'ticker_interval' detected." "Please remove 'ticker_interval' from your configuration to continue operating." - ) + ) config['timeframe'] = config['ticker_interval'] + + if 'protections' in config: + logger.warning("DEPRECATED: Setting 'protections' in the configuration is deprecated.") diff --git a/freqtrade/configuration/environment_vars.py b/freqtrade/configuration/environment_vars.py new file mode 100644 index 000000000..4c190ed04 --- /dev/null +++ b/freqtrade/configuration/environment_vars.py @@ -0,0 +1,54 @@ +import logging +import os +from typing import Any, Dict + +from freqtrade.constants import ENV_VAR_PREFIX +from freqtrade.misc import deep_merge_dicts + + +logger = logging.getLogger(__name__) + + +def get_var_typed(val): + try: + return int(val) + except ValueError: + try: + return float(val) + except ValueError: + if val.lower() in ('t', 'true'): + return True + elif val.lower() in ('f', 'false'): + return False + # keep as string + return val + + +def flat_vars_to_nested_dict(env_dict: Dict[str, Any], prefix: str) -> Dict[str, Any]: + """ + Environment variables must be prefixed with FREQTRADE. + FREQTRADE__{section}__{key} + :param env_dict: Dictionary to validate - usually os.environ + :param prefix: Prefix to consider (usually FREQTRADE__) + :return: Nested dict based on available and relevant variables. + """ + relevant_vars: Dict[str, Any] = {} + + for env_var, val in sorted(env_dict.items()): + if env_var.startswith(prefix): + logger.info(f"Loading variable '{env_var}'") + key = env_var.replace(prefix, '') + for k in reversed(key.split('__')): + val = {k.lower(): get_var_typed(val) if type(val) != dict else val} + relevant_vars = deep_merge_dicts(val, relevant_vars) + + return relevant_vars + + +def enironment_vars_to_dict() -> Dict[str, Any]: + """ + Read environment variables and return a nested dict for relevant variables + Relevant variables must follow the FREQTRADE__{section}__{key} pattern + :return: Nested dict based on available and relevant variables. + """ + return flat_vars_to_nested_dict(os.environ.copy(), ENV_VAR_PREFIX) diff --git a/freqtrade/constants.py b/freqtrade/constants.py index f4c32387b..fca319a0f 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -26,9 +26,9 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss', 'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily', 'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily'] AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', - 'AgeFilter', 'PerformanceFilter', 'PrecisionFilter', - 'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter', - 'SpreadFilter', 'VolatilityFilter'] + 'AgeFilter', 'OffsetFilter', 'PerformanceFilter', + 'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter', + 'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter'] AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard'] AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5'] DRY_RUN_WALLET = 1000 @@ -47,6 +47,9 @@ USERPATH_STRATEGIES = 'strategies' USERPATH_NOTEBOOKS = 'notebooks' TELEGRAM_SETTING_OPTIONS = ['on', 'off', 'silent'] +ENV_VAR_PREFIX = 'FREQTRADE__' + +NON_OPEN_EXCHANGE_STATES = ('cancelled', 'canceled', 'closed', 'expired') # Define decimals per coin for outputs @@ -66,9 +69,7 @@ DUST_PER_COIN = { # Source files with destination directories within user-directory USER_DATA_FILES = { 'sample_strategy.py': USERPATH_STRATEGIES, - 'sample_hyperopt_advanced.py': USERPATH_HYPEROPTS, 'sample_hyperopt_loss.py': USERPATH_HYPEROPTS, - 'sample_hyperopt.py': USERPATH_HYPEROPTS, 'strategy_analysis_example.ipynb': USERPATH_NOTEBOOKS, } @@ -109,10 +110,14 @@ CONF_SCHEMA = { }, 'tradable_balance_ratio': { 'type': 'number', - 'minimum': 0.1, + 'minimum': 0.0, 'maximum': 1, 'default': 0.99 }, + 'available_capital': { + 'type': 'number', + 'minimum': 0, + }, 'amend_last_stake_amount': {'type': 'boolean', 'default': False}, 'last_stake_amount_min_ratio': { 'type': 'number', 'minimum': 0.0, 'maximum': 1.0, 'default': 0.5 @@ -186,6 +191,9 @@ CONF_SCHEMA = { }, 'required': ['price_side'] }, + 'custom_price_max_distance_ratio': { + 'type': 'number', 'minimum': 0.0 + }, 'order_types': { 'type': 'object', 'properties': { @@ -275,7 +283,16 @@ CONF_SCHEMA = { 'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS, 'default': 'off' - }, + }, + 'protection_trigger': { + 'type': 'string', + 'enum': TELEGRAM_SETTING_OPTIONS, + 'default': 'off' + }, + 'protection_trigger_global': { + 'type': 'string', + 'enum': TELEGRAM_SETTING_OPTIONS, + }, } }, 'reload': {'type': 'boolean'}, diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index c30209a15..79b0c2801 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -19,7 +19,7 @@ logger = logging.getLogger(__name__) BT_DATA_COLUMNS_OLD = ["pair", "profit_percent", "open_date", "close_date", "index", "trade_duration", "open_rate", "close_rate", "open_at_end", "sell_reason"] -# Mid-term format, crated by BacktestResult Named Tuple +# Mid-term format, created by BacktestResult Named Tuple BT_DATA_COLUMNS_MID = ['pair', 'profit_percent', 'open_date', 'close_date', 'trade_duration', 'open_rate', 'close_rate', 'open_at_end', 'sell_reason', 'fee_open', 'fee_close', 'amount', 'profit_abs', 'profit_ratio'] @@ -30,7 +30,7 @@ BT_DATA_COLUMNS = ['pair', 'stake_amount', 'amount', 'open_date', 'close_date', 'fee_open', 'fee_close', 'trade_duration', 'profit_ratio', 'profit_abs', 'sell_reason', 'initial_stop_loss_abs', 'initial_stop_loss_ratio', 'stop_loss_abs', - 'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', ] + 'stop_loss_ratio', 'min_rate', 'max_rate', 'is_open', 'buy_tag'] def get_latest_optimize_filename(directory: Union[Path, str], variant: str) -> str: diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index 040f58d62..ca6464965 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -242,7 +242,7 @@ def convert_trades_format(config: Dict[str, Any], convert_from: str, convert_to: :param config: Config dictionary :param convert_from: Source format :param convert_to: Target format - :param erase: Erase souce data (does not apply if source and target format are identical) + :param erase: Erase source data (does not apply if source and target format are identical) """ from freqtrade.data.history.idatahandler import get_datahandler src = get_datahandler(config['datadir'], convert_from) @@ -267,7 +267,7 @@ def convert_ohlcv_format(config: Dict[str, Any], convert_from: str, convert_to: :param config: Config dictionary :param convert_from: Source format :param convert_to: Target format - :param erase: Erase souce data (does not apply if source and target format are identical) + :param erase: Erase source data (does not apply if source and target format are identical) """ from freqtrade.data.history.idatahandler import get_datahandler src = get_datahandler(config['datadir'], convert_from) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index 391ed4587..b197c159f 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -10,11 +10,12 @@ from typing import Any, Dict, List, Optional, Tuple from pandas import DataFrame +from freqtrade.configuration import TimeRange from freqtrade.constants import ListPairsWithTimeframes, PairWithTimeframe from freqtrade.data.history import load_pair_history from freqtrade.enums import RunMode from freqtrade.exceptions import ExchangeError, OperationalException -from freqtrade.exchange import Exchange +from freqtrade.exchange import Exchange, timeframe_to_seconds logger = logging.getLogger(__name__) @@ -31,6 +32,7 @@ class DataProvider: self._pairlists = pairlists self.__cached_pairs: Dict[PairWithTimeframe, Tuple[DataFrame, datetime]] = {} self.__slice_index: Optional[int] = None + self.__cached_pairs_backtesting: Dict[PairWithTimeframe, DataFrame] = {} def _set_dataframe_max_index(self, limit_index: int): """ @@ -62,11 +64,22 @@ class DataProvider: :param pair: pair to get the data for :param timeframe: timeframe to get data for """ - return load_pair_history(pair=pair, - timeframe=timeframe or self._config['timeframe'], - datadir=self._config['datadir'], - data_format=self._config.get('dataformat_ohlcv', 'json') - ) + saved_pair = (pair, str(timeframe)) + if saved_pair not in self.__cached_pairs_backtesting: + timerange = TimeRange.parse_timerange(None if self._config.get( + 'timerange') is None else str(self._config.get('timerange'))) + # Move informative start time respecting startup_candle_count + timerange.subtract_start( + timeframe_to_seconds(str(timeframe)) * self._config.get('startup_candle_count', 0) + ) + self.__cached_pairs_backtesting[saved_pair] = load_pair_history( + pair=pair, + timeframe=timeframe or self._config['timeframe'], + datadir=self._config['datadir'], + timerange=timerange, + data_format=self._config.get('dataformat_ohlcv', 'json') + ) + return self.__cached_pairs_backtesting[saved_pair].copy() def get_pair_dataframe(self, pair: str, timeframe: str = None) -> DataFrame: """ @@ -136,6 +149,8 @@ class DataProvider: Clear pair dataframe cache. """ self.__cached_pairs = {} + self.__cached_pairs_backtesting = {} + self.__slice_index = 0 # Exchange functions diff --git a/freqtrade/data/history/history_utils.py b/freqtrade/data/history/history_utils.py index eecb63d07..e6b8db322 100644 --- a/freqtrade/data/history/history_utils.py +++ b/freqtrade/data/history/history_utils.py @@ -117,10 +117,11 @@ def refresh_data(datadir: Path, :param timerange: Limit data to be loaded to this timerange """ data_handler = get_datahandler(datadir, data_format) - for pair in pairs: - _download_pair_history(pair=pair, timeframe=timeframe, - datadir=datadir, timerange=timerange, - exchange=exchange, data_handler=data_handler) + for idx, pair in enumerate(pairs): + process = f'{idx}/{len(pairs)}' + _download_pair_history(pair=pair, process=process, + timeframe=timeframe, datadir=datadir, + timerange=timerange, exchange=exchange, data_handler=data_handler) def _load_cached_data_for_updating(pair: str, timeframe: str, timerange: Optional[TimeRange], @@ -153,13 +154,14 @@ def _load_cached_data_for_updating(pair: str, timeframe: str, timerange: Optiona return data, start_ms -def _download_pair_history(datadir: Path, +def _download_pair_history(pair: str, *, + datadir: Path, exchange: Exchange, - pair: str, *, - new_pairs_days: int = 30, timeframe: str = '5m', - timerange: Optional[TimeRange] = None, - data_handler: IDataHandler = None) -> bool: + process: str = '', + new_pairs_days: int = 30, + data_handler: IDataHandler = None, + timerange: Optional[TimeRange] = None) -> bool: """ Download latest candles from the exchange for the pair and timeframe passed in parameters The data is downloaded starting from the last correct data that @@ -177,7 +179,7 @@ def _download_pair_history(datadir: Path, try: logger.info( - f'Download history data for pair: "{pair}", timeframe: {timeframe} ' + f'Download history data for pair: "{pair}" ({process}), timeframe: {timeframe} ' f'and store in {datadir}.' ) @@ -194,8 +196,9 @@ def _download_pair_history(datadir: Path, new_data = exchange.get_historic_ohlcv(pair=pair, timeframe=timeframe, since_ms=since_ms if since_ms else - int(arrow.utcnow().shift( - days=-new_pairs_days).float_timestamp) * 1000 + arrow.utcnow().shift( + days=-new_pairs_days).int_timestamp * 1000, + is_new_pair=data.empty ) # TODO: Maybe move parsing to exchange class (?) new_dataframe = ohlcv_to_dataframe(new_data, timeframe, pair, @@ -234,7 +237,7 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes """ pairs_not_available = [] data_handler = get_datahandler(datadir, data_format) - for pair in pairs: + for idx, pair in enumerate(pairs, start=1): if pair not in exchange.markets: pairs_not_available.append(pair) logger.info(f"Skipping pair {pair}...") @@ -247,10 +250,11 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes f'Deleting existing data for pair {pair}, interval {timeframe}.') logger.info(f'Downloading pair {pair}, interval {timeframe}.') - _download_pair_history(datadir=datadir, exchange=exchange, - pair=pair, timeframe=str(timeframe), - new_pairs_days=new_pairs_days, - timerange=timerange, data_handler=data_handler) + process = f'{idx}/{len(pairs)}' + _download_pair_history(pair=pair, process=process, + datadir=datadir, exchange=exchange, + timerange=timerange, data_handler=data_handler, + timeframe=str(timeframe), new_pairs_days=new_pairs_days) return pairs_not_available @@ -272,7 +276,7 @@ def _download_trades_history(exchange: Exchange, if timerange.stoptype == 'date': until = timerange.stopts * 1000 else: - since = int(arrow.utcnow().shift(days=-new_pairs_days).float_timestamp) * 1000 + since = arrow.utcnow().shift(days=-new_pairs_days).int_timestamp * 1000 trades = data_handler.trades_load(pair) diff --git a/freqtrade/data/history/jsondatahandler.py b/freqtrade/data/history/jsondatahandler.py index 990e75bd9..24d6e814b 100644 --- a/freqtrade/data/history/jsondatahandler.py +++ b/freqtrade/data/history/jsondatahandler.py @@ -62,7 +62,7 @@ class JsonDataHandler(IDataHandler): filename = self._pair_data_filename(self._datadir, pair, timeframe) _data = data.copy() # Convert date to int - _data['date'] = _data['date'].astype(np.int64) // 1000 // 1000 + _data['date'] = _data['date'].view(np.int64) // 1000 // 1000 # Reset index, select only appropriate columns and save as json _data.reset_index(drop=True).loc[:, self._columns].to_json( diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index 977b7e4ec..1950f0d08 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -119,7 +119,7 @@ class Edge: ) # Download informative pairs too res = defaultdict(list) - for p, t in self.strategy.informative_pairs(): + for p, t in self.strategy.gather_informative_pairs(): res[t].append(p) for timeframe, inf_pairs in res.items(): timerange_startup = deepcopy(self._timerange) @@ -151,7 +151,7 @@ class Edge: # Fake run-mode to Edge prior_rm = self.config['runmode'] self.config['runmode'] = RunMode.EDGE - preprocessed = self.strategy.ohlcvdata_to_dataframe(data) + preprocessed = self.strategy.advise_all_indicators(data) self.config['runmode'] = prior_rm # Print timeframe @@ -231,12 +231,12 @@ class Edge: 'Minimum expectancy and minimum winrate are met only for %s,' ' so other pairs are filtered out.', self._final_pairs - ) + ) else: logger.info( 'Edge removed all pairs as no pair with minimum expectancy ' 'and minimum winrate was found !' - ) + ) return self._final_pairs @@ -247,7 +247,7 @@ class Edge: final = [] for pair, info in self._cached_pairs.items(): if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \ - info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)): + info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)): final.append({ 'Pair': pair, 'Winrate': info.winrate, diff --git a/freqtrade/enums/__init__.py b/freqtrade/enums/__init__.py index 78163d86f..d803baf31 100644 --- a/freqtrade/enums/__init__.py +++ b/freqtrade/enums/__init__.py @@ -1,6 +1,7 @@ # flake8: noqa: F401 +from freqtrade.enums.backteststate import BacktestState from freqtrade.enums.rpcmessagetype import RPCMessageType from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode from freqtrade.enums.selltype import SellType -from freqtrade.enums.signaltype import SignalType +from freqtrade.enums.signaltype import SignalTagType, SignalType from freqtrade.enums.state import State diff --git a/freqtrade/enums/backteststate.py b/freqtrade/enums/backteststate.py new file mode 100644 index 000000000..490814497 --- /dev/null +++ b/freqtrade/enums/backteststate.py @@ -0,0 +1,15 @@ +from enum import Enum + + +class BacktestState(Enum): + """ + Bot application states + """ + STARTUP = 1 + DATALOAD = 2 + ANALYZE = 3 + CONVERT = 4 + BACKTEST = 5 + + def __str__(self): + return f"{self.name.lower()}" diff --git a/freqtrade/enums/rpcmessagetype.py b/freqtrade/enums/rpcmessagetype.py index 9c59f6108..4e3f693e5 100644 --- a/freqtrade/enums/rpcmessagetype.py +++ b/freqtrade/enums/rpcmessagetype.py @@ -11,6 +11,8 @@ class RPCMessageType(Enum): SELL = 'sell' SELL_FILL = 'sell_fill' SELL_CANCEL = 'sell_cancel' + PROTECTION_TRIGGER = 'protection_trigger' + PROTECTION_TRIGGER_GLOBAL = 'protection_trigger_global' def __repr__(self): return self.value diff --git a/freqtrade/enums/runmode.py b/freqtrade/enums/runmode.py index 7826d1d0c..6545aaec7 100644 --- a/freqtrade/enums/runmode.py +++ b/freqtrade/enums/runmode.py @@ -14,6 +14,7 @@ class RunMode(Enum): UTIL_EXCHANGE = "util_exchange" UTIL_NO_EXCHANGE = "util_no_exchange" PLOT = "plot" + WEBSERVER = "webserver" OTHER = "other" diff --git a/freqtrade/enums/signaltype.py b/freqtrade/enums/signaltype.py index d636f378a..d2995d57a 100644 --- a/freqtrade/enums/signaltype.py +++ b/freqtrade/enums/signaltype.py @@ -7,3 +7,10 @@ class SignalType(Enum): """ BUY = "buy" SELL = "sell" + + +class SignalTagType(Enum): + """ + Enum for signal columns + """ + BUY_TAG = "buy_tag" diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index 015e0c869..b08213d28 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -1,6 +1,6 @@ # flake8: noqa: F401 # isort: off -from freqtrade.exchange.common import MAP_EXCHANGE_CHILDCLASS +from freqtrade.exchange.common import remove_credentials, MAP_EXCHANGE_CHILDCLASS from freqtrade.exchange.exchange import Exchange # isort: on from freqtrade.exchange.bibox import Bibox @@ -15,6 +15,7 @@ from freqtrade.exchange.exchange import (available_exchanges, ccxt_exchanges, timeframe_to_seconds, validate_exchange, validate_exchanges) from freqtrade.exchange.ftx import Ftx +from freqtrade.exchange.gateio import Gateio from freqtrade.exchange.hitbtc import Hitbtc from freqtrade.exchange.kraken import Kraken from freqtrade.exchange.kucoin import Kucoin diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 0c470cb24..8dced3894 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -1,7 +1,8 @@ """ Binance exchange subclass """ import logging -from typing import Dict +from typing import Dict, List +import arrow import ccxt from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException, @@ -18,6 +19,7 @@ class Binance(Exchange): _ft_has: Dict = { "stoploss_on_exchange": True, "order_time_in_force": ['gtc', 'fok', 'ioc'], + "time_in_force_parameter": "timeInForce", "ohlcv_candle_limit": 1000, "trades_pagination": "id", "trades_pagination_arg": "fromId", @@ -89,3 +91,20 @@ class Binance(Exchange): f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e except ccxt.BaseError as e: raise OperationalException(e) from e + + async def _async_get_historic_ohlcv(self, pair: str, timeframe: str, + since_ms: int, is_new_pair: bool + ) -> List: + """ + Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date + Does not work for other exchanges, which don't return the earliest data when called with "0" + """ + if is_new_pair: + x = await self._async_get_candle_history(pair, timeframe, 0) + if x and x[2] and x[2][0] and x[2][0][0] > since_ms: + # Set starting date to first available candle. + since_ms = x[2][0][0] + logger.info(f"Candle-data for {pair} available starting with " + f"{arrow.get(since_ms // 1000).isoformat()}.") + return await super()._async_get_historic_ohlcv( + pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair) diff --git a/freqtrade/exchange/common.py b/freqtrade/exchange/common.py index 694aa3aa2..7b89adf06 100644 --- a/freqtrade/exchange/common.py +++ b/freqtrade/exchange/common.py @@ -51,6 +51,19 @@ EXCHANGE_HAS_OPTIONAL = [ ] +def remove_credentials(config) -> None: + """ + Removes exchange keys from the configuration and specifies dry-run + Used for backtesting / hyperopt / edge and utils. + Modifies the input dict! + """ + if config.get('dry_run', False): + config['exchange']['key'] = '' + config['exchange']['secret'] = '' + config['exchange']['password'] = '' + config['exchange']['uid'] = '' + + def calculate_backoff(retrycount, max_retries): """ Calculate backoff diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 235f03269..2b9b08d70 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -19,15 +19,16 @@ from ccxt.base.decimal_to_precision import (ROUND_DOWN, ROUND_UP, TICK_SIZE, TRU decimal_to_precision) from pandas import DataFrame -from freqtrade.constants import DEFAULT_AMOUNT_RESERVE_PERCENT, ListPairsWithTimeframes +from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, + ListPairsWithTimeframes) from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError, InvalidOrderException, OperationalException, PricingError, RetryableOrderError, TemporaryError) from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES, - EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier, - retrier_async) -from freqtrade.misc import deep_merge_dicts, safe_value_fallback2 + EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, + remove_credentials, retrier, retrier_async) +from freqtrade.misc import chunks, deep_merge_dicts, safe_value_fallback2 from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist @@ -53,12 +54,16 @@ class Exchange: # Parameters to add directly to buy/sell calls (like agreeing to trading agreement) _params: Dict = {} + # Additional headers - added to the ccxt object + _headers: Dict = {} + # Dict to specify which options each exchange implements # This defines defaults, which can be selectively overridden by subclasses using _ft_has # or by specifying them in the configuration. _ft_has_default: Dict = { "stoploss_on_exchange": False, "order_time_in_force": ["gtc"], + "time_in_force_parameter": "timeInForce", "ohlcv_params": {}, "ohlcv_candle_limit": 500, "ohlcv_partial_candle": True, @@ -99,6 +104,7 @@ class Exchange: # Holds all open sell orders for dry_run self._dry_run_open_orders: Dict[str, Any] = {} + remove_credentials(config) if config['dry_run']: logger.info('Instance is running with dry_run enabled') @@ -168,7 +174,7 @@ class Exchange: asyncio.get_event_loop().run_until_complete(self._api_async.close()) def _init_ccxt(self, exchange_config: Dict[str, Any], ccxt_module: CcxtModuleType = ccxt, - ccxt_kwargs: dict = None) -> ccxt.Exchange: + ccxt_kwargs: Dict = {}) -> ccxt.Exchange: """ Initialize ccxt with given config and return valid ccxt instance. @@ -187,6 +193,10 @@ class Exchange: } if ccxt_kwargs: logger.info('Applying additional ccxt config: %s', ccxt_kwargs) + if self._headers: + # Inject static headers after the above output to not confuse users. + ccxt_kwargs = deep_merge_dicts({'headers': self._headers}, ccxt_kwargs) + if ccxt_kwargs: ex_config.update(ccxt_kwargs) try: @@ -351,9 +361,16 @@ class Exchange: def validate_stakecurrency(self, stake_currency: str) -> None: """ Checks stake-currency against available currencies on the exchange. + Only runs on startup. If markets have not been loaded, there's been a problem with + the connection to the exchange. :param stake_currency: Stake-currency to validate :raise: OperationalException if stake-currency is not available. """ + if not self._markets: + raise OperationalException( + 'Could not load markets, therefore cannot start. ' + 'Please investigate the above error for more details.' + ) quote_currencies = self.get_quote_currencies() if stake_currency not in quote_currencies: raise OperationalException( @@ -387,7 +404,7 @@ class Exchange: # its contents depend on the exchange. # It can also be a string or similar ... so we need to verify that first. elif (isinstance(self.markets[pair].get('info', None), dict) - and self.markets[pair].get('info', {}).get('IsRestricted', False)): + and self.markets[pair].get('info', {}).get('prohibitedIn', False)): # Warn users about restricted pairs in whitelist. # We cannot determine reliably if Users are affected. logger.warning(f"Pair {pair} is restricted for some users on this exchange." @@ -551,7 +568,7 @@ class Exchange: amount_reserve_percent = 1.0 + self._config.get('amount_reserve_percent', DEFAULT_AMOUNT_RESERVE_PERCENT) amount_reserve_percent = ( - amount_reserve_percent / (1 - abs(stoploss)) if abs(stoploss) != 1 else 1.5 + amount_reserve_percent / (1 - abs(stoploss)) if abs(stoploss) != 1 else 1.5 ) # it should not be more than 50% amount_reserve_percent = max(min(amount_reserve_percent, 1.5), 1) @@ -578,7 +595,7 @@ class Exchange: 'side': side, 'remaining': _amount, 'datetime': arrow.utcnow().isoformat(), - 'timestamp': int(arrow.utcnow().int_timestamp * 1000), + 'timestamp': arrow.utcnow().int_timestamp * 1000, 'status': "closed" if ordertype == "market" else "open", 'fee': None, 'info': {} @@ -618,6 +635,8 @@ class Exchange: if self.exchange_has('fetchL2OrderBook'): ob = self.fetch_l2_order_book(pair, 20) ob_type = 'asks' if side == 'buy' else 'bids' + slippage = 0.05 + max_slippage_val = rate * ((1 + slippage) if side == 'buy' else (1 - slippage)) remaining_amount = amount filled_amount = 0 @@ -626,7 +645,9 @@ class Exchange: book_entry_coin_volume = book_entry[1] if remaining_amount > 0: if remaining_amount < book_entry_coin_volume: + # Orderbook at this slot bigger than remaining amount filled_amount += remaining_amount * book_entry_price + break else: filled_amount += book_entry_coin_volume * book_entry_price remaining_amount -= book_entry_coin_volume @@ -635,7 +656,14 @@ class Exchange: else: # If remaining_amount wasn't consumed completely (break was not called) filled_amount += remaining_amount * book_entry_price - forecast_avg_filled_price = filled_amount / amount + forecast_avg_filled_price = max(filled_amount, 0) / amount + # Limit max. slippage to specified value + if side == 'buy': + forecast_avg_filled_price = min(forecast_avg_filled_price, max_slippage_val) + + else: + forecast_avg_filled_price = max(forecast_avg_filled_price, max_slippage_val) + return self.price_to_precision(pair, forecast_avg_filled_price) return rate @@ -689,7 +717,17 @@ class Exchange: # Order handling def create_order(self, pair: str, ordertype: str, side: str, amount: float, - rate: float, params: Dict = {}) -> Dict: + rate: float, time_in_force: str = 'gtc') -> Dict: + + if self._config['dry_run']: + dry_order = self.create_dry_run_order(pair, ordertype, side, amount, rate) + return dry_order + + params = self._params.copy() + if time_in_force != 'gtc' and ordertype != 'market': + param = self._ft_has.get('time_in_force_parameter', '') + params.update({param: time_in_force}) + try: # Set the precision for amount and price(rate) as accepted by the exchange amount = self.amount_to_precision(pair, amount) @@ -720,32 +758,6 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def buy(self, pair: str, ordertype: str, amount: float, - rate: float, time_in_force: str) -> Dict: - - if self._config['dry_run']: - dry_order = self.create_dry_run_order(pair, ordertype, "buy", amount, rate) - return dry_order - - params = self._params.copy() - if time_in_force != 'gtc' and ordertype != 'market': - params.update({'timeInForce': time_in_force}) - - return self.create_order(pair, ordertype, 'buy', amount, rate, params) - - def sell(self, pair: str, ordertype: str, amount: float, - rate: float, time_in_force: str = 'gtc') -> Dict: - - if self._config['dry_run']: - dry_order = self.create_dry_run_order(pair, ordertype, "sell", amount, rate) - return dry_order - - params = self._params.copy() - if time_in_force != 'gtc' and ordertype != 'market': - params.update({'timeInForce': time_in_force}) - - return self.create_order(pair, ordertype, 'sell', amount, rate, params) - def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool: """ Verify stop_loss against stoploss-order value (limit or price) @@ -810,7 +822,7 @@ class Exchange: :param order: Order dict as returned from fetch_order() :return: True if order has been cancelled without being filled, False otherwise. """ - return (order.get('status') in ('closed', 'canceled', 'cancelled') + return (order.get('status') in NON_OPEN_EXCHANGE_STATES and order.get('filled') == 0.0) @retrier @@ -999,94 +1011,64 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def get_buy_rate(self, pair: str, refresh: bool) -> float: + def get_rate(self, pair: str, refresh: bool, side: str) -> float: """ - Calculates bid target between current ask price and last price + Calculates bid/ask target + bid rate - between current ask price and last price + ask rate - either using ticker bid or first bid based on orderbook + or remain static in any other case since it's not updating. :param pair: Pair to get rate for :param refresh: allow cached data + :param side: "buy" or "sell" :return: float: Price :raises PricingError if orderbook price could not be determined. """ + cache_rate: TTLCache = self._buy_rate_cache if side == "buy" else self._sell_rate_cache + [strat_name, name] = ['bid_strategy', 'Buy'] if side == "buy" else ['ask_strategy', 'Sell'] + if not refresh: - rate = self._buy_rate_cache.get(pair) + rate = cache_rate.get(pair) # Check if cache has been invalidated if rate: - logger.debug(f"Using cached buy rate for {pair}.") + logger.debug(f"Using cached {side} rate for {pair}.") return rate - bid_strategy = self._config.get('bid_strategy', {}) - if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False): + conf_strategy = self._config.get(strat_name, {}) - order_book_top = bid_strategy.get('order_book_top', 1) + if conf_strategy.get('use_order_book', False) and ('use_order_book' in conf_strategy): + + order_book_top = conf_strategy.get('order_book_top', 1) order_book = self.fetch_l2_order_book(pair, order_book_top) logger.debug('order_book %s', order_book) # top 1 = index 0 try: - rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0] + rate = order_book[f"{conf_strategy['price_side']}s"][order_book_top - 1][0] except (IndexError, KeyError) as e: logger.warning( - "Buy Price from orderbook could not be determined." - f"Orderbook: {order_book}" - ) - raise PricingError from e - logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side " - f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}") - used_rate = rate_from_l2 - else: - logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price") - ticker = self.fetch_ticker(pair) - ticker_rate = ticker[bid_strategy['price_side']] - if ticker['last'] and ticker_rate > ticker['last']: - balance = bid_strategy['ask_last_balance'] - ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate) - used_rate = ticker_rate - - self._buy_rate_cache[pair] = used_rate - - return used_rate - - def get_sell_rate(self, pair: str, refresh: bool) -> float: - """ - Get sell rate - either using ticker bid or first bid based on orderbook - or remain static in any other case since it's not updating. - :param pair: Pair to get rate for - :param refresh: allow cached data - :return: Bid rate - :raises PricingError if price could not be determined. - """ - if not refresh: - rate = self._sell_rate_cache.get(pair) - # Check if cache has been invalidated - if rate: - logger.debug(f"Using cached sell rate for {pair}.") - return rate - - ask_strategy = self._config.get('ask_strategy', {}) - if ask_strategy.get('use_order_book', False): - logger.debug( - f"Getting price from order book {ask_strategy['price_side'].capitalize()} side." - ) - order_book_top = ask_strategy.get('order_book_top', 1) - order_book = self.fetch_l2_order_book(pair, order_book_top) - try: - rate = order_book[f"{ask_strategy['price_side']}s"][order_book_top - 1][0] - except (IndexError, KeyError) as e: - logger.warning( - f"Sell Price at location {order_book_top} from orderbook could not be " + f"{name} Price at location {order_book_top} from orderbook could not be " f"determined. Orderbook: {order_book}" ) raise PricingError from e + price_side = {conf_strategy['price_side'].capitalize()} + logger.debug(f"{name} price from orderbook {price_side}" + f"side - top {order_book_top} order book {side} rate {rate:.8f}") else: + logger.debug(f"Using Last {conf_strategy['price_side'].capitalize()} / Last Price") ticker = self.fetch_ticker(pair) - ticker_rate = ticker[ask_strategy['price_side']] - if ticker['last'] and ticker_rate < ticker['last']: - balance = ask_strategy.get('bid_last_balance', 0.0) - ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last']) + ticker_rate = ticker[conf_strategy['price_side']] + if ticker['last'] and ticker_rate: + if side == 'buy' and ticker_rate > ticker['last']: + balance = conf_strategy['ask_last_balance'] + ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate) + elif side == 'sell' and ticker_rate < ticker['last']: + balance = conf_strategy.get('bid_last_balance', 0.0) + ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last']) rate = ticker_rate if rate is None: - raise PricingError(f"Sell-Rate for {pair} was empty.") - self._sell_rate_cache[pair] = rate + raise PricingError(f"{name}-Rate for {pair} was empty.") + cache_rate[pair] = rate + return rate # Fee handling @@ -1213,7 +1195,7 @@ class Exchange: # Historic data def get_historic_ohlcv(self, pair: str, timeframe: str, - since_ms: int) -> List: + since_ms: int, is_new_pair: bool = False) -> List: """ Get candle history using asyncio and returns the list of candles. Handles all async work for this. @@ -1225,7 +1207,7 @@ class Exchange: """ return asyncio.get_event_loop().run_until_complete( self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe, - since_ms=since_ms)) + since_ms=since_ms, is_new_pair=is_new_pair)) def get_historic_ohlcv_as_df(self, pair: str, timeframe: str, since_ms: int) -> DataFrame: @@ -1240,11 +1222,12 @@ class Exchange: return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True, drop_incomplete=self._ohlcv_partial_candle) - async def _async_get_historic_ohlcv(self, pair: str, - timeframe: str, - since_ms: int) -> List: + async def _async_get_historic_ohlcv(self, pair: str, timeframe: str, + since_ms: int, is_new_pair: bool + ) -> List: """ Download historic ohlcv + :param is_new_pair: used by binance subclass to allow "fast" new pair downloading """ one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe) @@ -1257,21 +1240,22 @@ class Exchange: pair, timeframe, since) for since in range(since_ms, arrow.utcnow().int_timestamp * 1000, one_call)] - results = await asyncio.gather(*input_coroutines, return_exceptions=True) - - # Combine gathered results data: List = [] - for res in results: - if isinstance(res, Exception): - logger.warning("Async code raised an exception: %s", res.__class__.__name__) - continue - # Deconstruct tuple if it's not an exception - p, _, new_data = res - if p == pair: - data.extend(new_data) + # Chunk requests into batches of 100 to avoid overwelming ccxt Throttling + for input_coro in chunks(input_coroutines, 100): + + results = await asyncio.gather(*input_coro, return_exceptions=True) + for res in results: + if isinstance(res, Exception): + logger.warning("Async code raised an exception: %s", res.__class__.__name__) + continue + # Deconstruct tuple if it's not an exception + p, _, new_data = res + if p == pair: + data.extend(new_data) # Sort data again after extending the result - above calls return in "async order" data = sorted(data, key=lambda x: x[0]) - logger.info("Downloaded data for %s with length %s.", pair, len(data)) + logger.info(f"Downloaded data for {pair} with length {len(data)}.") return data def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *, @@ -1289,7 +1273,7 @@ class Exchange: logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list)) input_coroutines = [] - + cached_pairs = [] # Gather coroutines to run for pair, timeframe in set(pair_list): if (((pair, timeframe) not in self._klines) @@ -1301,6 +1285,7 @@ class Exchange: "Using cached candle (OHLCV) data for pair %s, timeframe %s ...", pair, timeframe ) + cached_pairs.append((pair, timeframe)) results = asyncio.get_event_loop().run_until_complete( asyncio.gather(*input_coroutines, return_exceptions=True)) @@ -1318,11 +1303,15 @@ class Exchange: self._pairs_last_refresh_time[(pair, timeframe)] = ticks[-1][0] // 1000 # keeping parsed dataframe in cache ohlcv_df = ohlcv_to_dataframe( - ticks, timeframe, pair=pair, fill_missing=True, - drop_incomplete=self._ohlcv_partial_candle) + ticks, timeframe, pair=pair, fill_missing=True, + drop_incomplete=self._ohlcv_partial_candle) results_df[(pair, timeframe)] = ohlcv_df if cache: self._klines[(pair, timeframe)] = ohlcv_df + # Return cached klines + for pair, timeframe in cached_pairs: + results_df[(pair, timeframe)] = self.klines((pair, timeframe), copy=False) + return results_df def _now_is_time_to_refresh(self, pair: str, timeframe: str) -> bool: @@ -1533,7 +1522,7 @@ class Exchange: :returns List of trade data """ if not self.exchange_has("fetchTrades"): - raise OperationalException("This exchange does not suport downloading Trades.") + raise OperationalException("This exchange does not support downloading Trades.") return asyncio.get_event_loop().run_until_complete( self._async_get_trade_history(pair=pair, since=since, diff --git a/freqtrade/exchange/gateio.py b/freqtrade/exchange/gateio.py new file mode 100644 index 000000000..e6ee01c8a --- /dev/null +++ b/freqtrade/exchange/gateio.py @@ -0,0 +1,25 @@ +""" Gate.io exchange subclass """ +import logging +from typing import Dict + +from freqtrade.exchange import Exchange + + +logger = logging.getLogger(__name__) + + +class Gateio(Exchange): + """ + Gate.io exchange class. Contains adjustments needed for Freqtrade to work + with this exchange. + + Please note that this exchange is not included in the list of exchanges + officially supported by the Freqtrade development team. So some features + may still not work as expected. + """ + + _ft_has: Dict = { + "ohlcv_candle_limit": 1000, + } + + _headers = {'X-Gate-Channel-Id': 'freqtrade'} diff --git a/freqtrade/exchange/kucoin.py b/freqtrade/exchange/kucoin.py index 22886a1d8..5d818f6a2 100644 --- a/freqtrade/exchange/kucoin.py +++ b/freqtrade/exchange/kucoin.py @@ -21,4 +21,6 @@ class Kucoin(Exchange): _ft_has: Dict = { "l2_limit_range": [20, 100], "l2_limit_range_required": False, + "order_time_in_force": ['gtc', 'fok', 'ioc'], + "time_in_force_parameter": "timeInForce", } diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 7a7371357..bf4742fdc 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -83,10 +83,10 @@ class FreqtradeBot(LoggingMixin): self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists) - # Attach Dataprovider to Strategy baseclass - IStrategy.dp = self.dataprovider - # Attach Wallets to Strategy baseclass - IStrategy.wallets = self.wallets + # Attach Dataprovider to strategy instance + self.strategy.dp = self.dataprovider + # Attach Wallets to strategy instance + self.strategy.wallets = self.wallets # Initializing Edge only if enabled self.edge = Edge(self.config, self.exchange, self.strategy) if \ @@ -99,7 +99,7 @@ class FreqtradeBot(LoggingMixin): self.state = State[initial_state.upper()] if initial_state else State.STOPPED # Protect sell-logic from forcesell and vice versa - self._sell_lock = Lock() + self._exit_lock = Lock() LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe)) def notify_status(self, msg: str) -> None: @@ -139,7 +139,7 @@ class FreqtradeBot(LoggingMixin): # Only update open orders on startup # This will update the database after the initial migration - self.update_open_orders() + self.startup_update_open_orders() def process(self) -> None: """ @@ -160,20 +160,20 @@ class FreqtradeBot(LoggingMixin): # Refreshing candles self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist), - self.strategy.informative_pairs()) + self.strategy.gather_informative_pairs()) strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)() self.strategy.analyze(self.active_pair_whitelist) - with self._sell_lock: + with self._exit_lock: # Check and handle any timed out open orders self.check_handle_timedout() # Protect from collisions with forcesell. # Without this, freqtrade my try to recreate stoploss_on_exchange orders # while selling is in process, since telegram messages arrive in an different thread. - with self._sell_lock: + with self._exit_lock: trades = Trade.get_open_trades() # First process current opened trades (positions) self.exit_positions(trades) @@ -237,7 +237,7 @@ class FreqtradeBot(LoggingMixin): open_trades = len(Trade.get_open_trades()) return max(0, self.config['max_open_trades'] - open_trades) - def update_open_orders(self): + def startup_update_open_orders(self): """ Updates open orders based on order list kept in the database. Mainly updates the state of orders - but may also close trades @@ -296,9 +296,9 @@ class FreqtradeBot(LoggingMixin): if sell_order: self.refind_lost_order(trade) else: - self.reupdate_buy_order_fees(trade) + self.reupdate_enter_order_fees(trade) - def reupdate_buy_order_fees(self, trade: Trade): + def reupdate_enter_order_fees(self, trade: Trade): """ Get buy order from database, and try to reupdate. Handles trades where the initial fee-update did not work. @@ -420,26 +420,24 @@ class FreqtradeBot(LoggingMixin): return False # running get_signal on historical data fetched - (buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df) + (buy, sell, buy_tag) = self.strategy.get_signal( + pair, + self.strategy.timeframe, + analyzed_df + ) if buy and not sell: stake_amount = self.wallets.get_trade_stake_amount(pair, self.edge) - if not stake_amount: - logger.debug(f"Stake amount is 0, ignoring possible trade for {pair}.") - return False - - logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: " - f"{stake_amount} ...") bid_check_dom = self.config.get('bid_strategy', {}).get('check_depth_of_market', {}) if ((bid_check_dom.get('enabled', False)) and (bid_check_dom.get('bids_to_ask_delta', 0) > 0)): if self._check_depth_of_market_buy(pair, bid_check_dom): - return self.execute_buy(pair, stake_amount) + return self.execute_entry(pair, stake_amount, buy_tag=buy_tag) else: return False - return self.execute_buy(pair, stake_amount) + return self.execute_entry(pair, stake_amount, buy_tag=buy_tag) else: return False @@ -467,8 +465,8 @@ class FreqtradeBot(LoggingMixin): logger.info(f"Bids to asks delta for {pair} does not satisfy condition.") return False - def execute_buy(self, pair: str, stake_amount: float, price: Optional[float] = None, - forcebuy: bool = False) -> bool: + def execute_entry(self, pair: str, stake_amount: float, price: Optional[float] = None, + forcebuy: bool = False, buy_tag: Optional[str] = None) -> bool: """ Executes a limit buy for the given pair :param pair: pair for which we want to create a LIMIT_BUY @@ -478,44 +476,59 @@ class FreqtradeBot(LoggingMixin): time_in_force = self.strategy.order_time_in_force['buy'] if price: - buy_limit_requested = price + enter_limit_requested = price else: # Calculate price - buy_limit_requested = self.exchange.get_buy_rate(pair, True) + proposed_enter_rate = self.exchange.get_rate(pair, refresh=True, side="buy") + custom_entry_price = strategy_safe_wrapper(self.strategy.custom_entry_price, + default_retval=proposed_enter_rate)( + pair=pair, current_time=datetime.now(timezone.utc), + proposed_rate=proposed_enter_rate) - if not buy_limit_requested: + enter_limit_requested = self.get_valid_price(custom_entry_price, proposed_enter_rate) + + if not enter_limit_requested: raise PricingError('Could not determine buy price.') - min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, buy_limit_requested, + min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, enter_limit_requested, self.strategy.stoploss) - if min_stake_amount is not None and min_stake_amount > stake_amount: - logger.warning( - f"Can't open a new trade for {pair}: stake amount " - f"is too small ({stake_amount} < {min_stake_amount})" - ) + + if not self.edge: + max_stake_amount = self.wallets.get_available_stake_amount() + stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount, + default_retval=stake_amount)( + pair=pair, current_time=datetime.now(timezone.utc), + current_rate=enter_limit_requested, proposed_stake=stake_amount, + min_stake=min_stake_amount, max_stake=max_stake_amount) + stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount) + + if not stake_amount: return False - amount = stake_amount / buy_limit_requested + logger.info(f"Buy signal found: about create a new trade for {pair} with stake_amount: " + f"{stake_amount} ...") + + amount = stake_amount / enter_limit_requested order_type = self.strategy.order_types['buy'] if forcebuy: # Forcebuy can define a different ordertype order_type = self.strategy.order_types.get('forcebuy', order_type) if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)( - pair=pair, order_type=order_type, amount=amount, rate=buy_limit_requested, + pair=pair, order_type=order_type, amount=amount, rate=enter_limit_requested, time_in_force=time_in_force, current_time=datetime.now(timezone.utc)): logger.info(f"User requested abortion of buying {pair}") return False amount = self.exchange.amount_to_precision(pair, amount) - order = self.exchange.buy(pair=pair, ordertype=order_type, - amount=amount, rate=buy_limit_requested, - time_in_force=time_in_force) + order = self.exchange.create_order(pair=pair, ordertype=order_type, side="buy", + amount=amount, rate=enter_limit_requested, + time_in_force=time_in_force) order_obj = Order.parse_from_ccxt_object(order, pair, 'buy') order_id = order['id'] order_status = order.get('status', None) # we assume the order is executed at the price requested - buy_limit_filled_price = buy_limit_requested + enter_limit_filled_price = enter_limit_requested amount_requested = amount if order_status == 'expired' or order_status == 'rejected': @@ -538,13 +551,13 @@ class FreqtradeBot(LoggingMixin): ) stake_amount = order['cost'] amount = safe_value_fallback(order, 'filled', 'amount') - buy_limit_filled_price = safe_value_fallback(order, 'average', 'price') + enter_limit_filled_price = safe_value_fallback(order, 'average', 'price') # in case of FOK the order may be filled immediately and fully elif order_status == 'closed': stake_amount = order['cost'] amount = safe_value_fallback(order, 'filled', 'amount') - buy_limit_filled_price = safe_value_fallback(order, 'average', 'price') + enter_limit_filled_price = safe_value_fallback(order, 'average', 'price') # Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker') @@ -556,12 +569,13 @@ class FreqtradeBot(LoggingMixin): amount_requested=amount_requested, fee_open=fee, fee_close=fee, - open_rate=buy_limit_filled_price, - open_rate_requested=buy_limit_requested, + open_rate=enter_limit_filled_price, + open_rate_requested=enter_limit_requested, open_date=datetime.utcnow(), exchange=self.exchange.id, open_order_id=order_id, strategy=self.strategy.get_strategy_name(), + buy_tag=buy_tag, timeframe=timeframe_to_minutes(self.config['timeframe']) ) trade.orders.append(order_obj) @@ -576,17 +590,18 @@ class FreqtradeBot(LoggingMixin): # Updating wallets self.wallets.update() - self._notify_buy(trade, order_type) + self._notify_enter(trade, order_type) return True - def _notify_buy(self, trade: Trade, order_type: str) -> None: + def _notify_enter(self, trade: Trade, order_type: str) -> None: """ Sends rpc notification when a buy occurred. """ msg = { 'trade_id': trade.id, 'type': RPCMessageType.BUY, + 'buy_tag': trade.buy_tag, 'exchange': self.exchange.name.capitalize(), 'pair': trade.pair, 'limit': trade.open_rate, @@ -602,15 +617,16 @@ class FreqtradeBot(LoggingMixin): # Send the message self.rpc.send_msg(msg) - def _notify_buy_cancel(self, trade: Trade, order_type: str, reason: str) -> None: + def _notify_enter_cancel(self, trade: Trade, order_type: str, reason: str) -> None: """ Sends rpc notification when a buy cancel occurred. """ - current_rate = self.exchange.get_buy_rate(trade.pair, False) + current_rate = self.exchange.get_rate(trade.pair, refresh=False, side="buy") msg = { 'trade_id': trade.id, 'type': RPCMessageType.BUY_CANCEL, + 'buy_tag': trade.buy_tag, 'exchange': self.exchange.name.capitalize(), 'pair': trade.pair, 'limit': trade.open_rate, @@ -627,10 +643,11 @@ class FreqtradeBot(LoggingMixin): # Send the message self.rpc.send_msg(msg) - def _notify_buy_fill(self, trade: Trade) -> None: + def _notify_enter_fill(self, trade: Trade) -> None: msg = { 'trade_id': trade.id, 'type': RPCMessageType.BUY_FILL, + 'buy_tag': trade.buy_tag, 'exchange': self.exchange.name.capitalize(), 'pair': trade.pair, 'open_rate': trade.open_rate, @@ -689,11 +706,15 @@ class FreqtradeBot(LoggingMixin): analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair, self.strategy.timeframe) - (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df) + (buy, sell, _) = self.strategy.get_signal( + trade.pair, + self.strategy.timeframe, + analyzed_df + ) logger.debug('checking sell') - sell_rate = self.exchange.get_sell_rate(trade.pair, True) - if self._check_and_execute_sell(trade, sell_rate, buy, sell): + exit_rate = self.exchange.get_rate(trade.pair, refresh=True, side="sell") + if self._check_and_execute_exit(trade, exit_rate, buy, sell): return True logger.debug('Found no sell signal for %s.', trade) @@ -723,8 +744,8 @@ class FreqtradeBot(LoggingMixin): except InvalidOrderException as e: trade.stoploss_order_id = None logger.error(f'Unable to place a stoploss order on exchange. {e}') - logger.warning('Selling the trade forcefully') - self.execute_sell(trade, trade.stop_loss, sell_reason=SellCheckTuple( + logger.warning('Exiting the trade forcefully') + self.execute_trade_exit(trade, trade.stop_loss, sell_reason=SellCheckTuple( sell_type=SellType.EMERGENCY_SELL)) except ExchangeError: @@ -761,7 +782,7 @@ class FreqtradeBot(LoggingMixin): # Lock pair for one candle to prevent immediate rebuys self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc), reason='Auto lock') - self._notify_sell(trade, "stoploss") + self._notify_exit(trade, "stoploss") return True if trade.open_order_id or not trade.is_open: @@ -830,19 +851,19 @@ class FreqtradeBot(LoggingMixin): logger.warning(f"Could not create trailing stoploss order " f"for pair {trade.pair}.") - def _check_and_execute_sell(self, trade: Trade, sell_rate: float, + def _check_and_execute_exit(self, trade: Trade, exit_rate: float, buy: bool, sell: bool) -> bool: """ - Check and execute sell + Check and execute exit """ should_sell = self.strategy.should_sell( - trade, sell_rate, datetime.now(timezone.utc), buy, sell, + trade, exit_rate, datetime.now(timezone.utc), buy, sell, force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0 ) if should_sell.sell_flag: logger.info(f'Executing Sell for {trade.pair}. Reason: {should_sell.sell_type}') - self.execute_sell(trade, sell_rate, should_sell) + self.execute_trade_exit(trade, exit_rate, should_sell) return True return False @@ -885,7 +906,7 @@ class FreqtradeBot(LoggingMixin): default_retval=False)(pair=trade.pair, trade=trade, order=order))): - self.handle_cancel_buy(trade, order, constants.CANCEL_REASON['TIMEOUT']) + self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['TIMEOUT']) elif (order['side'] == 'sell' and (order['status'] == 'open' or fully_cancelled) and ( fully_cancelled @@ -894,7 +915,7 @@ class FreqtradeBot(LoggingMixin): default_retval=False)(pair=trade.pair, trade=trade, order=order))): - self.handle_cancel_sell(trade, order, constants.CANCEL_REASON['TIMEOUT']) + self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['TIMEOUT']) def cancel_all_open_orders(self) -> None: """ @@ -910,13 +931,13 @@ class FreqtradeBot(LoggingMixin): continue if order['side'] == 'buy': - self.handle_cancel_buy(trade, order, constants.CANCEL_REASON['ALL_CANCELLED']) + self.handle_cancel_enter(trade, order, constants.CANCEL_REASON['ALL_CANCELLED']) elif order['side'] == 'sell': - self.handle_cancel_sell(trade, order, constants.CANCEL_REASON['ALL_CANCELLED']) + self.handle_cancel_exit(trade, order, constants.CANCEL_REASON['ALL_CANCELLED']) Trade.commit() - def handle_cancel_buy(self, trade: Trade, order: Dict, reason: str) -> bool: + def handle_cancel_enter(self, trade: Trade, order: Dict, reason: str) -> bool: """ Buy cancel - cancel order :return: True if order was fully cancelled @@ -924,7 +945,7 @@ class FreqtradeBot(LoggingMixin): was_trade_fully_canceled = False # Cancelled orders may have the status of 'canceled' or 'closed' - if order['status'] not in ('cancelled', 'canceled', 'closed'): + if order['status'] not in constants.NON_OPEN_EXCHANGE_STATES: filled_val = order.get('filled', 0.0) or 0.0 filled_stake = filled_val * trade.open_rate minstake = self.exchange.get_min_pair_stake_amount( @@ -940,7 +961,7 @@ class FreqtradeBot(LoggingMixin): # Avoid race condition where the order could not be cancelled coz its already filled. # Simply bailing here is the only safe way - as this order will then be # handled in the next iteration. - if corder.get('status') not in ('cancelled', 'canceled', 'closed'): + if corder.get('status') not in constants.NON_OPEN_EXCHANGE_STATES: logger.warning(f"Order {trade.open_order_id} for {trade.pair} not cancelled.") return False else: @@ -962,7 +983,7 @@ class FreqtradeBot(LoggingMixin): # if trade is partially complete, edit the stake details for the trade # and close the order # cancel_order may not contain the full order dict, so we need to fallback - # to the order dict aquired before cancelling. + # to the order dict acquired before cancelling. # we need to fall back to the values from order if corder does not contain these keys. trade.amount = filled_amount trade.stake_amount = trade.amount * trade.open_rate @@ -973,11 +994,11 @@ class FreqtradeBot(LoggingMixin): reason += f", {constants.CANCEL_REASON['PARTIALLY_FILLED']}" self.wallets.update() - self._notify_buy_cancel(trade, order_type=self.strategy.order_types['buy'], - reason=reason) + self._notify_enter_cancel(trade, order_type=self.strategy.order_types['buy'], + reason=reason) return was_trade_fully_canceled - def handle_cancel_sell(self, trade: Trade, order: Dict, reason: str) -> str: + def handle_cancel_exit(self, trade: Trade, order: Dict, reason: str) -> str: """ Sell cancel - cancel order and update trade :return: Reason for cancel @@ -1011,14 +1032,14 @@ class FreqtradeBot(LoggingMixin): reason = constants.CANCEL_REASON['PARTIALLY_FILLED_KEEP_OPEN'] self.wallets.update() - self._notify_sell_cancel( + self._notify_exit_cancel( trade, order_type=self.strategy.order_types['sell'], reason=reason ) return reason - def _safe_sell_amount(self, pair: str, amount: float) -> float: + def _safe_exit_amount(self, pair: str, amount: float) -> float: """ Get sellable amount. Should be trade.amount - but will fall back to the available amount if necessary. @@ -1043,9 +1064,9 @@ class FreqtradeBot(LoggingMixin): raise DependencyException( f"Not enough amount to sell. Trade-amount: {amount}, Wallet: {wallet_amount}") - def execute_sell(self, trade: Trade, limit: float, sell_reason: SellCheckTuple) -> bool: + def execute_trade_exit(self, trade: Trade, limit: float, sell_reason: SellCheckTuple) -> bool: """ - Executes a limit sell for the given trade and limit + Executes a trade exit for the given trade and limit :param trade: Trade instance :param limit: limit rate for the sell order :param sell_reason: Reason the sell was triggered @@ -1061,6 +1082,17 @@ class FreqtradeBot(LoggingMixin): and self.strategy.order_types['stoploss_on_exchange']: limit = trade.stop_loss + # set custom_exit_price if available + proposed_limit_rate = limit + current_profit = trade.calc_profit_ratio(limit) + custom_exit_price = strategy_safe_wrapper(self.strategy.custom_exit_price, + default_retval=proposed_limit_rate)( + pair=trade.pair, trade=trade, + current_time=datetime.now(timezone.utc), + proposed_rate=proposed_limit_rate, current_profit=current_profit) + + limit = self.get_valid_price(custom_exit_price, proposed_limit_rate) + # First cancelling stoploss on exchange ... if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id: try: @@ -1079,7 +1111,7 @@ class FreqtradeBot(LoggingMixin): # but we allow this value to be changed) order_type = self.strategy.order_types.get("forcesell", order_type) - amount = self._safe_sell_amount(trade.pair, trade.amount) + amount = self._safe_exit_amount(trade.pair, trade.amount) time_in_force = self.strategy.order_time_in_force['sell'] if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)( @@ -1091,11 +1123,11 @@ class FreqtradeBot(LoggingMixin): try: # Execute sell and update trade record - order = self.exchange.sell(pair=trade.pair, - ordertype=order_type, - amount=amount, rate=limit, - time_in_force=time_in_force - ) + order = self.exchange.create_order(pair=trade.pair, + ordertype=order_type, side="sell", + amount=amount, rate=limit, + time_in_force=time_in_force + ) except InsufficientFundsError as e: logger.warning(f"Unable to place order {e}.") # Try to figure out what went wrong @@ -1110,7 +1142,7 @@ class FreqtradeBot(LoggingMixin): trade.close_rate_requested = limit trade.sell_reason = sell_reason.sell_reason # In case of market sell orders the order can be closed immediately - if order.get('status', 'unknown') == 'closed': + if order.get('status', 'unknown') in ('closed', 'expired'): self.update_trade_state(trade, trade.open_order_id, order) Trade.commit() @@ -1118,18 +1150,19 @@ class FreqtradeBot(LoggingMixin): self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc), reason='Auto lock') - self._notify_sell(trade, order_type) + self._notify_exit(trade, order_type) return True - def _notify_sell(self, trade: Trade, order_type: str, fill: bool = False) -> None: + def _notify_exit(self, trade: Trade, order_type: str, fill: bool = False) -> None: """ Sends rpc notification when a sell occurred. """ profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested profit_trade = trade.calc_profit(rate=profit_rate) # Use cached rates here - it was updated seconds ago. - current_rate = self.exchange.get_sell_rate(trade.pair, False) if not fill else None + current_rate = self.exchange.get_rate( + trade.pair, refresh=False, side="sell") if not fill else None profit_ratio = trade.calc_profit_ratio(profit_rate) gain = "profit" if profit_ratio > 0 else "loss" @@ -1163,7 +1196,7 @@ class FreqtradeBot(LoggingMixin): # Send the message self.rpc.send_msg(msg) - def _notify_sell_cancel(self, trade: Trade, order_type: str, reason: str) -> None: + def _notify_exit_cancel(self, trade: Trade, order_type: str, reason: str) -> None: """ Sends rpc notification when a sell cancel occurred. """ @@ -1174,7 +1207,7 @@ class FreqtradeBot(LoggingMixin): profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested profit_trade = trade.calc_profit(rate=profit_rate) - current_rate = self.exchange.get_sell_rate(trade.pair, False) + current_rate = self.exchange.get_rate(trade.pair, refresh=False, side="sell") profit_ratio = trade.calc_profit_ratio(profit_rate) gain = "profit" if profit_ratio > 0 else "loss" @@ -1184,7 +1217,7 @@ class FreqtradeBot(LoggingMixin): 'exchange': trade.exchange.capitalize(), 'pair': trade.pair, 'gain': gain, - 'limit': profit_rate, + 'limit': profit_rate or 0, 'order_type': order_type, 'amount': trade.amount, 'open_rate': trade.open_rate, @@ -1193,7 +1226,7 @@ class FreqtradeBot(LoggingMixin): 'profit_ratio': profit_ratio, 'sell_reason': trade.sell_reason, 'open_date': trade.open_date, - 'close_date': trade.close_date, + 'close_date': trade.close_date or datetime.now(timezone.utc), 'stake_currency': self.config['stake_currency'], 'fiat_currency': self.config.get('fiat_display_currency', None), 'reason': reason, @@ -1258,16 +1291,28 @@ class FreqtradeBot(LoggingMixin): # Updating wallets when order is closed if not trade.is_open: if not stoploss_order and not trade.open_order_id: - self._notify_sell(trade, '', True) - self.protections.stop_per_pair(trade.pair) - self.protections.global_stop() + self._notify_exit(trade, '', True) + self.handle_protections(trade.pair) self.wallets.update() elif not trade.open_order_id: # Buy fill - self._notify_buy_fill(trade) + self._notify_enter_fill(trade) return False + def handle_protections(self, pair: str) -> None: + prot_trig = self.protections.stop_per_pair(pair) + if prot_trig: + msg = {'type': RPCMessageType.PROTECTION_TRIGGER, } + msg.update(prot_trig.to_json()) + self.rpc.send_msg(msg) + + prot_trig_glb = self.protections.global_stop() + if prot_trig_glb: + msg = {'type': RPCMessageType.PROTECTION_TRIGGER_GLOBAL, } + msg.update(prot_trig_glb.to_json()) + self.rpc.send_msg(msg) + def apply_fee_conditional(self, trade: Trade, trade_base_currency: str, amount: float, fee_abs: float) -> float: """ @@ -1348,7 +1393,9 @@ class FreqtradeBot(LoggingMixin): if fee_currency: # fee_rate should use mean fee_rate = sum(fee_rate_array) / float(len(fee_rate_array)) if fee_rate_array else None - trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', '')) + if fee_rate is not None and fee_rate < 0.02: + # Only update if fee-rate is < 2% + trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', '')) if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC): logger.warning(f"Amount {amount} does not match amount {trade.amount}") @@ -1359,3 +1406,26 @@ class FreqtradeBot(LoggingMixin): amount=amount, fee_abs=fee_abs) else: return amount + + def get_valid_price(self, custom_price: float, proposed_price: float) -> float: + """ + Return the valid price. + Check if the custom price is of the good type if not return proposed_price + :return: valid price for the order + """ + if custom_price: + try: + valid_custom_price = float(custom_price) + except ValueError: + valid_custom_price = proposed_price + else: + valid_custom_price = proposed_price + + cust_p_max_dist_r = self.config.get('custom_price_max_distance_ratio', 0.02) + min_custom_price_allowed = proposed_price - (proposed_price * cust_p_max_dist_r) + max_custom_price_allowed = proposed_price + (proposed_price * cust_p_max_dist_r) + + # Bracket between min_custom_price_allowed and max_custom_price_allowed + return max( + min(valid_custom_price, max_custom_price_allowed), + min_custom_price_allowed) diff --git a/freqtrade/loggers.py b/freqtrade/loggers.py index fbb05d879..5c5831695 100644 --- a/freqtrade/loggers.py +++ b/freqtrade/loggers.py @@ -87,7 +87,7 @@ def setup_logging(config: Dict[str, Any]) -> None: # syslog config. The messages should be equal for this. handler_sl.setFormatter(Formatter('%(name)s - %(levelname)s - %(message)s')) logging.root.addHandler(handler_sl) - elif s[0] == 'journald': + elif s[0] == 'journald': # pragma: no cover try: from systemd.journal import JournaldLogHandler except ImportError: diff --git a/freqtrade/main.py b/freqtrade/main.py index 84d4b24f8..6593fbcb6 100755 --- a/freqtrade/main.py +++ b/freqtrade/main.py @@ -9,7 +9,7 @@ from typing import Any, List # check min. python version -if sys.version_info < (3, 7): +if sys.version_info < (3, 7): # pragma: no cover sys.exit("Freqtrade requires Python version >= 3.7") from freqtrade.commands import Arguments @@ -44,9 +44,9 @@ def main(sysargv: List[str] = None) -> None: "as `freqtrade trade [options...]`.\n" "To see the full list of options available, please use " "`freqtrade --help` or `freqtrade --help`." - ) + ) - except SystemExit as e: + except SystemExit as e: # pragma: no cover return_code = e except KeyboardInterrupt: logger.info('SIGINT received, aborting ...') @@ -60,5 +60,5 @@ def main(sysargv: List[str] = None) -> None: sys.exit(return_code) -if __name__ == '__main__': +if __name__ == '__main__': # pragma: no cover main() diff --git a/freqtrade/misc.py b/freqtrade/misc.py index 967f08299..6f439866b 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -8,6 +8,7 @@ from datetime import datetime from pathlib import Path from typing import Any, Iterator, List from typing.io import IO +from urllib.parse import urlparse import rapidjson @@ -214,3 +215,16 @@ def chunks(lst: List[Any], n: int) -> Iterator[List[Any]]: """ for chunk in range(0, len(lst), n): yield (lst[chunk:chunk + n]) + + +def parse_db_uri_for_logging(uri: str): + """ + Helper method to parse the DB URI and return the same DB URI with the password censored + if it contains it. Otherwise, return the DB URI unchanged + :param uri: DB URI to parse for logging + """ + parsed_db_uri = urlparse(uri) + if not parsed_db_uri.netloc: # No need for censoring as no password was provided + return uri + pwd = parsed_db_uri.netloc.split(':')[1].split('@')[0] + return parsed_db_uri.geturl().replace(f':{pwd}@', ':*****@') diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 7c6b7cbc3..8328d61d3 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -11,16 +11,17 @@ from typing import Any, Dict, List, Optional, Tuple from pandas import DataFrame -from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency +from freqtrade.configuration import TimeRange, validate_config_consistency from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.data import history from freqtrade.data.btanalysis import trade_list_to_dataframe -from freqtrade.data.converter import trim_dataframes +from freqtrade.data.converter import trim_dataframe, trim_dataframes from freqtrade.data.dataprovider import DataProvider -from freqtrade.enums import SellType +from freqtrade.enums import BacktestState, SellType from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.mixins import LoggingMixin +from freqtrade.optimize.bt_progress import BTProgress from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results, store_backtest_stats) from freqtrade.persistence import LocalTrade, PairLocks, Trade @@ -42,6 +43,7 @@ CLOSE_IDX = 3 SELL_IDX = 4 LOW_IDX = 5 HIGH_IDX = 6 +BUY_TAG_IDX = 7 class Backtesting: @@ -57,9 +59,9 @@ class Backtesting: LoggingMixin.show_output = False self.config = config + self.results: Optional[Dict[str, Any]] = None - # Reset keys for backtesting - remove_credentials(self.config) + config['dry_run'] = True self.strategylist: List[IStrategy] = [] self.all_results: Dict[str, Dict] = {} @@ -83,7 +85,7 @@ class Backtesting: "configuration or as cli argument `--timeframe 5m`") self.timeframe = str(self.config.get('timeframe')) self.timeframe_min = timeframe_to_minutes(self.timeframe) - + self.init_backtest_detail() self.pairlists = PairListManager(self.exchange, self.config) if 'VolumePairList' in self.pairlists.name_list: raise OperationalException("VolumePairList not allowed for backtesting.") @@ -106,32 +108,60 @@ class Backtesting: else: self.fee = self.exchange.get_fee(symbol=self.pairlists.whitelist[0]) - Trade.use_db = False - Trade.reset_trades() - PairLocks.timeframe = self.config['timeframe'] - PairLocks.use_db = False - PairLocks.reset_locks() - - self.wallets = Wallets(self.config, self.exchange, log=False) + self.timerange = TimeRange.parse_timerange( + None if self.config.get('timerange') is None else str(self.config.get('timerange'))) # Get maximum required startup period self.required_startup = max([strat.startup_candle_count for strat in self.strategylist]) + # Add maximum startup candle count to configuration for informative pairs support + self.config['startup_candle_count'] = self.required_startup + self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe) + self.init_backtest() def __del__(self): + self.cleanup() + + def cleanup(self): LoggingMixin.show_output = True PairLocks.use_db = True Trade.use_db = True + def init_backtest_detail(self): + # Load detail timeframe if specified + self.timeframe_detail = str(self.config.get('timeframe_detail', '')) + if self.timeframe_detail: + self.timeframe_detail_min = timeframe_to_minutes(self.timeframe_detail) + if self.timeframe_min <= self.timeframe_detail_min: + raise OperationalException( + "Detail timeframe must be smaller than strategy timeframe.") + + else: + self.timeframe_detail_min = 0 + self.detail_data: Dict[str, DataFrame] = {} + + def init_backtest(self): + + self.prepare_backtest(False) + + self.wallets = Wallets(self.config, self.exchange, log=False) + + self.progress = BTProgress() + self.abort = False + def _set_strategy(self, strategy: IStrategy): """ Load strategy into backtesting """ self.strategy: IStrategy = strategy strategy.dp = self.dataprovider + # Attach Wallets to Strategy baseclass + strategy.wallets = self.wallets # Set stoploss_on_exchange to false for backtesting, # since a "perfect" stoploss-sell is assumed anyway # And the regular "stoploss" function would not apply to that case self.strategy.order_types['stoploss_on_exchange'] = False + + def _load_protections(self, strategy: IStrategy): if self.config.get('enable_protections', False): conf = self.config if hasattr(strategy, 'protections'): @@ -144,14 +174,13 @@ class Backtesting: Loads backtest data and returns the data combined with the timerange as tuple. """ - timerange = TimeRange.parse_timerange(None if self.config.get( - 'timerange') is None else str(self.config.get('timerange'))) + self.progress.init_step(BacktestState.DATALOAD, 1) data = history.load_data( datadir=self.config['datadir'], pairs=self.pairlists.whitelist, timeframe=self.timeframe, - timerange=timerange, + timerange=self.timerange, startup_candles=self.required_startup, fail_without_data=True, data_format=self.config.get('dataformat_ohlcv', 'json'), @@ -164,10 +193,28 @@ class Backtesting: f'({(max_date - min_date).days} days).') # Adjust startts forward if not enough data is available - timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe), - self.required_startup, min_date) + self.timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe), + self.required_startup, min_date) - return data, timerange + self.progress.set_new_value(1) + return data, self.timerange + + def load_bt_data_detail(self) -> None: + """ + Loads backtest detail data (smaller timeframe) if necessary. + """ + if self.timeframe_detail: + self.detail_data = history.load_data( + datadir=self.config['datadir'], + pairs=self.pairlists.whitelist, + timeframe=self.timeframe_detail, + timerange=self.timerange, + startup_candles=0, + fail_without_data=True, + data_format=self.config.get('dataformat_ohlcv', 'json'), + ) + else: + self.detail_data = {} def prepare_backtest(self, enable_protections): """ @@ -180,6 +227,17 @@ class Backtesting: Trade.reset_trades() self.rejected_trades = 0 self.dataprovider.clear_cache() + if enable_protections: + self._load_protections(self.strategy) + + def check_abort(self): + """ + Check if abort was requested, raise DependencyException if that's the case + Only applies to Interactive backtest mode (webserver mode) + """ + if self.abort: + self.abort = False + raise DependencyException("Stop requested") def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]: """ @@ -189,27 +247,38 @@ class Backtesting: """ # Every change to this headers list must evaluate further usages of the resulting tuple # and eventually change the constants for indexes at the top - headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high'] + headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high', 'buy_tag'] data: Dict = {} + self.progress.init_step(BacktestState.CONVERT, len(processed)) + # Create dict with data for pair, pair_data in processed.items(): + self.check_abort() + self.progress.increment() if not pair_data.empty: pair_data.loc[:, 'buy'] = 0 # cleanup if buy_signal is exist pair_data.loc[:, 'sell'] = 0 # cleanup if sell_signal is exist + pair_data.loc[:, 'buy_tag'] = None # cleanup if buy_tag is exist df_analyzed = self.strategy.advise_sell( - self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy() - + self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair}).copy() + # Trim startup period from analyzed dataframe + df_analyzed = trim_dataframe(df_analyzed, self.timerange, + startup_candles=self.required_startup) # To avoid using data from future, we use buy/sell signals shifted # from the previous candle df_analyzed.loc[:, 'buy'] = df_analyzed.loc[:, 'buy'].shift(1) df_analyzed.loc[:, 'sell'] = df_analyzed.loc[:, 'sell'].shift(1) + df_analyzed.loc[:, 'buy_tag'] = df_analyzed.loc[:, 'buy_tag'].shift(1) - df_analyzed.drop(df_analyzed.head(1).index, inplace=True) + # Update dataprovider cache + self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed) + + df_analyzed = df_analyzed.drop(df_analyzed.head(1).index) # Convert from Pandas to list for performance reasons # (Looping Pandas is slow.) - data[pair] = df_analyzed.values.tolist() + data[pair] = df_analyzed[headers].values.tolist() return data def _get_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple, @@ -238,7 +307,7 @@ class Backtesting: # Worst case: price reaches stop_positive_offset and dives down. stop_rate = (sell_row[OPEN_IDX] * (1 + abs(self.strategy.trailing_stop_positive_offset) - - abs(self.strategy.trailing_stop_positive))) + abs(self.strategy.trailing_stop_positive))) else: # Worst case: price ticks tiny bit above open and dives down. stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct)) @@ -278,15 +347,16 @@ class Backtesting: else: return sell_row[OPEN_IDX] - def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]: - + def _get_sell_trade_entry_for_candle(self, trade: LocalTrade, + sell_row: Tuple) -> Optional[LocalTrade]: + sell_candle_time = sell_row[DATE_IDX].to_pydatetime() sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore - sell_row[DATE_IDX].to_pydatetime(), sell_row[BUY_IDX], + sell_candle_time, sell_row[BUY_IDX], sell_row[SELL_IDX], low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]) if sell.sell_flag: - trade.close_date = sell_row[DATE_IDX].to_pydatetime() + trade.close_date = sell_candle_time trade.sell_reason = sell.sell_reason trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60) closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) @@ -298,7 +368,7 @@ class Backtesting: rate=closerate, time_in_force=time_in_force, sell_reason=sell.sell_reason, - current_time=sell_row[DATE_IDX].to_pydatetime()): + current_time=sell_candle_time): return None trade.close(closerate, show_msg=False) @@ -306,12 +376,49 @@ class Backtesting: return None + def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]: + if self.timeframe_detail and trade.pair in self.detail_data: + sell_candle_time = sell_row[DATE_IDX].to_pydatetime() + sell_candle_end = sell_candle_time + timedelta(minutes=self.timeframe_min) + + detail_data = self.detail_data[trade.pair] + detail_data = detail_data.loc[ + (detail_data['date'] >= sell_candle_time) & + (detail_data['date'] < sell_candle_end) + ].copy() + if len(detail_data) == 0: + # Fall back to "regular" data if no detail data was found for this candle + return self._get_sell_trade_entry_for_candle(trade, sell_row) + detail_data.loc[:, 'buy'] = sell_row[BUY_IDX] + detail_data.loc[:, 'sell'] = sell_row[SELL_IDX] + headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high'] + for det_row in detail_data[headers].values.tolist(): + res = self._get_sell_trade_entry_for_candle(trade, det_row) + if res: + return res + + return None + + else: + return self._get_sell_trade_entry_for_candle(trade, sell_row) + def _enter_trade(self, pair: str, row: List) -> Optional[LocalTrade]: try: stake_amount = self.wallets.get_trade_stake_amount(pair, None) except DependencyException: return None - min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) + + min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) or 0 + max_stake_amount = self.wallets.get_available_stake_amount() + + stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount, + default_retval=stake_amount)( + pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX], + proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount) + stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount) + + if not stake_amount: + return None order_type = self.strategy.order_types['buy'] time_in_force = self.strategy.order_time_in_force['sell'] @@ -323,6 +430,7 @@ class Backtesting: if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount): # Enter trade + has_buy_tag = len(row) >= BUY_TAG_IDX + 1 trade = LocalTrade( pair=pair, open_rate=row[OPEN_IDX], @@ -332,6 +440,7 @@ class Backtesting: fee_open=self.fee, fee_close=self.fee, is_open=True, + buy_tag=row[BUY_TAG_IDX] if has_buy_tag else None, exchange='backtesting', ) return trade @@ -388,10 +497,6 @@ class Backtesting: trades: List[LocalTrade] = [] self.prepare_backtest(enable_protections) - # Update dataprovider cache - for pair, dataframe in processed.items(): - self.dataprovider._set_cached_df(pair, self.timeframe, dataframe) - # Use dict of lists with data for performance # (looping lists is a lot faster than pandas DataFrames) data: Dict = self._get_ohlcv_as_lists(processed) @@ -403,13 +508,18 @@ class Backtesting: open_trades: Dict[str, List[LocalTrade]] = defaultdict(list) open_trade_count = 0 + self.progress.init_step(BacktestState.BACKTEST, int( + (end_date - start_date) / timedelta(minutes=self.timeframe_min))) + # Loop timerange and get candle for each pair at that point in time while tmp <= end_date: open_trade_count_start = open_trade_count - + self.check_abort() for i, pair in enumerate(data): row_index = indexes[pair] try: + # Row is treated as "current incomplete candle". + # Buy / sell signals are shifted by 1 to compensate for this. row = data[pair][row_index] except IndexError: # missing Data for one pair at the end. @@ -421,8 +531,8 @@ class Backtesting: continue row_index += 1 - self.dataprovider._set_dataframe_max_index(row_index) indexes[pair] = row_index + self.dataprovider._set_dataframe_max_index(row_index) # without positionstacking, we can only have one open trade per pair. # max_open_trades must be respected @@ -446,7 +556,7 @@ class Backtesting: open_trades[pair].append(trade) LocalTrade.add_bt_trade(trade) - for trade in open_trades[pair]: + for trade in list(open_trades[pair]): # also check the buying candle for sell conditions. trade_entry = self._get_sell_trade_entry(trade, row) # Sell occurred @@ -462,6 +572,7 @@ class Backtesting: self.protections.global_stop(tmp) # Move time one configured time_interval ahead. + self.progress.increment() tmp += timedelta(minutes=self.timeframe_min) trades += self.handle_left_open(open_trades, data=data) @@ -476,7 +587,10 @@ class Backtesting: 'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']), } - def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange): + def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, DataFrame], + timerange: TimeRange): + self.progress.init_step(BacktestState.ANALYZE, 0) + logger.info("Running backtesting for Strategy %s", strat.get_strategy_name()) backtest_start_time = datetime.now(timezone.utc) self._set_strategy(strat) @@ -493,16 +607,18 @@ class Backtesting: max_open_trades = 0 # need to reprocess data every time to populate signals - preprocessed = self.strategy.ohlcvdata_to_dataframe(data) + preprocessed = self.strategy.advise_all_indicators(data) # Trim startup period from analyzed dataframe - preprocessed = trim_dataframes(preprocessed, timerange, self.required_startup) + preprocessed_tmp = trim_dataframes(preprocessed, timerange, self.required_startup) - if not preprocessed: + if not preprocessed_tmp: raise OperationalException( "No data left after adjusting for startup candles.") - min_date, max_date = history.get_timerange(preprocessed) + # Use preprocessed_tmp for date generation (the trimmed dataframe). + # Backtesting will re-trim the dataframes after buy/sell signal generation. + min_date, max_date = history.get_timerange(preprocessed_tmp) logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' f'({(max_date - min_date).days} days).') @@ -532,16 +648,18 @@ class Backtesting: data: Dict[str, Any] = {} data, timerange = self.load_bt_data() + self.load_bt_data_detail() logger.info("Dataload complete. Calculating indicators") for strat in self.strategylist: min_date, max_date = self.backtest_one_strategy(strat, data, timerange) if len(self.strategylist) > 0: - stats = generate_backtest_stats(data, self.all_results, - min_date=min_date, max_date=max_date) + + self.results = generate_backtest_stats(data, self.all_results, + min_date=min_date, max_date=max_date) if self.config.get('export', 'none') == 'trades': - store_backtest_stats(self.config['exportfilename'], stats) + store_backtest_stats(self.config['exportfilename'], self.results) # Show backtest results - show_backtest_results(self.config, stats) + show_backtest_results(self.config, self.results) diff --git a/freqtrade/optimize/bt_progress.py b/freqtrade/optimize/bt_progress.py new file mode 100644 index 000000000..d295956c7 --- /dev/null +++ b/freqtrade/optimize/bt_progress.py @@ -0,0 +1,33 @@ +from freqtrade.enums import BacktestState + + +class BTProgress: + _action: BacktestState = BacktestState.STARTUP + _progress: float = 0 + _max_steps: float = 0 + + def __init__(self): + pass + + def init_step(self, action: BacktestState, max_steps: float): + self._action = action + self._max_steps = max_steps + self._proress = 0 + + def set_new_value(self, new_value: float): + self._progress = new_value + + def increment(self): + self._progress += 1 + + @property + def progress(self): + """ + Get progress as ratio, capped to be between 0 and 1 (to avoid small calculation errors). + """ + return max(min(round(self._progress / self._max_steps, 5) + if self._max_steps > 0 else 0, 1), 0) + + @property + def action(self): + return str(self._action) diff --git a/freqtrade/optimize/edge_cli.py b/freqtrade/optimize/edge_cli.py index aab7def05..f211da750 100644 --- a/freqtrade/optimize/edge_cli.py +++ b/freqtrade/optimize/edge_cli.py @@ -7,7 +7,8 @@ import logging from typing import Any, Dict from freqtrade import constants -from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency +from freqtrade.configuration import TimeRange, validate_config_consistency +from freqtrade.data.dataprovider import DataProvider from freqtrade.edge import Edge from freqtrade.optimize.optimize_reports import generate_edge_table from freqtrade.resolvers import ExchangeResolver, StrategyResolver @@ -28,11 +29,12 @@ class EdgeCli: def __init__(self, config: Dict[str, Any]) -> None: self.config = config - # Reset keys for edge - remove_credentials(self.config) + # Ensure using dry-run + self.config['dry_run'] = True self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) self.strategy = StrategyResolver.load_strategy(self.config) + self.strategy.dp = DataProvider(config, None) validate_config_consistency(self.config) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 80ae8886e..9549b4054 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -22,6 +22,7 @@ from pandas import DataFrame from freqtrade.constants import DATETIME_PRINT_FORMAT, FTHYPT_FILEVERSION, LAST_BT_RESULT_FN from freqtrade.data.converter import trim_dataframes from freqtrade.data.history import get_timerange +from freqtrade.exceptions import OperationalException from freqtrade.misc import deep_merge_dicts, file_dump_json, plural from freqtrade.optimize.backtesting import Backtesting # Import IHyperOpt and IHyperOptLoss to allow unpickling classes from these modules @@ -30,7 +31,7 @@ from freqtrade.optimize.hyperopt_interface import IHyperOpt # noqa: F401 from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F401 from freqtrade.optimize.hyperopt_tools import HyperoptTools, hyperopt_serializer from freqtrade.optimize.optimize_reports import generate_strategy_stats -from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver, HyperOptResolver +from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver # Suppress scikit-learn FutureWarnings from skopt @@ -44,7 +45,7 @@ progressbar.streams.wrap_stdout() logger = logging.getLogger(__name__) -INITIAL_POINTS = 30 +INITIAL_POINTS = 5 # Keep no more than SKOPT_MODEL_QUEUE_SIZE models # in the skopt model queue, to optimize memory consumption @@ -66,6 +67,7 @@ class Hyperopt: def __init__(self, config: Dict[str, Any]) -> None: self.buy_space: List[Dimension] = [] self.sell_space: List[Dimension] = [] + self.protection_space: List[Dimension] = [] self.roi_space: List[Dimension] = [] self.stoploss_space: List[Dimension] = [] self.trailing_space: List[Dimension] = [] @@ -77,10 +79,10 @@ class Hyperopt: if not self.config.get('hyperopt'): self.custom_hyperopt = HyperOptAuto(self.config) - self.auto_hyperopt = True else: - self.custom_hyperopt = HyperOptResolver.load_hyperopt(self.config) - self.auto_hyperopt = False + raise OperationalException( + "Using separate Hyperopt files has been removed in 2021.9. Please convert " + "your existing Hyperopt file to the new Hyperoptable strategy interface") self.backtesting._set_strategy(self.backtesting.strategylist[0]) self.custom_hyperopt.strategy = self.backtesting.strategy @@ -102,17 +104,6 @@ class Hyperopt: self.num_epochs_saved = 0 self.current_best_epoch: Optional[Dict[str, Any]] = None - # Populate functions here (hasattr is slow so should not be run during "regular" operations) - if hasattr(self.custom_hyperopt, 'populate_indicators'): - self.backtesting.strategy.advise_indicators = ( # type: ignore - self.custom_hyperopt.populate_indicators) # type: ignore - if hasattr(self.custom_hyperopt, 'populate_buy_trend'): - self.backtesting.strategy.advise_buy = ( # type: ignore - self.custom_hyperopt.populate_buy_trend) # type: ignore - if hasattr(self.custom_hyperopt, 'populate_sell_trend'): - self.backtesting.strategy.advise_sell = ( # type: ignore - self.custom_hyperopt.populate_sell_trend) # type: ignore - # Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set if self.config.get('use_max_market_positions', True): self.max_open_trades = self.config['max_open_trades'] @@ -189,6 +180,8 @@ class Hyperopt: result['buy'] = {p.name: params.get(p.name) for p in self.buy_space} if HyperoptTools.has_space(self.config, 'sell'): result['sell'] = {p.name: params.get(p.name) for p in self.sell_space} + if HyperoptTools.has_space(self.config, 'protection'): + result['protection'] = {p.name: params.get(p.name) for p in self.protection_space} if HyperoptTools.has_space(self.config, 'roi'): result['roi'] = {str(k): v for k, v in self.custom_hyperopt.generate_roi_table(params).items()} @@ -239,10 +232,16 @@ class Hyperopt: """ Assign the dimensions in the hyperoptimization space. """ + if HyperoptTools.has_space(self.config, 'protection'): + # Protections can only be optimized when using the Parameter interface + logger.debug("Hyperopt has 'protection' space") + # Enable Protections if protection space is selected. + self.config['enable_protections'] = True + self.protection_space = self.custom_hyperopt.protection_space() if HyperoptTools.has_space(self.config, 'buy'): logger.debug("Hyperopt has 'buy' space") - self.buy_space = self.custom_hyperopt.indicator_space() + self.buy_space = self.custom_hyperopt.buy_indicator_space() if HyperoptTools.has_space(self.config, 'sell'): logger.debug("Hyperopt has 'sell' space") @@ -259,30 +258,41 @@ class Hyperopt: if HyperoptTools.has_space(self.config, 'trailing'): logger.debug("Hyperopt has 'trailing' space") self.trailing_space = self.custom_hyperopt.trailing_space() - self.dimensions = (self.buy_space + self.sell_space + self.roi_space + - self.stoploss_space + self.trailing_space) + self.dimensions = (self.buy_space + self.sell_space + self.protection_space + + self.roi_space + self.stoploss_space + self.trailing_space) + + def assign_params(self, params_dict: Dict, category: str) -> None: + """ + Assign hyperoptable parameters + """ + for attr_name, attr in self.backtesting.strategy.enumerate_parameters(category): + if attr.optimize: + # noinspection PyProtectedMember + attr.value = params_dict[attr_name] def generate_optimizer(self, raw_params: List[Any], iteration=None) -> Dict: """ - Used Optimize function. Called once per epoch to optimize whatever is configured. + Used Optimize function. + Called once per epoch to optimize whatever is configured. Keep this function as optimized as possible! """ backtest_start_time = datetime.now(timezone.utc) params_dict = self._get_params_dict(self.dimensions, raw_params) # Apply parameters + if HyperoptTools.has_space(self.config, 'buy'): + self.assign_params(params_dict, 'buy') + + if HyperoptTools.has_space(self.config, 'sell'): + self.assign_params(params_dict, 'sell') + + if HyperoptTools.has_space(self.config, 'protection'): + self.assign_params(params_dict, 'protection') + if HyperoptTools.has_space(self.config, 'roi'): self.backtesting.strategy.minimal_roi = ( # type: ignore self.custom_hyperopt.generate_roi_table(params_dict)) - if HyperoptTools.has_space(self.config, 'buy'): - self.backtesting.strategy.advise_buy = ( # type: ignore - self.custom_hyperopt.buy_strategy_generator(params_dict)) - - if HyperoptTools.has_space(self.config, 'sell'): - self.backtesting.strategy.advise_sell = ( # type: ignore - self.custom_hyperopt.sell_strategy_generator(params_dict)) - if HyperoptTools.has_space(self.config, 'stoploss'): self.backtesting.strategy.stoploss = params_dict['stoploss'] @@ -355,10 +365,20 @@ class Hyperopt: } def get_optimizer(self, dimensions: List[Dimension], cpu_count) -> Optimizer: + estimator = self.custom_hyperopt.generate_estimator() + + acq_optimizer = "sampling" + if isinstance(estimator, str): + if estimator not in ("GP", "RF", "ET", "GBRT"): + raise OperationalException(f"Estimator {estimator} not supported.") + else: + acq_optimizer = "auto" + + logger.info(f"Using estimator {estimator}.") return Optimizer( dimensions, - base_estimator="ET", - acq_optimizer="auto", + base_estimator=estimator, + acq_optimizer=acq_optimizer, n_initial_points=INITIAL_POINTS, acq_optimizer_kwargs={'n_jobs': cpu_count}, random_state=self.random_state, @@ -376,18 +396,17 @@ class Hyperopt: data, timerange = self.backtesting.load_bt_data() logger.info("Dataload complete. Calculating indicators") - preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data) + preprocessed = self.backtesting.strategy.advise_all_indicators(data) - # Trim startup period from analyzed dataframe + # Trim startup period from analyzed dataframe to get correct dates for output. processed = trim_dataframes(preprocessed, timerange, self.backtesting.required_startup) - self.min_date, self.max_date = get_timerange(processed) logger.info(f'Hyperopting with data from {self.min_date.strftime(DATETIME_PRINT_FORMAT)} ' f'up to {self.max_date.strftime(DATETIME_PRINT_FORMAT)} ' f'({(self.max_date - self.min_date).days} days)..') - - dump(processed, self.data_pickle_file) + # Store non-trimmed data - will be trimmed after signal generation. + dump(preprocessed, self.data_pickle_file) def start(self) -> None: self.random_state = self._set_random_state(self.config.get('hyperopt_random_state', None)) @@ -442,9 +461,9 @@ class Hyperopt: ' [', progressbar.ETA(), ', ', progressbar.Timer(), ']', ] with progressbar.ProgressBar( - max_value=self.total_epochs, redirect_stdout=False, redirect_stderr=False, - widgets=widgets - ) as pbar: + max_value=self.total_epochs, redirect_stdout=False, redirect_stderr=False, + widgets=widgets + ) as pbar: EVALS = ceil(self.total_epochs / jobs) for i in range(EVALS): # Correct the number of epochs to be processed for the last @@ -488,11 +507,10 @@ class Hyperopt: f"saved to '{self.results_file}'.") if self.current_best_epoch: - if self.auto_hyperopt: - HyperoptTools.try_export_params( - self.config, - self.backtesting.strategy.get_strategy_name(), - self.current_best_epoch) + HyperoptTools.try_export_params( + self.config, + self.backtesting.strategy.get_strategy_name(), + self.current_best_epoch) HyperoptTools.show_epoch_details(self.current_best_epoch, self.total_epochs, self.print_json) diff --git a/freqtrade/optimize/hyperopt_auto.py b/freqtrade/optimize/hyperopt_auto.py index f86204406..c1c769c72 100644 --- a/freqtrade/optimize/hyperopt_auto.py +++ b/freqtrade/optimize/hyperopt_auto.py @@ -4,15 +4,23 @@ This module implements a convenience auto-hyperopt class, which can be used toge that implement IHyperStrategy interface. """ from contextlib import suppress -from typing import Any, Callable, Dict, List +from typing import Callable, Dict, List -from pandas import DataFrame +from freqtrade.exceptions import OperationalException with suppress(ImportError): from skopt.space import Dimension -from freqtrade.optimize.hyperopt_interface import IHyperOpt +from freqtrade.optimize.hyperopt_interface import EstimatorType, IHyperOpt + + +def _format_exception_message(space: str) -> str: + raise OperationalException( + f"The '{space}' space is included into the hyperoptimization " + f"but no parameter for this space was not found in your Strategy. " + f"Please make sure to have parameters for this space enabled for optimization " + f"or remove the '{space}' space from hyperoptimization.") class HyperOptAuto(IHyperOpt): @@ -22,26 +30,6 @@ class HyperOptAuto(IHyperOpt): sell_indicator_space methods, but other hyperopt methods can be overridden as well. """ - def buy_strategy_generator(self, params: Dict[str, Any]) -> Callable: - def populate_buy_trend(dataframe: DataFrame, metadata: dict): - for attr_name, attr in self.strategy.enumerate_parameters('buy'): - if attr.optimize: - # noinspection PyProtectedMember - attr.value = params[attr_name] - return self.strategy.populate_buy_trend(dataframe, metadata) - - return populate_buy_trend - - def sell_strategy_generator(self, params: Dict[str, Any]) -> Callable: - def populate_sell_trend(dataframe: DataFrame, metadata: dict): - for attr_name, attr in self.strategy.enumerate_parameters('sell'): - if attr.optimize: - # noinspection PyProtectedMember - attr.value = params[attr_name] - return self.strategy.populate_sell_trend(dataframe, metadata) - - return populate_sell_trend - def _get_func(self, name) -> Callable: """ Return a function defined in Strategy.HyperOpt class, or one defined in super() class. @@ -60,18 +48,22 @@ class HyperOptAuto(IHyperOpt): if attr.optimize: yield attr.get_space(attr_name) - def _get_indicator_space(self, category, fallback_method_name): + def _get_indicator_space(self, category): + # TODO: is this necessary, or can we call "generate_space" directly? indicator_space = list(self._generate_indicator_space(category)) if len(indicator_space) > 0: return indicator_space else: - return self._get_func(fallback_method_name)() + _format_exception_message(category) - def indicator_space(self) -> List['Dimension']: - return self._get_indicator_space('buy', 'indicator_space') + def buy_indicator_space(self) -> List['Dimension']: + return self._get_indicator_space('buy') def sell_indicator_space(self) -> List['Dimension']: - return self._get_indicator_space('sell', 'sell_indicator_space') + return self._get_indicator_space('sell') + + def protection_space(self) -> List['Dimension']: + return self._get_indicator_space('protection') def generate_roi_table(self, params: Dict) -> Dict[int, float]: return self._get_func('generate_roi_table')(params) @@ -87,3 +79,6 @@ class HyperOptAuto(IHyperOpt): def trailing_space(self) -> List['Dimension']: return self._get_func('trailing_space')() + + def generate_estimator(self) -> EstimatorType: + return self._get_func('generate_estimator')() diff --git a/freqtrade/optimize/hyperopt_epoch_filters.py b/freqtrade/optimize/hyperopt_epoch_filters.py new file mode 100644 index 000000000..80cc89d4b --- /dev/null +++ b/freqtrade/optimize/hyperopt_epoch_filters.py @@ -0,0 +1,128 @@ +import logging +from typing import List + +from freqtrade.exceptions import OperationalException + + +logger = logging.getLogger(__name__) + + +def hyperopt_filter_epochs(epochs: List, filteroptions: dict, log: bool = True) -> List: + """ + Filter our items from the list of hyperopt results + """ + if filteroptions['only_best']: + epochs = [x for x in epochs if x['is_best']] + if filteroptions['only_profitable']: + epochs = [x for x in epochs + if x['results_metrics'].get('profit_total', 0) > 0] + + epochs = _hyperopt_filter_epochs_trade_count(epochs, filteroptions) + + epochs = _hyperopt_filter_epochs_duration(epochs, filteroptions) + + epochs = _hyperopt_filter_epochs_profit(epochs, filteroptions) + + epochs = _hyperopt_filter_epochs_objective(epochs, filteroptions) + if log: + logger.info(f"{len(epochs)} " + + ("best " if filteroptions['only_best'] else "") + + ("profitable " if filteroptions['only_profitable'] else "") + + "epochs found.") + return epochs + + +def _hyperopt_filter_epochs_trade(epochs: List, trade_count: int): + """ + Filter epochs with trade-counts > trades + """ + return [ + x for x in epochs if x['results_metrics'].get('total_trades', 0) > trade_count + ] + + +def _hyperopt_filter_epochs_trade_count(epochs: List, filteroptions: dict) -> List: + + if filteroptions['filter_min_trades'] > 0: + epochs = _hyperopt_filter_epochs_trade(epochs, filteroptions['filter_min_trades']) + + if filteroptions['filter_max_trades'] > 0: + epochs = [ + x for x in epochs + if x['results_metrics'].get('total_trades') < filteroptions['filter_max_trades'] + ] + return epochs + + +def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List: + + def get_duration_value(x): + # Duration in minutes ... + if 'holding_avg_s' in x['results_metrics']: + avg = x['results_metrics']['holding_avg_s'] + return avg // 60 + raise OperationalException( + "Holding-average not available. Please omit the filter on average time, " + "or rerun hyperopt with this version") + + if filteroptions['filter_min_avg_time'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + epochs = [ + x for x in epochs + if get_duration_value(x) > filteroptions['filter_min_avg_time'] + ] + if filteroptions['filter_max_avg_time'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + epochs = [ + x for x in epochs + if get_duration_value(x) < filteroptions['filter_max_avg_time'] + ] + + return epochs + + +def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: + + if filteroptions['filter_min_avg_profit'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + epochs = [ + x for x in epochs + if x['results_metrics'].get('profit_mean', 0) * 100 + > filteroptions['filter_min_avg_profit'] + ] + if filteroptions['filter_max_avg_profit'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + epochs = [ + x for x in epochs + if x['results_metrics'].get('profit_mean', 0) * 100 + < filteroptions['filter_max_avg_profit'] + ] + if filteroptions['filter_min_total_profit'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + epochs = [ + x for x in epochs + if x['results_metrics'].get('profit_total_abs', 0) + > filteroptions['filter_min_total_profit'] + ] + if filteroptions['filter_max_total_profit'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + epochs = [ + x for x in epochs + if x['results_metrics'].get('profit_total_abs', 0) + < filteroptions['filter_max_total_profit'] + ] + return epochs + + +def _hyperopt_filter_epochs_objective(epochs: List, filteroptions: dict) -> List: + + if filteroptions['filter_min_objective'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + + epochs = [x for x in epochs if x['loss'] < filteroptions['filter_min_objective']] + if filteroptions['filter_max_objective'] is not None: + epochs = _hyperopt_filter_epochs_trade(epochs, 0) + + epochs = [x for x in epochs if x['loss'] > filteroptions['filter_max_objective']] + + return epochs diff --git a/freqtrade/optimize/hyperopt_interface.py b/freqtrade/optimize/hyperopt_interface.py index 889854cad..53b4f087c 100644 --- a/freqtrade/optimize/hyperopt_interface.py +++ b/freqtrade/optimize/hyperopt_interface.py @@ -5,11 +5,11 @@ This module defines the interface to apply for hyperopt import logging import math from abc import ABC -from typing import Any, Callable, Dict, List +from typing import Dict, List, Union +from sklearn.base import RegressorMixin from skopt.space import Categorical, Dimension, Integer -from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import round_dict from freqtrade.optimize.space import SKDecimal @@ -18,12 +18,7 @@ from freqtrade.strategy import IStrategy logger = logging.getLogger(__name__) - -def _format_exception_message(method: str, space: str) -> str: - return (f"The '{space}' space is included into the hyperoptimization " - f"but {method}() method is not found in your " - f"custom Hyperopt class. You should either implement this " - f"method or remove the '{space}' space from hyperoptimization.") +EstimatorType = Union[RegressorMixin, str] class IHyperOpt(ABC): @@ -45,29 +40,13 @@ class IHyperOpt(ABC): IHyperOpt.ticker_interval = str(config['timeframe']) # DEPRECATED IHyperOpt.timeframe = str(config['timeframe']) - def buy_strategy_generator(self, params: Dict[str, Any]) -> Callable: + def generate_estimator(self) -> EstimatorType: """ - Create a buy strategy generator. + Return base_estimator. + Can be any of "GP", "RF", "ET", "GBRT" or an instance of a class + inheriting from RegressorMixin (from sklearn). """ - raise OperationalException(_format_exception_message('buy_strategy_generator', 'buy')) - - def sell_strategy_generator(self, params: Dict[str, Any]) -> Callable: - """ - Create a sell strategy generator. - """ - raise OperationalException(_format_exception_message('sell_strategy_generator', 'sell')) - - def indicator_space(self) -> List[Dimension]: - """ - Create an indicator space. - """ - raise OperationalException(_format_exception_message('indicator_space', 'buy')) - - def sell_indicator_space(self) -> List[Dimension]: - """ - Create a sell indicator space. - """ - raise OperationalException(_format_exception_message('sell_indicator_space', 'sell')) + return 'ET' def generate_roi_table(self, params: Dict) -> Dict[int, float]: """ diff --git a/freqtrade/optimize/default_hyperopt_loss.py b/freqtrade/optimize/hyperopt_loss_short_trade_dur.py similarity index 100% rename from freqtrade/optimize/default_hyperopt_loss.py rename to freqtrade/optimize/hyperopt_loss_short_trade_dur.py diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index 90976d34e..cfbc2757e 100755 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -4,9 +4,10 @@ import logging from copy import deepcopy from datetime import datetime, timezone from pathlib import Path -from typing import Any, Dict, List, Optional +from typing import Any, Dict, Iterator, List, Optional, Tuple import numpy as np +import pandas as pd import rapidjson import tabulate from colorama import Fore, Style @@ -15,6 +16,7 @@ from pandas import isna, json_normalize from freqtrade.constants import FTHYPT_FILEVERSION, USERPATH_STRATEGIES from freqtrade.exceptions import OperationalException from freqtrade.misc import deep_merge_dicts, round_coin_value, round_dict, safe_value_fallback2 +from freqtrade.optimize.hyperopt_epoch_filters import hyperopt_filter_epochs logger = logging.getLogger(__name__) @@ -75,60 +77,84 @@ class HyperoptTools(): if fn: HyperoptTools.export_params(params, strategy_name, fn.with_suffix('.json')) else: - logger.warn("Strategy not found, not exporting parameter file.") + logger.warning("Strategy not found, not exporting parameter file.") @staticmethod def has_space(config: Dict[str, Any], space: str) -> bool: """ Tell if the space value is contained in the configuration """ - # The 'trailing' space is not included in the 'default' set of spaces - if space == 'trailing': + # 'trailing' and 'protection spaces are not included in the 'default' set of spaces + if space in ('trailing', 'protection'): return any(s in config['spaces'] for s in [space, 'all']) else: return any(s in config['spaces'] for s in [space, 'all', 'default']) @staticmethod - def _read_results_pickle(results_file: Path) -> List: + def _read_results(results_file: Path, batch_size: int = 10) -> Iterator[List[Any]]: """ - Read hyperopt results from pickle file - LEGACY method - new files are written as json and cannot be read with this method. - """ - from joblib import load - - logger.info(f"Reading pickled epochs from '{results_file}'") - data = load(results_file) - return data - - @staticmethod - def _read_results(results_file: Path) -> List: - """ - Read hyperopt results from file + Stream hyperopt results from file """ import rapidjson logger.info(f"Reading epochs from '{results_file}'") with results_file.open('r') as f: - data = [rapidjson.loads(line) for line in f] - return data + data = [] + for line in f: + data += [rapidjson.loads(line)] + if len(data) >= batch_size: + yield data + data = [] + yield data @staticmethod - def load_previous_results(results_file: Path) -> List: - """ - Load data for epochs from the file if we have one - """ - epochs: List = [] + def _test_hyperopt_results_exist(results_file) -> bool: if results_file.is_file() and results_file.stat().st_size > 0: if results_file.suffix == '.pickle': - epochs = HyperoptTools._read_results_pickle(results_file) - else: - epochs = HyperoptTools._read_results(results_file) - # Detection of some old format, without 'is_best' field saved - if epochs[0].get('is_best') is None: + raise OperationalException( + "Legacy hyperopt results are no longer supported." + "Please rerun hyperopt or use an older version to load this file." + ) + return True + else: + # No file found. + return False + + @staticmethod + def load_filtered_results(results_file: Path, config: Dict[str, Any]) -> Tuple[List, int]: + filteroptions = { + 'only_best': config.get('hyperopt_list_best', False), + 'only_profitable': config.get('hyperopt_list_profitable', False), + 'filter_min_trades': config.get('hyperopt_list_min_trades', 0), + 'filter_max_trades': config.get('hyperopt_list_max_trades', 0), + 'filter_min_avg_time': config.get('hyperopt_list_min_avg_time', None), + 'filter_max_avg_time': config.get('hyperopt_list_max_avg_time', None), + 'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None), + 'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None), + 'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None), + 'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None), + 'filter_min_objective': config.get('hyperopt_list_min_objective', None), + 'filter_max_objective': config.get('hyperopt_list_max_objective', None), + } + if not HyperoptTools._test_hyperopt_results_exist(results_file): + # No file found. + return [], 0 + + epochs = [] + total_epochs = 0 + for epochs_tmp in HyperoptTools._read_results(results_file): + if total_epochs == 0 and epochs_tmp[0].get('is_best') is None: raise OperationalException( "The file with HyperoptTools results is incompatible with this version " "of Freqtrade and cannot be loaded.") - logger.info(f"Loaded {len(epochs)} previous evaluations from disk.") - return epochs + total_epochs += len(epochs_tmp) + epochs += hyperopt_filter_epochs(epochs_tmp, filteroptions, log=False) + + logger.info(f"Loaded {total_epochs} previous evaluations from disk.") + + # Final filter run ... + epochs = hyperopt_filter_epochs(epochs, filteroptions, log=True) + + return epochs, total_epochs @staticmethod def show_epoch_details(results, total_epochs: int, print_json: bool, @@ -149,7 +175,7 @@ class HyperoptTools(): if print_json: result_dict: Dict = {} - for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']: + for s in ['buy', 'sell', 'protection', 'roi', 'stoploss', 'trailing']: HyperoptTools._params_update_for_json(result_dict, params, non_optimized, s) print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE)) @@ -158,6 +184,8 @@ class HyperoptTools(): non_optimized) HyperoptTools._params_pretty_print(params, 'sell', "Sell hyperspace params:", non_optimized) + HyperoptTools._params_pretty_print(params, 'protection', + "Protection hyperspace params:", non_optimized) HyperoptTools._params_pretty_print(params, 'roi', "ROI table:", non_optimized) HyperoptTools._params_pretty_print(params, 'stoploss', "Stoploss:", non_optimized) HyperoptTools._params_pretty_print(params, 'trailing', "Trailing stop:", non_optimized) @@ -203,7 +231,7 @@ class HyperoptTools(): elif space == "roi": result = result[:-1] + f'{appendix}\n' minimal_roi_result = rapidjson.dumps({ - str(k): v for k, v in (space_params or no_params).items() + str(k): v for k, v in (space_params or no_params).items() }, default=str, indent=4, number_mode=rapidjson.NM_NATIVE) result += f"minimal_roi = {minimal_roi_result}" elif space == "trailing": @@ -271,8 +299,8 @@ class HyperoptTools(): f"Objective: {results['loss']:.5f}") @staticmethod - def prepare_trials_columns(trials, legacy_mode: bool, has_drawdown: bool) -> str: - + def prepare_trials_columns(trials: pd.DataFrame, legacy_mode: bool, + has_drawdown: bool) -> pd.DataFrame: trials['Best'] = '' if 'results_metrics.winsdrawslosses' not in trials.columns: @@ -408,8 +436,7 @@ class HyperoptTools(): return table @staticmethod - def export_csv_file(config: dict, results: list, total_epochs: int, highlight_best: bool, - csv_file: str) -> None: + def export_csv_file(config: dict, results: list, csv_file: str) -> None: """ Log result to csv-file """ @@ -431,21 +458,14 @@ class HyperoptTools(): trials['Best'] = '' trials['Stake currency'] = config['stake_currency'] - if 'results_metrics.total_trades' in trials: - base_metrics = ['Best', 'current_epoch', 'results_metrics.total_trades', - 'results_metrics.profit_mean', 'results_metrics.profit_median', - 'results_metrics.profit_total', - 'Stake currency', - 'results_metrics.profit_total_abs', 'results_metrics.holding_avg', - 'loss', 'is_initial_point', 'is_best'] - perc_multi = 100 - else: - perc_multi = 1 - base_metrics = ['Best', 'current_epoch', 'results_metrics.trade_count', - 'results_metrics.avg_profit', 'results_metrics.median_profit', - 'results_metrics.total_profit', - 'Stake currency', 'results_metrics.profit', 'results_metrics.duration', - 'loss', 'is_initial_point', 'is_best'] + base_metrics = ['Best', 'current_epoch', 'results_metrics.total_trades', + 'results_metrics.profit_mean', 'results_metrics.profit_median', + 'results_metrics.profit_total', + 'Stake currency', + 'results_metrics.profit_total_abs', 'results_metrics.holding_avg', + 'loss', 'is_initial_point', 'is_best'] + perc_multi = 100 + param_metrics = [("params_dict."+param) for param in results[0]['params_dict'].keys()] trials = trials[base_metrics + param_metrics] @@ -473,11 +493,6 @@ class HyperoptTools(): trials['Avg profit'] = trials['Avg profit'].apply( lambda x: f'{x * perc_multi:,.2f}%' if not isna(x) else "" ) - if perc_multi == 1: - trials['Avg duration'] = trials['Avg duration'].apply( - lambda x: f'{x:,.1f} m' if isinstance( - x, float) else f"{x.total_seconds() // 60:,.1f} m" if not isna(x) else "" - ) trials['Objective'] = trials['Objective'].apply( lambda x: f'{x:,.5f}' if x != 100000 else "" ) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 89cf70437..8bde48670 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -31,7 +31,7 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N filename = Path.joinpath( recordfilename.parent, f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}' - ).with_suffix(recordfilename.suffix) + ).with_suffix(recordfilename.suffix) file_dump_json(filename, stats) latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN) @@ -173,7 +173,7 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]: for strategy, results in all_results.items(): tabular_data.append(_generate_result_line( results['results'], results['config']['dry_run_wallet'], strategy) - ) + ) try: max_drawdown_per, _, _, _, _ = calculate_max_drawdown(results['results'], value_col='profit_ratio') @@ -272,7 +272,7 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: winning_days = sum(daily_profit > 0) draw_days = sum(daily_profit == 0) losing_days = sum(daily_profit < 0) - daily_profit_list = daily_profit.tolist() + daily_profit_list = [(str(idx.date()), val) for idx, val in daily_profit.iteritems()] return { 'backtest_best_day': best_rel, @@ -325,8 +325,9 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'], key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None - results['open_timestamp'] = results['open_date'].astype(int64) // 1e6 - results['close_timestamp'] = results['close_date'].astype(int64) // 1e6 + if not results.empty: + results['open_timestamp'] = results['open_date'].view(int64) // 1e6 + results['close_timestamp'] = results['close_date'].view(int64) // 1e6 backtest_days = (max_date - min_date).days strat_stats = { @@ -367,6 +368,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], 'max_open_trades_setting': (config['max_open_trades'] if config['max_open_trades'] != float('inf') else -1), 'timeframe': config['timeframe'], + 'timeframe_detail': config.get('timeframe_detail', ''), 'timerange': config.get('timerange', ''), 'enable_protections': config.get('enable_protections', False), 'strategy_name': strategy, @@ -603,7 +605,7 @@ def text_table_add_metrics(strat_results: Dict) -> str: strat_results['stake_currency']) stake_amount = round_coin_value( strat_results['stake_amount'], strat_results['stake_currency'] - ) if strat_results['stake_amount'] != UNLIMITED_STAKE_AMOUNT else 'unlimited' + ) if strat_results['stake_amount'] != UNLIMITED_STAKE_AMOUNT else 'unlimited' message = ("No trades made. " f"Your starting balance was {start_balance}, " diff --git a/freqtrade/persistence/migrations.py b/freqtrade/persistence/migrations.py index 00c9b91eb..1839c4130 100644 --- a/freqtrade/persistence/migrations.py +++ b/freqtrade/persistence/migrations.py @@ -47,6 +47,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col min_rate = get_column_def(cols, 'min_rate', 'null') sell_reason = get_column_def(cols, 'sell_reason', 'null') strategy = get_column_def(cols, 'strategy', 'null') + buy_tag = get_column_def(cols, 'buy_tag', 'null') # If ticker-interval existed use that, else null. if has_column(cols, 'ticker_interval'): timeframe = get_column_def(cols, 'timeframe', 'ticker_interval') @@ -64,7 +65,8 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col # Schema migration necessary with engine.begin() as connection: connection.execute(text(f"alter table trades rename to {table_back_name}")) - # drop indexes on backup table + with engine.begin() as connection: + # drop indexes on backup table in new session for index in inspector.get_indexes(table_back_name): connection.execute(text(f"drop index {index['name']}")) # let SQLAlchemy create the schema as required @@ -75,22 +77,15 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col connection.execute(text(f"""insert into trades (id, exchange, pair, is_open, fee_open, fee_open_cost, fee_open_currency, - fee_close, fee_close_cost, fee_open_currency, open_rate, + fee_close, fee_close_cost, fee_close_currency, open_rate, open_rate_requested, close_rate, close_rate_requested, close_profit, stake_amount, amount, amount_requested, open_date, close_date, open_order_id, stop_loss, stop_loss_pct, initial_stop_loss, initial_stop_loss_pct, stoploss_order_id, stoploss_last_update, - max_rate, min_rate, sell_reason, sell_order_status, strategy, + max_rate, min_rate, sell_reason, sell_order_status, strategy, buy_tag, timeframe, open_trade_value, close_profit_abs ) - select id, lower(exchange), - case - when instr(pair, '_') != 0 then - substr(pair, instr(pair, '_') + 1) || '/' || - substr(pair, 1, instr(pair, '_') - 1) - else pair - end - pair, + select id, lower(exchange), pair, is_open, {fee_open} fee_open, {fee_open_cost} fee_open_cost, {fee_open_currency} fee_open_currency, {fee_close} fee_close, {fee_close_cost} fee_close_cost, {fee_close_currency} fee_close_currency, @@ -103,7 +98,7 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col {stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update, {max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason, {sell_order_status} sell_order_status, - {strategy} strategy, {timeframe} timeframe, + {strategy} strategy, {buy_tag} buy_tag, {timeframe} timeframe, {open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs from {table_back_name} """)) @@ -131,7 +126,9 @@ def migrate_orders_table(decl_base, inspector, engine, table_back_name: str, col with engine.begin() as connection: connection.execute(text(f"alter table orders rename to {table_back_name}")) - # drop indexes on backup table + + with engine.begin() as connection: + # drop indexes on backup table in new session for index in inspector.get_indexes(table_back_name): connection.execute(text(f"drop index {index['name']}")) @@ -160,7 +157,7 @@ def check_migrate(engine, decl_base, previous_tables) -> None: table_back_name = get_backup_name(tabs, 'trades_bak') # Check for latest column - if not has_column(cols, 'open_trade_value'): + if not has_column(cols, 'buy_tag'): logger.info(f'Running database migration for trades - backup: {table_back_name}') migrate_trades_table(decl_base, inspector, engine, table_back_name, cols) # Reread columns - the above recreated the table! diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index b4c299120..bc5ef961a 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -2,7 +2,7 @@ This module contains the class to persist trades into SQLite """ import logging -from datetime import datetime, timezone +from datetime import datetime, timedelta, timezone from decimal import Decimal from typing import Any, Dict, List, Optional @@ -13,7 +13,7 @@ from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session from sqlalchemy.pool import StaticPool from sqlalchemy.sql.schema import UniqueConstraint -from freqtrade.constants import DATETIME_PRINT_FORMAT +from freqtrade.constants import DATETIME_PRINT_FORMAT, NON_OPEN_EXCHANGE_STATES from freqtrade.enums import SellType from freqtrade.exceptions import DependencyException, OperationalException from freqtrade.misc import safe_value_fallback @@ -159,9 +159,9 @@ class Order(_DECL_BASE): self.order_date = datetime.fromtimestamp(order['timestamp'] / 1000, tz=timezone.utc) self.ft_is_open = True - if self.status in ('closed', 'canceled', 'cancelled'): + if self.status in NON_OPEN_EXCHANGE_STATES: self.ft_is_open = False - if order.get('filled', 0) > 0: + if (order.get('filled', 0.0) or 0.0) > 0: self.order_filled_date = datetime.now(timezone.utc) self.order_update_date = datetime.now(timezone.utc) @@ -257,6 +257,7 @@ class LocalTrade(): sell_reason: str = '' sell_order_status: str = '' strategy: str = '' + buy_tag: Optional[str] = None timeframe: Optional[int] = None def __init__(self, **kwargs): @@ -288,6 +289,7 @@ class LocalTrade(): 'amount_requested': round(self.amount_requested, 8) if self.amount_requested else None, 'stake_amount': round(self.stake_amount, 8), 'strategy': self.strategy, + 'buy_tag': self.buy_tag, 'timeframe': self.timeframe, 'fee_open': self.fee_open, @@ -352,12 +354,12 @@ class LocalTrade(): LocalTrade.trades_open = [] LocalTrade.total_profit = 0 - def adjust_min_max_rates(self, current_price: float) -> None: + def adjust_min_max_rates(self, current_price: float, current_price_low: float) -> None: """ Adjust the max_rate and min_rate. """ self.max_rate = max(current_price, self.max_rate or self.open_rate) - self.min_rate = min(current_price, self.min_rate or self.open_rate) + self.min_rate = min(current_price_low, self.min_rate or self.open_rate) def _set_new_stoploss(self, new_loss: float, stoploss: float): """Assign new stop value""" @@ -636,7 +638,7 @@ class LocalTrade(): # skip case if trailing-stop changed the stoploss already. if (trade.stop_loss == trade.initial_stop_loss - and trade.initial_stop_loss_pct != desired_stoploss): + and trade.initial_stop_loss_pct != desired_stoploss): # Stoploss value got changed logger.info(f"Stoploss for {trade} needs adjustment...") @@ -703,6 +705,7 @@ class Trade(_DECL_BASE, LocalTrade): sell_reason = Column(String(100), nullable=True) sell_order_status = Column(String(100), nullable=True) strategy = Column(String(100), nullable=True) + buy_tag = Column(String(100), nullable=True) timeframe = Column(Integer, nullable=True) def __init__(self, **kwargs): @@ -801,6 +804,19 @@ class Trade(_DECL_BASE, LocalTrade): Trade.is_open.is_(False), ]).all() + @staticmethod + def get_total_closed_profit() -> float: + """ + Retrieves total realized profit + """ + if Trade.use_db: + total_profit = Trade.query.with_entities( + func.sum(Trade.close_profit_abs)).filter(Trade.is_open.is_(False)).scalar() + else: + total_profit = sum( + t.close_profit_abs for t in LocalTrade.get_trades_proxy(is_open=False)) + return total_profit or 0 + @staticmethod def total_open_trades_stakes() -> float: """ @@ -816,17 +832,21 @@ class Trade(_DECL_BASE, LocalTrade): return total_open_stake_amount or 0 @staticmethod - def get_overall_performance() -> List[Dict[str, Any]]: + def get_overall_performance(minutes=None) -> List[Dict[str, Any]]: """ Returns List of dicts containing all Trades, including profit and trade count NOTE: Not supported in Backtesting. """ + filters = [Trade.is_open.is_(False)] + if minutes: + start_date = datetime.now(timezone.utc) - timedelta(minutes=minutes) + filters.append(Trade.close_date >= start_date) pair_rates = Trade.query.with_entities( Trade.pair, func.sum(Trade.close_profit).label('profit_sum'), func.sum(Trade.close_profit_abs).label('profit_sum_abs'), func.count(Trade.pair).label('count') - ).filter(Trade.is_open.is_(False))\ + ).filter(*filters)\ .group_by(Trade.pair) \ .order_by(desc('profit_sum_abs')) \ .all() diff --git a/freqtrade/persistence/pairlock_middleware.py b/freqtrade/persistence/pairlock_middleware.py index af904f693..8662fc36d 100644 --- a/freqtrade/persistence/pairlock_middleware.py +++ b/freqtrade/persistence/pairlock_middleware.py @@ -30,7 +30,8 @@ class PairLocks(): PairLocks.locks = [] @staticmethod - def lock_pair(pair: str, until: datetime, reason: str = None, *, now: datetime = None) -> None: + def lock_pair(pair: str, until: datetime, reason: str = None, *, + now: datetime = None) -> PairLock: """ Create PairLock from now to "until". Uses database by default, unless PairLocks.use_db is set to False, @@ -52,6 +53,7 @@ class PairLocks(): PairLock.query.session.commit() else: PairLocks.locks.append(lock) + return lock @staticmethod def get_pair_locks(pair: Optional[str], now: Optional[datetime] = None) -> List[PairLock]: diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index 061460975..509c03e90 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -334,8 +334,8 @@ def add_areas(fig, row: int, data: pd.DataFrame, indicators) -> make_subplots: ) elif indicator_b not in data: logger.info( - 'fill_to: "%s" ignored. Reason: This indicator is not ' - 'in your strategy.', indicator_b + 'fill_to: "%s" ignored. Reason: This indicator is not ' + 'in your strategy.', indicator_b ) return fig @@ -538,7 +538,7 @@ def load_and_plot_trades(config: Dict[str, Any]): - Initializes plot-script - Get candle (OHLCV) data - Generate Dafaframes populated with indicators and signals based on configured strategy - - Load trades excecuted during the selected period + - Load trades executed during the selected period - Generate Plotly plot objects - Generate plot files :return: None diff --git a/freqtrade/plugins/pairlist/AgeFilter.py b/freqtrade/plugins/pairlist/AgeFilter.py index 8f623b062..5627d82ce 100644 --- a/freqtrade/plugins/pairlist/AgeFilter.py +++ b/freqtrade/plugins/pairlist/AgeFilter.py @@ -8,6 +8,7 @@ from typing import Any, Dict, List, Optional import arrow from pandas import DataFrame +from freqtrade.configuration import PeriodicCache from freqtrade.exceptions import OperationalException from freqtrade.misc import plural from freqtrade.plugins.pairlist.IPairList import IPairList @@ -18,15 +19,17 @@ logger = logging.getLogger(__name__) class AgeFilter(IPairList): - # Checked symbols cache (dictionary of ticker symbol => timestamp) - _symbolsChecked: Dict[str, int] = {} - def __init__(self, exchange, pairlistmanager, config: Dict[str, Any], pairlistconfig: Dict[str, Any], pairlist_pos: int) -> None: super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) + # Checked symbols cache (dictionary of ticker symbol => timestamp) + self._symbolsChecked: Dict[str, int] = {} + self._symbolsCheckFailed = PeriodicCache(maxsize=1000, ttl=86_400) + self._min_days_listed = pairlistconfig.get('min_days_listed', 10) + self._max_days_listed = pairlistconfig.get('max_days_listed', None) if self._min_days_listed < 1: raise OperationalException("AgeFilter requires min_days_listed to be >= 1") @@ -34,6 +37,12 @@ class AgeFilter(IPairList): raise OperationalException("AgeFilter requires min_days_listed to not exceed " "exchange max request size " f"({exchange.ohlcv_candle_limit('1d')})") + if self._max_days_listed and self._max_days_listed <= self._min_days_listed: + raise OperationalException("AgeFilter max_days_listed <= min_days_listed not permitted") + if self._max_days_listed and self._max_days_listed > exchange.ohlcv_candle_limit('1d'): + raise OperationalException("AgeFilter requires max_days_listed to not exceed " + "exchange max request size " + f"({exchange.ohlcv_candle_limit('1d')})") @property def needstickers(self) -> bool: @@ -48,8 +57,13 @@ class AgeFilter(IPairList): """ Short whitelist method description - used for startup-messages """ - return (f"{self.name} - Filtering pairs with age less than " - f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.") + return ( + f"{self.name} - Filtering pairs with age less than " + f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}" + ) + (( + " or more than " + f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}" + ) if self._max_days_listed else '') def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: """ @@ -57,13 +71,19 @@ class AgeFilter(IPairList): :param tickers: Tickers (from exchange.get_tickers()). May be cached. :return: new allowlist """ - needed_pairs = [(p, '1d') for p in pairlist if p not in self._symbolsChecked] + needed_pairs = [ + (p, '1d') for p in pairlist + if p not in self._symbolsChecked and p not in self._symbolsCheckFailed] if not needed_pairs: - return pairlist + # Remove pairs that have been removed before + return [p for p in pairlist if p not in self._symbolsCheckFailed] + since_days = -( + self._max_days_listed if self._max_days_listed else self._min_days_listed + ) - 1 since_ms = int(arrow.utcnow() .floor('day') - .shift(days=-self._min_days_listed - 1) + .shift(days=since_days) .float_timestamp) * 1000 candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False) if self._enabled: @@ -86,14 +106,23 @@ class AgeFilter(IPairList): return True if daily_candles is not None: - if len(daily_candles) >= self._min_days_listed: + if ( + len(daily_candles) >= self._min_days_listed + and (not self._max_days_listed or len(daily_candles) <= self._max_days_listed) + ): # We have fetched at least the minimum required number of daily candles # Add to cache, store the time we last checked this symbol - self._symbolsChecked[pair] = int(arrow.utcnow().float_timestamp) * 1000 + self._symbolsChecked[pair] = arrow.utcnow().int_timestamp * 1000 return True else: - self.log_once(f"Removed {pair} from whitelist, because age " - f"{len(daily_candles)} is less than {self._min_days_listed} " - f"{plural(self._min_days_listed, 'day')}", logger.info) + self.log_once(( + f"Removed {pair} from whitelist, because age " + f"{len(daily_candles)} is less than {self._min_days_listed} " + f"{plural(self._min_days_listed, 'day')}" + ) + (( + " or more than " + f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}" + ) if self._max_days_listed else ''), logger.info) + self._symbolsCheckFailed[pair] = arrow.utcnow().int_timestamp * 1000 return False return False diff --git a/freqtrade/plugins/pairlist/IPairList.py b/freqtrade/plugins/pairlist/IPairList.py index 74348b1a7..0155f918b 100644 --- a/freqtrade/plugins/pairlist/IPairList.py +++ b/freqtrade/plugins/pairlist/IPairList.py @@ -144,24 +144,26 @@ class IPairList(LoggingMixin, ABC): markets = self._exchange.markets if not markets: raise OperationalException( - 'Markets not loaded. Make sure that exchange is initialized correctly.') + 'Markets not loaded. Make sure that exchange is initialized correctly.') sanitized_whitelist: List[str] = [] for pair in pairlist: # pair is not in the generated dynamic market or has the wrong stake currency if pair not in markets: - logger.warning(f"Pair {pair} is not compatible with exchange " - f"{self._exchange.name}. Removing it from whitelist..") + self.log_once(f"Pair {pair} is not compatible with exchange " + f"{self._exchange.name}. Removing it from whitelist..", + logger.warning) continue if not self._exchange.market_is_tradable(markets[pair]): - logger.warning(f"Pair {pair} is not tradable with Freqtrade." - "Removing it from whitelist..") + self.log_once(f"Pair {pair} is not tradable with Freqtrade." + "Removing it from whitelist..", logger.warning) continue if self._exchange.get_pair_quote_currency(pair) != self._config['stake_currency']: - logger.warning(f"Pair {pair} is not compatible with your stake currency " - f"{self._config['stake_currency']}. Removing it from whitelist..") + self.log_once(f"Pair {pair} is not compatible with your stake currency " + f"{self._config['stake_currency']}. Removing it from whitelist..", + logger.warning) continue # Check if market is active diff --git a/freqtrade/plugins/pairlist/OffsetFilter.py b/freqtrade/plugins/pairlist/OffsetFilter.py new file mode 100644 index 000000000..573a573a6 --- /dev/null +++ b/freqtrade/plugins/pairlist/OffsetFilter.py @@ -0,0 +1,54 @@ +""" +Offset pair list filter +""" +import logging +from typing import Any, Dict, List + +from freqtrade.exceptions import OperationalException +from freqtrade.plugins.pairlist.IPairList import IPairList + + +logger = logging.getLogger(__name__) + + +class OffsetFilter(IPairList): + + def __init__(self, exchange, pairlistmanager, + config: Dict[str, Any], pairlistconfig: Dict[str, Any], + pairlist_pos: int) -> None: + super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) + + self._offset = pairlistconfig.get('offset', 0) + + if self._offset < 0: + raise OperationalException("OffsetFilter requires offset to be >= 0") + + @property + def needstickers(self) -> bool: + """ + Boolean property defining if tickers are necessary. + If no Pairlist requires tickers, an empty Dict is passed + as tickers argument to filter_pairlist + """ + return False + + def short_desc(self) -> str: + """ + Short whitelist method description - used for startup-messages + """ + return f"{self.name} - Offseting pairs by {self._offset}." + + def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: + """ + Filters and sorts pairlist and returns the whitelist again. + Called on each bot iteration - please use internal caching if necessary + :param pairlist: pairlist to filter or sort + :param tickers: Tickers (from exchange.get_tickers()). May be cached. + :return: new whitelist + """ + if self._offset > len(pairlist): + self.log_once(f"Offset of {self._offset} is larger than " + + f"pair count of {len(pairlist)}", logger.warning) + pairs = pairlist[self._offset:] + self.log_once(f"Searching {len(pairs)} pairs: {pairs}", logger.info) + return pairs diff --git a/freqtrade/plugins/pairlist/PerformanceFilter.py b/freqtrade/plugins/pairlist/PerformanceFilter.py index 46a289ae6..301ee57ab 100644 --- a/freqtrade/plugins/pairlist/PerformanceFilter.py +++ b/freqtrade/plugins/pairlist/PerformanceFilter.py @@ -2,7 +2,7 @@ Performance pair list filter """ import logging -from typing import Dict, List +from typing import Any, Dict, List import pandas as pd @@ -15,6 +15,13 @@ logger = logging.getLogger(__name__) class PerformanceFilter(IPairList): + def __init__(self, exchange, pairlistmanager, + config: Dict[str, Any], pairlistconfig: Dict[str, Any], + pairlist_pos: int) -> None: + super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) + + self._minutes = pairlistconfig.get('minutes', 0) + @property def needstickers(self) -> bool: """ @@ -40,7 +47,7 @@ class PerformanceFilter(IPairList): """ # Get the trading performance for pairs from database try: - performance = pd.DataFrame(Trade.get_overall_performance()) + performance = pd.DataFrame(Trade.get_overall_performance(self._minutes)) except AttributeError: # Performancefilter does not work in backtesting. self.log_once("PerformanceFilter is not available in this mode.", logger.warning) diff --git a/freqtrade/plugins/pairlist/VolatilityFilter.py b/freqtrade/plugins/pairlist/VolatilityFilter.py index 5ae8e3e9f..9383e5d06 100644 --- a/freqtrade/plugins/pairlist/VolatilityFilter.py +++ b/freqtrade/plugins/pairlist/VolatilityFilter.py @@ -69,10 +69,10 @@ class VolatilityFilter(IPairList): """ needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache] - since_ms = int(arrow.utcnow() - .floor('day') - .shift(days=-self._days - 1) - .float_timestamp) * 1000 + since_ms = (arrow.utcnow() + .floor('day') + .shift(days=-self._days - 1) + .int_timestamp) * 1000 # Get all candles candles = {} if needed_pairs: diff --git a/freqtrade/plugins/pairlist/VolumePairList.py b/freqtrade/plugins/pairlist/VolumePairList.py index 8eff137b0..0ffc8a8c8 100644 --- a/freqtrade/plugins/pairlist/VolumePairList.py +++ b/freqtrade/plugins/pairlist/VolumePairList.py @@ -4,11 +4,15 @@ Volume PairList provider Provides dynamic pair list based on trade volumes """ import logging +from functools import partial from typing import Any, Dict, List +import arrow from cachetools.ttl import TTLCache from freqtrade.exceptions import OperationalException +from freqtrade.exchange import timeframe_to_minutes +from freqtrade.misc import format_ms_time from freqtrade.plugins.pairlist.IPairList import IPairList @@ -36,6 +40,35 @@ class VolumePairList(IPairList): self._min_value = self._pairlistconfig.get('min_value', 0) self._refresh_period = self._pairlistconfig.get('refresh_period', 1800) self._pair_cache: TTLCache = TTLCache(maxsize=1, ttl=self._refresh_period) + self._lookback_days = self._pairlistconfig.get('lookback_days', 0) + self._lookback_timeframe = self._pairlistconfig.get('lookback_timeframe', '1d') + self._lookback_period = self._pairlistconfig.get('lookback_period', 0) + + if (self._lookback_days > 0) & (self._lookback_period > 0): + raise OperationalException( + 'Ambigous configuration: lookback_days and lookback_period both set in pairlist ' + 'config. Please set lookback_days only or lookback_period and lookback_timeframe ' + 'and restart the bot.' + ) + + # overwrite lookback timeframe and days when lookback_days is set + if self._lookback_days > 0: + self._lookback_timeframe = '1d' + self._lookback_period = self._lookback_days + + # get timeframe in minutes and seconds + self._tf_in_min = timeframe_to_minutes(self._lookback_timeframe) + self._tf_in_sec = self._tf_in_min * 60 + + # wether to use range lookback or not + self._use_range = (self._tf_in_min > 0) & (self._lookback_period > 0) + + if self._use_range & (self._refresh_period < self._tf_in_sec): + raise OperationalException( + f'Refresh period of {self._refresh_period} seconds is smaller than one ' + f'timeframe of {self._lookback_timeframe}. Please adjust refresh_period ' + f'to at least {self._tf_in_sec} and restart the bot.' + ) if not self._exchange.exchange_has('fetchTickers'): raise OperationalException( @@ -47,6 +80,13 @@ class VolumePairList(IPairList): raise OperationalException( f'key {self._sort_key} not in {SORT_VALUES}') + if self._lookback_period < 0: + raise OperationalException("VolumeFilter requires lookback_period to be >= 0") + if self._lookback_period > exchange.ohlcv_candle_limit(self._lookback_timeframe): + raise OperationalException("VolumeFilter requires lookback_period to not " + "exceed exchange max request size " + f"({exchange.ohlcv_candle_limit(self._lookback_timeframe)})") + @property def needstickers(self) -> bool: """ @@ -76,19 +116,18 @@ class VolumePairList(IPairList): pairlist = self._pair_cache.get('pairlist') if pairlist: # Item found - no refresh necessary - return pairlist + return pairlist.copy() else: - # Use fresh pairlist # Check if pair quote currency equals to the stake currency. filtered_tickers = [ - v for k, v in tickers.items() - if (self._exchange.get_pair_quote_currency(k) == self._stake_currency - and v[self._sort_key] is not None)] + v for k, v in tickers.items() + if (self._exchange.get_pair_quote_currency(k) == self._stake_currency + and (self._use_range or v[self._sort_key] is not None))] pairlist = [s['symbol'] for s in filtered_tickers] pairlist = self.filter_pairlist(pairlist, tickers) - self._pair_cache['pairlist'] = pairlist + self._pair_cache['pairlist'] = pairlist.copy() return pairlist @@ -103,15 +142,69 @@ class VolumePairList(IPairList): # Use the incoming pairlist. filtered_tickers = [v for k, v in tickers.items() if k in pairlist] + # get lookback period in ms, for exchange ohlcv fetch + if self._use_range: + since_ms = int(arrow.utcnow() + .floor('minute') + .shift(minutes=-(self._lookback_period * self._tf_in_min) + - self._tf_in_min) + .int_timestamp) * 1000 + + to_ms = int(arrow.utcnow() + .floor('minute') + .shift(minutes=-self._tf_in_min) + .int_timestamp) * 1000 + + # todo: utc date output for starting date + self.log_once(f"Using volume range of {self._lookback_period} candles, timeframe: " + f"{self._lookback_timeframe}, starting from {format_ms_time(since_ms)} " + f"till {format_ms_time(to_ms)}", logger.info) + needed_pairs = [ + (p, self._lookback_timeframe) for p in + [ + s['symbol'] for s in filtered_tickers + ] if p not in self._pair_cache + ] + + # Get all candles + candles = {} + if needed_pairs: + candles = self._exchange.refresh_latest_ohlcv( + needed_pairs, since_ms=since_ms, cache=False + ) + for i, p in enumerate(filtered_tickers): + pair_candles = candles[ + (p['symbol'], self._lookback_timeframe) + ] if (p['symbol'], self._lookback_timeframe) in candles else None + # in case of candle data calculate typical price and quoteVolume for candle + if pair_candles is not None and not pair_candles.empty: + pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low'] + + pair_candles['close']) / 3 + pair_candles['quoteVolume'] = ( + pair_candles['volume'] * pair_candles['typical_price'] + ) + + # ensure that a rolling sum over the lookback_period is built + # if pair_candles contains more candles than lookback_period + quoteVolume = (pair_candles['quoteVolume'] + .rolling(self._lookback_period) + .sum() + .iloc[-1]) + + # replace quoteVolume with range quoteVolume sum calculated above + filtered_tickers[i]['quoteVolume'] = quoteVolume + else: + filtered_tickers[i]['quoteVolume'] = 0 + if self._min_value > 0: filtered_tickers = [ - v for v in filtered_tickers if v[self._sort_key] > self._min_value] + v for v in filtered_tickers if v[self._sort_key] > self._min_value] sorted_tickers = sorted(filtered_tickers, reverse=True, key=lambda t: t[self._sort_key]) # Validate whitelist to only have active market pairs pairs = self._whitelist_for_active_markets([s['symbol'] for s in sorted_tickers]) - pairs = self.verify_blacklist(pairs, logger.info) + pairs = self.verify_blacklist(pairs, partial(self.log_once, logmethod=logger.info)) # Limit pairlist to the requested number of pairs pairs = pairs[:self._number_pairs] diff --git a/freqtrade/plugins/pairlist/pairlist_helpers.py b/freqtrade/plugins/pairlist/pairlist_helpers.py index 924bfb293..1de27fcbd 100644 --- a/freqtrade/plugins/pairlist/pairlist_helpers.py +++ b/freqtrade/plugins/pairlist/pairlist_helpers.py @@ -17,7 +17,7 @@ def expand_pairlist(wildcardpl: List[str], available_pairs: List[str], if keep_invalid: for pair_wc in wildcardpl: try: - comp = re.compile(pair_wc) + comp = re.compile(pair_wc, re.IGNORECASE) result_partial = [ pair for pair in available_pairs if re.fullmatch(comp, pair) ] @@ -33,7 +33,7 @@ def expand_pairlist(wildcardpl: List[str], available_pairs: List[str], else: for pair_wc in wildcardpl: try: - comp = re.compile(pair_wc) + comp = re.compile(pair_wc, re.IGNORECASE) result += [ pair for pair in available_pairs if re.fullmatch(comp, pair) ] diff --git a/freqtrade/plugins/pairlist/rangestabilityfilter.py b/freqtrade/plugins/pairlist/rangestabilityfilter.py index 8be61166b..3e5a002ff 100644 --- a/freqtrade/plugins/pairlist/rangestabilityfilter.py +++ b/freqtrade/plugins/pairlist/rangestabilityfilter.py @@ -26,6 +26,7 @@ class RangeStabilityFilter(IPairList): self._days = pairlistconfig.get('lookback_days', 10) self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01) + self._max_rate_of_change = pairlistconfig.get('max_rate_of_change', None) self._refresh_period = pairlistconfig.get('refresh_period', 1440) self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period) @@ -50,8 +51,12 @@ class RangeStabilityFilter(IPairList): """ Short whitelist method description - used for startup-messages """ + max_rate_desc = "" + if self._max_rate_of_change: + max_rate_desc = (f" and above {self._max_rate_of_change}") return (f"{self.name} - Filtering pairs with rate of change below " - f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.") + f"{self._min_rate_of_change}{max_rate_desc} over the " + f"last {plural(self._days, 'day')}.") def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: """ @@ -62,10 +67,10 @@ class RangeStabilityFilter(IPairList): """ needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache] - since_ms = int(arrow.utcnow() - .floor('day') - .shift(days=-self._days - 1) - .float_timestamp) * 1000 + since_ms = (arrow.utcnow() + .floor('day') + .shift(days=-self._days - 1) + .int_timestamp) * 1000 # Get all candles candles = {} if needed_pairs: @@ -104,6 +109,17 @@ class RangeStabilityFilter(IPairList): f"which is below the threshold of {self._min_rate_of_change}.", logger.info) result = False + if self._max_rate_of_change: + if pct_change <= self._max_rate_of_change: + result = True + else: + self.log_once( + f"Removed {pair} from whitelist, because rate of change " + f"over {self._days} {plural(self._days, 'day')} is {pct_change:.3f}, " + f"which is above the threshold of {self._max_rate_of_change}.", + logger.info) + result = False self._pair_cache[pair] = result - + else: + self.log_once(f"Removed {pair} from whitelist, no candles found.", logger.info) return result diff --git a/freqtrade/plugins/pairlistmanager.py b/freqtrade/plugins/pairlistmanager.py index 03f4760b8..face79729 100644 --- a/freqtrade/plugins/pairlistmanager.py +++ b/freqtrade/plugins/pairlistmanager.py @@ -28,13 +28,13 @@ class PairListManager(): self._tickers_needed = False for pairlist_handler_config in self._config.get('pairlists', None): pairlist_handler = PairListResolver.load_pairlist( - pairlist_handler_config['method'], - exchange=exchange, - pairlistmanager=self, - config=config, - pairlistconfig=pairlist_handler_config, - pairlist_pos=len(self._pairlist_handlers) - ) + pairlist_handler_config['method'], + exchange=exchange, + pairlistmanager=self, + config=config, + pairlistconfig=pairlist_handler_config, + pairlist_pos=len(self._pairlist_handlers) + ) self._tickers_needed |= pairlist_handler.needstickers self._pairlist_handlers.append(pairlist_handler) diff --git a/freqtrade/plugins/protectionmanager.py b/freqtrade/plugins/protectionmanager.py index f33e5b4bc..2510d6fee 100644 --- a/freqtrade/plugins/protectionmanager.py +++ b/freqtrade/plugins/protectionmanager.py @@ -6,6 +6,7 @@ from datetime import datetime, timezone from typing import Dict, List, Optional from freqtrade.persistence import PairLocks +from freqtrade.persistence.models import PairLock from freqtrade.plugins.protections import IProtection from freqtrade.resolvers import ProtectionResolver @@ -43,30 +44,28 @@ class ProtectionManager(): """ return [{p.name: p.short_desc()} for p in self._protection_handlers] - def global_stop(self, now: Optional[datetime] = None) -> bool: + def global_stop(self, now: Optional[datetime] = None) -> Optional[PairLock]: if not now: now = datetime.now(timezone.utc) - result = False + result = None for protection_handler in self._protection_handlers: if protection_handler.has_global_stop: - result, until, reason = protection_handler.global_stop(now) + lock, until, reason = protection_handler.global_stop(now) # Early stopping - first positive result blocks further trades - if result and until: + if lock and until: if not PairLocks.is_global_lock(until): - PairLocks.lock_pair('*', until, reason, now=now) - result = True + result = PairLocks.lock_pair('*', until, reason, now=now) return result - def stop_per_pair(self, pair, now: Optional[datetime] = None) -> bool: + def stop_per_pair(self, pair, now: Optional[datetime] = None) -> Optional[PairLock]: if not now: now = datetime.now(timezone.utc) - result = False + result = None for protection_handler in self._protection_handlers: if protection_handler.has_local_stop: - result, until, reason = protection_handler.stop_per_pair(pair, now) - if result and until: + lock, until, reason = protection_handler.stop_per_pair(pair, now) + if lock and until: if not PairLocks.is_pair_locked(pair, until): - PairLocks.lock_pair(pair, until, reason, now=now) - result = True + result = PairLocks.lock_pair(pair, until, reason, now=now) return result diff --git a/freqtrade/plugins/protections/iprotection.py b/freqtrade/plugins/protections/iprotection.py index d034beefc..e0a89e334 100644 --- a/freqtrade/plugins/protections/iprotection.py +++ b/freqtrade/plugins/protections/iprotection.py @@ -25,19 +25,22 @@ class IProtection(LoggingMixin, ABC): def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None: self._config = config self._protection_config = protection_config + self._stop_duration_candles: Optional[int] = None + self._lookback_period_candles: Optional[int] = None + tf_in_min = timeframe_to_minutes(config['timeframe']) if 'stop_duration_candles' in protection_config: - self._stop_duration_candles = protection_config.get('stop_duration_candles', 1) + self._stop_duration_candles = int(protection_config.get('stop_duration_candles', 1)) self._stop_duration = (tf_in_min * self._stop_duration_candles) else: self._stop_duration_candles = None self._stop_duration = protection_config.get('stop_duration', 60) if 'lookback_period_candles' in protection_config: - self._lookback_period_candles = protection_config.get('lookback_period_candles', 1) + self._lookback_period_candles = int(protection_config.get('lookback_period_candles', 1)) self._lookback_period = tf_in_min * self._lookback_period_candles else: self._lookback_period_candles = None - self._lookback_period = protection_config.get('lookback_period', 60) + self._lookback_period = int(protection_config.get('lookback_period', 60)) LoggingMixin.__init__(self, logger) diff --git a/freqtrade/plugins/protections/stoploss_guard.py b/freqtrade/plugins/protections/stoploss_guard.py index 45d393411..40edf1204 100644 --- a/freqtrade/plugins/protections/stoploss_guard.py +++ b/freqtrade/plugins/protections/stoploss_guard.py @@ -54,9 +54,9 @@ class StoplossGuard(IProtection): trades1 = Trade.get_trades_proxy(pair=pair, is_open=False, close_date=look_back_until) trades = [trade for trade in trades1 if (str(trade.sell_reason) in ( - SellType.TRAILING_STOP_LOSS.value, SellType.STOP_LOSS.value, - SellType.STOPLOSS_ON_EXCHANGE.value) - and trade.close_profit and trade.close_profit < 0)] + SellType.TRAILING_STOP_LOSS.value, SellType.STOP_LOSS.value, + SellType.STOPLOSS_ON_EXCHANGE.value) + and trade.close_profit and trade.close_profit < 0)] if len(trades) < self._trade_limit: return False, None, None diff --git a/freqtrade/resolvers/__init__.py b/freqtrade/resolvers/__init__.py index ef24bf481..2f70a788a 100644 --- a/freqtrade/resolvers/__init__.py +++ b/freqtrade/resolvers/__init__.py @@ -8,6 +8,3 @@ from freqtrade.resolvers.exchange_resolver import ExchangeResolver from freqtrade.resolvers.pairlist_resolver import PairListResolver from freqtrade.resolvers.protection_resolver import ProtectionResolver from freqtrade.resolvers.strategy_resolver import StrategyResolver - - - diff --git a/freqtrade/resolvers/hyperopt_resolver.py b/freqtrade/resolvers/hyperopt_resolver.py index 8327a4d13..6f0263e93 100644 --- a/freqtrade/resolvers/hyperopt_resolver.py +++ b/freqtrade/resolvers/hyperopt_resolver.py @@ -9,7 +9,6 @@ from typing import Dict from freqtrade.constants import HYPEROPT_LOSS_BUILTIN, USERPATH_HYPEROPTS from freqtrade.exceptions import OperationalException -from freqtrade.optimize.hyperopt_interface import IHyperOpt from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss from freqtrade.resolvers import IResolver @@ -17,43 +16,6 @@ from freqtrade.resolvers import IResolver logger = logging.getLogger(__name__) -class HyperOptResolver(IResolver): - """ - This class contains all the logic to load custom hyperopt class - """ - object_type = IHyperOpt - object_type_str = "Hyperopt" - user_subdir = USERPATH_HYPEROPTS - initial_search_path = None - - @staticmethod - def load_hyperopt(config: Dict) -> IHyperOpt: - """ - Load the custom hyperopt class from config parameter - :param config: configuration dictionary - """ - if not config.get('hyperopt'): - raise OperationalException("No Hyperopt set. Please use `--hyperopt` to specify " - "the Hyperopt class to use.") - - hyperopt_name = config['hyperopt'] - - hyperopt = HyperOptResolver.load_object(hyperopt_name, config, - kwargs={'config': config}, - extra_dir=config.get('hyperopt_path')) - - if not hasattr(hyperopt, 'populate_indicators'): - logger.info("Hyperopt class does not provide populate_indicators() method. " - "Using populate_indicators from the strategy.") - if not hasattr(hyperopt, 'populate_buy_trend'): - logger.info("Hyperopt class does not provide populate_buy_trend() method. " - "Using populate_buy_trend from the strategy.") - if not hasattr(hyperopt, 'populate_sell_trend'): - logger.info("Hyperopt class does not provide populate_sell_trend() method. " - "Using populate_sell_trend from the strategy.") - return hyperopt - - class HyperOptLossResolver(IResolver): """ This class contains all the logic to load custom hyperopt loss class diff --git a/freqtrade/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py index 1239b78b3..e7c077e84 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -50,7 +50,7 @@ class StrategyResolver(IResolver): if 'timeframe' not in config: logger.warning( "DEPRECATED: Please migrate to using 'timeframe' instead of 'ticker_interval'." - ) + ) strategy.timeframe = strategy.ticker_interval if strategy._ft_params_from_file: @@ -119,7 +119,7 @@ class StrategyResolver(IResolver): - default (if not None) """ if (attribute in config - and not isinstance(getattr(type(strategy), 'my_property', None), property)): + and not isinstance(getattr(type(strategy), attribute, None), property)): # Ensure Properties are not overwritten setattr(strategy, attribute, config[attribute]) logger.info("Override strategy '%s' with value in config file: %s.", diff --git a/freqtrade/rpc/api_server/api_backtest.py b/freqtrade/rpc/api_server/api_backtest.py new file mode 100644 index 000000000..edbc39772 --- /dev/null +++ b/freqtrade/rpc/api_server/api_backtest.py @@ -0,0 +1,182 @@ +import asyncio +import logging +from copy import deepcopy + +from fastapi import APIRouter, BackgroundTasks, Depends + +from freqtrade.configuration.config_validation import validate_config_consistency +from freqtrade.enums import BacktestState +from freqtrade.exceptions import DependencyException +from freqtrade.rpc.api_server.api_schemas import BacktestRequest, BacktestResponse +from freqtrade.rpc.api_server.deps import get_config +from freqtrade.rpc.api_server.webserver import ApiServer +from freqtrade.rpc.rpc import RPCException + + +logger = logging.getLogger(__name__) + +# Private API, protected by authentication +router = APIRouter() + + +@router.post('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest']) +async def api_start_backtest(bt_settings: BacktestRequest, background_tasks: BackgroundTasks, + config=Depends(get_config)): + """Start backtesting if not done so already""" + if ApiServer._bgtask_running: + raise RPCException('Bot Background task already running') + + btconfig = deepcopy(config) + settings = dict(bt_settings) + # Pydantic models will contain all keys, but non-provided ones are None + for setting in settings.keys(): + if settings[setting] is not None: + btconfig[setting] = settings[setting] + + # Start backtesting + # Initialize backtesting object + def run_backtest(): + from freqtrade.optimize.optimize_reports import generate_backtest_stats + from freqtrade.resolvers import StrategyResolver + asyncio.set_event_loop(asyncio.new_event_loop()) + try: + # Reload strategy + lastconfig = ApiServer._bt_last_config + strat = StrategyResolver.load_strategy(btconfig) + validate_config_consistency(btconfig) + + if ( + not ApiServer._bt + or lastconfig.get('timeframe') != strat.timeframe + or lastconfig.get('timeframe_detail') != btconfig.get('timeframe_detail') + or lastconfig.get('timerange') != btconfig['timerange'] + ): + from freqtrade.optimize.backtesting import Backtesting + ApiServer._bt = Backtesting(btconfig) + if ApiServer._bt.timeframe_detail: + ApiServer._bt.load_bt_data_detail() + else: + ApiServer._bt.config = btconfig + ApiServer._bt.init_backtest() + # Only reload data if timeframe changed. + if ( + not ApiServer._bt_data + or not ApiServer._bt_timerange + or lastconfig.get('timeframe') != strat.timeframe + or lastconfig.get('timerange') != btconfig['timerange'] + ): + ApiServer._bt_data, ApiServer._bt_timerange = ApiServer._bt.load_bt_data() + + lastconfig['timerange'] = btconfig['timerange'] + lastconfig['timeframe'] = strat.timeframe + lastconfig['protections'] = btconfig.get('protections', []) + lastconfig['enable_protections'] = btconfig.get('enable_protections') + lastconfig['dry_run_wallet'] = btconfig.get('dry_run_wallet') + + ApiServer._bt.abort = False + min_date, max_date = ApiServer._bt.backtest_one_strategy( + strat, ApiServer._bt_data, ApiServer._bt_timerange) + + ApiServer._bt.results = generate_backtest_stats( + ApiServer._bt_data, ApiServer._bt.all_results, + min_date=min_date, max_date=max_date) + logger.info("Backtest finished.") + + except DependencyException as e: + logger.info(f"Backtesting caused an error: {e}") + pass + finally: + ApiServer._bgtask_running = False + + background_tasks.add_task(run_backtest) + ApiServer._bgtask_running = True + + return { + "status": "running", + "running": True, + "progress": 0, + "step": str(BacktestState.STARTUP), + "status_msg": "Backtest started", + } + + +@router.get('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest']) +def api_get_backtest(): + """ + Get backtesting result. + Returns Result after backtesting has been ran. + """ + from freqtrade.persistence import LocalTrade + if ApiServer._bgtask_running: + return { + "status": "running", + "running": True, + "step": ApiServer._bt.progress.action if ApiServer._bt else str(BacktestState.STARTUP), + "progress": ApiServer._bt.progress.progress if ApiServer._bt else 0, + "trade_count": len(LocalTrade.trades), + "status_msg": "Backtest running", + } + + if not ApiServer._bt: + return { + "status": "not_started", + "running": False, + "step": "", + "progress": 0, + "status_msg": "Backtest not yet executed" + } + + return { + "status": "ended", + "running": False, + "status_msg": "Backtest ended", + "step": "finished", + "progress": 1, + "backtest_result": ApiServer._bt.results, + } + + +@router.delete('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest']) +def api_delete_backtest(): + """Reset backtesting""" + if ApiServer._bgtask_running: + return { + "status": "running", + "running": True, + "step": "", + "progress": 0, + "status_msg": "Backtest running", + } + if ApiServer._bt: + del ApiServer._bt + ApiServer._bt = None + del ApiServer._bt_data + ApiServer._bt_data = None + logger.info("Backtesting reset") + return { + "status": "reset", + "running": False, + "step": "", + "progress": 0, + "status_msg": "Backtest reset", + } + + +@router.get('/backtest/abort', response_model=BacktestResponse, tags=['webserver', 'backtest']) +def api_backtest_abort(): + if not ApiServer._bgtask_running: + return { + "status": "not_running", + "running": False, + "step": "", + "progress": 0, + "status_msg": "Backtest ended", + } + ApiServer._bt.abort = True + return { + "status": "stopping", + "running": False, + "step": "", + "progress": 0, + "status_msg": "Backtest ended", + } diff --git a/freqtrade/rpc/api_server/api_schemas.py b/freqtrade/rpc/api_server/api_schemas.py index a0f1c05a6..46187f571 100644 --- a/freqtrade/rpc/api_server/api_schemas.py +++ b/freqtrade/rpc/api_server/api_schemas.py @@ -46,6 +46,12 @@ class Balances(BaseModel): value: float stake: str note: str + starting_capital: float + starting_capital_ratio: float + starting_capital_pct: float + starting_capital_fiat: float + starting_capital_fiat_ratio: float + starting_capital_fiat_pct: float class Count(BaseModel): @@ -67,12 +73,16 @@ class Profit(BaseModel): profit_closed_ratio_mean: float profit_closed_percent_sum: float profit_closed_ratio_sum: float + profit_closed_percent: float + profit_closed_ratio: float profit_closed_fiat: float profit_all_coin: float profit_all_percent_mean: float profit_all_ratio_mean: float profit_all_percent_sum: float profit_all_ratio_sum: float + profit_all_percent: float + profit_all_ratio: float profit_all_fiat: float trade_count: int closed_trade_count: int @@ -115,20 +125,21 @@ class ShowConfig(BaseModel): dry_run: bool stake_currency: str stake_amount: Union[float, str] + available_capital: Optional[float] stake_currency_decimals: int max_open_trades: int minimal_roi: Dict[str, Any] - stoploss: float - trailing_stop: bool + stoploss: Optional[float] + trailing_stop: Optional[bool] trailing_stop_positive: Optional[float] trailing_stop_positive_offset: Optional[float] trailing_only_offset_is_reached: Optional[bool] use_custom_stoploss: Optional[bool] - timeframe: str + timeframe: Optional[str] timeframe_ms: int timeframe_min: int exchange: str - strategy: str + strategy: Optional[str] forcebuy_enabled: bool ask_strategy: Dict[str, Any] bid_strategy: Dict[str, Any] @@ -146,6 +157,7 @@ class TradeSchema(BaseModel): amount_requested: float stake_amount: float strategy: str + buy_tag: Optional[str] timeframe: int fee_open: Optional[float] fee_open_cost: Optional[float] @@ -313,3 +325,25 @@ class PairHistory(BaseModel): json_encoders = { datetime: lambda v: v.strftime(DATETIME_PRINT_FORMAT), } + + +class BacktestRequest(BaseModel): + strategy: str + timeframe: Optional[str] + timeframe_detail: Optional[str] + timerange: Optional[str] + max_open_trades: Optional[int] + stake_amount: Optional[Union[float, str]] + enable_protections: bool + dry_run_wallet: Optional[float] + + +class BacktestResponse(BaseModel): + status: str + running: bool + status_msg: str + step: str + progress: float + trade_count: Optional[float] + # TODO: Properly type backtestresult... + backtest_result: Optional[Dict[str, Any]] diff --git a/freqtrade/rpc/api_server/api_v1.py b/freqtrade/rpc/api_server/api_v1.py index 965664028..7e613f184 100644 --- a/freqtrade/rpc/api_server/api_v1.py +++ b/freqtrade/rpc/api_server/api_v1.py @@ -1,3 +1,4 @@ +import logging from copy import deepcopy from pathlib import Path from typing import List, Optional @@ -22,6 +23,8 @@ from freqtrade.rpc.api_server.deps import get_config, get_rpc, get_rpc_optional from freqtrade.rpc.rpc import RPCException +logger = logging.getLogger(__name__) + # Public API, requires no auth. router_public = APIRouter() # Private API, protected by authentication @@ -196,8 +199,8 @@ def pair_history(pair: str, timeframe: str, timerange: str, strategy: str, config=Depends(get_config)): config = deepcopy(config) config.update({ - 'strategy': strategy, - }) + 'strategy': strategy, + }) return RPC._rpc_analysed_history_full(config, pair, timeframe, timerange) @@ -220,11 +223,11 @@ def list_strategies(config=Depends(get_config)): @router.get('/strategy/{strategy}', response_model=StrategyResponse, tags=['strategy']) def get_strategy(strategy: str, config=Depends(get_config)): - config = deepcopy(config) + config_ = deepcopy(config) from freqtrade.resolvers.strategy_resolver import StrategyResolver try: - strategy_obj = StrategyResolver._load_strategy(strategy, config, - extra_dir=config.get('strategy_path')) + strategy_obj = StrategyResolver._load_strategy(strategy, config_, + extra_dir=config_.get('strategy_path')) except OperationalException: raise HTTPException(status_code=404, detail='Strategy not found') @@ -249,7 +252,7 @@ def list_available_pairs(timeframe: Optional[str] = None, stake_currency: Option pair_interval = sorted(pair_interval, key=lambda x: x[0]) pairs = list({x[0] for x in pair_interval}) - + pairs.sort() result = { 'length': len(pairs), 'pairs': pairs, diff --git a/freqtrade/rpc/api_server/uvicorn_threaded.py b/freqtrade/rpc/api_server/uvicorn_threaded.py index 2f72cb74c..79af659c7 100644 --- a/freqtrade/rpc/api_server/uvicorn_threaded.py +++ b/freqtrade/rpc/api_server/uvicorn_threaded.py @@ -5,6 +5,20 @@ import time import uvicorn +def asyncio_setup() -> None: # pragma: no cover + # Set eventloop for win32 setups + # Reverts a change done in uvicorn 0.15.0 - which now sets the eventloop + # via policy. + import sys + + if sys.version_info >= (3, 8) and sys.platform == "win32": + import asyncio + import selectors + selector = selectors.SelectSelector() + loop = asyncio.SelectorEventLoop(selector) + asyncio.set_event_loop(loop) + + class UvicornServer(uvicorn.Server): """ Multithreaded server - as found in https://github.com/encode/uvicorn/issues/742 @@ -28,12 +42,15 @@ class UvicornServer(uvicorn.Server): try: import uvloop # noqa except ImportError: # pragma: no cover - from uvicorn.loops.asyncio import asyncio_setup + asyncio_setup() else: asyncio.set_event_loop(uvloop.new_event_loop()) - - loop = asyncio.get_event_loop() + try: + loop = asyncio.get_event_loop() + except RuntimeError: + # When running in a thread, we'll not have an eventloop yet. + loop = asyncio.new_event_loop() loop.run_until_complete(self.serve(sockets=sockets)) @contextlib.contextmanager diff --git a/freqtrade/rpc/api_server/web_ui.py b/freqtrade/rpc/api_server/web_ui.py index a8c737e04..b04269c61 100644 --- a/freqtrade/rpc/api_server/web_ui.py +++ b/freqtrade/rpc/api_server/web_ui.py @@ -18,6 +18,27 @@ async def fallback(): return FileResponse(str(Path(__file__).parent / 'ui/fallback_file.html')) +@router_ui.get('/ui_version', include_in_schema=False) +async def ui_version(): + from freqtrade.commands.deploy_commands import read_ui_version + uibase = Path(__file__).parent / 'ui/installed/' + version = read_ui_version(uibase) + + return { + "version": version if version else "not_installed", + } + + +def is_relative_to(path, base) -> bool: + # Helper function simulating behaviour of is_relative_to, which was only added in python 3.9 + try: + path.relative_to(base) + return True + except ValueError: + pass + return False + + @router_ui.get('/{rest_of_path:path}', include_in_schema=False) async def index_html(rest_of_path: str): """ @@ -26,8 +47,11 @@ async def index_html(rest_of_path: str): if rest_of_path.startswith('api') or rest_of_path.startswith('.'): raise HTTPException(status_code=404, detail="Not Found") uibase = Path(__file__).parent / 'ui/installed/' - if (uibase / rest_of_path).is_file(): - return FileResponse(str(uibase / rest_of_path)) + filename = uibase / rest_of_path + # It's security relevant to check "relative_to". + # Without this, Directory-traversal is possible. + if filename.is_file() and is_relative_to(filename, uibase): + return FileResponse(str(filename)) index_file = uibase / 'index.html' if not index_file.is_file(): diff --git a/freqtrade/rpc/api_server/webserver.py b/freqtrade/rpc/api_server/webserver.py index a43d4abe6..235063191 100644 --- a/freqtrade/rpc/api_server/webserver.py +++ b/freqtrade/rpc/api_server/webserver.py @@ -8,6 +8,7 @@ from fastapi import Depends, FastAPI from fastapi.middleware.cors import CORSMiddleware from starlette.responses import JSONResponse +from freqtrade.exceptions import OperationalException from freqtrade.rpc.api_server.uvicorn_threaded import UvicornServer from freqtrade.rpc.rpc import RPC, RPCException, RPCHandler @@ -28,17 +29,37 @@ class FTJSONResponse(JSONResponse): class ApiServer(RPCHandler): + __instance = None + __initialized = False + _rpc: RPC + # Backtesting type: Backtesting + _bt = None + _bt_data = None + _bt_timerange = None + _bt_last_config: Dict[str, Any] = {} _has_rpc: bool = False + _bgtask_running: bool = False _config: Dict[str, Any] = {} - def __init__(self, rpc: RPC, config: Dict[str, Any]) -> None: - super().__init__(rpc, config) - self._server = None + def __new__(cls, *args, **kwargs): + """ + This class is a singleton. + We'll only have one instance of it around. + """ + if ApiServer.__instance is None: + ApiServer.__instance = object.__new__(cls) + ApiServer.__initialized = False + return ApiServer.__instance - ApiServer._rpc = rpc - ApiServer._has_rpc = True + def __init__(self, config: Dict[str, Any], standalone: bool = False) -> None: ApiServer._config = config + if self.__initialized and (standalone or self._standalone): + return + self._standalone: bool = standalone + self._server = None + ApiServer.__initialized = True + api_config = self._config['api_server'] self.app = FastAPI(title="Freqtrade API", @@ -50,12 +71,33 @@ class ApiServer(RPCHandler): self.start_api() + def add_rpc_handler(self, rpc: RPC): + """ + Attach rpc handler + """ + if not self._has_rpc: + ApiServer._rpc = rpc + ApiServer._has_rpc = True + else: + # This should not happen assuming we didn't mess up. + raise OperationalException('RPC Handler already attached.') + def cleanup(self) -> None: """ Cleanup pending module resources """ - if self._server: + ApiServer._has_rpc = False + del ApiServer._rpc + if self._server and not self._standalone: logger.info("Stopping API Server") self._server.cleanup() + @classmethod + def shutdown(cls): + cls.__initialized = False + del cls.__instance + cls.__instance = None + cls._has_rpc = False + cls._rpc = None + def send_msg(self, msg: Dict[str, str]) -> None: pass @@ -68,6 +110,7 @@ class ApiServer(RPCHandler): def configure_app(self, app: FastAPI, config): from freqtrade.rpc.api_server.api_auth import http_basic_or_jwt_token, router_login + from freqtrade.rpc.api_server.api_backtest import router as api_backtest from freqtrade.rpc.api_server.api_v1 import router as api_v1 from freqtrade.rpc.api_server.api_v1 import router_public as api_v1_public from freqtrade.rpc.api_server.web_ui import router_ui @@ -77,6 +120,9 @@ class ApiServer(RPCHandler): app.include_router(api_v1, prefix="/api/v1", dependencies=[Depends(http_basic_or_jwt_token)], ) + app.include_router(api_backtest, prefix="/api/v1", + dependencies=[Depends(http_basic_or_jwt_token)], + ) app.include_router(router_login, prefix="/api/v1", tags=["auth"]) # UI Router MUST be last! app.include_router(router_ui, prefix='') @@ -125,6 +171,9 @@ class ApiServer(RPCHandler): ) try: self._server = UvicornServer(uvconfig) - self._server.run_in_thread() + if self._standalone: + self._server.run() + else: + self._server.run_in_thread() except Exception: logger.exception("Api server failed to start.") diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py index 199e6a7db..f4e82261e 100644 --- a/freqtrade/rpc/fiat_convert.py +++ b/freqtrade/rpc/fiat_convert.py @@ -5,7 +5,7 @@ e.g BTC to USD import datetime import logging -from typing import Dict +from typing import Dict, List from cachetools.ttl import TTLCache from pycoingecko import CoinGeckoAPI @@ -25,8 +25,7 @@ class CryptoToFiatConverter: """ __instance = None _coingekko: CoinGeckoAPI = None - - _cryptomap: Dict = {} + _coinlistings: List[Dict] = [] _backoff: float = 0.0 def __new__(cls): @@ -49,9 +48,8 @@ class CryptoToFiatConverter: def _load_cryptomap(self) -> None: try: - coinlistings = self._coingekko.get_coins_list() - # Create mapping table from symbol to coingekko_id - self._cryptomap = {x['symbol']: x['id'] for x in coinlistings} + # Use list-comprehension to ensure we get a list. + self._coinlistings = [x for x in self._coingekko.get_coins_list()] except RequestException as request_exception: if "429" in str(request_exception): logger.warning( @@ -62,13 +60,31 @@ class CryptoToFiatConverter: # If the request is not a 429 error we want to raise the normal error logger.error( "Could not load FIAT Cryptocurrency map for the following problem: {}".format( - request_exception + request_exception ) ) except (Exception) as exception: logger.error( f"Could not load FIAT Cryptocurrency map for the following problem: {exception}") + def _get_gekko_id(self, crypto_symbol): + if not self._coinlistings: + if self._backoff <= datetime.datetime.now().timestamp(): + self._load_cryptomap() + # Still not loaded. + if not self._coinlistings: + return None + else: + return None + found = [x for x in self._coinlistings if x['symbol'] == crypto_symbol] + if len(found) == 1: + return found[0]['id'] + + if len(found) > 0: + # Wrong! + logger.warning(f"Found multiple mappings in goingekko for {crypto_symbol}.") + return None + def convert_amount(self, crypto_amount: float, crypto_symbol: str, fiat_symbol: str) -> float: """ Convert an amount of crypto-currency to fiat @@ -143,22 +159,14 @@ class CryptoToFiatConverter: if crypto_symbol == fiat_symbol: return 1.0 - if self._cryptomap == {}: - if self._backoff <= datetime.datetime.now().timestamp(): - self._load_cryptomap() - # return 0.0 if we still don't have data to check, no reason to proceed - if self._cryptomap == {}: - return 0.0 - else: - return 0.0 + _gekko_id = self._get_gekko_id(crypto_symbol) - if crypto_symbol not in self._cryptomap: + if not _gekko_id: # return 0 for unsupported stake currencies (fiat-convert should not break the bot) logger.warning("unsupported crypto-symbol %s - returning 0.0", crypto_symbol) return 0.0 try: - _gekko_id = self._cryptomap[crypto_symbol] return float( self._coingekko.get_price( ids=_gekko_id, diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py index 538e95f40..f6599b429 100644 --- a/freqtrade/rpc/rpc.py +++ b/freqtrade/rpc/rpc.py @@ -106,6 +106,7 @@ class RPC: 'stake_currency': config['stake_currency'], 'stake_currency_decimals': decimals_per_coin(config['stake_currency']), 'stake_amount': config['stake_amount'], + 'available_capital': config.get('available_capital'), 'max_open_trades': (config['max_open_trades'] if config['max_open_trades'] != float('inf') else -1), 'minimal_roi': config['minimal_roi'].copy() if 'minimal_roi' in config else {}, @@ -118,9 +119,9 @@ class RPC: 'bot_name': config.get('bot_name', 'freqtrade'), 'timeframe': config.get('timeframe'), 'timeframe_ms': timeframe_to_msecs(config['timeframe'] - ) if 'timeframe' in config else '', + ) if 'timeframe' in config else 0, 'timeframe_min': timeframe_to_minutes(config['timeframe'] - ) if 'timeframe' in config else '', + ) if 'timeframe' in config else 0, 'exchange': config['exchange']['name'], 'strategy': config['strategy'], 'forcebuy_enabled': config.get('forcebuy_enable', False), @@ -153,7 +154,8 @@ class RPC: # calculate profit and send message to user if trade.is_open: try: - current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False) + current_rate = self._freqtrade.exchange.get_rate( + trade.pair, refresh=False, side="sell") except (ExchangeError, PricingError): current_rate = NAN else: @@ -212,7 +214,8 @@ class RPC: for trade in trades: # calculate profit and send message to user try: - current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False) + current_rate = self._freqtrade.exchange.get_rate( + trade.pair, refresh=False, side="sell") except (PricingError, ExchangeError): current_rate = NAN trade_percent = (100 * trade.calc_profit_ratio(current_rate)) @@ -271,10 +274,10 @@ class RPC: 'date': key, 'abs_profit': value["amount"], 'fiat_value': self._fiat_converter.convert_amount( - value['amount'], - stake_currency, - fiat_display_currency - ) if self._fiat_converter else 0, + value['amount'], + stake_currency, + fiat_display_currency + ) if self._fiat_converter else 0, 'trade_count': value["trades"], } for key, value in profit_days.items() @@ -371,7 +374,8 @@ class RPC: else: # Get current rate try: - current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False) + current_rate = self._freqtrade.exchange.get_rate( + trade.pair, refresh=False, side="sell") except (PricingError, ExchangeError): current_rate = NAN profit_ratio = trade.calc_profit_ratio(rate=current_rate) @@ -396,7 +400,15 @@ class RPC: profit_all_coin_sum = round(sum(profit_all_coin), 8) profit_all_ratio_mean = float(mean(profit_all_ratio) if profit_all_ratio else 0.0) + # Doing the sum is not right - overall profit needs to be based on initial capital profit_all_ratio_sum = sum(profit_all_ratio) if profit_all_ratio else 0.0 + starting_balance = self._freqtrade.wallets.get_starting_balance() + profit_closed_ratio_fromstart = 0 + profit_all_ratio_fromstart = 0 + if starting_balance: + profit_closed_ratio_fromstart = profit_closed_coin_sum / starting_balance + profit_all_ratio_fromstart = profit_all_coin_sum / starting_balance + profit_all_fiat = self._fiat_converter.convert_amount( profit_all_coin_sum, stake_currency, @@ -412,12 +424,16 @@ class RPC: 'profit_closed_ratio_mean': profit_closed_ratio_mean, 'profit_closed_percent_sum': round(profit_closed_ratio_sum * 100, 2), 'profit_closed_ratio_sum': profit_closed_ratio_sum, + 'profit_closed_ratio': profit_closed_ratio_fromstart, + 'profit_closed_percent': round(profit_closed_ratio_fromstart * 100, 2), 'profit_closed_fiat': profit_closed_fiat, 'profit_all_coin': profit_all_coin_sum, 'profit_all_percent_mean': round(profit_all_ratio_mean * 100, 2), 'profit_all_ratio_mean': profit_all_ratio_mean, 'profit_all_percent_sum': round(profit_all_ratio_sum * 100, 2), 'profit_all_ratio_sum': profit_all_ratio_sum, + 'profit_all_ratio': profit_all_ratio_fromstart, + 'profit_all_percent': round(profit_all_ratio_fromstart * 100, 2), 'profit_all_fiat': profit_all_fiat, 'trade_count': len(trades), 'closed_trade_count': len([t for t in trades if not t.is_open]), @@ -442,6 +458,9 @@ class RPC: raise RPCException('Error getting current tickers.') self._freqtrade.wallets.update(require_update=False) + starting_capital = self._freqtrade.wallets.get_starting_balance() + starting_cap_fiat = self._fiat_converter.convert_amount( + starting_capital, stake_currency, fiat_display_currency) if self._fiat_converter else 0 for coin, balance in self._freqtrade.wallets.get_all_balances().items(): if not balance.total: @@ -477,15 +496,25 @@ class RPC: else: raise RPCException('All balances are zero.') - symbol = fiat_display_currency - value = self._fiat_converter.convert_amount(total, stake_currency, - symbol) if self._fiat_converter else 0 + value = self._fiat_converter.convert_amount( + total, stake_currency, fiat_display_currency) if self._fiat_converter else 0 + + starting_capital_ratio = 0.0 + starting_capital_ratio = (total / starting_capital) - 1 if starting_capital else 0.0 + starting_cap_fiat_ratio = (value / starting_cap_fiat) - 1 if starting_cap_fiat else 0.0 + return { 'currencies': output, 'total': total, - 'symbol': symbol, + 'symbol': fiat_display_currency, 'value': value, 'stake': stake_currency, + 'starting_capital': starting_capital, + 'starting_capital_ratio': starting_capital_ratio, + 'starting_capital_pct': round(starting_capital_ratio * 100, 2), + 'starting_capital_fiat': starting_cap_fiat, + 'starting_capital_fiat_ratio': starting_cap_fiat_ratio, + 'starting_capital_fiat_pct': round(starting_cap_fiat_ratio * 100, 2), 'note': 'Simulated balances' if self._freqtrade.config['dry_run'] else '' } @@ -532,24 +561,25 @@ class RPC: order = self._freqtrade.exchange.fetch_order(trade.open_order_id, trade.pair) if order['side'] == 'buy': - fully_canceled = self._freqtrade.handle_cancel_buy( + fully_canceled = self._freqtrade.handle_cancel_enter( trade, order, CANCEL_REASON['FORCE_SELL']) if order['side'] == 'sell': # Cancel order - so it is placed anew with a fresh price. - self._freqtrade.handle_cancel_sell(trade, order, CANCEL_REASON['FORCE_SELL']) + self._freqtrade.handle_cancel_exit(trade, order, CANCEL_REASON['FORCE_SELL']) if not fully_canceled: # Get current rate and execute sell - current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False) + current_rate = self._freqtrade.exchange.get_rate( + trade.pair, refresh=False, side="sell") sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL) - self._freqtrade.execute_sell(trade, current_rate, sell_reason) + self._freqtrade.execute_trade_exit(trade, current_rate, sell_reason) # ---- EOF def _exec_forcesell ---- if self._freqtrade.state != State.RUNNING: raise RPCException('trader is not running') - with self._freqtrade._sell_lock: + with self._freqtrade._exit_lock: if trade_id == 'all': # Execute sell for all open orders for trade in Trade.get_open_trades(): @@ -599,7 +629,7 @@ class RPC: stakeamount = self._freqtrade.wallets.get_trade_stake_amount(pair) # execute buy - if self._freqtrade.execute_buy(pair, stakeamount, price, forcebuy=True): + if self._freqtrade.execute_entry(pair, stakeamount, price, forcebuy=True): Trade.commit() trade = Trade.get_trades([Trade.is_open.is_(True), Trade.pair == pair]).first() return trade @@ -611,7 +641,7 @@ class RPC: Handler for delete . Delete the given trade and close eventually existing open orders. """ - with self._freqtrade._sell_lock: + with self._freqtrade._exit_lock: c_count = 0 trade = Trade.get_trades(trade_filter=[Trade.id == trade_id]).first() if not trade: @@ -761,8 +791,8 @@ class RPC: sell_signals = 0 if has_content: - dataframe.loc[:, '__date_ts'] = dataframe.loc[:, 'date'].astype(int64) // 1000 // 1000 - # Move open to seperate column when signal for easy plotting + dataframe.loc[:, '__date_ts'] = dataframe.loc[:, 'date'].view(int64) // 1000 // 1000 + # Move open to separate column when signal for easy plotting if 'buy' in dataframe.columns: buy_mask = (dataframe['buy'] == 1) buy_signals = int(buy_mask.sum()) diff --git a/freqtrade/rpc/rpc_manager.py b/freqtrade/rpc/rpc_manager.py index 18ed68041..8085ece94 100644 --- a/freqtrade/rpc/rpc_manager.py +++ b/freqtrade/rpc/rpc_manager.py @@ -1,5 +1,5 @@ """ -This module contains class to manage RPC communications (Telegram, Slack, ...) +This module contains class to manage RPC communications (Telegram, API, ...) """ import logging from typing import Any, Dict, List @@ -13,8 +13,9 @@ logger = logging.getLogger(__name__) class RPCManager: """ - Class to manage RPC objects (Telegram, Slack, ...) + Class to manage RPC objects (Telegram, API, ...) """ + def __init__(self, freqtrade) -> None: """ Initializes all enabled rpc modules """ self.registered_modules: List[RPCHandler] = [] @@ -36,15 +37,16 @@ class RPCManager: if config.get('api_server', {}).get('enabled', False): logger.info('Enabling rpc.api_server') from freqtrade.rpc.api_server import ApiServer - - self.registered_modules.append(ApiServer(self._rpc, config)) + apiserver = ApiServer(config) + apiserver.add_rpc_handler(self._rpc) + self.registered_modules.append(apiserver) def cleanup(self) -> None: """ Stops all enabled rpc modules """ logger.info('Cleaning up rpc modules ...') while self.registered_modules: mod = self.registered_modules.pop() - logger.debug('Cleaning up rpc.%s ...', mod.name) + logger.info('Cleaning up rpc.%s ...', mod.name) mod.cleanup() del mod diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index d857e46a9..059ba9c41 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -24,7 +24,7 @@ from freqtrade.__init__ import __version__ from freqtrade.constants import DUST_PER_COIN from freqtrade.enums import RPCMessageType from freqtrade.exceptions import OperationalException -from freqtrade.misc import chunks, round_coin_value +from freqtrade.misc import chunks, plural, round_coin_value from freqtrade.rpc import RPC, RPCException, RPCHandler @@ -77,7 +77,6 @@ class Telegram(RPCHandler): """ This class handles all telegram communication """ def __init__(self, rpc: RPC, config: Dict[str, Any]) -> None: - """ Init the Telegram call, and init the super class RPCHandler :param rpc: instance of RPC Helper class @@ -208,15 +207,25 @@ class Telegram(RPCHandler): else: msg['stake_amount_fiat'] = 0 - message = (f"\N{LARGE BLUE CIRCLE} *{msg['exchange']}:* Buying {msg['pair']}" - f" (#{msg['trade_id']})\n" - f"*Amount:* `{msg['amount']:.8f}`\n" - f"*Open Rate:* `{msg['limit']:.8f}`\n" - f"*Current Rate:* `{msg['current_rate']:.8f}`\n" - f"*Total:* `({round_coin_value(msg['stake_amount'], msg['stake_currency'])}") - + content = [] + content.append( + f"\N{LARGE BLUE CIRCLE} *{msg['exchange']}:* Buying {msg['pair']}" + f" (#{msg['trade_id']})\n" + ) + if msg.get('buy_tag', None): + content.append(f"*Buy Tag:* `{msg['buy_tag']}`\n") + content.append(f"*Amount:* `{msg['amount']:.8f}`\n") + content.append(f"*Open Rate:* `{msg['limit']:.8f}`\n") + content.append(f"*Current Rate:* `{msg['current_rate']:.8f}`\n") + content.append( + f"*Total:* `({round_coin_value(msg['stake_amount'], msg['stake_currency'])}" + ) if msg.get('fiat_currency', None): - message += f", {round_coin_value(msg['stake_amount_fiat'], msg['fiat_currency'])}" + content.append( + f", {round_coin_value(msg['stake_amount_fiat'], msg['fiat_currency'])}" + ) + + message = ''.join(content) message += ")`" return message @@ -251,29 +260,7 @@ class Telegram(RPCHandler): return message - def send_msg(self, msg: Dict[str, Any]) -> None: - """ Send a message to telegram channel """ - - default_noti = 'on' - - msg_type = msg['type'] - noti = '' - if msg_type == RPCMessageType.SELL: - sell_noti = self._config['telegram'] \ - .get('notification_settings', {}).get(str(msg_type), {}) - # For backward compatibility sell still can be string - if isinstance(sell_noti, str): - noti = sell_noti - else: - noti = sell_noti.get(str(msg['sell_reason']), default_noti) - else: - noti = self._config['telegram'] \ - .get('notification_settings', {}).get(str(msg_type), default_noti) - - if noti == 'off': - logger.info(f"Notification '{msg_type}' not sent.") - # Notification disabled - return + def compose_message(self, msg: Dict[str, Any], msg_type: RPCMessageType) -> str: if msg_type == RPCMessageType.BUY: message = self._format_buy_msg(msg) @@ -294,7 +281,16 @@ class Telegram(RPCHandler): "for {close_rate}.".format(**msg)) elif msg_type == RPCMessageType.SELL: message = self._format_sell_msg(msg) - + elif msg_type == RPCMessageType.PROTECTION_TRIGGER: + message = ( + "*Protection* triggered due to {reason}. " + "`{pair}` will be locked until `{lock_end_time}`." + ).format(**msg) + elif msg_type == RPCMessageType.PROTECTION_TRIGGER_GLOBAL: + message = ( + "*Protection* triggered due to {reason}. " + "*All pairs* will be locked until `{lock_end_time}`." + ).format(**msg) elif msg_type == RPCMessageType.STATUS: message = '*Status:* `{status}`'.format(**msg) @@ -306,6 +302,33 @@ class Telegram(RPCHandler): else: raise NotImplementedError('Unknown message type: {}'.format(msg_type)) + return message + + def send_msg(self, msg: Dict[str, Any]) -> None: + """ Send a message to telegram channel """ + + default_noti = 'on' + + msg_type = msg['type'] + noti = '' + if msg_type == RPCMessageType.SELL: + sell_noti = self._config['telegram'] \ + .get('notification_settings', {}).get(str(msg_type), {}) + # For backward compatibility sell still can be string + if isinstance(sell_noti, str): + noti = sell_noti + else: + noti = sell_noti.get(str(msg['sell_reason']), default_noti) + else: + noti = self._config['telegram'] \ + .get('notification_settings', {}).get(str(msg_type), default_noti) + + if noti == 'off': + logger.info(f"Notification '{msg_type}' not sent.") + # Notification disabled + return + + message = self.compose_message(msg, msg_type) self._send_msg(message, disable_notification=(noti == 'silent')) @@ -354,6 +377,7 @@ class Telegram(RPCHandler): "*Trade ID:* `{trade_id}` `(since {open_date_hum})`", "*Current Pair:* {pair}", "*Amount:* `{amount} ({stake_amount} {base_currency})`", + "*Buy Tag:* `{buy_tag}`" if r['buy_tag'] else "", "*Open Rate:* `{open_rate:.8f}`", "*Close Rate:* `{close_rate}`" if r['close_rate'] else "", "*Current Rate:* `{current_rate:.8f}`", @@ -494,11 +518,11 @@ class Telegram(RPCHandler): start_date) profit_closed_coin = stats['profit_closed_coin'] profit_closed_percent_mean = stats['profit_closed_percent_mean'] - profit_closed_percent_sum = stats['profit_closed_percent_sum'] + profit_closed_percent = stats['profit_closed_percent'] profit_closed_fiat = stats['profit_closed_fiat'] profit_all_coin = stats['profit_all_coin'] profit_all_percent_mean = stats['profit_all_percent_mean'] - profit_all_percent_sum = stats['profit_all_percent_sum'] + profit_all_percent = stats['profit_all_percent'] profit_all_fiat = stats['profit_all_fiat'] trade_count = stats['trade_count'] first_trade_date = stats['first_trade_date'] @@ -514,7 +538,7 @@ class Telegram(RPCHandler): markdown_msg = ("*ROI:* Closed trades\n" f"∙ `{round_coin_value(profit_closed_coin, stake_cur)} " f"({profit_closed_percent_mean:.2f}%) " - f"({profit_closed_percent_sum} \N{GREEK CAPITAL LETTER SIGMA}%)`\n" + f"({profit_closed_percent} \N{GREEK CAPITAL LETTER SIGMA}%)`\n" f"∙ `{round_coin_value(profit_closed_fiat, fiat_disp_cur)}`\n") else: markdown_msg = "`No closed trade` \n" @@ -523,14 +547,14 @@ class Telegram(RPCHandler): f"*ROI:* All trades\n" f"∙ `{round_coin_value(profit_all_coin, stake_cur)} " f"({profit_all_percent_mean:.2f}%) " - f"({profit_all_percent_sum} \N{GREEK CAPITAL LETTER SIGMA}%)`\n" + f"({profit_all_percent} \N{GREEK CAPITAL LETTER SIGMA}%)`\n" f"∙ `{round_coin_value(profit_all_fiat, fiat_disp_cur)}`\n" f"*Total Trade Count:* `{trade_count}`\n" f"*{'First Trade opened' if not timescale else 'Showing Profit since'}:* " f"`{first_trade_date}`\n" f"*Latest Trade opened:* `{latest_trade_date}\n`" f"*Win / Loss:* `{stats['winning_trades']} / {stats['losing_trades']}`" - ) + ) if stats['closed_trade_count'] > 0: markdown_msg += (f"\n*Avg. Duration:* `{avg_duration}`\n" f"*Best Performing:* `{best_pair}: {best_rate:.2f}%`") @@ -565,13 +589,14 @@ class Telegram(RPCHandler): sell_reasons_msg = tabulate( sell_reasons_tabulate, headers=['Sell Reason', 'Sells', 'Wins', 'Losses'] - ) + ) durations = stats['durations'] - duration_msg = tabulate([ - ['Wins', str(timedelta(seconds=durations['wins'])) - if durations['wins'] != 'N/A' else 'N/A'], - ['Losses', str(timedelta(seconds=durations['losses'])) - if durations['losses'] != 'N/A' else 'N/A'] + duration_msg = tabulate( + [ + ['Wins', str(timedelta(seconds=durations['wins'])) + if durations['wins'] != 'N/A' else 'N/A'], + ['Losses', str(timedelta(seconds=durations['losses'])) + if durations['losses'] != 'N/A' else 'N/A'] ], headers=['', 'Avg. Duration'] ) @@ -592,13 +617,19 @@ class Telegram(RPCHandler): output = '' if self._config['dry_run']: - output += ( - f"*Warning:* Simulated balances in Dry Mode.\n" - "This mode is still experimental!\n" - "Starting capital: " - f"`{self._config['dry_run_wallet']}` {self._config['stake_currency']}.\n" - ) + output += "*Warning:* Simulated balances in Dry Mode.\n" + + output += ("Starting capital: " + f"`{result['starting_capital']}` {self._config['stake_currency']}" + ) + output += (f" `{result['starting_capital_fiat']}` " + f"{self._config['fiat_display_currency']}.\n" + ) if result['starting_capital_fiat'] > 0 else '.\n' + + total_dust_balance = 0 + total_dust_currencies = 0 for curr in result['currencies']: + curr_output = '' if curr['est_stake'] > balance_dust_level: curr_output = ( f"*{curr['currency']}:*\n" @@ -607,9 +638,9 @@ class Telegram(RPCHandler): f"\t`Pending: {curr['used']:.8f}`\n" f"\t`Est. {curr['stake']}: " f"{round_coin_value(curr['est_stake'], curr['stake'], False)}`\n") - else: - curr_output = (f"*{curr['currency']}:* not showing <{balance_dust_level} " - f"{curr['stake']} amount \n") + elif curr['est_stake'] <= balance_dust_level: + total_dust_balance += curr['est_stake'] + total_dust_currencies += 1 # Handle overflowing message length if len(output + curr_output) >= MAX_TELEGRAM_MESSAGE_LENGTH: @@ -618,10 +649,21 @@ class Telegram(RPCHandler): else: output += curr_output + if total_dust_balance > 0: + output += ( + f"*{total_dust_currencies} Other " + f"{plural(total_dust_currencies, 'Currency', 'Currencies')} " + f"(< {balance_dust_level} {result['stake']}):*\n" + f"\t`Est. {result['stake']}: " + f"{round_coin_value(total_dust_balance, result['stake'], False)}`\n") + output += ("\n*Estimated Value*:\n" - f"\t`{result['stake']}: {result['total']: .8f}`\n" + f"\t`{result['stake']}: " + f"{round_coin_value(result['total'], result['stake'], False)}`" + f" `({result['starting_capital_pct']}%)`\n" f"\t`{result['symbol']}: " - f"{round_coin_value(result['value'], result['symbol'], False)}`\n") + f"{round_coin_value(result['value'], result['symbol'], False)}`" + f" `({result['starting_capital_fiat_pct']}%)`\n") self._send_msg(output, reload_able=True, callback_path="update_balance", query=update.callback_query) except RPCException as e: @@ -1078,7 +1120,7 @@ class Telegram(RPCHandler): if reload_able: reply_markup = InlineKeyboardMarkup([ [InlineKeyboardButton("Refresh", callback_data=callback_path)], - ]) + ]) else: reply_markup = InlineKeyboardMarkup([[]]) msg += "\nUpdated: {}".format(datetime.now().ctime()) diff --git a/freqtrade/strategy/__init__.py b/freqtrade/strategy/__init__.py index bd49165df..2ea0ad2b4 100644 --- a/freqtrade/strategy/__init__.py +++ b/freqtrade/strategy/__init__.py @@ -1,7 +1,9 @@ # flake8: noqa: F401 from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date, timeframe_to_prev_date, timeframe_to_seconds) -from freqtrade.strategy.hyper import (CategoricalParameter, DecimalParameter, IntParameter, - RealParameter) +from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter, + IntParameter, RealParameter) +from freqtrade.strategy.informative_decorator import informative from freqtrade.strategy.interface import IStrategy -from freqtrade.strategy.strategy_helper import merge_informative_pair, stoploss_from_open +from freqtrade.strategy.strategy_helper import (merge_informative_pair, stoploss_from_absolute, + stoploss_from_open) diff --git a/freqtrade/strategy/hyper.py b/freqtrade/strategy/hyper.py index fa3384660..dad282d7e 100644 --- a/freqtrade/strategy/hyper.py +++ b/freqtrade/strategy/hyper.py @@ -270,6 +270,28 @@ class CategoricalParameter(BaseParameter): return [self.value] +class BooleanParameter(CategoricalParameter): + + def __init__(self, *, default: Optional[Any] = None, + space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): + """ + Initialize hyperopt-optimizable Boolean Parameter. + It's a shortcut to `CategoricalParameter([True, False])`. + :param default: A default value. If not specified, first item from specified space will be + used. + :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if + parameter field + name is prefixed with 'buy_' or 'sell_'. + :param optimize: Include parameter in hyperopt optimizations. + :param load: Load parameter value from {space}_params. + :param kwargs: Extra parameters to skopt.space.Categorical. + """ + + categories = [True, False] + super().__init__(categories=categories, default=default, space=space, optimize=optimize, + load=load, **kwargs) + + class HyperStrategyMixin(object): """ A helper base class which allows HyperOptAuto class to reuse implementations of buy/sell @@ -283,6 +305,7 @@ class HyperStrategyMixin(object): self.config = config self.ft_buy_params: List[BaseParameter] = [] self.ft_sell_params: List[BaseParameter] = [] + self.ft_protection_params: List[BaseParameter] = [] self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT) @@ -292,11 +315,12 @@ class HyperStrategyMixin(object): :param category: :return: """ - if category not in ('buy', 'sell', None): - raise OperationalException('Category must be one of: "buy", "sell", None.') + 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 + params = self.ft_buy_params + self.ft_sell_params + self.ft_protection_params else: params = getattr(self, f"ft_{category}_params") @@ -324,9 +348,10 @@ class HyperStrategyMixin(object): params: Dict = { 'buy': list(cls.detect_parameters('buy')), 'sell': list(cls.detect_parameters('sell')), + 'protection': list(cls.detect_parameters('protection')), } params.update({ - 'count': len(params['buy'] + params['sell']) + 'count': len(params['buy'] + params['sell'] + params['protection']) }) return params @@ -338,11 +363,14 @@ class HyperStrategyMixin(object): params = self.load_params_from_file() params = params.get('params', {}) self._ft_params_from_file = params - buy_params = deep_merge_dicts(params.get('buy', {}), getattr(self, 'buy_params', None)) - sell_params = deep_merge_dicts(params.get('sell', {}), getattr(self, 'sell_params', None)) + buy_params = deep_merge_dicts(params.get('buy', {}), getattr(self, 'buy_params', {})) + sell_params = deep_merge_dicts(params.get('sell', {}), getattr(self, 'sell_params', {})) + protection_params = deep_merge_dicts(params.get('protection', {}), + getattr(self, 'protection_params', {})) self._load_params(buy_params, 'buy', hyperopt) self._load_params(sell_params, 'sell', hyperopt) + self._load_params(protection_params, 'protection', hyperopt) def load_params_from_file(self) -> Dict: filename_str = getattr(self, '__file__', '') @@ -397,7 +425,8 @@ class HyperStrategyMixin(object): """ params = { 'buy': {}, - 'sell': {} + 'sell': {}, + 'protection': {}, } for name, p in self.enumerate_parameters(): if not p.optimize or not p.in_space: diff --git a/freqtrade/strategy/informative_decorator.py b/freqtrade/strategy/informative_decorator.py new file mode 100644 index 000000000..4c5f21108 --- /dev/null +++ b/freqtrade/strategy/informative_decorator.py @@ -0,0 +1,128 @@ +from typing import Any, Callable, NamedTuple, Optional, Union + +from pandas import DataFrame + +from freqtrade.exceptions import OperationalException +from freqtrade.strategy.strategy_helper import merge_informative_pair + + +PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] + + +class InformativeData(NamedTuple): + asset: Optional[str] + timeframe: str + fmt: Union[str, Callable[[Any], str], None] + ffill: bool + + +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[Any], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{quote}_{column}_{timeframe} if asset is specified. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ + _asset = asset + _timeframe = timeframe + _fmt = fmt + _ffill = ffill + + def decorator(fn: PopulateIndicators): + informative_pairs = getattr(fn, '_ft_informative', []) + informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) + setattr(fn, '_ft_informative', informative_pairs) + return fn + return decorator + + +def _format_pair_name(config, pair: str) -> str: + return pair.format(stake_currency=config['stake_currency'], + stake=config['stake_currency']).upper() + + +def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, + inf_data: InformativeData, + populate_indicators: PopulateIndicators): + asset = inf_data.asset or '' + timeframe = inf_data.timeframe + fmt = inf_data.fmt + config = strategy.config + + if asset: + # Insert stake currency if needed. + asset = _format_pair_name(config, asset) + else: + # Not specifying an asset will define informative dataframe for current pair. + asset = metadata['pair'] + + if '/' in asset: + base, quote = asset.split('/') + else: + # When futures are supported this may need reevaluation. + # base, quote = asset, '' + raise OperationalException('Not implemented.') + + # Default format. This optimizes for the common case: informative pairs using same stake + # currency. When quote currency matches stake currency, column name will omit base currency. + # This allows easily reconfiguring strategy to use different base currency. In a rare case + # where it is desired to keep quote currency in column name at all times user should specify + # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. + if not fmt: + fmt = '{column}_{timeframe}' # Informatives of current pair + if inf_data.asset: + fmt = '{base}_{quote}_' + fmt # Informatives of other pairs + + inf_metadata = {'pair': asset, 'timeframe': timeframe} + inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) + inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) + + formatter: Any = None + if callable(fmt): + formatter = fmt # A custom user-specified formatter function. + else: + formatter = fmt.format # A default string formatter. + + fmt_args = { + 'BASE': base.upper(), + 'QUOTE': quote.upper(), + 'base': base.lower(), + 'quote': quote.lower(), + 'asset': asset, + 'timeframe': timeframe, + } + inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), + inplace=True) + + date_column = formatter(column='date', **fmt_args) + if date_column in dataframe.columns: + raise OperationalException(f'Duplicate column name {date_column} exists in ' + f'dataframe! Ensure column names are unique!') + dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, + ffill=inf_data.ffill, append_timeframe=False, + date_column=date_column) + return dataframe diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 26bcb0369..7420bd9fd 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -13,12 +13,15 @@ from pandas import DataFrame from freqtrade.constants import ListPairsWithTimeframes from freqtrade.data.dataprovider import DataProvider -from freqtrade.enums import SellType, SignalType +from freqtrade.enums import SellType, SignalTagType, SignalType from freqtrade.exceptions import OperationalException, StrategyError from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.exchange.exchange import timeframe_to_next_date from freqtrade.persistence import PairLocks, Trade from freqtrade.strategy.hyper import HyperStrategyMixin +from freqtrade.strategy.informative_decorator import (InformativeData, PopulateIndicators, + _create_and_merge_informative_pair, + _format_pair_name) from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.wallets import Wallets @@ -118,8 +121,10 @@ class IStrategy(ABC, HyperStrategyMixin): # Class level variables (intentional) containing # the dataprovider (dp) (access to other candles, historic data, ...) # and wallets - access to the current balance. - dp: Optional[DataProvider] = None + dp: Optional[DataProvider] wallets: Optional[Wallets] = None + # Filled from configuration + stake_currency: str # container variable for strategy source code __source__: str = '' @@ -132,6 +137,24 @@ class IStrategy(ABC, HyperStrategyMixin): self._last_candle_seen_per_pair: Dict[str, datetime] = {} super().__init__(config) + # Gather informative pairs from @informative-decorated methods. + self._ft_informative: List[Tuple[InformativeData, PopulateIndicators]] = [] + for attr_name in dir(self.__class__): + cls_method = getattr(self.__class__, attr_name) + if not callable(cls_method): + continue + informative_data_list = getattr(cls_method, '_ft_informative', None) + if not isinstance(informative_data_list, list): + # Type check is required because mocker would return a mock object that evaluates to + # True, confusing this code. + continue + strategy_timeframe_minutes = timeframe_to_minutes(self.timeframe) + for informative_data in informative_data_list: + if timeframe_to_minutes(informative_data.timeframe) < strategy_timeframe_minutes: + raise OperationalException('Informative timeframe must be equal or higher than ' + 'strategy timeframe!') + self._ft_informative.append((informative_data, cls_method)) + @abstractmethod def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ @@ -280,6 +303,43 @@ class IStrategy(ABC, HyperStrategyMixin): """ return self.stoploss + def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float, + **kwargs) -> float: + """ + Custom entry price logic, returning the new entry price. + + For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/ + + When not implemented by a strategy, returns None, orderbook is used to set entry price + + :param pair: Pair that's currently analyzed + :param current_time: datetime object, containing the current datetime + :param proposed_rate: Rate, calculated based on pricing settings in ask_strategy. + :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. + :return float: New entry price value if provided + """ + return proposed_rate + + def custom_exit_price(self, pair: str, trade: Trade, + current_time: datetime, proposed_rate: float, + current_profit: float, **kwargs) -> float: + """ + Custom exit price logic, returning the new exit price. + + For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/ + + When not implemented by a strategy, returns None, orderbook is used to set exit price + + :param pair: Pair that's currently analyzed + :param trade: trade object. + :param current_time: datetime object, containing the current datetime + :param proposed_rate: Rate, calculated based on pricing settings in ask_strategy. + :param current_profit: Current profit (as ratio), calculated based on current_rate. + :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. + :return float: New exit price value if provided + """ + return proposed_rate + def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> Optional[Union[str, bool]]: """ @@ -288,10 +348,10 @@ class IStrategy(ABC, HyperStrategyMixin): time. This method is not called when sell signal is set. This method should be overridden to create sell signals that depend on trade parameters. For - example you could implement a stoploss relative to candle when trade was opened, or a custom - 1:2 risk-reward ROI. + example you could implement a sell relative to the candle when the trade was opened, + or a custom 1:2 risk-reward ROI. - Custom sell reason max length is 64. Exceeding this limit will raise OperationalException. + Custom sell reason max length is 64. Exceeding characters will be removed. :param pair: Pair that's currently analyzed :param trade: trade object. @@ -304,6 +364,23 @@ class IStrategy(ABC, HyperStrategyMixin): """ return None + def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float, + proposed_stake: float, min_stake: float, max_stake: float, + **kwargs) -> float: + """ + Customize stake size for each new trade. This method is not called when edge module is + enabled. + + :param pair: Pair that's currently analyzed + :param current_time: datetime object, containing the current datetime + :param current_rate: Rate, calculated based on pricing settings in ask_strategy. + :param proposed_stake: A stake amount proposed by the bot. + :param min_stake: Minimal stake size allowed by exchange. + :param max_stake: Balance available for trading. + :return: A stake size, which is between min_stake and max_stake. + """ + return proposed_stake + def informative_pairs(self) -> ListPairsWithTimeframes: """ Define additional, informative pair/interval combinations to be cached from the exchange. @@ -321,6 +398,23 @@ class IStrategy(ABC, HyperStrategyMixin): # END - Intended to be overridden by strategy ### + def gather_informative_pairs(self) -> ListPairsWithTimeframes: + """ + Internal method which gathers all informative pairs (user or automatically defined). + """ + informative_pairs = self.informative_pairs() + for inf_data, _ in self._ft_informative: + if inf_data.asset: + pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe) + informative_pairs.append(pair_tf) + else: + if not self.dp: + raise OperationalException('@informative decorator with unspecified asset ' + 'requires DataProvider instance.') + for pair in self.dp.current_whitelist(): + informative_pairs.append((pair, inf_data.timeframe)) + return list(set(informative_pairs)) + def get_strategy_name(self) -> str: """ Returns strategy class name @@ -405,6 +499,7 @@ class IStrategy(ABC, HyperStrategyMixin): logger.debug("Skipping TA Analysis for already analyzed candle") dataframe['buy'] = 0 dataframe['sell'] = 0 + dataframe['buy_tag'] = None # Other Defs in strategy that want to be called every loop here # twitter_sell = self.watch_twitter_feed(dataframe, metadata) @@ -465,8 +560,6 @@ class IStrategy(ABC, HyperStrategyMixin): message = "No dataframe returned (return statement missing?)." elif 'buy' not in dataframe: message = "Buy column not set." - elif 'sell' not in dataframe: - message = "Sell column not set." elif df_len != len(dataframe): message = message_template.format("length") elif df_close != dataframe["close"].iloc[-1]: @@ -479,7 +572,12 @@ class IStrategy(ABC, HyperStrategyMixin): else: raise StrategyError(message) - def get_signal(self, pair: str, timeframe: str, dataframe: DataFrame) -> Tuple[bool, bool]: + def get_signal( + self, + pair: str, + timeframe: str, + dataframe: DataFrame + ) -> Tuple[bool, bool, Optional[str]]: """ Calculates current signal based based on the buy / sell columns of the dataframe. Used by Bot to get the signal to buy or sell @@ -490,7 +588,7 @@ class IStrategy(ABC, HyperStrategyMixin): """ if not isinstance(dataframe, DataFrame) or dataframe.empty: logger.warning(f'Empty candle (OHLCV) data for pair {pair}') - return False, False + return False, False, None latest_date = dataframe['date'].max() latest = dataframe.loc[dataframe['date'] == latest_date].iloc[-1] @@ -505,9 +603,16 @@ class IStrategy(ABC, HyperStrategyMixin): 'Outdated history for pair %s. Last tick is %s minutes old', pair, int((arrow.utcnow() - latest_date).total_seconds() // 60) ) - return False, False + return False, False, None + + buy = latest[SignalType.BUY.value] == 1 + + sell = False + if SignalType.SELL.value in latest: + sell = latest[SignalType.SELL.value] == 1 + + buy_tag = latest.get(SignalTagType.BUY_TAG.value, None) - (buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1 logger.debug('trigger: %s (pair=%s) buy=%s sell=%s', latest['date'], pair, str(buy), str(sell)) timeframe_seconds = timeframe_to_seconds(timeframe) @@ -515,8 +620,8 @@ class IStrategy(ABC, HyperStrategyMixin): current_time=datetime.now(timezone.utc), timeframe_seconds=timeframe_seconds, buy=buy): - return False, sell - return buy, sell + return False, sell, buy_tag + return buy, sell, buy_tag def ignore_expired_candle(self, latest_date: datetime, current_time: datetime, timeframe_seconds: int, buy: bool): @@ -540,7 +645,7 @@ class IStrategy(ABC, HyperStrategyMixin): current_rate = rate current_profit = trade.calc_profit_ratio(current_rate) - trade.adjust_min_max_rates(high or current_rate) + trade.adjust_min_max_rates(high or current_rate, low or current_rate) stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade, current_time=date, current_profit=current_profit, @@ -704,16 +809,17 @@ class IStrategy(ABC, HyperStrategyMixin): else: return current_profit > roi - def ohlcvdata_to_dataframe(self, data: Dict[str, DataFrame]) -> Dict[str, DataFrame]: + def advise_all_indicators(self, data: Dict[str, DataFrame]) -> Dict[str, DataFrame]: """ Populates indicators for given candle (OHLCV) data (for multiple pairs) Does not run advise_buy or advise_sell! Used by optimize operations only, not during dry / live runs. Using .copy() to get a fresh copy of the dataframe for every strategy run. + Also copy on output to avoid PerformanceWarnings pandas 1.3.0 started to show. Has positive effects on memory usage for whatever reason - also when using only one strategy. """ - return {pair: self.advise_indicators(pair_data.copy(), {'pair': pair}) + return {pair: self.advise_indicators(pair_data.copy(), {'pair': pair}).copy() for pair, pair_data in data.items()} def advise_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: @@ -725,6 +831,12 @@ class IStrategy(ABC, HyperStrategyMixin): :return: a Dataframe with all mandatory indicators for the strategies """ logger.debug(f"Populating indicators for pair {metadata.get('pair')}.") + + # call populate_indicators_Nm() which were tagged with @informative decorator. + for inf_data, populate_fn in self._ft_informative: + dataframe = _create_and_merge_informative_pair( + self, dataframe, metadata, inf_data, populate_fn) + if self._populate_fun_len == 2: warnings.warn("deprecated - check out the Sample strategy to see " "the current function headers!", DeprecationWarning) diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index 22b6f0be5..175bcaccb 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -4,7 +4,9 @@ from freqtrade.exchange import timeframe_to_minutes def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, - timeframe: str, timeframe_inf: str, ffill: bool = True) -> pd.DataFrame: + timeframe: str, timeframe_inf: str, ffill: bool = True, + append_timeframe: bool = True, + date_column: str = 'date') -> pd.DataFrame: """ Correctly merge informative samples to the original dataframe, avoiding lookahead bias. @@ -24,6 +26,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, :param timeframe: Timeframe of the original pair sample. :param timeframe_inf: Timeframe of the informative pair sample. :param ffill: Forwardfill missing values - optional but usually required + :param append_timeframe: Rename columns by appending timeframe. + :param date_column: A custom date column name. :return: Merged dataframe :raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe """ @@ -32,25 +36,29 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, minutes = timeframe_to_minutes(timeframe) if minutes == minutes_inf: # No need to forwardshift if the timeframes are identical - informative['date_merge'] = informative["date"] + informative['date_merge'] = informative[date_column] elif minutes < minutes_inf: # Subtract "small" timeframe so merging is not delayed by 1 small candle # Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073 informative['date_merge'] = ( - informative["date"] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm') - ) + informative[date_column] + pd.to_timedelta(minutes_inf, 'm') - + pd.to_timedelta(minutes, 'm') + ) else: raise ValueError("Tried to merge a faster timeframe to a slower timeframe." "This would create new rows, and can throw off your regular indicators.") # Rename columns to be unique - informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] + date_merge = 'date_merge' + if append_timeframe: + date_merge = f'date_merge_{timeframe_inf}' + informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] # Combine the 2 dataframes # all indicators on the informative sample MUST be calculated before this point dataframe = pd.merge(dataframe, informative, left_on='date', - right_on=f'date_merge_{timeframe_inf}', how='left') - dataframe = dataframe.drop(f'date_merge_{timeframe_inf}', axis=1) + right_on=date_merge, how='left') + dataframe = dataframe.drop(date_merge, axis=1) if ffill: dataframe = dataframe.ffill() @@ -83,3 +91,28 @@ def stoploss_from_open(open_relative_stop: float, current_profit: float) -> floa # negative stoploss values indicate the requested stop price is higher than the current price return max(stoploss, 0.0) + + +def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: + """ + Given current price and desired stop price, return a stop loss value that is relative to current + price. + + The requested stop can be positive for a stop above the open price, or negative for + a stop below the open price. The return value is always >= 0. + + Returns 0 if the resulting stop price would be above the current price. + + :param stop_rate: Stop loss price. + :param current_rate: Current asset price. + :return: Positive stop loss value relative to current price + """ + + # formula is undefined for current_rate 0, return maximum value + if current_rate == 0: + return 1 + + stoploss = 1 - (stop_rate / current_rate) + + # negative stoploss values indicate the requested stop price is higher than the current price + return max(stoploss, 0.0) diff --git a/freqtrade/templates/base_config.json.j2 b/freqtrade/templates/base_config.json.j2 index 03a6c4855..68eebdbd4 100644 --- a/freqtrade/templates/base_config.json.j2 +++ b/freqtrade/templates/base_config.json.j2 @@ -1,3 +1,10 @@ +{%set volume_pairlist = '{ + "method": "VolumePairList", + "number_assets": 20, + "sort_key": "quoteVolume", + "min_value": 0, + "refresh_period": 1800 + }' %} { "max_open_trades": {{ max_open_trades }}, "stake_currency": "{{ stake_currency }}", @@ -25,11 +32,11 @@ "ask_strategy": { "price_side": "ask", "use_order_book": true, - "order_book_top": 1, + "order_book_top": 1 }, {{ exchange | indent(4) }}, "pairlists": [ - {"method": "StaticPairList"} + {{ '{"method": "StaticPairList"}' if exchange_name == 'bittrex' else volume_pairlist }} ], "edge": { "enabled": false, diff --git a/freqtrade/templates/base_hyperopt.py.j2 b/freqtrade/templates/base_hyperopt.py.j2 deleted file mode 100644 index f6ca1477a..000000000 --- a/freqtrade/templates/base_hyperopt.py.j2 +++ /dev/null @@ -1,137 +0,0 @@ -# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement - -# --- Do not remove these libs --- -from functools import reduce -from typing import Any, Callable, Dict, List - -import numpy as np # noqa -import pandas as pd # noqa -from pandas import DataFrame -from skopt.space import Categorical, Dimension, Integer, Real # noqa - -from freqtrade.optimize.hyperopt_interface import IHyperOpt - -# -------------------------------- -# Add your lib to import here -import talib.abstract as ta # noqa -import freqtrade.vendor.qtpylib.indicators as qtpylib - - -class {{ hyperopt }}(IHyperOpt): - """ - This is a Hyperopt template to get you started. - - More information in the documentation: https://www.freqtrade.io/en/latest/hyperopt/ - - You should: - - Add any lib you need to build your hyperopt. - - You must keep: - - The prototypes for the methods: populate_indicators, indicator_space, buy_strategy_generator. - - The methods roi_space, generate_roi_table and stoploss_space are not required - and are provided by default. - However, you may override them if you need 'roi' and 'stoploss' spaces that - differ from the defaults offered by Freqtrade. - Sample implementation of these methods will be copied to `user_data/hyperopts` when - creating the user-data directory using `freqtrade create-userdir --userdir user_data`, - or is available online under the following URL: - https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py. - """ - - @staticmethod - def indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching buy strategy parameters. - """ - return [ - {{ buy_space | indent(12) }} - ] - - @staticmethod - def buy_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the buy strategy parameters to be used by Hyperopt. - """ - def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Buy strategy Hyperopt will build and use. - """ - conditions = [] - - # GUARDS AND TRENDS - {{ buy_guards | indent(12) }} - - # TRIGGERS - if 'trigger' in params: - if params['trigger'] == 'bb_lower': - conditions.append(dataframe['close'] < dataframe['bb_lowerband']) - if params['trigger'] == 'macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macd'], dataframe['macdsignal'] - )) - if params['trigger'] == 'sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['close'], dataframe['sar'] - )) - - # Check that the candle had volume - conditions.append(dataframe['volume'] > 0) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'buy'] = 1 - - return dataframe - - return populate_buy_trend - - @staticmethod - def sell_indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching sell strategy parameters. - """ - return [ - {{ sell_space | indent(12) }} - ] - - @staticmethod - def sell_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the sell strategy parameters to be used by Hyperopt. - """ - def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Sell strategy Hyperopt will build and use. - """ - conditions = [] - - # GUARDS AND TRENDS - {{ sell_guards | indent(12) }} - - # TRIGGERS - if 'sell-trigger' in params: - if params['sell-trigger'] == 'sell-bb_upper': - conditions.append(dataframe['close'] > dataframe['bb_upperband']) - if params['sell-trigger'] == 'sell-macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macdsignal'], dataframe['macd'] - )) - if params['sell-trigger'] == 'sell-sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['sar'], dataframe['close'] - )) - - # Check that the candle had volume - conditions.append(dataframe['volume'] > 0) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'sell'] = 1 - - return dataframe - - return populate_sell_trend - diff --git a/freqtrade/templates/base_strategy.py.j2 b/freqtrade/templates/base_strategy.py.j2 index 13fc0853a..06d7cbc5c 100644 --- a/freqtrade/templates/base_strategy.py.j2 +++ b/freqtrade/templates/base_strategy.py.j2 @@ -6,8 +6,8 @@ import numpy as np # noqa import pandas as pd # noqa from pandas import DataFrame -from freqtrade.strategy import IStrategy -from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter +from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter, + IStrategy, IntParameter) # -------------------------------- # Add your lib to import here diff --git a/freqtrade/templates/sample_hyperopt.py b/freqtrade/templates/sample_hyperopt.py deleted file mode 100644 index ed1af7718..000000000 --- a/freqtrade/templates/sample_hyperopt.py +++ /dev/null @@ -1,174 +0,0 @@ -# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement -# isort: skip_file - -# --- Do not remove these libs --- -from functools import reduce -from typing import Any, Callable, Dict, List - -import numpy as np # noqa -import pandas as pd # noqa -from pandas import DataFrame -from skopt.space import Categorical, Dimension, Integer, Real # noqa - -from freqtrade.optimize.hyperopt_interface import IHyperOpt - -# -------------------------------- -# Add your lib to import here -import talib.abstract as ta # noqa -import freqtrade.vendor.qtpylib.indicators as qtpylib - - -class SampleHyperOpt(IHyperOpt): - """ - This is a sample Hyperopt to inspire you. - - More information in the documentation: https://www.freqtrade.io/en/latest/hyperopt/ - - You should: - - Rename the class name to some unique name. - - Add any methods you want to build your hyperopt. - - Add any lib you need to build your hyperopt. - - An easier way to get a new hyperopt file is by using - `freqtrade new-hyperopt --hyperopt MyCoolHyperopt`. - - You must keep: - - The prototypes for the methods: populate_indicators, indicator_space, buy_strategy_generator. - - The methods roi_space, generate_roi_table and stoploss_space are not required - and are provided by default. - However, you may override them if you need 'roi' and 'stoploss' spaces that - differ from the defaults offered by Freqtrade. - Sample implementation of these methods will be copied to `user_data/hyperopts` when - creating the user-data directory using `freqtrade create-userdir --userdir user_data`, - or is available online under the following URL: - https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py. - """ - - @staticmethod - def indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching buy strategy parameters. - """ - return [ - Integer(10, 25, name='mfi-value'), - Integer(15, 45, name='fastd-value'), - Integer(20, 50, name='adx-value'), - Integer(20, 40, name='rsi-value'), - Categorical([True, False], name='mfi-enabled'), - Categorical([True, False], name='fastd-enabled'), - Categorical([True, False], name='adx-enabled'), - Categorical([True, False], name='rsi-enabled'), - Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger') - ] - - @staticmethod - def buy_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the buy strategy parameters to be used by Hyperopt. - """ - def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Buy strategy Hyperopt will build and use. - """ - conditions = [] - - # GUARDS AND TRENDS - if 'mfi-enabled' in params and params['mfi-enabled']: - conditions.append(dataframe['mfi'] < params['mfi-value']) - if 'fastd-enabled' in params and params['fastd-enabled']: - conditions.append(dataframe['fastd'] < params['fastd-value']) - if 'adx-enabled' in params and params['adx-enabled']: - conditions.append(dataframe['adx'] > params['adx-value']) - if 'rsi-enabled' in params and params['rsi-enabled']: - conditions.append(dataframe['rsi'] < params['rsi-value']) - - # TRIGGERS - if 'trigger' in params: - if params['trigger'] == 'bb_lower': - conditions.append(dataframe['close'] < dataframe['bb_lowerband']) - if params['trigger'] == 'macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macd'], dataframe['macdsignal'] - )) - if params['trigger'] == 'sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['close'], dataframe['sar'] - )) - - # Check that volume is not 0 - conditions.append(dataframe['volume'] > 0) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'buy'] = 1 - - return dataframe - - return populate_buy_trend - - @staticmethod - def sell_indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching sell strategy parameters. - """ - return [ - Integer(75, 100, name='sell-mfi-value'), - Integer(50, 100, name='sell-fastd-value'), - Integer(50, 100, name='sell-adx-value'), - Integer(60, 100, name='sell-rsi-value'), - Categorical([True, False], name='sell-mfi-enabled'), - Categorical([True, False], name='sell-fastd-enabled'), - Categorical([True, False], name='sell-adx-enabled'), - Categorical([True, False], name='sell-rsi-enabled'), - Categorical(['sell-bb_upper', - 'sell-macd_cross_signal', - 'sell-sar_reversal'], name='sell-trigger') - ] - - @staticmethod - def sell_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the sell strategy parameters to be used by Hyperopt. - """ - def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Sell strategy Hyperopt will build and use. - """ - conditions = [] - - # GUARDS AND TRENDS - if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']: - conditions.append(dataframe['mfi'] > params['sell-mfi-value']) - if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']: - conditions.append(dataframe['fastd'] > params['sell-fastd-value']) - if 'sell-adx-enabled' in params and params['sell-adx-enabled']: - conditions.append(dataframe['adx'] < params['sell-adx-value']) - if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']: - conditions.append(dataframe['rsi'] > params['sell-rsi-value']) - - # TRIGGERS - if 'sell-trigger' in params: - if params['sell-trigger'] == 'sell-bb_upper': - conditions.append(dataframe['close'] > dataframe['bb_upperband']) - if params['sell-trigger'] == 'sell-macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macdsignal'], dataframe['macd'] - )) - if params['sell-trigger'] == 'sell-sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['sar'], dataframe['close'] - )) - - # Check that volume is not 0 - conditions.append(dataframe['volume'] > 0) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'sell'] = 1 - - return dataframe - - return populate_sell_trend diff --git a/freqtrade/templates/sample_hyperopt_advanced.py b/freqtrade/templates/sample_hyperopt_advanced.py deleted file mode 100644 index cc13b6ba3..000000000 --- a/freqtrade/templates/sample_hyperopt_advanced.py +++ /dev/null @@ -1,269 +0,0 @@ -# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement -# isort: skip_file -# --- Do not remove these libs --- -from functools import reduce -from typing import Any, Callable, Dict, List - -import numpy as np # noqa -import pandas as pd # noqa -from pandas import DataFrame -from freqtrade.optimize.space import Categorical, Dimension, Integer, SKDecimal, Real # noqa - -from freqtrade.optimize.hyperopt_interface import IHyperOpt - -# -------------------------------- -# Add your lib to import here -import talib.abstract as ta # noqa -import freqtrade.vendor.qtpylib.indicators as qtpylib - - -class AdvancedSampleHyperOpt(IHyperOpt): - """ - This is a sample hyperopt to inspire you. - Feel free to customize it. - - More information in the documentation: https://www.freqtrade.io/en/latest/hyperopt/ - - You should: - - Rename the class name to some unique name. - - Add any methods you want to build your hyperopt. - - Add any lib you need to build your hyperopt. - - You must keep: - - The prototypes for the methods: populate_indicators, indicator_space, buy_strategy_generator. - - The methods roi_space, generate_roi_table and stoploss_space are not required - and are provided by default. - However, you may override them if you need the - 'roi' and the 'stoploss' spaces that differ from the defaults offered by Freqtrade. - - This sample illustrates how to override these methods. - """ - @staticmethod - def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - This method can also be loaded from the strategy, if it doesn't exist in the hyperopt class. - """ - dataframe['adx'] = ta.ADX(dataframe) - macd = ta.MACD(dataframe) - dataframe['macd'] = macd['macd'] - dataframe['macdsignal'] = macd['macdsignal'] - dataframe['mfi'] = ta.MFI(dataframe) - dataframe['rsi'] = ta.RSI(dataframe) - stoch_fast = ta.STOCHF(dataframe) - dataframe['fastd'] = stoch_fast['fastd'] - dataframe['minus_di'] = ta.MINUS_DI(dataframe) - # Bollinger bands - bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) - dataframe['bb_lowerband'] = bollinger['lower'] - dataframe['bb_upperband'] = bollinger['upper'] - dataframe['sar'] = ta.SAR(dataframe) - return dataframe - - @staticmethod - def indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching buy strategy parameters. - """ - return [ - Integer(10, 25, name='mfi-value'), - Integer(15, 45, name='fastd-value'), - Integer(20, 50, name='adx-value'), - Integer(20, 40, name='rsi-value'), - Categorical([True, False], name='mfi-enabled'), - Categorical([True, False], name='fastd-enabled'), - Categorical([True, False], name='adx-enabled'), - Categorical([True, False], name='rsi-enabled'), - Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger') - ] - - @staticmethod - def buy_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the buy strategy parameters to be used by hyperopt - """ - def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Buy strategy Hyperopt will build and use - """ - conditions = [] - # GUARDS AND TRENDS - if 'mfi-enabled' in params and params['mfi-enabled']: - conditions.append(dataframe['mfi'] < params['mfi-value']) - if 'fastd-enabled' in params and params['fastd-enabled']: - conditions.append(dataframe['fastd'] < params['fastd-value']) - if 'adx-enabled' in params and params['adx-enabled']: - conditions.append(dataframe['adx'] > params['adx-value']) - if 'rsi-enabled' in params and params['rsi-enabled']: - conditions.append(dataframe['rsi'] < params['rsi-value']) - - # TRIGGERS - if 'trigger' in params: - if params['trigger'] == 'bb_lower': - conditions.append(dataframe['close'] < dataframe['bb_lowerband']) - if params['trigger'] == 'macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macd'], dataframe['macdsignal'] - )) - if params['trigger'] == 'sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['close'], dataframe['sar'] - )) - - # Check that volume is not 0 - conditions.append(dataframe['volume'] > 0) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'buy'] = 1 - - return dataframe - - return populate_buy_trend - - @staticmethod - def sell_indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching sell strategy parameters. - """ - return [ - Integer(75, 100, name='sell-mfi-value'), - Integer(50, 100, name='sell-fastd-value'), - Integer(50, 100, name='sell-adx-value'), - Integer(60, 100, name='sell-rsi-value'), - Categorical([True, False], name='sell-mfi-enabled'), - Categorical([True, False], name='sell-fastd-enabled'), - Categorical([True, False], name='sell-adx-enabled'), - Categorical([True, False], name='sell-rsi-enabled'), - Categorical(['sell-bb_upper', - 'sell-macd_cross_signal', - 'sell-sar_reversal'], name='sell-trigger') - ] - - @staticmethod - def sell_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the sell strategy parameters to be used by hyperopt - """ - def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Sell strategy Hyperopt will build and use - """ - # print(params) - conditions = [] - # GUARDS AND TRENDS - if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']: - conditions.append(dataframe['mfi'] > params['sell-mfi-value']) - if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']: - conditions.append(dataframe['fastd'] > params['sell-fastd-value']) - if 'sell-adx-enabled' in params and params['sell-adx-enabled']: - conditions.append(dataframe['adx'] < params['sell-adx-value']) - if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']: - conditions.append(dataframe['rsi'] > params['sell-rsi-value']) - - # TRIGGERS - if 'sell-trigger' in params: - if params['sell-trigger'] == 'sell-bb_upper': - conditions.append(dataframe['close'] > dataframe['bb_upperband']) - if params['sell-trigger'] == 'sell-macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macdsignal'], dataframe['macd'] - )) - if params['sell-trigger'] == 'sell-sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['sar'], dataframe['close'] - )) - - # Check that volume is not 0 - conditions.append(dataframe['volume'] > 0) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'sell'] = 1 - - return dataframe - - return populate_sell_trend - - @staticmethod - def generate_roi_table(params: Dict) -> Dict[int, float]: - """ - Generate the ROI table that will be used by Hyperopt - - This implementation generates the default legacy Freqtrade ROI tables. - - Change it if you need different number of steps in the generated - ROI tables or other structure of the ROI tables. - - Please keep it aligned with parameters in the 'roi' optimization - hyperspace defined by the roi_space method. - """ - roi_table = {} - roi_table[0] = params['roi_p1'] + params['roi_p2'] + params['roi_p3'] - roi_table[params['roi_t3']] = params['roi_p1'] + params['roi_p2'] - roi_table[params['roi_t3'] + params['roi_t2']] = params['roi_p1'] - roi_table[params['roi_t3'] + params['roi_t2'] + params['roi_t1']] = 0 - - return roi_table - - @staticmethod - def roi_space() -> List[Dimension]: - """ - Values to search for each ROI steps - - Override it if you need some different ranges for the parameters in the - 'roi' optimization hyperspace. - - Please keep it aligned with the implementation of the - generate_roi_table method. - """ - return [ - Integer(10, 120, name='roi_t1'), - Integer(10, 60, name='roi_t2'), - Integer(10, 40, name='roi_t3'), - SKDecimal(0.01, 0.04, decimals=3, name='roi_p1'), - SKDecimal(0.01, 0.07, decimals=3, name='roi_p2'), - SKDecimal(0.01, 0.20, decimals=3, name='roi_p3'), - ] - - @staticmethod - def stoploss_space() -> List[Dimension]: - """ - Stoploss Value to search - - Override it if you need some different range for the parameter in the - 'stoploss' optimization hyperspace. - """ - return [ - SKDecimal(-0.35, -0.02, decimals=3, name='stoploss'), - ] - - @staticmethod - def trailing_space() -> List[Dimension]: - """ - Create a trailing stoploss space. - - You may override it in your custom Hyperopt class. - """ - return [ - # It was decided to always set trailing_stop is to True if the 'trailing' hyperspace - # is used. Otherwise hyperopt will vary other parameters that won't have effect if - # trailing_stop is set False. - # This parameter is included into the hyperspace dimensions rather than assigning - # it explicitly in the code in order to have it printed in the results along with - # other 'trailing' hyperspace parameters. - Categorical([True], name='trailing_stop'), - - SKDecimal(0.01, 0.35, decimals=3, name='trailing_stop_positive'), - - # 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive', - # so this intermediate parameter is used as the value of the difference between - # them. The value of the 'trailing_stop_positive_offset' is constructed in the - # generate_trailing_params() method. - # This is similar to the hyperspace dimensions used for constructing the ROI tables. - SKDecimal(0.001, 0.1, decimals=3, name='trailing_stop_positive_offset_p1'), - - Categorical([True, False], name='trailing_only_offset_is_reached'), - ] diff --git a/freqtrade/templates/sample_strategy.py b/freqtrade/templates/sample_strategy.py index 282b2f8e2..574819949 100644 --- a/freqtrade/templates/sample_strategy.py +++ b/freqtrade/templates/sample_strategy.py @@ -6,8 +6,8 @@ import numpy as np # noqa import pandas as pd # noqa from pandas import DataFrame -from freqtrade.strategy import IStrategy -from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter +from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter, + IStrategy, IntParameter) # -------------------------------- # Add your lib to import here diff --git a/freqtrade/templates/strategy_analysis_example.ipynb b/freqtrade/templates/strategy_analysis_example.ipynb index f3b0d8d03..99720ae6e 100644 --- a/freqtrade/templates/strategy_analysis_example.ipynb +++ b/freqtrade/templates/strategy_analysis_example.ipynb @@ -215,13 +215,18 @@ "stats = load_backtest_stats(backtest_dir)\n", "strategy_stats = stats['strategy'][strategy]\n", "\n", + "dates = []\n", + "profits = []\n", + "for date_profit in strategy_stats['daily_profit']:\n", + " dates.append(date_profit[0])\n", + " profits.append(date_profit[1])\n", + "\n", "equity = 0\n", "equity_daily = []\n", - "for dp in strategy_stats['daily_profit']:\n", + "for daily_profit in profits:\n", " equity_daily.append(equity)\n", - " equity += float(dp)\n", + " equity += float(daily_profit)\n", "\n", - "dates = pd.date_range(strategy_stats['backtest_start'], strategy_stats['backtest_end'])\n", "\n", "df = pd.DataFrame({'dates': dates,'equity_daily': equity_daily})\n", "\n", diff --git a/freqtrade/templates/subtemplates/exchange_binance.j2 b/freqtrade/templates/subtemplates/exchange_binance.j2 index 03aa0560c..de58b6f72 100644 --- a/freqtrade/templates/subtemplates/exchange_binance.j2 +++ b/freqtrade/templates/subtemplates/exchange_binance.j2 @@ -8,34 +8,8 @@ "rateLimit": 200 }, "pair_whitelist": [ - "ALGO/BTC", - "ATOM/BTC", - "BAT/BTC", - "BCH/BTC", - "BRD/BTC", - "EOS/BTC", - "ETH/BTC", - "IOTA/BTC", - "LINK/BTC", - "LTC/BTC", - "NEO/BTC", - "NXS/BTC", - "XMR/BTC", - "XRP/BTC", - "XTZ/BTC" ], "pair_blacklist": [ - "BNB/BTC", - "BNB/BUSD", - "BNB/ETH", - "BNB/EUR", - "BNB/NGN", - "BNB/PAX", - "BNB/RUB", - "BNB/TRY", - "BNB/TUSD", - "BNB/USDC", - "BNB/USDS", - "BNB/USDT", + "BNB/.*" ] } diff --git a/freqtrade/templates/subtemplates/exchange_bittrex.j2 b/freqtrade/templates/subtemplates/exchange_bittrex.j2 index 7b27318ca..0394790ce 100644 --- a/freqtrade/templates/subtemplates/exchange_bittrex.j2 +++ b/freqtrade/templates/subtemplates/exchange_bittrex.j2 @@ -15,16 +15,6 @@ "rateLimit": 500 }, "pair_whitelist": [ - "ETH/BTC", - "LTC/BTC", - "ETC/BTC", - "DASH/BTC", - "ZEC/BTC", - "XLM/BTC", - "XRP/BTC", - "TRX/BTC", - "ADA/BTC", - "XMR/BTC" ], "pair_blacklist": [ ] diff --git a/freqtrade/templates/subtemplates/exchange_kraken.j2 b/freqtrade/templates/subtemplates/exchange_kraken.j2 index 7139a0830..4d0e4c1ff 100644 --- a/freqtrade/templates/subtemplates/exchange_kraken.j2 +++ b/freqtrade/templates/subtemplates/exchange_kraken.j2 @@ -7,28 +7,10 @@ "ccxt_async_config": { "enableRateLimit": true, "rateLimit": 1000 + // Enable the below for downoading data. + //"rateLimit": 3100 }, "pair_whitelist": [ - "ADA/EUR", - "ATOM/EUR", - "BAT/EUR", - "BCH/EUR", - "BTC/EUR", - "DAI/EUR", - "DASH/EUR", - "EOS/EUR", - "ETC/EUR", - "ETH/EUR", - "LINK/EUR", - "LTC/EUR", - "QTUM/EUR", - "REP/EUR", - "WAVES/EUR", - "XLM/EUR", - "XMR/EUR", - "XRP/EUR", - "XTZ/EUR", - "ZEC/EUR" ], "pair_blacklist": [ diff --git a/freqtrade/templates/subtemplates/exchange_kucoin.j2 b/freqtrade/templates/subtemplates/exchange_kucoin.j2 new file mode 100644 index 000000000..9882c51c7 --- /dev/null +++ b/freqtrade/templates/subtemplates/exchange_kucoin.j2 @@ -0,0 +1,18 @@ +"exchange": { + "name": "{{ exchange_name | lower }}", + "key": "{{ exchange_key }}", + "secret": "{{ exchange_secret }}", + "password": "{{ exchange_key_password }}", + "ccxt_config": { + "enableRateLimit": true, + "rateLimit": 200 + }, + "ccxt_async_config": { + "enableRateLimit": true, + "rateLimit": 200 + }, + "pair_whitelist": [ + ], + "pair_blacklist": [ + ] +} diff --git a/freqtrade/templates/subtemplates/hyperopt_buy_guards_full.j2 b/freqtrade/templates/subtemplates/hyperopt_buy_guards_full.j2 deleted file mode 100644 index 5b967f4ed..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_buy_guards_full.j2 +++ /dev/null @@ -1,8 +0,0 @@ -if params.get('mfi-enabled'): - conditions.append(dataframe['mfi'] < params['mfi-value']) -if params.get('fastd-enabled'): - conditions.append(dataframe['fastd'] < params['fastd-value']) -if params.get('adx-enabled'): - conditions.append(dataframe['adx'] > params['adx-value']) -if params.get('rsi-enabled'): - conditions.append(dataframe['rsi'] < params['rsi-value']) diff --git a/freqtrade/templates/subtemplates/hyperopt_buy_guards_minimal.j2 b/freqtrade/templates/subtemplates/hyperopt_buy_guards_minimal.j2 deleted file mode 100644 index 5e1022f59..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_buy_guards_minimal.j2 +++ /dev/null @@ -1,2 +0,0 @@ -if params.get('rsi-enabled'): - conditions.append(dataframe['rsi'] < params['rsi-value']) diff --git a/freqtrade/templates/subtemplates/hyperopt_buy_space_full.j2 b/freqtrade/templates/subtemplates/hyperopt_buy_space_full.j2 deleted file mode 100644 index 29bafbd93..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_buy_space_full.j2 +++ /dev/null @@ -1,9 +0,0 @@ -Integer(10, 25, name='mfi-value'), -Integer(15, 45, name='fastd-value'), -Integer(20, 50, name='adx-value'), -Integer(20, 40, name='rsi-value'), -Categorical([True, False], name='mfi-enabled'), -Categorical([True, False], name='fastd-enabled'), -Categorical([True, False], name='adx-enabled'), -Categorical([True, False], name='rsi-enabled'), -Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger') diff --git a/freqtrade/templates/subtemplates/hyperopt_buy_space_minimal.j2 b/freqtrade/templates/subtemplates/hyperopt_buy_space_minimal.j2 deleted file mode 100644 index 5ddf537fb..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_buy_space_minimal.j2 +++ /dev/null @@ -1,3 +0,0 @@ -Integer(20, 40, name='rsi-value'), -Categorical([True, False], name='rsi-enabled'), -Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger') diff --git a/freqtrade/templates/subtemplates/hyperopt_sell_guards_full.j2 b/freqtrade/templates/subtemplates/hyperopt_sell_guards_full.j2 deleted file mode 100644 index bd7b499f4..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_sell_guards_full.j2 +++ /dev/null @@ -1,8 +0,0 @@ -if params.get('sell-mfi-enabled'): - conditions.append(dataframe['mfi'] > params['sell-mfi-value']) -if params.get('sell-fastd-enabled'): - conditions.append(dataframe['fastd'] > params['sell-fastd-value']) -if params.get('sell-adx-enabled'): - conditions.append(dataframe['adx'] < params['sell-adx-value']) -if params.get('sell-rsi-enabled'): - conditions.append(dataframe['rsi'] > params['sell-rsi-value']) diff --git a/freqtrade/templates/subtemplates/hyperopt_sell_guards_minimal.j2 b/freqtrade/templates/subtemplates/hyperopt_sell_guards_minimal.j2 deleted file mode 100644 index 8b4adebf6..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_sell_guards_minimal.j2 +++ /dev/null @@ -1,2 +0,0 @@ -if params.get('sell-rsi-enabled'): - conditions.append(dataframe['rsi'] > params['sell-rsi-value']) diff --git a/freqtrade/templates/subtemplates/hyperopt_sell_space_full.j2 b/freqtrade/templates/subtemplates/hyperopt_sell_space_full.j2 deleted file mode 100644 index 46469d532..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_sell_space_full.j2 +++ /dev/null @@ -1,11 +0,0 @@ -Integer(75, 100, name='sell-mfi-value'), -Integer(50, 100, name='sell-fastd-value'), -Integer(50, 100, name='sell-adx-value'), -Integer(60, 100, name='sell-rsi-value'), -Categorical([True, False], name='sell-mfi-enabled'), -Categorical([True, False], name='sell-fastd-enabled'), -Categorical([True, False], name='sell-adx-enabled'), -Categorical([True, False], name='sell-rsi-enabled'), -Categorical(['sell-bb_upper', - 'sell-macd_cross_signal', - 'sell-sar_reversal'], name='sell-trigger') diff --git a/freqtrade/templates/subtemplates/hyperopt_sell_space_minimal.j2 b/freqtrade/templates/subtemplates/hyperopt_sell_space_minimal.j2 deleted file mode 100644 index dfb110543..000000000 --- a/freqtrade/templates/subtemplates/hyperopt_sell_space_minimal.j2 +++ /dev/null @@ -1,5 +0,0 @@ -Integer(60, 100, name='sell-rsi-value'), -Categorical([True, False], name='sell-rsi-enabled'), -Categorical(['sell-bb_upper', - 'sell-macd_cross_signal', - 'sell-sar_reversal'], name='sell-trigger') diff --git a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 index 2a9ac0690..2df23f365 100644 --- a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 +++ b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 @@ -12,6 +12,23 @@ def bot_loop_start(self, **kwargs) -> None: """ pass +def custom_stake_amount(self, pair: str, current_time: 'datetime', current_rate: float, + proposed_stake: float, min_stake: float, max_stake: float, + **kwargs) -> float: + """ + Customize stake size for each new trade. This method is not called when edge module is + enabled. + + :param pair: Pair that's currently analyzed + :param current_time: datetime object, containing the current datetime + :param current_rate: Rate, calculated based on pricing settings in ask_strategy. + :param proposed_stake: A stake amount proposed by the bot. + :param min_stake: Minimal stake size allowed by exchange. + :param max_stake: Balance available for trading. + :return: A stake size, which is between min_stake and max_stake. + """ + return proposed_stake + use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime', @@ -38,6 +55,30 @@ def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime', """ return self.stoploss +def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float, + current_profit: float, **kwargs) -> 'Optional[Union[str, bool]]': + """ + Custom sell signal logic indicating that specified position should be sold. Returning a + string or True from this method is equal to setting sell signal on a candle at specified + time. This method is not called when sell signal is set. + + This method should be overridden to create sell signals that depend on trade parameters. For + example you could implement a sell relative to the candle when the trade was opened, + or a custom 1:2 risk-reward ROI. + + Custom sell reason max length is 64. Exceeding characters will be removed. + + :param pair: Pair that's currently analyzed + :param trade: trade object. + :param current_time: datetime object, containing the current datetime + :param current_rate: Rate, calculated based on pricing settings in ask_strategy. + :param current_profit: Current profit (as ratio), calculated based on current_rate. + :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. + :return: To execute sell, return a string with custom sell reason or True. Otherwise return + None or False. + """ + return None + def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str, current_time: 'datetime', **kwargs) -> bool: """ diff --git a/freqtrade/wallets.py b/freqtrade/wallets.py index 1b2ec4550..237c1dc2c 100644 --- a/freqtrade/wallets.py +++ b/freqtrade/wallets.py @@ -70,9 +70,7 @@ class Wallets: # If not backtesting... # TODO: potentially remove the ._log workaround to determine backtest mode. if self._log: - closed_trades = Trade.get_trades_proxy(is_open=False) - tot_profit = sum( - [trade.close_profit_abs for trade in closed_trades if trade.close_profit_abs]) + tot_profit = Trade.get_total_closed_profit() else: tot_profit = LocalTrade.total_profit tot_in_trades = sum([trade.stake_amount for trade in open_trades]) @@ -131,7 +129,41 @@ class Wallets: def get_all_balances(self) -> Dict[str, Any]: return self._wallets - def _get_available_stake_amount(self, val_tied_up: float) -> float: + def get_starting_balance(self) -> float: + """ + Retrieves starting balance - based on either available capital, + or by using current balance subtracting + """ + if "available_capital" in self._config: + return self._config['available_capital'] + else: + tot_profit = Trade.get_total_closed_profit() + open_stakes = Trade.total_open_trades_stakes() + available_balance = self.get_free(self._config['stake_currency']) + return available_balance - tot_profit + open_stakes + + def get_total_stake_amount(self): + """ + Return the total currently available balance in stake currency, including tied up stake and + respecting tradable_balance_ratio. + Calculated as + ( + free amount) * tradable_balance_ratio + """ + val_tied_up = Trade.total_open_trades_stakes() + if "available_capital" in self._config: + starting_balance = self._config['available_capital'] + tot_profit = Trade.get_total_closed_profit() + available_amount = starting_balance + tot_profit + + else: + # Ensure % is used from the overall balance + # Otherwise we'd risk lowering stakes with each open trade. + # (tied up + current free) * ratio) - tied up + available_amount = ((val_tied_up + self.get_free(self._config['stake_currency'])) * + self._config['tradable_balance_ratio']) + return available_amount + + def get_available_stake_amount(self) -> float: """ Return the total currently available balance in stake currency, respecting tradable_balance_ratio. @@ -139,12 +171,8 @@ class Wallets: ( + free amount) * tradable_balance_ratio - """ - # Ensure % is used from the overall balance - # Otherwise we'd risk lowering stakes with each open trade. - # (tied up + current free) * ratio) - tied up - available_amount = ((val_tied_up + self.get_free(self._config['stake_currency'])) * - self._config['tradable_balance_ratio']) - val_tied_up - return available_amount + free = self.get_free(self._config['stake_currency']) + return min(self.get_total_stake_amount() - Trade.total_open_trades_stakes(), free) def _calculate_unlimited_stake_amount(self, available_amount: float, val_tied_up: float) -> float: @@ -193,7 +221,7 @@ class Wallets: # Ensure wallets are uptodate. self.update() val_tied_up = Trade.total_open_trades_stakes() - available_amount = self._get_available_stake_amount(val_tied_up) + available_amount = self.get_available_stake_amount() if edge: stake_amount = edge.stake_amount( @@ -209,3 +237,30 @@ class Wallets: available_amount, val_tied_up) return self._check_available_stake_amount(stake_amount, available_amount) + + def _validate_stake_amount(self, pair, stake_amount, min_stake_amount): + if not stake_amount: + logger.debug(f"Stake amount is {stake_amount}, ignoring possible trade for {pair}.") + return 0 + + max_stake_amount = self.get_available_stake_amount() + + if min_stake_amount > max_stake_amount: + if self._log: + logger.warning("Minimum stake amount > available balance.") + return 0 + if min_stake_amount is not None and stake_amount < min_stake_amount: + stake_amount = min_stake_amount + if self._log: + logger.info( + f"Stake amount for pair {pair} is too small " + f"({stake_amount} < {min_stake_amount}), adjusting to {min_stake_amount}." + ) + if stake_amount > max_stake_amount: + stake_amount = max_stake_amount + if self._log: + logger.info( + f"Stake amount for pair {pair} is too big " + f"({stake_amount} > {max_stake_amount}), adjusting to {max_stake_amount}." + ) + return stake_amount diff --git a/mkdocs.yml b/mkdocs.yml index 854939ca0..05156168f 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -23,10 +23,10 @@ nav: - Hyperopt: hyperopt.md - Utility Sub-commands: utils.md - Plotting: plotting.md + - Exchange-specific Notes: exchanges.md - Data Analysis: - Jupyter Notebooks: data-analysis.md - Strategy analysis: strategy_analysis_example.md - - Exchange-specific Notes: exchanges.md - Advanced Topics: - Advanced Post-installation Tasks: advanced-setup.md - Edge Positioning: edge.md diff --git a/requirements-dev.txt b/requirements-dev.txt index c73acbe9c..2f03255a0 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -3,23 +3,25 @@ -r requirements-plot.txt -r requirements-hyperopt.txt -coveralls==3.1.0 +coveralls==3.2.0 flake8==3.9.2 flake8-type-annotations==0.1.0 -flake8-tidy-imports==4.3.0 +flake8-tidy-imports==4.4.1 mypy==0.910 -pytest==6.2.4 +pytest==6.2.5 pytest-asyncio==0.15.1 pytest-cov==2.12.1 pytest-mock==3.6.1 pytest-random-order==1.0.4 -isort==5.9.1 +isort==5.9.3 +# For datetime mocking +time-machine==2.4.0 # Convert jupyter notebooks to markdown documents -nbconvert==6.1.0 +nbconvert==6.2.0 # mypy types -types-cachetools==0.1.9 -types-filelock==0.1.4 -types-requests==2.25.0 -types-tabulate==0.1.1 +types-cachetools==4.2.0 +types-filelock==0.1.5 +types-requests==2.25.9 +types-tabulate==0.8.2 diff --git a/requirements-hyperopt.txt b/requirements-hyperopt.txt index 83e23e3ec..9feec80f1 100644 --- a/requirements-hyperopt.txt +++ b/requirements-hyperopt.txt @@ -2,10 +2,10 @@ -r requirements.txt # Required for hyperopt -scipy==1.7.0 +scipy==1.7.1 scikit-learn==0.24.2 scikit-optimize==0.8.1 filelock==3.0.12 joblib==1.0.1 psutil==5.8.0 -progressbar2==3.53.1 +progressbar2==3.53.3 diff --git a/requirements-plot.txt b/requirements-plot.txt index 0563e5df2..8e17232b0 100644 --- a/requirements-plot.txt +++ b/requirements-plot.txt @@ -1,5 +1,5 @@ # Include all requirements to run the bot. -r requirements.txt -plotly==5.0.0 +plotly==5.3.1 diff --git a/requirements.txt b/requirements.txt index a983e4797..feeb4d942 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1,19 +1,20 @@ -numpy==1.21.0 -pandas==1.2.5 +numpy==1.21.2 +pandas==1.3.3 +pandas-ta==0.3.14b -ccxt==1.52.4 +ccxt==1.57.3 # Pin cryptography for now due to rust build errors with piwheels -cryptography==3.4.7 +cryptography==3.4.8 aiohttp==3.7.4.post0 -SQLAlchemy==1.4.19 -python-telegram-bot==13.6 +SQLAlchemy==1.4.25 +python-telegram-bot==13.7 arrow==1.1.1 cachetools==4.2.2 -requests==2.25.1 -urllib3==1.26.6 +requests==2.26.0 +urllib3==1.26.7 wrapt==1.12.1 jsonschema==3.2.0 -TA-Lib==0.4.20 +TA-Lib==0.4.21 technical==1.3.0 tabulate==0.8.9 pycoingecko==2.2.0 @@ -31,13 +32,13 @@ python-rapidjson==1.4 sdnotify==0.3.2 # API Server -fastapi==0.65.2 -uvicorn==0.14.0 +fastapi==0.68.1 +uvicorn==0.15.0 pyjwt==2.1.0 aiofiles==0.7.0 # Support for colorized terminal output colorama==0.4.4 # Building config files interactively -questionary==1.9.0 -prompt-toolkit==3.0.19 +questionary==1.10.0 +prompt-toolkit==3.0.20 diff --git a/scripts/rest_client.py b/scripts/rest_client.py index ece0a253e..713b398c3 100755 --- a/scripts/rest_client.py +++ b/scripts/rest_client.py @@ -312,7 +312,7 @@ class FtRestClient(): :param limit: Limit result to the last n candles. :return: json object """ - return self._get("available_pairs", params={ + return self._get("pair_candles", params={ "pair": pair, "timeframe": timeframe, "limit": limit, diff --git a/setup.py b/setup.py index 727c40c7c..cf381bdd3 100644 --- a/setup.py +++ b/setup.py @@ -54,6 +54,7 @@ setup( 'wrapt', 'jsonschema', 'TA-Lib', + 'pandas-ta', 'technical', 'tabulate', 'pycoingecko', diff --git a/setup.sh b/setup.sh index 631c31df2..aee7c80b5 100755 --- a/setup.sh +++ b/setup.sh @@ -4,8 +4,12 @@ function check_installed_pip() { ${PYTHON} -m pip > /dev/null if [ $? -ne 0 ]; then - echo "pip not found (called as '${PYTHON} -m pip'). Please make sure that pip is available for ${PYTHON}." - exit 1 + echo "-----------------------------" + echo "Installing Pip for ${PYTHON}" + echo "-----------------------------" + curl https://bootstrap.pypa.io/get-pip.py -o get-pip.py + ${PYTHON} get-pip.py + rm get-pip.py fi } @@ -17,35 +21,19 @@ function check_installed_python() { exit 2 fi - which python3.8 - if [ $? -eq 0 ]; then - echo "using Python 3.8" - PYTHON=python3.8 - check_installed_pip - return - fi + for v in 9 8 7 + do + PYTHON="python3.${v}" + which $PYTHON + if [ $? -eq 0 ]; then + echo "using ${PYTHON}" + check_installed_pip + return + fi + done - which python3.9 - if [ $? -eq 0 ]; then - echo "using Python 3.9" - PYTHON=python3.9 - check_installed_pip - return - fi - - which python3.7 - if [ $? -eq 0 ]; then - echo "using Python 3.7" - PYTHON=python3.7 - check_installed_pip - return - fi - - - if [ -z ${PYTHON} ]; then - echo "No usable python found. Please make sure to have python3.7 or newer installed" - exit 1 - fi + echo "No usable python found. Please make sure to have python3.7 or newer installed" + exit 1 } function updateenv() { @@ -74,7 +62,7 @@ function updateenv() { then REQUIREMENTS_PLOT="-r requirements-plot.txt" fi - if [ "${SYS_ARCH}" == "armv7l" ]; then + if [ "${SYS_ARCH}" == "armv7l" ] || [ "${SYS_ARCH}" == "armv6l" ]; then echo "Detected Raspberry, installing cython, skipping hyperopt installation." ${PYTHON} -m pip install --upgrade cython else @@ -107,19 +95,28 @@ function install_talib() { return fi - cd build_helpers - tar zxvf ta-lib-0.4.0-src.tar.gz - cd ta-lib - sed -i.bak "s|0.00000001|0.000000000000000001 |g" src/ta_func/ta_utility.h - ./configure --prefix=/usr/local - make - sudo make install - if [ -x "$(command -v apt-get)" ]; then - echo "Updating library path using ldconfig" - sudo ldconfig + cd build_helpers && ./install_ta-lib.sh && cd .. +} + +function install_mac_newer_python_dependencies() { + + if [ ! $(brew --prefix --installed hdf5 2>/dev/null) ] + then + echo "-------------------------" + echo "Installing hdf5" + echo "-------------------------" + brew install hdf5 fi - cd .. && rm -rf ./ta-lib/ - cd .. + export HDF5_DIR=$(brew --prefix) + + if [ ! $(brew --prefix --installed c-blosc 2>/dev/null) ] + then + echo "-------------------------" + echo "Installing c-blosc" + echo "-------------------------" + brew install c-blosc + fi + export CBLOSC_DIR=$(brew --prefix) } # Install bot MacOS @@ -131,14 +128,19 @@ function install_macos() { echo "-------------------------" /usr/bin/ruby -e "$(curl -fsSL https://raw.githubusercontent.com/Homebrew/install/master/install)" fi + #Gets number after decimal in python version + version=$(egrep -o 3.\[0-9\]+ <<< $PYTHON | sed 's/3.//g') + + if [[ $version -ge 9 ]]; then #Checks if python version >= 3.9 + install_mac_newer_python_dependencies + fi install_talib - test_and_fix_python_on_mac } # Install bot Debian_ubuntu function install_debian() { sudo apt-get update - sudo apt-get install -y build-essential autoconf libtool pkg-config make wget git libpython3-dev + sudo apt-get install -y build-essential autoconf libtool pkg-config make wget git $(echo lib${PYTHON}-dev ${PYTHON}-venv) install_talib } @@ -151,7 +153,7 @@ function update() { # Reset Develop or Stable branch function reset() { echo "----------------------------" - echo "Reseting branch and virtual env" + echo "Resetting branch and virtual env" echo "----------------------------" if [ "1" == $(git branch -vv |grep -cE "\* develop|\* stable") ] @@ -189,19 +191,6 @@ function reset() { updateenv } -function test_and_fix_python_on_mac() { - - if ! [ -x "$(command -v python3.6)" ] - then - echo "-------------------------" - echo "Fixing Python" - echo "-------------------------" - echo "Python 3.6 is not linked in your system. Fixing it..." - brew link --overwrite python - echo - fi -} - function config() { echo "-------------------------" @@ -240,12 +229,12 @@ function install() { } function plot() { -echo " ------------------------------------------ -Installing dependencies for Plotting scripts ------------------------------------------ -" -${PYTHON} -m pip install plotly --upgrade + echo " + ----------------------------------------- + Installing dependencies for Plotting scripts + ----------------------------------------- + " + ${PYTHON} -m pip install plotly --upgrade } function help() { diff --git a/tests/commands/test_commands.py b/tests/commands/test_commands.py index dcceb3ea1..8889617ba 100644 --- a/tests/commands/test_commands.py +++ b/tests/commands/test_commands.py @@ -8,12 +8,12 @@ from zipfile import ZipFile import arrow import pytest -from freqtrade.commands import (start_convert_data, start_create_userdir, start_download_data, - start_hyperopt_list, start_hyperopt_show, start_install_ui, - start_list_data, start_list_exchanges, start_list_hyperopts, +from freqtrade.commands import (start_convert_data, start_convert_trades, start_create_userdir, + start_download_data, start_hyperopt_list, start_hyperopt_show, + start_install_ui, start_list_data, start_list_exchanges, start_list_markets, start_list_strategies, start_list_timeframes, - start_new_hyperopt, start_new_strategy, start_show_trades, - start_test_pairlist, start_trading) + start_new_strategy, start_show_trades, start_test_pairlist, + start_trading, start_webserver) from freqtrade.commands.deploy_commands import (clean_ui_subdir, download_and_install_ui, get_ui_download_url, read_ui_version) from freqtrade.configuration import setup_utils_configuration @@ -26,14 +26,12 @@ from tests.conftest_trades import MOCK_TRADE_COUNT def test_setup_utils_configuration(): args = [ - 'list-exchanges', '--config', 'config_bittrex.json.example', + 'list-exchanges', '--config', 'config_examples/config_bittrex.example.json', ] config = setup_utils_configuration(get_args(args), RunMode.OTHER) assert "exchange" in config assert config['dry_run'] is True - assert config['exchange']['key'] == '' - assert config['exchange']['secret'] == '' def test_start_trading_fail(mocker, caplog): @@ -45,7 +43,7 @@ def test_start_trading_fail(mocker, caplog): exitmock = mocker.patch("freqtrade.worker.Worker.exit", MagicMock()) args = [ 'trade', - '-c', 'config_bittrex.json.example' + '-c', 'config_examples/config_bittrex.example.json' ] start_trading(get_args(args)) assert exitmock.call_count == 1 @@ -58,6 +56,18 @@ def test_start_trading_fail(mocker, caplog): assert log_has('Fatal exception!', caplog) +def test_start_webserver(mocker, caplog): + + api_server_mock = mocker.patch("freqtrade.rpc.api_server.ApiServer", ) + + args = [ + 'webserver', + '-c', 'config_examples/config_bittrex.example.json' + ] + start_webserver(get_args(args)) + assert api_server_mock.call_count == 1 + + def test_list_exchanges(capsys): args = [ @@ -127,10 +137,10 @@ def test_list_timeframes(mocker, capsys): match=r"This command requires a configured exchange.*"): start_list_timeframes(pargs) - # Test with --config config_bittrex.json.example + # Test with --config config_examples/config_bittrex.example.json args = [ "list-timeframes", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', ] start_list_timeframes(get_args(args)) captured = capsys.readouterr() @@ -174,7 +184,7 @@ def test_list_timeframes(mocker, capsys): # Test with --one-column args = [ "list-timeframes", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--one-column", ] start_list_timeframes(get_args(args)) @@ -198,11 +208,10 @@ def test_list_timeframes(mocker, capsys): assert re.search(r"^1d$", captured.out, re.MULTILINE) -def test_list_markets(mocker, markets, capsys): +def test_list_markets(mocker, markets_static, capsys): api_mock = MagicMock() - api_mock.markets = markets - patch_exchange(mocker, api_mock=api_mock, id='bittrex') + patch_exchange(mocker, api_mock=api_mock, id='bittrex', mock_markets=markets_static) # Test with no --config args = [ @@ -214,10 +223,10 @@ def test_list_markets(mocker, markets, capsys): match=r"This command requires a configured exchange.*"): start_list_markets(pargs, False) - # Test with --config config_bittrex.json.example + # Test with --config config_examples/config_bittrex.example.json args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--print-list", ] start_list_markets(get_args(args), False) @@ -227,7 +236,7 @@ def test_list_markets(mocker, markets, capsys): "TKN/BTC, XLTCUSDT, XRP/BTC.\n" in captured.out) - patch_exchange(mocker, api_mock=api_mock, id="binance") + patch_exchange(mocker, api_mock=api_mock, id="binance", mock_markets=markets_static) # Test with --exchange args = [ "list-markets", @@ -240,11 +249,11 @@ def test_list_markets(mocker, markets, capsys): assert re.match("\nExchange Binance has 10 active markets:\n", captured.out) - patch_exchange(mocker, api_mock=api_mock, id="bittrex") + patch_exchange(mocker, api_mock=api_mock, id="bittrex", mock_markets=markets_static) # Test with --all: all markets args = [ "list-markets", "--all", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--print-list", ] start_list_markets(get_args(args), False) @@ -257,7 +266,7 @@ def test_list_markets(mocker, markets, capsys): # Test list-pairs subcommand: active pairs args = [ "list-pairs", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--print-list", ] start_list_markets(get_args(args), True) @@ -269,7 +278,7 @@ def test_list_markets(mocker, markets, capsys): # Test list-pairs subcommand with --all: all pairs args = [ "list-pairs", "--all", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--print-list", ] start_list_markets(get_args(args), True) @@ -282,7 +291,7 @@ def test_list_markets(mocker, markets, capsys): # active markets, base=ETH, LTC args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--base", "ETH", "LTC", "--print-list", ] @@ -295,7 +304,7 @@ def test_list_markets(mocker, markets, capsys): # active markets, base=LTC args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--base", "LTC", "--print-list", ] @@ -308,7 +317,7 @@ def test_list_markets(mocker, markets, capsys): # active markets, quote=USDT, USD args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--quote", "USDT", "USD", "--print-list", ] @@ -321,7 +330,7 @@ def test_list_markets(mocker, markets, capsys): # active markets, quote=USDT args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--quote", "USDT", "--print-list", ] @@ -334,7 +343,7 @@ def test_list_markets(mocker, markets, capsys): # active markets, base=LTC, quote=USDT args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--base", "LTC", "--quote", "USDT", "--print-list", ] @@ -347,7 +356,7 @@ def test_list_markets(mocker, markets, capsys): # active pairs, base=LTC, quote=USDT args = [ "list-pairs", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--base", "LTC", "--quote", "USD", "--print-list", ] @@ -360,7 +369,7 @@ def test_list_markets(mocker, markets, capsys): # active markets, base=LTC, quote=USDT, NONEXISTENT args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--base", "LTC", "--quote", "USDT", "NONEXISTENT", "--print-list", ] @@ -373,7 +382,7 @@ def test_list_markets(mocker, markets, capsys): # active markets, base=LTC, quote=NONEXISTENT args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--base", "LTC", "--quote", "NONEXISTENT", "--print-list", ] @@ -386,7 +395,7 @@ def test_list_markets(mocker, markets, capsys): # Test tabular output args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', ] start_list_markets(get_args(args), False) captured = capsys.readouterr() @@ -396,7 +405,7 @@ def test_list_markets(mocker, markets, capsys): # Test tabular output, no markets found args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--base", "LTC", "--quote", "NONEXISTENT", ] start_list_markets(get_args(args), False) @@ -408,7 +417,7 @@ def test_list_markets(mocker, markets, capsys): # Test --print-json args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--print-json" ] start_list_markets(get_args(args), False) @@ -420,7 +429,7 @@ def test_list_markets(mocker, markets, capsys): # Test --print-csv args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--print-csv" ] start_list_markets(get_args(args), False) @@ -432,7 +441,7 @@ def test_list_markets(mocker, markets, capsys): # Test --one-column args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--one-column" ] start_list_markets(get_args(args), False) @@ -444,7 +453,7 @@ def test_list_markets(mocker, markets, capsys): # Test --one-column args = [ "list-markets", - '--config', 'config_bittrex.json.example', + '--config', 'config_examples/config_bittrex.example.json', "--one-column" ] with pytest.raises(OperationalException, match=r"Cannot get markets.*"): @@ -498,17 +507,6 @@ def test_start_new_strategy(mocker, caplog): start_new_strategy(get_args(args)) -def test_start_new_strategy_DefaultStrat(mocker, caplog): - args = [ - "new-strategy", - "--strategy", - "DefaultStrategy" - ] - with pytest.raises(OperationalException, - match=r"DefaultStrategy is not allowed as name\."): - start_new_strategy(get_args(args)) - - def test_start_new_strategy_no_arg(mocker, caplog): args = [ "new-strategy", @@ -518,48 +516,6 @@ def test_start_new_strategy_no_arg(mocker, caplog): start_new_strategy(get_args(args)) -def test_start_new_hyperopt(mocker, caplog): - wt_mock = mocker.patch.object(Path, "write_text", MagicMock()) - mocker.patch.object(Path, "exists", MagicMock(return_value=False)) - - args = [ - "new-hyperopt", - "--hyperopt", - "CoolNewhyperopt" - ] - start_new_hyperopt(get_args(args)) - - assert wt_mock.call_count == 1 - assert "CoolNewhyperopt" in wt_mock.call_args_list[0][0][0] - assert log_has_re("Writing hyperopt to .*", caplog) - - mocker.patch('freqtrade.commands.deploy_commands.setup_utils_configuration') - mocker.patch.object(Path, "exists", MagicMock(return_value=True)) - with pytest.raises(OperationalException, - match=r".* already exists. Please choose another Hyperopt Name\."): - start_new_hyperopt(get_args(args)) - - -def test_start_new_hyperopt_DefaultHyperopt(mocker, caplog): - args = [ - "new-hyperopt", - "--hyperopt", - "DefaultHyperopt" - ] - with pytest.raises(OperationalException, - match=r"DefaultHyperopt is not allowed as name\."): - start_new_hyperopt(get_args(args)) - - -def test_start_new_hyperopt_no_arg(mocker): - args = [ - "new-hyperopt", - ] - with pytest.raises(OperationalException, - match="`new-hyperopt` requires --hyperopt to be set."): - start_new_hyperopt(get_args(args)) - - def test_start_install_ui(mocker): clean_mock = mocker.patch('freqtrade.commands.deploy_commands.clean_ui_subdir') get_url_mock = mocker.patch('freqtrade.commands.deploy_commands.get_ui_download_url', @@ -803,6 +759,22 @@ def test_download_data_trades(mocker, caplog): assert convert_mock.call_count == 1 +def test_start_convert_trades(mocker, caplog): + convert_mock = mocker.patch('freqtrade.commands.data_commands.convert_trades_to_ohlcv', + MagicMock(return_value=[])) + patch_exchange(mocker) + mocker.patch( + 'freqtrade.exchange.Exchange.markets', PropertyMock(return_value={}) + ) + args = [ + "trades-to-ohlcv", + "--exchange", "kraken", + "--pairs", "ETH/BTC", "XRP/BTC", + ] + start_convert_trades(get_args(args)) + assert convert_mock.call_count == 1 + + def test_start_list_strategies(mocker, caplog, capsys): args = [ @@ -815,9 +787,9 @@ def test_start_list_strategies(mocker, caplog, capsys): # pargs['config'] = None start_list_strategies(pargs) captured = capsys.readouterr() - assert "TestStrategyLegacy" in captured.out - assert "legacy_strategy.py" not in captured.out - assert "DefaultStrategy" in captured.out + assert "TestStrategyLegacyV1" in captured.out + assert "legacy_strategy_v1.py" not in captured.out + assert "StrategyTestV2" in captured.out # Test regular output args = [ @@ -830,41 +802,24 @@ def test_start_list_strategies(mocker, caplog, capsys): # pargs['config'] = None start_list_strategies(pargs) captured = capsys.readouterr() - assert "TestStrategyLegacy" in captured.out - assert "legacy_strategy.py" in captured.out - assert "DefaultStrategy" in captured.out - - -def test_start_list_hyperopts(mocker, caplog, capsys): + assert "TestStrategyLegacyV1" in captured.out + assert "legacy_strategy_v1.py" in captured.out + assert "StrategyTestV2" in captured.out + # Test color output args = [ - "list-hyperopts", - "--hyperopt-path", - str(Path(__file__).parent.parent / "optimize" / "hyperopts"), - "-1" + "list-strategies", + "--strategy-path", + str(Path(__file__).parent.parent / "strategy" / "strats"), ] pargs = get_args(args) # pargs['config'] = None - start_list_hyperopts(pargs) + start_list_strategies(pargs) captured = capsys.readouterr() - assert "TestHyperoptLegacy" not in captured.out - assert "legacy_hyperopt.py" not in captured.out - assert "DefaultHyperOpt" in captured.out - assert "test_hyperopt.py" not in captured.out - - # Test regular output - args = [ - "list-hyperopts", - "--hyperopt-path", - str(Path(__file__).parent.parent / "optimize" / "hyperopts"), - ] - pargs = get_args(args) - # pargs['config'] = None - start_list_hyperopts(pargs) - captured = capsys.readouterr() - assert "TestHyperoptLegacy" not in captured.out - assert "legacy_hyperopt.py" not in captured.out - assert "DefaultHyperOpt" in captured.out + assert "TestStrategyLegacyV1" in captured.out + assert "legacy_strategy_v1.py" in captured.out + assert "StrategyTestV2" in captured.out + assert "LOAD FAILED" in captured.out def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): @@ -887,7 +842,7 @@ def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): patched_configuration_load_config_file(mocker, default_conf) args = [ 'test-pairlist', - '-c', 'config_bittrex.json.example' + '-c', 'config_examples/config_bittrex.example.json' ] start_test_pairlist(get_args(args)) @@ -901,7 +856,7 @@ def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): args = [ 'test-pairlist', - '-c', 'config_bittrex.json.example', + '-c', 'config_examples/config_bittrex.example.json', '--one-column', ] start_test_pairlist(get_args(args)) @@ -910,7 +865,7 @@ def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): args = [ 'test-pairlist', - '-c', 'config_bittrex.json.example', + '-c', 'config_examples/config_bittrex.example.json', '--print-json', ] start_test_pairlist(get_args(args)) @@ -926,247 +881,261 @@ def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): pytest.fail(f'Expected well formed JSON, but failed to parse: {captured.out}') -def test_hyperopt_list(mocker, capsys, caplog, saved_hyperopt_results, - saved_hyperopt_results_legacy, tmpdir): +def test_hyperopt_list(mocker, capsys, caplog, saved_hyperopt_results, tmpdir): csv_file = Path(tmpdir) / "test.csv" - for res in (saved_hyperopt_results, saved_hyperopt_results_legacy): - mocker.patch( - 'freqtrade.optimize.hyperopt_tools.HyperoptTools.load_previous_results', - MagicMock(return_value=res) + mocker.patch( + 'freqtrade.optimize.hyperopt_tools.HyperoptTools._test_hyperopt_results_exist', + return_value=True ) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", - " 6/12", " 7/12", " 8/12", " 9/12", " 10/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--best", - "--no-details", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 5/12", " 10/12"]) - assert all(x not in captured.out - for x in [" 2/12", " 3/12", " 4/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 10/12", "Best result:", "Buy hyperspace params", - "Sell hyperspace params", "ROI table", "Stoploss"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--min-trades", "20", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 3/12", " 6/12", " 7/12", " 9/12", " 11/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 4/12", " 5/12", " 8/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - "--max-trades", "20", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - "--min-avg-profit", "0.11", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 10/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--max-avg-profit", "0.10", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12"]) - assert all(x not in captured.out - for x in [" 2/12", " 4/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--min-total-profit", "0.4", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--max-total-profit", "0.4", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12"]) - assert all(x not in captured.out - for x in [" 4/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--min-objective", "0.1", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--max-objective", "0.1", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12"]) - assert all(x not in captured.out - for x in [" 4/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - "--min-avg-time", "2000", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", - " 8/12", " 9/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--max-avg-time", "1500", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 6/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 7/12", " 8/12" - " 9/12", " 10/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--export-csv", - str(csv_file), - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - log_has("CSV file created: test_file.csv", caplog) - assert csv_file.is_file() - line = csv_file.read_text() - assert ('Best,1,2,-1.25%,-1.2222,-0.00125625,,-2.51,"3,930.0 m",0.43662' in line - or "Best,1,2,-1.25%,-1.2222,-0.00125625,,-2.51,2 days 17:30:00,0.43662" in line) - csv_file.unlink() + def fake_iterator(*args, **kwargs): + yield from [saved_hyperopt_results] + + mocker.patch( + 'freqtrade.optimize.hyperopt_tools.HyperoptTools._read_results', + side_effect=fake_iterator + ) + + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", + " 6/12", " 7/12", " 8/12", " 9/12", " 10/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--best", + "--no-details", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 5/12", " 10/12"]) + assert all(x not in captured.out + for x in [" 2/12", " 3/12", " 4/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 10/12", "Best result:", "Buy hyperspace params", + "Sell hyperspace params", "ROI table", "Stoploss"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--min-trades", "20", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 3/12", " 6/12", " 7/12", " 9/12", " 11/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 4/12", " 5/12", " 8/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + "--max-trades", "20", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + "--min-avg-profit", "0.11", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 10/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--max-avg-profit", "0.10", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12"]) + assert all(x not in captured.out + for x in [" 2/12", " 4/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--min-total-profit", "0.4", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--max-total-profit", "0.4", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12"]) + assert all(x not in captured.out + for x in [" 4/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--min-objective", "0.1", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--max-objective", "0.1", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12"]) + assert all(x not in captured.out + for x in [" 4/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + "--min-avg-time", "2000", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", + " 8/12", " 9/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--max-avg-time", "1500", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 6/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 7/12", " 8/12" + " 9/12", " 10/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--export-csv", + str(csv_file), + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + log_has("CSV file created: test_file.csv", caplog) + assert csv_file.is_file() + line = csv_file.read_text() + assert ('Best,1,2,-1.25%,-1.2222,-0.00125625,,-2.51,"3,930.0 m",0.43662' in line + or "Best,1,2,-1.25%,-1.2222,-0.00125625,,-2.51,2 days 17:30:00,0.43662" in line) + csv_file.unlink() def test_hyperopt_show(mocker, capsys, saved_hyperopt_results): mocker.patch( - 'freqtrade.optimize.hyperopt_tools.HyperoptTools.load_previous_results', - MagicMock(return_value=saved_hyperopt_results) + 'freqtrade.optimize.hyperopt_tools.HyperoptTools._test_hyperopt_results_exist', + return_value=True + ) + + def fake_iterator(*args, **kwargs): + yield from [saved_hyperopt_results] + + mocker.patch( + 'freqtrade.optimize.hyperopt_tools.HyperoptTools._read_results', + side_effect=fake_iterator ) mocker.patch('freqtrade.commands.hyperopt_commands.show_backtest_result') diff --git a/tests/config_test_comments.json b/tests/config_test_comments.json index 48a087dec..19d82c454 100644 --- a/tests/config_test_comments.json +++ b/tests/config_test_comments.json @@ -6,8 +6,8 @@ */ "stake_currency": "BTC", "stake_amount": 0.05, - "fiat_display_currency": "USD", // C++-style comment - "amount_reserve_percent" : 0.05, // And more, tabs before this comment + "fiat_display_currency": "USD", // C++-style comment + "amount_reserve_percent": 0.05, // And more, tabs before this comment "dry_run": false, "timeframe": "5m", "trailing_stop": false, @@ -15,15 +15,15 @@ "trailing_stop_positive_offset": 0.0051, "trailing_only_offset_is_reached": false, "minimal_roi": { - "40": 0.0, - "30": 0.01, - "20": 0.02, - "0": 0.04 + "40": 0.0, + "30": 0.01, + "20": 0.02, + "0": 0.04 }, "stoploss": -0.10, "unfilledtimeout": { "buy": 10, - "sell": 30, // Trailing comma should also be accepted now + "sell": 30, // Trailing comma should also be accepted now }, "bid_strategy": { "use_order_book": false, @@ -34,7 +34,7 @@ "bids_to_ask_delta": 1 } }, - "ask_strategy":{ + "ask_strategy": { "use_order_book": false, "order_book_min": 1, "order_book_max": 9 @@ -64,7 +64,9 @@ "key": "your_exchange_key", "secret": "your_exchange_secret", "password": "", - "ccxt_config": {"enableRateLimit": true}, + "ccxt_config": { + "enableRateLimit": true + }, "ccxt_async_config": { "enableRateLimit": false, "rateLimit": 500, @@ -103,8 +105,8 @@ "remove_pumps": false }, "telegram": { -// We can now comment out some settings -// "enabled": true, + // We can now comment out some settings + // "enabled": true, "enabled": false, "token": "your_telegram_token", "chat_id": "your_telegram_chat_id" @@ -124,4 +126,4 @@ }, "strategy": "DefaultStrategy", "strategy_path": "user_data/strategies/" -} +} \ No newline at end of file diff --git a/tests/conftest.py b/tests/conftest.py index c21458e66..c908c0cb0 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -90,8 +90,10 @@ def patch_exchange(mocker, api_mock=None, id='binance', mock_markets=True) -> No mocker.patch('freqtrade.exchange.Exchange.name', PropertyMock(return_value=id.title())) mocker.patch('freqtrade.exchange.Exchange.precisionMode', PropertyMock(return_value=2)) if mock_markets: + if isinstance(mock_markets, bool): + mock_markets = get_markets() mocker.patch('freqtrade.exchange.Exchange.markets', - PropertyMock(return_value=get_markets())) + PropertyMock(return_value=mock_markets)) if api_mock: mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock)) @@ -182,7 +184,7 @@ def get_patched_worker(mocker, config) -> Worker: return Worker(args=None, config=config) -def patch_get_signal(freqtrade: FreqtradeBot, value=(True, False)) -> None: +def patch_get_signal(freqtrade: FreqtradeBot, value=(True, False, None)) -> None: """ :param mocker: mocker to patch IStrategy class :param value: which value IStrategy.get_signal() must return @@ -323,7 +325,7 @@ def get_default_conf(testdatadir): "user_data_dir": Path("user_data"), "verbosity": 3, "strategy_path": str(Path(__file__).parent / "strategy" / "strats"), - "strategy": "DefaultStrategy", + "strategy": "StrategyTestV2", "disableparamexport": True, "internals": {}, "export": "none", @@ -376,6 +378,8 @@ def markets(): def get_markets(): + # See get_markets_static() for immutable markets and do not modify them unless absolutely + # necessary! return { 'ETH/BTC': { 'id': 'ethbtc', @@ -675,11 +679,22 @@ def get_markets(): @pytest.fixture -def shitcoinmarkets(markets): +def markets_static(): + # These markets are used in some tests that would need adaptation should anything change in + # market list. Do not modify this list without a good reason! Do not modify market parameters + # of listed pairs in get_markets() without a good reason either! + static_markets = ['BLK/BTC', 'BTT/BTC', 'ETH/BTC', 'ETH/USDT', 'LTC/BTC', 'LTC/ETH', 'LTC/USD', + 'LTC/USDT', 'NEO/BTC', 'TKN/BTC', 'XLTCUSDT', 'XRP/BTC'] + all_markets = get_markets() + return {m: all_markets[m] for m in static_markets} + + +@pytest.fixture +def shitcoinmarkets(markets_static): """ Fixture with shitcoin markets - used to test filters in pairlists """ - shitmarkets = deepcopy(markets) + shitmarkets = deepcopy(markets_static) shitmarkets.update({ 'HOT/BTC': { 'id': 'HOTBTC', @@ -812,7 +827,7 @@ def shitcoinmarkets(markets): "future": False, "active": True }, - }) + }) return shitmarkets @@ -1115,7 +1130,7 @@ def order_book_l2_usd(): [25.576, 262.016], [25.577, 178.557], [25.578, 78.614] - ], + ], 'timestamp': None, 'datetime': None, 'nonce': 2372149736 @@ -1685,14 +1700,6 @@ def trades_for_order2(): 'fee': {'cost': 0.004, 'currency': 'LTC'}}] -@pytest.fixture(scope="function") -def trades_for_order3(trades_for_order2): - # Different fee currencies for each trade - trades_for_order = deepcopy(trades_for_order2) - trades_for_order[0]['fee'] = {'cost': 0.02, 'currency': 'BNB'} - return trades_for_order - - @pytest.fixture def buy_order_fee(): return { @@ -1762,7 +1769,7 @@ def rpc_balance(): 'total': 0.1, 'free': 0.01, 'used': 0.0 - }, + }, 'EUR': { 'total': 10.0, 'free': 10.0, @@ -1814,138 +1821,6 @@ def open_trade(): ) -@pytest.fixture -def saved_hyperopt_results_legacy(): - return [ - { - 'loss': 0.4366182531161519, - 'params_dict': { - 'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1190, 'roi_t2': 541, 'roi_t3': 408, 'roi_p1': 0.026035863879169705, 'roi_p2': 0.12508730043628782, 'roi_p3': 0.27766427921605896, 'stoploss': -0.2562930402099556}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4287874435315165, 408: 0.15112316431545753, 949: 0.026035863879169705, 2139: 0}, 'stoploss': {'stoploss': -0.2562930402099556}}, # noqa: E501 - 'results_metrics': {'trade_count': 2, 'avg_profit': -1.254995, 'median_profit': -1.2222, 'total_profit': -0.00125625, 'profit': -2.50999, 'duration': 3930.0}, # noqa: E501 - 'results_explanation': ' 2 trades. Avg profit -1.25%. Total profit -0.00125625 BTC ( -2.51Σ%). Avg duration 3930.0 min.', # noqa: E501 - 'total_profit': -0.00125625, - 'current_epoch': 1, - 'is_initial_point': True, - 'is_best': True - }, { - 'loss': 20.0, - 'params_dict': { - 'mfi-value': 17, 'fastd-value': 38, 'adx-value': 48, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 96, 'sell-fastd-value': 68, 'sell-adx-value': 63, 'sell-rsi-value': 81, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 334, 'roi_t2': 683, 'roi_t3': 140, 'roi_p1': 0.06403981740598495, 'roi_p2': 0.055519840060645045, 'roi_p3': 0.3253712811342459, 'stoploss': -0.338070047333259}, # noqa: E501 - 'params_details': { - 'buy': {'mfi-value': 17, 'fastd-value': 38, 'adx-value': 48, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, # noqa: E501 - 'sell': {'sell-mfi-value': 96, 'sell-fastd-value': 68, 'sell-adx-value': 63, 'sell-rsi-value': 81, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, # noqa: E501 - 'roi': {0: 0.4449309386008759, 140: 0.11955965746663, 823: 0.06403981740598495, 1157: 0}, # noqa: E501 - 'stoploss': {'stoploss': -0.338070047333259}}, - 'results_metrics': {'trade_count': 1, 'avg_profit': 0.12357, 'median_profit': -1.2222, 'total_profit': 6.185e-05, 'profit': 0.12357, 'duration': 1200.0}, # noqa: E501 - 'results_explanation': ' 1 trades. Avg profit 0.12%. Total profit 0.00006185 BTC ( 0.12Σ%). Avg duration 1200.0 min.', # noqa: E501 - 'total_profit': 6.185e-05, - 'current_epoch': 2, - 'is_initial_point': True, - 'is_best': False - }, { - 'loss': 14.241196856510731, - 'params_dict': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 889, 'roi_t2': 533, 'roi_t3': 263, 'roi_p1': 0.04759065393663096, 'roi_p2': 0.1488819964638463, 'roi_p3': 0.4102801822104605, 'stoploss': -0.05394588767607611}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.6067528326109377, 263: 0.19647265040047726, 796: 0.04759065393663096, 1685: 0}, 'stoploss': {'stoploss': -0.05394588767607611}}, # noqa: E501 - 'results_metrics': {'trade_count': 621, 'avg_profit': -0.43883302093397747, 'median_profit': -1.2222, 'total_profit': -0.13639474, 'profit': -272.515306, 'duration': 1691.207729468599}, # noqa: E501 - 'results_explanation': ' 621 trades. Avg profit -0.44%. Total profit -0.13639474 BTC (-272.52Σ%). Avg duration 1691.2 min.', # noqa: E501 - 'total_profit': -0.13639474, - 'current_epoch': 3, - 'is_initial_point': True, - 'is_best': False - }, { - 'loss': 100000, - 'params_dict': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1402, 'roi_t2': 676, 'roi_t3': 215, 'roi_p1': 0.06264755784937427, 'roi_p2': 0.14258587851894644, 'roi_p3': 0.20671291201040828, 'stoploss': -0.11818343570194478}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.411946348378729, 215: 0.2052334363683207, 891: 0.06264755784937427, 2293: 0}, 'stoploss': {'stoploss': -0.11818343570194478}}, # noqa: E501 - 'results_metrics': {'trade_count': 0, 'avg_profit': None, 'median_profit': None, 'total_profit': 0, 'profit': 0.0, 'duration': None}, # noqa: E501 - 'results_explanation': ' 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.', # noqa: E501 - 'total_profit': 0, 'current_epoch': 4, 'is_initial_point': True, 'is_best': False - }, { - 'loss': 0.22195522184191518, - 'params_dict': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 1269, 'roi_t2': 601, 'roi_t3': 444, 'roi_p1': 0.07280999507931168, 'roi_p2': 0.08946698095898986, 'roi_p3': 0.1454876733325284, 'stoploss': -0.18181041180901014}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.3077646493708299, 444: 0.16227697603830155, 1045: 0.07280999507931168, 2314: 0}, 'stoploss': {'stoploss': -0.18181041180901014}}, # noqa: E501 - 'results_metrics': {'trade_count': 14, 'avg_profit': -0.3539515, 'median_profit': -1.2222, 'total_profit': -0.002480140000000001, 'profit': -4.955321, 'duration': 3402.8571428571427}, # noqa: E501 - 'results_explanation': ' 14 trades. Avg profit -0.35%. Total profit -0.00248014 BTC ( -4.96Σ%). Avg duration 3402.9 min.', # noqa: E501 - 'total_profit': -0.002480140000000001, - 'current_epoch': 5, - 'is_initial_point': True, - 'is_best': True - }, { - 'loss': 0.545315889154162, - 'params_dict': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower', 'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 319, 'roi_t2': 556, 'roi_t3': 216, 'roi_p1': 0.06251955472249589, 'roi_p2': 0.11659519602202795, 'roi_p3': 0.0953744132197762, 'stoploss': -0.024551752215582423}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.2744891639643, 216: 0.17911475074452382, 772: 0.06251955472249589, 1091: 0}, 'stoploss': {'stoploss': -0.024551752215582423}}, # noqa: E501 - 'results_metrics': {'trade_count': 39, 'avg_profit': -0.21400679487179478, 'median_profit': -1.2222, 'total_profit': -0.0041773, 'profit': -8.346264999999997, 'duration': 636.9230769230769}, # noqa: E501 - 'results_explanation': ' 39 trades. Avg profit -0.21%. Total profit -0.00417730 BTC ( -8.35Σ%). Avg duration 636.9 min.', # noqa: E501 - 'total_profit': -0.0041773, - 'current_epoch': 6, - 'is_initial_point': True, - 'is_best': False - }, { - 'loss': 4.713497421432944, - 'params_dict': {'mfi-value': 13, 'fastd-value': 41, 'adx-value': 21, 'rsi-value': 29, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower', 'sell-mfi-value': 99, 'sell-fastd-value': 60, 'sell-adx-value': 81, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 771, 'roi_t2': 620, 'roi_t3': 145, 'roi_p1': 0.0586919200378493, 'roi_p2': 0.04984118697312542, 'roi_p3': 0.37521058680247044, 'stoploss': -0.14613268022709905}, # noqa: E501 - 'params_details': { - 'buy': {'mfi-value': 13, 'fastd-value': 41, 'adx-value': 21, 'rsi-value': 29, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 99, 'sell-fastd-value': 60, 'sell-adx-value': 81, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.4837436938134452, 145: 0.10853310701097472, 765: 0.0586919200378493, 1536: 0}, # noqa: E501 - 'stoploss': {'stoploss': -0.14613268022709905}}, # noqa: E501 - 'results_metrics': {'trade_count': 318, 'avg_profit': -0.39833954716981146, 'median_profit': -1.2222, 'total_profit': -0.06339929, 'profit': -126.67197600000004, 'duration': 3140.377358490566}, # noqa: E501 - 'results_explanation': ' 318 trades. Avg profit -0.40%. Total profit -0.06339929 BTC (-126.67Σ%). Avg duration 3140.4 min.', # noqa: E501 - 'total_profit': -0.06339929, - 'current_epoch': 7, - 'is_initial_point': True, - 'is_best': False - }, { - 'loss': 20.0, # noqa: E501 - 'params_dict': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal', 'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 1149, 'roi_t2': 375, 'roi_t3': 289, 'roi_p1': 0.05571820757172588, 'roi_p2': 0.0606240398618907, 'roi_p3': 0.1729012220156157, 'stoploss': -0.1588514289110401}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.2892434694492323, 289: 0.11634224743361658, 664: 0.05571820757172588, 1813: 0}, 'stoploss': {'stoploss': -0.1588514289110401}}, # noqa: E501 - 'results_metrics': {'trade_count': 1, 'avg_profit': 0.0, 'median_profit': 0.0, 'total_profit': 0.0, 'profit': 0.0, 'duration': 5340.0}, # noqa: E501 - 'results_explanation': ' 1 trades. Avg profit 0.00%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration 5340.0 min.', # noqa: E501 - 'total_profit': 0.0, - 'current_epoch': 8, - 'is_initial_point': True, - 'is_best': False - }, { - 'loss': 2.4731817780991223, - 'params_dict': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1012, 'roi_t2': 584, 'roi_t3': 422, 'roi_p1': 0.036764323603472565, 'roi_p2': 0.10335480573205287, 'roi_p3': 0.10322347377503042, 'stoploss': -0.2780610808108503}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.2433426031105559, 422: 0.14011912933552545, 1006: 0.036764323603472565, 2018: 0}, 'stoploss': {'stoploss': -0.2780610808108503}}, # noqa: E501 - 'results_metrics': {'trade_count': 229, 'avg_profit': -0.38433433624454144, 'median_profit': -1.2222, 'total_profit': -0.044050070000000004, 'profit': -88.01256299999999, 'duration': 6505.676855895196}, # noqa: E501 - 'results_explanation': ' 229 trades. Avg profit -0.38%. Total profit -0.04405007 BTC ( -88.01Σ%). Avg duration 6505.7 min.', # noqa: E501 - 'total_profit': -0.044050070000000004, # noqa: E501 - 'current_epoch': 9, - 'is_initial_point': True, - 'is_best': False - }, { - 'loss': -0.2604606005845212, # noqa: E501 - 'params_dict': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 792, 'roi_t2': 464, 'roi_t3': 215, 'roi_p1': 0.04594053535385903, 'roi_p2': 0.09623192684243963, 'roi_p3': 0.04428219070850663, 'stoploss': -0.16992287161634415}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.18645465290480528, 215: 0.14217246219629864, 679: 0.04594053535385903, 1471: 0}, 'stoploss': {'stoploss': -0.16992287161634415}}, # noqa: E501 - 'results_metrics': {'trade_count': 4, 'avg_profit': 0.1080385, 'median_profit': -1.2222, 'total_profit': 0.00021629, 'profit': 0.432154, 'duration': 2850.0}, # noqa: E501 - 'results_explanation': ' 4 trades. Avg profit 0.11%. Total profit 0.00021629 BTC ( 0.43Σ%). Avg duration 2850.0 min.', # noqa: E501 - 'total_profit': 0.00021629, - 'current_epoch': 10, - 'is_initial_point': True, - 'is_best': True - }, { - 'loss': 4.876465945994304, # noqa: E501 - 'params_dict': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower', 'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 579, 'roi_t2': 614, 'roi_t3': 273, 'roi_p1': 0.05307643172744114, 'roi_p2': 0.1352282078262871, 'roi_p3': 0.1913307406325751, 'stoploss': -0.25728526022513887}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.3796353801863034, 273: 0.18830463955372825, 887: 0.05307643172744114, 1466: 0}, 'stoploss': {'stoploss': -0.25728526022513887}}, # noqa: E501 - 'results_metrics': {'trade_count': 117, 'avg_profit': -1.2698609145299145, 'median_profit': -1.2222, 'total_profit': -0.07436117, 'profit': -148.573727, 'duration': 4282.5641025641025}, # noqa: E501 - 'results_explanation': ' 117 trades. Avg profit -1.27%. Total profit -0.07436117 BTC (-148.57Σ%). Avg duration 4282.6 min.', # noqa: E501 - 'total_profit': -0.07436117, - 'current_epoch': 11, - 'is_initial_point': True, - 'is_best': False - }, { - 'loss': 100000, - 'params_dict': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1156, 'roi_t2': 581, 'roi_t3': 408, 'roi_p1': 0.06860454019988212, 'roi_p2': 0.12473718444931989, 'roi_p3': 0.2896360635226823, 'stoploss': -0.30889015124682806}, # noqa: E501 - 'params_details': {'buy': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4829777881718843, 408: 0.19334172464920202, 989: 0.06860454019988212, 2145: 0}, 'stoploss': {'stoploss': -0.30889015124682806}}, # noqa: E501 - 'results_metrics': {'trade_count': 0, 'avg_profit': None, 'median_profit': None, 'total_profit': 0, 'profit': 0.0, 'duration': None}, # noqa: E501 - 'results_explanation': ' 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.', # noqa: E501 - 'total_profit': 0, - 'current_epoch': 12, - 'is_initial_point': True, - 'is_best': False - } - ] - - @pytest.fixture def saved_hyperopt_results(): hyperopt_res = [ @@ -2084,3 +1959,88 @@ def saved_hyperopt_results(): ].total_seconds() return hyperopt_res + + +@pytest.fixture(scope='function') +def limit_buy_order_usdt_open(): + return { + 'id': 'mocked_limit_buy', + 'type': 'limit', + 'side': 'buy', + 'symbol': 'mocked', + 'datetime': arrow.utcnow().isoformat(), + 'timestamp': arrow.utcnow().int_timestamp, + 'price': 2.00, + 'amount': 30.0, + 'filled': 0.0, + 'cost': 60.0, + 'remaining': 30.0, + 'status': 'open' + } + + +@pytest.fixture(scope='function') +def limit_buy_order_usdt(limit_buy_order_usdt_open): + order = deepcopy(limit_buy_order_usdt_open) + order['status'] = 'closed' + order['filled'] = order['amount'] + order['remaining'] = 0.0 + return order + + +@pytest.fixture +def limit_sell_order_usdt_open(): + return { + 'id': 'mocked_limit_sell', + 'type': 'limit', + 'side': 'sell', + 'pair': 'mocked', + 'datetime': arrow.utcnow().isoformat(), + 'timestamp': arrow.utcnow().int_timestamp, + 'price': 2.20, + 'amount': 30.0, + 'filled': 0.0, + 'remaining': 30.0, + 'status': 'open' + } + + +@pytest.fixture +def limit_sell_order_usdt(limit_sell_order_usdt_open): + order = deepcopy(limit_sell_order_usdt_open) + order['remaining'] = 0.0 + order['filled'] = order['amount'] + order['status'] = 'closed' + return order + + +@pytest.fixture(scope='function') +def market_buy_order_usdt(): + return { + 'id': 'mocked_market_buy', + 'type': 'market', + 'side': 'buy', + 'symbol': 'mocked', + 'datetime': arrow.utcnow().isoformat(), + 'price': 2.00, + 'amount': 30.0, + 'filled': 30.0, + 'remaining': 0.0, + 'status': 'closed' + } + + +@pytest.fixture +def market_sell_order_usdt(): + return { + 'id': 'mocked_limit_sell', + 'type': 'market', + 'side': 'sell', + 'symbol': 'mocked', + 'datetime': arrow.utcnow().isoformat(), + 'price': 2.20, + 'amount': 30.0, + 'filled': 30.0, + 'remaining': 0.0, + 'status': 'closed' + } diff --git a/tests/conftest_trades.py b/tests/conftest_trades.py index b92b51144..024803be0 100644 --- a/tests/conftest_trades.py +++ b/tests/conftest_trades.py @@ -33,7 +33,7 @@ def mock_trade_1(fee): open_rate=0.123, exchange='binance', open_order_id='dry_run_buy_12345', - strategy='DefaultStrategy', + strategy='StrategyTestV2', timeframe=5, ) o = Order.parse_from_ccxt_object(mock_order_1(), 'ETH/BTC', 'buy') @@ -87,7 +87,7 @@ def mock_trade_2(fee): exchange='binance', is_open=False, open_order_id='dry_run_sell_12345', - strategy='DefaultStrategy', + strategy='StrategyTestV2', timeframe=5, sell_reason='sell_signal', open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20), @@ -146,7 +146,7 @@ def mock_trade_3(fee): close_profit_abs=0.000155, exchange='binance', is_open=False, - strategy='DefaultStrategy', + strategy='StrategyTestV2', timeframe=5, sell_reason='roi', open_date=datetime.now(tz=timezone.utc) - timedelta(minutes=20), @@ -189,7 +189,7 @@ def mock_trade_4(fee): open_rate=0.123, exchange='binance', open_order_id='prod_buy_12345', - strategy='DefaultStrategy', + strategy='StrategyTestV2', timeframe=5, ) o = Order.parse_from_ccxt_object(mock_order_4(), 'ETC/BTC', 'buy') diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 6bde60926..1dcd04a80 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -93,7 +93,7 @@ def test_load_backtest_data_new_format(testdatadir): def test_load_backtest_data_multi(testdatadir): filename = testdatadir / "backtest-result_multistrat.json" - for strategy in ('DefaultStrategy', 'TestStrategy'): + for strategy in ('StrategyTestV2', 'TestStrategy'): bt_data = load_backtest_data(filename, strategy=strategy) assert isinstance(bt_data, DataFrame) assert set(bt_data.columns) == set(BT_DATA_COLUMNS_MID) @@ -128,7 +128,7 @@ def test_load_trades_from_db(default_conf, fee, mocker): for col in BT_DATA_COLUMNS: if col not in ['index', 'open_at_end']: assert col in trades.columns - trades = load_trades_from_db(db_url=default_conf['db_url'], strategy='DefaultStrategy') + trades = load_trades_from_db(db_url=default_conf['db_url'], strategy='StrategyTestV2') assert len(trades) == 4 trades = load_trades_from_db(db_url=default_conf['db_url'], strategy='NoneStrategy') assert len(trades) == 0 @@ -186,7 +186,7 @@ def test_load_trades(default_conf, mocker): db_url=default_conf.get('db_url'), exportfilename=default_conf.get('exportfilename'), no_trades=False, - strategy="DefaultStrategy", + strategy="StrategyTestV2", ) assert db_mock.call_count == 1 diff --git a/tests/data/test_converter.py b/tests/data/test_converter.py index 802fd4b12..6c95a9f18 100644 --- a/tests/data/test_converter.py +++ b/tests/data/test_converter.py @@ -119,7 +119,7 @@ def test_ohlcv_fill_up_missing_data2(caplog): # 3rd candle has been filled row = data2.loc[2, :] assert row['volume'] == 0 - # close shoult match close of previous candle + # close should match close of previous candle assert row['close'] == data.loc[1, 'close'] assert row['open'] == row['close'] assert row['high'] == row['close'] diff --git a/tests/data/test_dataprovider.py b/tests/data/test_dataprovider.py index e43309743..0f42068c1 100644 --- a/tests/data/test_dataprovider.py +++ b/tests/data/test_dataprovider.py @@ -66,7 +66,7 @@ def test_historic_ohlcv_dataformat(mocker, default_conf, ohlcv_history): hdf5loadmock.assert_not_called() jsonloadmock.assert_called_once() - # Swiching to dataformat hdf5 + # Switching to dataformat hdf5 hdf5loadmock.reset_mock() jsonloadmock.reset_mock() default_conf["dataformat_ohlcv"] = "hdf5" diff --git a/tests/data/test_history.py b/tests/data/test_history.py index d203d0792..575a590e7 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -133,8 +133,8 @@ def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog, load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC') assert file.is_file() assert log_has_re( - 'Download history data for pair: "MEME/BTC", timeframe: 1m ' - 'and store in .*', caplog + r'Download history data for pair: "MEME/BTC" \(0/1\), timeframe: 1m ' + r'and store in .*', caplog ) @@ -200,15 +200,15 @@ def test_load_cached_data_for_updating(mocker, testdatadir) -> None: assert start_ts == test_data[0][0] - 1000 # timeframe starts in the center of the cached data - # should return the chached data w/o the last item + # should return the cached data w/o the last item timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0) data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler) assert_frame_equal(data, test_data_df.iloc[:-1]) assert test_data[-2][0] <= start_ts < test_data[-1][0] - # timeframe starts after the chached data - # should return the chached data w/o the last item + # timeframe starts after the cached data + # should return the cached data w/o the last item timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 100, 0) data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler) assert_frame_equal(data, test_data_df.iloc[:-1]) @@ -278,8 +278,10 @@ def test_download_pair_history2(mocker, default_conf, testdatadir) -> None: return_value=None) mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=tick) exchange = get_patched_exchange(mocker, default_conf) - _download_pair_history(testdatadir, exchange, pair="UNITTEST/BTC", timeframe='1m') - _download_pair_history(testdatadir, exchange, pair="UNITTEST/BTC", timeframe='3m') + _download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/BTC", + timeframe='1m') + _download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/BTC", + timeframe='3m') assert json_dump_mock.call_count == 2 @@ -378,10 +380,10 @@ def test_file_dump_json_tofile(testdatadir) -> None: def test_get_timerange(default_conf, mocker, testdatadir) -> None: patch_exchange(mocker) - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) - data = strategy.ohlcvdata_to_dataframe( + data = strategy.advise_all_indicators( load_data( datadir=testdatadir, timeframe='1m', @@ -396,10 +398,10 @@ def test_get_timerange(default_conf, mocker, testdatadir) -> None: def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir) -> None: patch_exchange(mocker) - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) - data = strategy.ohlcvdata_to_dataframe( + data = strategy.advise_all_indicators( load_data( datadir=testdatadir, timeframe='1m', @@ -420,11 +422,11 @@ def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir) def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> None: patch_exchange(mocker) - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) timerange = TimeRange('index', 'index', 200, 250) - data = strategy.ohlcvdata_to_dataframe( + data = strategy.advise_all_indicators( load_data( datadir=testdatadir, timeframe='5m', diff --git a/tests/edge/test_edge.py b/tests/edge/test_edge.py index 0655b3a0f..7bdc940df 100644 --- a/tests/edge/test_edge.py +++ b/tests/edge/test_edge.py @@ -29,7 +29,6 @@ from tests.optimize import (BTContainer, BTrade, _build_backtest_dataframe, tests_start_time = arrow.get(2018, 10, 3) timeframe_in_minute = 60 -_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7} # Helpers for this test file diff --git a/tests/exchange/test_binance.py b/tests/exchange/test_binance.py index f2b508761..dd85c3abe 100644 --- a/tests/exchange/test_binance.py +++ b/tests/exchange/test_binance.py @@ -1,3 +1,4 @@ +from datetime import datetime, timezone from random import randint from unittest.mock import MagicMock @@ -5,7 +6,7 @@ import ccxt import pytest from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException -from tests.conftest import get_patched_exchange +from tests.conftest import get_mock_coro, get_patched_exchange, log_has_re from tests.exchange.test_exchange import ccxt_exceptionhandlers @@ -105,3 +106,35 @@ def test_stoploss_adjust_binance(mocker, default_conf): # Test with invalid order case order['type'] = 'stop_loss' assert not exchange.stoploss_adjust(1501, order) + + +@pytest.mark.asyncio +async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog): + ohlcv = [ + [ + int((datetime.now(timezone.utc).timestamp() - 1000) * 1000), + 1, # open + 2, # high + 3, # low + 4, # close + 5, # volume (in quote currency) + ] + ] + + exchange = get_patched_exchange(mocker, default_conf, id='binance') + # Monkey-patch async function + exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) + + pair = 'ETH/BTC' + res = await exchange._async_get_historic_ohlcv(pair, "5m", + 1500000000000, is_new_pair=False) + # Call with very old timestamp - causes tons of requests + assert exchange._api_async.fetch_ohlcv.call_count > 400 + # assert res == ohlcv + exchange._api_async.fetch_ohlcv.reset_mock() + res = await exchange._async_get_historic_ohlcv(pair, "5m", 1500000000000, is_new_pair=True) + + # Called twice - one "init" call - and one to get the actual data. + assert exchange._api_async.fetch_ohlcv.call_count == 2 + assert res == ohlcv + assert log_has_re(r"Candle-data for ETH/BTC available starting with .*", caplog) diff --git a/tests/exchange/test_ccxt_compat.py b/tests/exchange/test_ccxt_compat.py index dce10da84..d71dbe015 100644 --- a/tests/exchange/test_ccxt_compat.py +++ b/tests/exchange/test_ccxt_compat.py @@ -42,6 +42,11 @@ EXCHANGES = { 'hasQuoteVolume': True, 'timeframe': '5m', }, + 'gateio': { + 'pair': 'BTC/USDT', + 'hasQuoteVolume': True, + 'timeframe': '5m', + }, } @@ -49,6 +54,8 @@ EXCHANGES = { def exchange_conf(): config = get_default_conf((Path(__file__).parent / "testdata").resolve()) config['exchange']['pair_whitelist'] = [] + config['exchange']['key'] = '' + config['exchange']['secret'] = '' config['dry_run'] = False return config @@ -142,8 +149,8 @@ class TestCCXTExchange(): def test_ccxt_get_fee(self, exchange): exchange, exchangename = exchange pair = EXCHANGES[exchangename]['pair'] - - assert 0 < exchange.get_fee(pair, 'limit', 'buy') < 1 - assert 0 < exchange.get_fee(pair, 'limit', 'sell') < 1 - assert 0 < exchange.get_fee(pair, 'market', 'buy') < 1 - assert 0 < exchange.get_fee(pair, 'market', 'sell') < 1 + threshold = 0.01 + assert 0 < exchange.get_fee(pair, 'limit', 'buy') < threshold + assert 0 < exchange.get_fee(pair, 'limit', 'sell') < threshold + assert 0 < exchange.get_fee(pair, 'market', 'buy') < threshold + assert 0 < exchange.get_fee(pair, 'market', 'sell') < threshold diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 524dc873c..79b4a3ff5 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1,5 +1,6 @@ import copy import logging +from copy import deepcopy from datetime import datetime, timedelta, timezone from math import isclose from random import randint @@ -14,7 +15,7 @@ from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOr OperationalException, PricingError, TemporaryError) from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, API_RETRY_COUNT, - calculate_backoff) + calculate_backoff, remove_credentials) from freqtrade.exchange.exchange import (market_is_active, timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date, timeframe_to_prev_date, timeframe_to_seconds) @@ -78,6 +79,22 @@ def test_init(default_conf, mocker, caplog): assert log_has('Instance is running with dry_run enabled', caplog) +def test_remove_credentials(default_conf, caplog) -> None: + conf = deepcopy(default_conf) + conf['dry_run'] = False + remove_credentials(conf) + + assert conf['exchange']['key'] != '' + assert conf['exchange']['secret'] != '' + + conf['dry_run'] = True + remove_credentials(conf) + assert conf['exchange']['key'] == '' + assert conf['exchange']['secret'] == '' + assert conf['exchange']['password'] == '' + assert conf['exchange']['uid'] == '' + + def test_init_ccxt_kwargs(default_conf, mocker, caplog): mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={})) mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency') @@ -108,6 +125,13 @@ def test_init_ccxt_kwargs(default_conf, mocker, caplog): assert hasattr(ex._api_async, 'TestKWARG') assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog) assert log_has(asynclogmsg, caplog) + # Test additional headers case + Exchange._headers = {'hello': 'world'} + ex = Exchange(conf) + + assert log_has("Applying additional ccxt config: {'TestKWARG': 11, 'TestKWARG44': 11}", caplog) + assert ex._api.headers == {'hello': 'world'} + Exchange._headers = {} def test_destroy(default_conf, mocker, caplog): @@ -178,7 +202,7 @@ def test_exchange_resolver(default_conf, mocker, caplog): def test_validate_order_time_in_force(default_conf, mocker, caplog): caplog.set_level(logging.INFO) - # explicitly test bittrex, exchanges implementing other policies need seperate tests + # explicitly test bittrex, exchanges implementing other policies need separate tests ex = get_patched_exchange(mocker, default_conf, id="bittrex") tif = { "buy": "gtc", @@ -557,7 +581,7 @@ def test_reload_markets_exception(default_conf, mocker, caplog): @pytest.mark.parametrize("stake_currency", ['ETH', 'BTC', 'USDT']) -def test_validate_stake_currency(default_conf, stake_currency, mocker, caplog): +def test_validate_stakecurrency(default_conf, stake_currency, mocker, caplog): default_conf['stake_currency'] = stake_currency api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ @@ -571,7 +595,7 @@ def test_validate_stake_currency(default_conf, stake_currency, mocker, caplog): Exchange(default_conf) -def test_validate_stake_currency_error(default_conf, mocker, caplog): +def test_validate_stakecurrency_error(default_conf, mocker, caplog): default_conf['stake_currency'] = 'XRP' api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ @@ -587,6 +611,13 @@ def test_validate_stake_currency_error(default_conf, mocker, caplog): 'Available currencies are: BTC, ETH, USDT'): Exchange(default_conf) + type(api_mock).load_markets = MagicMock(side_effect=ccxt.NetworkError('No connection.')) + mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock)) + + with pytest.raises(OperationalException, + match=r'Could not load markets, therefore cannot start\. Please.*'): + Exchange(default_conf) + def test_get_quote_currencies(default_conf, mocker): ex = get_patched_exchange(mocker, default_conf) @@ -673,7 +704,7 @@ def test_validate_pairs_restricted(default_conf, mocker, caplog): api_mock = MagicMock() type(api_mock).load_markets = MagicMock(return_value={ 'ETH/BTC': {'quote': 'BTC'}, 'LTC/BTC': {'quote': 'BTC'}, - 'XRP/BTC': {'quote': 'BTC', 'info': {'IsRestricted': True}}, + 'XRP/BTC': {'quote': 'BTC', 'info': {'prohibitedIn': ['US']}}, 'NEO/BTC': {'quote': 'BTC', 'info': 'TestString'}, # info can also be a string ... }) mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock)) @@ -984,16 +1015,21 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice, assert order['fee'] -@pytest.mark.parametrize("side,amount,endprice", [ - ("buy", 1, 25.566), - ("buy", 100, 25.5672), # Requires interpolation - ("buy", 1000, 25.575), # More than orderbook return - ("sell", 1, 25.563), - ("sell", 100, 25.5625), # Requires interpolation - ("sell", 1000, 25.5555), # More than orderbook return +@pytest.mark.parametrize("side,rate,amount,endprice", [ + # spread is 25.263-25.266 + ("buy", 25.564, 1, 25.566), + ("buy", 25.564, 100, 25.5672), # Requires interpolation + ("buy", 25.590, 100, 25.5672), # Price above spread ... average is lower + ("buy", 25.564, 1000, 25.575), # More than orderbook return + ("buy", 24.000, 100000, 25.200), # Run into max_slippage of 5% + ("sell", 25.564, 1, 25.563), + ("sell", 25.564, 100, 25.5625), # Requires interpolation + ("sell", 25.510, 100, 25.5625), # price below spread - average is higher + ("sell", 25.564, 1000, 25.5555), # More than orderbook return + ("sell", 27, 10000, 25.65), # max-slippage 5% ]) @pytest.mark.parametrize("exchange_name", EXCHANGES) -def test_create_dry_run_order_market_fill(default_conf, mocker, side, amount, endprice, +def test_create_dry_run_order_market_fill(default_conf, mocker, side, rate, amount, endprice, exchange_name, order_book_l2_usd): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) @@ -1003,7 +1039,7 @@ def test_create_dry_run_order_market_fill(default_conf, mocker, side, amount, en ) order = exchange.create_dry_run_order( - pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=25.5) + pair='LTC/USDT', ordertype='market', side=side, amount=amount, rate=rate) assert 'id' in order assert f'dry_run_{side}_' in order["id"] assert order["side"] == side @@ -1056,8 +1092,8 @@ def test_buy_dry_run(default_conf, mocker): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf) - order = exchange.buy(pair='ETH/BTC', ordertype='limit', - amount=1, rate=200, time_in_force='gtc') + order = exchange.create_order(pair='ETH/BTC', ordertype='limit', side="buy", + amount=1, rate=200, time_in_force='gtc') assert 'id' in order assert 'dry_run_buy_' in order['id'] @@ -1080,8 +1116,8 @@ def test_buy_prod(default_conf, mocker, exchange_name): mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - order = exchange.buy(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", + amount=1, rate=200, time_in_force=time_in_force) assert 'id' in order assert 'info' in order @@ -1094,9 +1130,10 @@ def test_buy_prod(default_conf, mocker, exchange_name): api_mock.create_order.reset_mock() order_type = 'limit' - order = exchange.buy( + order = exchange.create_order( pair='ETH/BTC', ordertype=order_type, + side="buy", amount=1, rate=200, time_in_force=time_in_force) @@ -1110,32 +1147,32 @@ def test_buy_prod(default_conf, mocker, exchange_name): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("Not enough funds")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.buy(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", + amount=1, rate=200, time_in_force=time_in_force) with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.buy(pair='ETH/BTC', ordertype='limit', - amount=1, rate=200, time_in_force=time_in_force) + exchange.create_order(pair='ETH/BTC', ordertype='limit', side="buy", + amount=1, rate=200, time_in_force=time_in_force) with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.buy(pair='ETH/BTC', ordertype='market', - amount=1, rate=200, time_in_force=time_in_force) + exchange.create_order(pair='ETH/BTC', ordertype='market', side="buy", + amount=1, rate=200, time_in_force=time_in_force) with pytest.raises(TemporaryError): api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("Network disconnect")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.buy(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", + amount=1, rate=200, time_in_force=time_in_force) with pytest.raises(OperationalException): api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("Unknown error")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.buy(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", + amount=1, rate=200, time_in_force=time_in_force) @pytest.mark.parametrize("exchange_name", EXCHANGES) @@ -1157,8 +1194,8 @@ def test_buy_considers_time_in_force(default_conf, mocker, exchange_name): order_type = 'limit' time_in_force = 'ioc' - order = exchange.buy(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", + amount=1, rate=200, time_in_force=time_in_force) assert 'id' in order assert 'info' in order @@ -1174,8 +1211,8 @@ def test_buy_considers_time_in_force(default_conf, mocker, exchange_name): order_type = 'market' time_in_force = 'ioc' - order = exchange.buy(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", + amount=1, rate=200, time_in_force=time_in_force) assert 'id' in order assert 'info' in order @@ -1193,7 +1230,8 @@ def test_sell_dry_run(default_conf, mocker): default_conf['dry_run'] = True exchange = get_patched_exchange(mocker, default_conf) - order = exchange.sell(pair='ETH/BTC', ordertype='limit', amount=1, rate=200) + order = exchange.create_order(pair='ETH/BTC', ordertype='limit', + side="sell", amount=1, rate=200) assert 'id' in order assert 'dry_run_sell_' in order['id'] @@ -1216,7 +1254,8 @@ def test_sell_prod(default_conf, mocker, exchange_name): mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - order = exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, + side="sell", amount=1, rate=200) assert 'id' in order assert 'info' in order @@ -1229,7 +1268,8 @@ def test_sell_prod(default_conf, mocker, exchange_name): api_mock.create_order.reset_mock() order_type = 'limit' - order = exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, + side="sell", amount=1, rate=200) assert api_mock.create_order.call_args[0][0] == 'ETH/BTC' assert api_mock.create_order.call_args[0][1] == order_type assert api_mock.create_order.call_args[0][2] == 'sell' @@ -1240,28 +1280,28 @@ def test_sell_prod(default_conf, mocker, exchange_name): with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InsufficientFunds("0 balance")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) + exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200) with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.sell(pair='ETH/BTC', ordertype='limit', amount=1, rate=200) + exchange.create_order(pair='ETH/BTC', ordertype='limit', side="sell", amount=1, rate=200) # Market orders don't require price, so the behaviour is slightly different with pytest.raises(DependencyException): api_mock.create_order = MagicMock(side_effect=ccxt.InvalidOrder("Order not found")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.sell(pair='ETH/BTC', ordertype='market', amount=1, rate=200) + exchange.create_order(pair='ETH/BTC', ordertype='market', side="sell", amount=1, rate=200) with pytest.raises(TemporaryError): api_mock.create_order = MagicMock(side_effect=ccxt.NetworkError("No Connection")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) + exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200) with pytest.raises(OperationalException): api_mock.create_order = MagicMock(side_effect=ccxt.BaseError("DeadBeef")) exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) - exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) + exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", amount=1, rate=200) @pytest.mark.parametrize("exchange_name", EXCHANGES) @@ -1283,8 +1323,8 @@ def test_sell_considers_time_in_force(default_conf, mocker, exchange_name): order_type = 'limit' time_in_force = 'ioc' - order = exchange.sell(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", + amount=1, rate=200, time_in_force=time_in_force) assert 'id' in order assert 'info' in order @@ -1299,8 +1339,8 @@ def test_sell_considers_time_in_force(default_conf, mocker, exchange_name): order_type = 'market' time_in_force = 'ioc' - order = exchange.sell(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="sell", + amount=1, rate=200, time_in_force=time_in_force) assert 'id' in order assert 'info' in order @@ -1528,6 +1568,32 @@ def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name): assert 'high' in ret.columns +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name): + ohlcv = [ + [ + int((datetime.now(timezone.utc).timestamp() - 1000) * 1000), + 1, # open + 2, # high + 3, # low + 4, # close + 5, # volume (in quote currency) + ] + ] + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv) + + pair = 'ETH/USDT' + res = await exchange._async_get_historic_ohlcv(pair, "5m", + 1500000000000, is_new_pair=False) + # Call with very old timestamp - causes tons of requests + assert exchange._api_async.fetch_ohlcv.call_count > 200 + assert res[0] == ohlcv[0] + assert log_has_re(r'Downloaded data for .* with length .*\.', caplog) + + def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None: ohlcv = [ [ @@ -1555,13 +1621,16 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None: pairs = [('IOTA/ETH', '5m'), ('XRP/ETH', '5m')] # empty dicts assert not exchange._klines - exchange.refresh_latest_ohlcv(pairs, cache=False) + res = exchange.refresh_latest_ohlcv(pairs, cache=False) # No caching assert not exchange._klines + + assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 exchange._api_async.fetch_ohlcv.reset_mock() - exchange.refresh_latest_ohlcv(pairs) + res = exchange.refresh_latest_ohlcv(pairs) + assert len(res) == len(pairs) assert log_has(f'Refreshing candle (OHLCV) data for {len(pairs)} pairs', caplog) assert exchange._klines @@ -1578,12 +1647,16 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None: assert exchange.klines(pair, copy=False) is exchange.klines(pair, copy=False) # test caching - exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m'), ('XRP/ETH', '5m')]) + res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m'), ('XRP/ETH', '5m')]) + assert len(res) == len(pairs) assert exchange._api_async.fetch_ohlcv.call_count == 2 assert log_has(f"Using cached candle (OHLCV) data for pair {pairs[0][0]}, " f"timeframe {pairs[0][1]} ...", caplog) + res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m'), ('XRP/ETH', '5m'), ('XRP/ETH', '1d')], + cache=False) + assert len(res) == 3 @pytest.mark.asyncio @@ -1783,14 +1856,14 @@ def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid, mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value={'ask': ask, 'last': last, 'bid': bid}) - assert exchange.get_buy_rate('ETH/BTC', True) == expected + assert exchange.get_rate('ETH/BTC', refresh=True, side="buy") == expected assert not log_has("Using cached buy rate for ETH/BTC.", caplog) - assert exchange.get_buy_rate('ETH/BTC', False) == expected + assert exchange.get_rate('ETH/BTC', refresh=False, side="buy") == expected assert log_has("Using cached buy rate for ETH/BTC.", caplog) # Running a 2nd time with Refresh on! caplog.clear() - assert exchange.get_buy_rate('ETH/BTC', True) == expected + assert exchange.get_rate('ETH/BTC', refresh=True, side="buy") == expected assert not log_has("Using cached buy rate for ETH/BTC.", caplog) @@ -1825,16 +1898,41 @@ def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask, # Test regular mode exchange = get_patched_exchange(mocker, default_conf) - rate = exchange.get_sell_rate(pair, True) + rate = exchange.get_rate(pair, refresh=True, side="sell") assert not log_has("Using cached sell rate for ETH/BTC.", caplog) assert isinstance(rate, float) assert rate == expected # Use caching - rate = exchange.get_sell_rate(pair, False) + rate = exchange.get_rate(pair, refresh=False, side="sell") assert rate == expected assert log_has("Using cached sell rate for ETH/BTC.", caplog) +@pytest.mark.parametrize("entry,side,ask,bid,last,last_ab,expected", [ + ('buy', 'ask', None, 4, 4, 0, 4), # ask not available + ('buy', 'ask', None, None, 4, 0, 4), # ask not available + ('buy', 'bid', 6, None, 4, 0, 5), # bid not available + ('buy', 'bid', None, None, 4, 0, 5), # No rate available + ('sell', 'ask', None, 4, 4, 0, 4), # ask not available + ('sell', 'ask', None, None, 4, 0, 4), # ask not available + ('sell', 'bid', 6, None, 4, 0, 5), # bid not available + ('sell', 'bid', None, None, 4, 0, 5), # bid not available +]) +def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, ask, bid, + last, last_ab, expected) -> None: + caplog.set_level(logging.DEBUG) + default_conf['bid_strategy']['ask_last_balance'] = last_ab + default_conf['bid_strategy']['price_side'] = side + default_conf['ask_strategy']['price_side'] = side + default_conf['ask_strategy']['ask_last_balance'] = last_ab + exchange = get_patched_exchange(mocker, default_conf) + mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', + return_value={'ask': ask, 'last': last, 'bid': bid}) + + with pytest.raises(PricingError): + exchange.get_rate('ETH/BTC', refresh=True, side=entry) + + @pytest.mark.parametrize('side,expected', [ ('bid', 0.043936), # Value from order_book_l2 fiture - bids side ('ask', 0.043949), # Value from order_book_l2 fiture - asks side @@ -1848,11 +1946,11 @@ def test_get_sell_rate_orderbook(default_conf, mocker, caplog, side, expected, o pair = "ETH/BTC" mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2) exchange = get_patched_exchange(mocker, default_conf) - rate = exchange.get_sell_rate(pair, True) + rate = exchange.get_rate(pair, refresh=True, side="sell") assert not log_has("Using cached sell rate for ETH/BTC.", caplog) assert isinstance(rate, float) assert rate == expected - rate = exchange.get_sell_rate(pair, False) + rate = exchange.get_rate(pair, refresh=False, side="sell") assert rate == expected assert log_has("Using cached sell rate for ETH/BTC.", caplog) @@ -1868,7 +1966,7 @@ def test_get_sell_rate_orderbook_exception(default_conf, mocker, caplog): return_value={'bids': [[]], 'asks': [[]]}) exchange = get_patched_exchange(mocker, default_conf) with pytest.raises(PricingError): - exchange.get_sell_rate(pair, True) + exchange.get_rate(pair, refresh=True, side="sell") assert log_has_re(r"Sell Price at location 1 from orderbook could not be determined\..*", caplog) @@ -1881,18 +1979,18 @@ def test_get_sell_rate_exception(default_conf, mocker, caplog): return_value={'ask': None, 'bid': 0.12, 'last': None}) exchange = get_patched_exchange(mocker, default_conf) with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."): - exchange.get_sell_rate(pair, True) + exchange.get_rate(pair, refresh=True, side="sell") exchange._config['ask_strategy']['price_side'] = 'bid' - assert exchange.get_sell_rate(pair, True) == 0.12 + assert exchange.get_rate(pair, refresh=True, side="sell") == 0.12 # Reverse sides mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value={'ask': 0.13, 'bid': None, 'last': None}) with pytest.raises(PricingError, match=r"Sell-Rate for ETH/BTC was empty."): - exchange.get_sell_rate(pair, True) + exchange.get_rate(pair, refresh=True, side="sell") exchange._config['ask_strategy']['price_side'] = 'ask' - assert exchange.get_sell_rate(pair, True) == 0.13 + assert exchange.get_rate(pair, refresh=True, side="sell") == 0.13 def make_fetch_ohlcv_mock(data): @@ -2173,7 +2271,7 @@ def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange pair = 'ETH/BTC' with pytest.raises(OperationalException, - match="This exchange does not suport downloading Trades."): + match="This exchange does not support downloading Trades."): exchange.get_historic_trades(pair, since=trades_history[0][0], until=trades_history[-1][0]) @@ -2186,7 +2284,7 @@ def test_cancel_order_dry_run(default_conf, mocker, exchange_name): assert exchange.cancel_order(order_id='123', pair='TKN/BTC') == {} assert exchange.cancel_stoploss_order(order_id='123', pair='TKN/BTC') == {} - order = exchange.buy('ETH/BTC', 'limit', 5, 0.55, 'gtc') + order = exchange.create_order('ETH/BTC', 'limit', "buy", 5, 0.55, 'gtc') cancel_order = exchange.cancel_order(order_id=order['id'], pair='ETH/BTC') assert order['id'] == cancel_order['id'] @@ -2203,7 +2301,7 @@ def test_cancel_order_dry_run(default_conf, mocker, exchange_name): ({'status': 'canceled', 'filled': 10.0}, False), ({'status': 'unknown', 'filled': 10.0}, False), ({'result': 'testest123'}, False), - ]) +]) def test_check_order_canceled_empty(mocker, default_conf, exchange_name, order, result): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) assert exchange.check_order_canceled_empty(order) == result @@ -2383,7 +2481,7 @@ def test_fetch_order(default_conf, mocker, exchange_name, caplog): @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_fetch_stoploss_order(default_conf, mocker, exchange_name): - # Don't test FTX here - that needs a seperate test + # Don't test FTX here - that needs a separate test if exchange_name == 'ftx': return default_conf['dry_run'] = True @@ -2637,7 +2735,7 @@ def test_get_valid_pair_combination(default_conf, mocker, markets): (['LTC'], ['NONEXISTENT'], False, False, []), ]) -def test_get_markets(default_conf, mocker, markets, +def test_get_markets(default_conf, mocker, markets_static, base_currencies, quote_currencies, pairs_only, active_only, expected_keys): mocker.patch.multiple('freqtrade.exchange.Exchange', @@ -2645,7 +2743,7 @@ def test_get_markets(default_conf, mocker, markets, _load_async_markets=MagicMock(), validate_pairs=MagicMock(), validate_timeframes=MagicMock(), - markets=PropertyMock(return_value=markets)) + markets=PropertyMock(return_value=markets_static)) ex = Exchange(default_conf) pairs = ex.get_markets(base_currencies, quote_currencies, pairs_only, active_only) assert sorted(pairs.keys()) == sorted(expected_keys) diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index ed22cde92..eb79dfc10 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -31,8 +31,8 @@ def test_buy_kraken_trading_agreement(default_conf, mocker): mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") - order = exchange.buy(pair='ETH/BTC', ordertype=order_type, - amount=1, rate=200, time_in_force=time_in_force) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, side="buy", + amount=1, rate=200, time_in_force=time_in_force) assert 'id' in order assert 'info' in order @@ -63,7 +63,8 @@ def test_sell_kraken_trading_agreement(default_conf, mocker): mocker.patch('freqtrade.exchange.Exchange.price_to_precision', lambda s, x, y: y) exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") - order = exchange.sell(pair='ETH/BTC', ordertype=order_type, amount=1, rate=200) + order = exchange.create_order(pair='ETH/BTC', ordertype=order_type, + side="sell", amount=1, rate=200) assert 'id' in order assert 'info' in order diff --git a/tests/optimize/__init__.py b/tests/optimize/__init__.py index ca91019e6..6ad2d300b 100644 --- a/tests/optimize/__init__.py +++ b/tests/optimize/__init__.py @@ -18,6 +18,7 @@ class BTrade(NamedTuple): sell_reason: SellType open_tick: int close_tick: int + buy_tag: Optional[str] = None class BTContainer(NamedTuple): @@ -44,10 +45,13 @@ def _get_frame_time_from_offset(offset): def _build_backtest_dataframe(data): columns = ['date', 'open', 'high', 'low', 'close', 'volume', 'buy', 'sell'] + columns = columns + ['buy_tag'] if len(data[0]) == 9 else columns frame = DataFrame.from_records(data, columns=columns) frame['date'] = frame['date'].apply(_get_frame_time_from_offset) # Ensure floats are in place for column in ['open', 'high', 'low', 'close', 'volume']: frame[column] = frame[column].astype('float64') + if 'buy_tag' not in columns: + frame['buy_tag'] = None return frame diff --git a/tests/optimize/conftest.py b/tests/optimize/conftest.py index a7fd238d1..8c7fa3ac9 100644 --- a/tests/optimize/conftest.py +++ b/tests/optimize/conftest.py @@ -16,7 +16,7 @@ def hyperopt_conf(default_conf): hyperconf.update({ 'datadir': Path(default_conf['datadir']), 'runmode': RunMode.HYPEROPT, - 'hyperopt': 'DefaultHyperOpt', + 'strategy': 'HyperoptableStrategy', 'hyperopt_loss': 'ShortTradeDurHyperOptLoss', 'hyperopt_path': str(Path(__file__).parent / 'hyperopts'), 'epochs': 1, @@ -39,16 +39,25 @@ def hyperopt(hyperopt_conf, mocker): def hyperopt_results(): return pd.DataFrame( { - 'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'], - 'profit_ratio': [-0.1, 0.2, 0.3], - 'profit_abs': [-0.2, 0.4, 0.6], - 'trade_duration': [10, 30, 10], - 'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.ROI], + 'pair': ['ETH/USDT', 'ETH/USDT', 'ETH/USDT', 'ETH/USDT'], + 'profit_ratio': [-0.1, 0.2, -0.1, 0.3], + 'profit_abs': [-0.2, 0.4, -0.2, 0.6], + 'trade_duration': [10, 30, 10, 10], + 'amount': [0.1, 0.1, 0.1, 0.1], + 'sell_reason': [SellType.STOP_LOSS, SellType.ROI, SellType.STOP_LOSS, SellType.ROI], + 'open_date': + [ + datetime(2019, 1, 1, 9, 15, 0), + datetime(2019, 1, 2, 8, 55, 0), + datetime(2019, 1, 3, 9, 15, 0), + datetime(2019, 1, 4, 9, 15, 0), + ], 'close_date': [ - datetime(2019, 1, 1, 9, 26, 3, 478039), - datetime(2019, 2, 1, 9, 26, 3, 478039), - datetime(2019, 3, 1, 9, 26, 3, 478039) - ] + datetime(2019, 1, 1, 9, 25, 0), + datetime(2019, 1, 2, 9, 25, 0), + datetime(2019, 1, 3, 9, 25, 0), + datetime(2019, 1, 4, 9, 25, 0), + ], } ) diff --git a/tests/optimize/hyperopts/default_hyperopt.py b/tests/optimize/hyperopts/default_hyperopt.py deleted file mode 100644 index 2e2bca3d0..000000000 --- a/tests/optimize/hyperopts/default_hyperopt.py +++ /dev/null @@ -1,202 +0,0 @@ -# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement - -from functools import reduce -from typing import Any, Callable, Dict, List - -import talib.abstract as ta -from pandas import DataFrame -from skopt.space import Categorical, Dimension, Integer - -import freqtrade.vendor.qtpylib.indicators as qtpylib -from freqtrade.optimize.hyperopt_interface import IHyperOpt - - -class DefaultHyperOpt(IHyperOpt): - """ - Default hyperopt provided by the Freqtrade bot. - You can override it with your own Hyperopt - """ - @staticmethod - def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Add several indicators needed for buy and sell strategies defined below. - """ - # ADX - dataframe['adx'] = ta.ADX(dataframe) - # MACD - macd = ta.MACD(dataframe) - dataframe['macd'] = macd['macd'] - dataframe['macdsignal'] = macd['macdsignal'] - # MFI - dataframe['mfi'] = ta.MFI(dataframe) - # RSI - dataframe['rsi'] = ta.RSI(dataframe) - # Stochastic Fast - stoch_fast = ta.STOCHF(dataframe) - dataframe['fastd'] = stoch_fast['fastd'] - # Minus-DI - dataframe['minus_di'] = ta.MINUS_DI(dataframe) - # Bollinger bands - bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) - dataframe['bb_lowerband'] = bollinger['lower'] - dataframe['bb_upperband'] = bollinger['upper'] - # SAR - dataframe['sar'] = ta.SAR(dataframe) - - return dataframe - - @staticmethod - def buy_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the buy strategy parameters to be used by Hyperopt. - """ - def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Buy strategy Hyperopt will build and use. - """ - conditions = [] - - # GUARDS AND TRENDS - if 'mfi-enabled' in params and params['mfi-enabled']: - conditions.append(dataframe['mfi'] < params['mfi-value']) - if 'fastd-enabled' in params and params['fastd-enabled']: - conditions.append(dataframe['fastd'] < params['fastd-value']) - if 'adx-enabled' in params and params['adx-enabled']: - conditions.append(dataframe['adx'] > params['adx-value']) - if 'rsi-enabled' in params and params['rsi-enabled']: - conditions.append(dataframe['rsi'] < params['rsi-value']) - - # TRIGGERS - if 'trigger' in params: - if params['trigger'] == 'bb_lower': - conditions.append(dataframe['close'] < dataframe['bb_lowerband']) - if params['trigger'] == 'macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macd'], dataframe['macdsignal'] - )) - if params['trigger'] == 'sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['close'], dataframe['sar'] - )) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'buy'] = 1 - - return dataframe - - return populate_buy_trend - - @staticmethod - def indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching buy strategy parameters. - """ - return [ - Integer(10, 25, name='mfi-value'), - Integer(15, 45, name='fastd-value'), - Integer(20, 50, name='adx-value'), - Integer(20, 40, name='rsi-value'), - Categorical([True, False], name='mfi-enabled'), - Categorical([True, False], name='fastd-enabled'), - Categorical([True, False], name='adx-enabled'), - Categorical([True, False], name='rsi-enabled'), - Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger') - ] - - @staticmethod - def sell_strategy_generator(params: Dict[str, Any]) -> Callable: - """ - Define the sell strategy parameters to be used by Hyperopt. - """ - def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Sell strategy Hyperopt will build and use. - """ - conditions = [] - - # GUARDS AND TRENDS - if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']: - conditions.append(dataframe['mfi'] > params['sell-mfi-value']) - if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']: - conditions.append(dataframe['fastd'] > params['sell-fastd-value']) - if 'sell-adx-enabled' in params and params['sell-adx-enabled']: - conditions.append(dataframe['adx'] < params['sell-adx-value']) - if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']: - conditions.append(dataframe['rsi'] > params['sell-rsi-value']) - - # TRIGGERS - if 'sell-trigger' in params: - if params['sell-trigger'] == 'sell-bb_upper': - conditions.append(dataframe['close'] > dataframe['bb_upperband']) - if params['sell-trigger'] == 'sell-macd_cross_signal': - conditions.append(qtpylib.crossed_above( - dataframe['macdsignal'], dataframe['macd'] - )) - if params['sell-trigger'] == 'sell-sar_reversal': - conditions.append(qtpylib.crossed_above( - dataframe['sar'], dataframe['close'] - )) - - if conditions: - dataframe.loc[ - reduce(lambda x, y: x & y, conditions), - 'sell'] = 1 - - return dataframe - - return populate_sell_trend - - @staticmethod - def sell_indicator_space() -> List[Dimension]: - """ - Define your Hyperopt space for searching sell strategy parameters. - """ - return [ - Integer(75, 100, name='sell-mfi-value'), - Integer(50, 100, name='sell-fastd-value'), - Integer(50, 100, name='sell-adx-value'), - Integer(60, 100, name='sell-rsi-value'), - Categorical([True, False], name='sell-mfi-enabled'), - Categorical([True, False], name='sell-fastd-enabled'), - Categorical([True, False], name='sell-adx-enabled'), - Categorical([True, False], name='sell-rsi-enabled'), - Categorical(['sell-bb_upper', - 'sell-macd_cross_signal', - 'sell-sar_reversal'], name='sell-trigger') - ] - - def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Based on TA indicators. Should be a copy of same method from strategy. - Must align to populate_indicators in this file. - Only used when --spaces does not include buy space. - """ - dataframe.loc[ - ( - (dataframe['close'] < dataframe['bb_lowerband']) & - (dataframe['mfi'] < 16) & - (dataframe['adx'] > 25) & - (dataframe['rsi'] < 21) - ), - 'buy'] = 1 - - return dataframe - - def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - """ - Based on TA indicators. Should be a copy of same method from strategy. - Must align to populate_indicators in this file. - Only used when --spaces does not include sell space. - """ - dataframe.loc[ - ( - (qtpylib.crossed_above( - dataframe['macdsignal'], dataframe['macd'] - )) & - (dataframe['fastd'] > 54) - ), - 'sell'] = 1 - - return dataframe diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index 0bf197739..e5c037f3e 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -516,6 +516,26 @@ tc32 = BTContainer(data=[ trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)] ) +# Test 33: trailing_stop should be triggered immediately on trade open candle. +# stop-loss: 1%, ROI: 10% (should not apply) +tc33 = BTContainer(data=[ + # D O H L C V B S BT + [0, 5000, 5050, 4950, 5000, 6172, 1, 0, 'buy_signal_01'], + [1, 5000, 5500, 5000, 4900, 6172, 0, 0, None], # enter trade (signal on last candle) and stop + [2, 4900, 5250, 4500, 5100, 6172, 0, 0, None], + [3, 5100, 5100, 4650, 4750, 6172, 0, 0, None], + [4, 4750, 4950, 4350, 4750, 6172, 0, 0, None]], + stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True, + trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02, + trailing_stop_positive=0.01, use_custom_stoploss=True, + trades=[BTrade( + sell_reason=SellType.TRAILING_STOP_LOSS, + open_tick=1, + close_tick=1, + buy_tag='buy_signal_01' + )] +) + TESTS = [ tc0, tc1, @@ -550,6 +570,7 @@ TESTS = [ tc30, tc31, tc32, + tc33, ] @@ -575,6 +596,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: frame = _build_backtest_dataframe(data.data) backtesting = Backtesting(default_conf) backtesting._set_strategy(backtesting.strategylist[0]) + backtesting.required_startup = 0 backtesting.strategy.advise_buy = lambda a, m: frame backtesting.strategy.advise_sell = lambda a, m: frame backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss @@ -598,5 +620,6 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: for c, trade in enumerate(data.trades): res = results.iloc[c] assert res.sell_reason == trade.sell_reason.value + assert res.buy_tag == trade.buy_tag assert res.open_date == _get_frame_time_from_offset(trade.open_tick) assert res.close_date == _get_frame_time_from_offset(trade.close_tick) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 30d86f979..2248cd4c1 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -1,6 +1,7 @@ # pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument import random +from datetime import datetime, timedelta, timezone from pathlib import Path from unittest.mock import MagicMock, PropertyMock @@ -85,7 +86,7 @@ def simple_backtest(config, contour, mocker, testdatadir) -> None: backtesting._set_strategy(backtesting.strategylist[0]) data = load_data_test(contour, testdatadir) - processed = backtesting.strategy.ohlcvdata_to_dataframe(data) + processed = backtesting.strategy.advise_all_indicators(data) min_date, max_date = get_timerange(processed) assert isinstance(processed, dict) results = backtesting.backtest( @@ -107,7 +108,7 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'): patch_exchange(mocker) backtesting = Backtesting(conf) backtesting._set_strategy(backtesting.strategylist[0]) - processed = backtesting.strategy.ohlcvdata_to_dataframe(data) + processed = backtesting.strategy.advise_all_indicators(data) min_date, max_date = get_timerange(processed) return { 'processed': processed, @@ -154,7 +155,7 @@ def test_setup_optimize_configuration_without_arguments(mocker, default_conf, ca args = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--export', 'none' ] @@ -189,7 +190,7 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) -> args = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--datadir', '/foo/bar', '--timeframe', '1m', '--enable-position-stacking', @@ -239,7 +240,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog) args = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--stake-amount', '1', '--starting-balance', '2' ] @@ -250,7 +251,7 @@ def test_setup_optimize_configuration_stake_amount(mocker, default_conf, caplog) args = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--stake-amount', '1', '--starting-balance', '0.5' ] @@ -268,7 +269,7 @@ def test_start(mocker, fee, default_conf, caplog) -> None: args = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', ] pargs = get_args(args) start_backtesting(pargs) @@ -289,7 +290,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None: backtesting._set_strategy(backtesting.strategylist[0]) assert backtesting.config == default_conf assert backtesting.timeframe == '5m' - assert callable(backtesting.strategy.ohlcvdata_to_dataframe) + assert callable(backtesting.strategy.advise_all_indicators) assert callable(backtesting.strategy.advise_buy) assert callable(backtesting.strategy.advise_sell) assert isinstance(backtesting.strategy.dp, DataProvider) @@ -301,7 +302,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None: def test_backtesting_init_no_timeframe(mocker, default_conf, caplog) -> None: patch_exchange(mocker) del default_conf['timeframe'] - default_conf['strategy_list'] = ['DefaultStrategy', + default_conf['strategy_list'] = ['StrategyTestV2', 'SampleStrategy'] mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5)) @@ -335,17 +336,31 @@ def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None: fill_up_missing=True) backtesting = Backtesting(default_conf) backtesting._set_strategy(backtesting.strategylist[0]) - processed = backtesting.strategy.ohlcvdata_to_dataframe(data) + processed = backtesting.strategy.advise_all_indicators(data) assert len(processed['UNITTEST/BTC']) == 102 # Load strategy to compare the result between Backtesting function and strategy are the same - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) - processed2 = strategy.ohlcvdata_to_dataframe(data) + processed2 = strategy.advise_all_indicators(data) assert processed['UNITTEST/BTC'].equals(processed2['UNITTEST/BTC']) +def test_backtest_abort(default_conf, mocker, testdatadir) -> None: + patch_exchange(mocker) + backtesting = Backtesting(default_conf) + backtesting.check_abort() + + backtesting.abort = True + + with pytest.raises(DependencyException, match="Stop requested"): + backtesting.check_abort() + # abort flag resets + assert backtesting.abort is False + assert backtesting.progress.progress == 0 + + def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: def get_timerange(input1): return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59) @@ -426,6 +441,15 @@ def test_backtesting_no_pair_left(default_conf, mocker, caplog, testdatadir) -> with pytest.raises(OperationalException, match='VolumePairList not allowed for backtesting.'): Backtesting(default_conf) + default_conf.update({ + 'pairlists': [{"method": "StaticPairList"}], + 'timeframe_detail': '1d', + }) + + with pytest.raises(OperationalException, + match='Detail timeframe must be smaller than strategy timeframe.'): + Backtesting(default_conf) + def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, tickers) -> None: mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) @@ -458,7 +482,7 @@ def test_backtesting_pairlist_list(default_conf, mocker, caplog, testdatadir, ti Backtesting(default_conf) # Multiple strategies - default_conf['strategy_list'] = ['DefaultStrategy', 'TestStrategyLegacy'] + default_conf['strategy_list'] = ['StrategyTestV2', 'TestStrategyLegacyV1'] with pytest.raises(OperationalException, match='PrecisionFilter not allowed for backtesting multiple strategies.'): Backtesting(default_conf) @@ -476,12 +500,13 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None: pair = 'UNITTEST/BTC' row = [ pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0), - 1, # Sell + 1, # Buy 0.001, # Open 0.0011, # Close 0, # Sell 0.00099, # Low 0.0012, # High + '', # Buy Signal Name ] trade = backtesting._enter_trade(pair, row=row) assert isinstance(trade, LocalTrade) @@ -496,6 +521,17 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None: trade = backtesting._enter_trade(pair, row=row) assert trade is not None + backtesting.strategy.custom_stake_amount = lambda **kwargs: 123.5 + trade = backtesting._enter_trade(pair, row=row) + assert trade + assert trade.stake_amount == 123.5 + + # In case of error - use proposed stake + backtesting.strategy.custom_stake_amount = lambda **kwargs: 20 / 0 + trade = backtesting._enter_trade(pair, row=row) + assert trade + assert trade.stake_amount == 495 + # Stake-amount too high! mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0) @@ -509,6 +545,90 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None: trade = backtesting._enter_trade(pair, row=row) assert trade is None + backtesting.cleanup() + + +def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None: + default_conf['use_sell_signal'] = False + mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) + mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001) + patch_exchange(mocker) + default_conf['timeframe_detail'] = '1m' + default_conf['max_open_trades'] = 2 + backtesting = Backtesting(default_conf) + backtesting._set_strategy(backtesting.strategylist[0]) + pair = 'UNITTEST/BTC' + row = [ + pd.Timestamp(year=2020, month=1, day=1, hour=4, minute=55, tzinfo=timezone.utc), + 1, # Buy + 200, # Open + 201, # Close + 0, # Sell + 195, # Low + 201.5, # High + '', # Buy Signal Name + ] + + trade = backtesting._enter_trade(pair, row=row) + assert isinstance(trade, LocalTrade) + + row_sell = [ + pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc), + 0, # Buy + 200, # Open + 201, # Close + 0, # Sell + 195, # Low + 210.5, # High + '', # Buy Signal Name + ] + row_detail = pd.DataFrame( + [ + [ + pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0, tzinfo=timezone.utc), + 1, 200, 199, 0, 197, 200.1, '', + ], [ + pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=1, tzinfo=timezone.utc), + 0, 199, 199.5, 0, 199, 199.7, '', + ], [ + pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=2, tzinfo=timezone.utc), + 0, 199.5, 200.5, 0, 199, 200.8, '', + ], [ + pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=3, tzinfo=timezone.utc), + 0, 200.5, 210.5, 0, 193, 210.5, '', # ROI sell (?) + ], [ + pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=4, tzinfo=timezone.utc), + 0, 200, 199, 0, 193, 200.1, '', + ], + ], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag"] + ) + + # No data available. + res = backtesting._get_sell_trade_entry(trade, row_sell) + assert res is not None + assert res.sell_reason == SellType.ROI.value + assert res.close_date_utc == datetime(2020, 1, 1, 5, 0, tzinfo=timezone.utc) + + # Enter new trade + trade = backtesting._enter_trade(pair, row=row) + assert isinstance(trade, LocalTrade) + # Assign empty ... no result. + backtesting.detail_data[pair] = pd.DataFrame( + [], columns=["date", "buy", "open", "close", "sell", "low", "high", "buy_tag"]) + + res = backtesting._get_sell_trade_entry(trade, row) + assert res is None + + # Assign backtest-detail data + backtesting.detail_data[pair] = row_detail + + res = backtesting._get_sell_trade_entry(trade, row_sell) + assert res is not None + assert res.sell_reason == SellType.ROI.value + # Sell at minute 3 (not available above!) + assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc) + assert round(res.close_rate, 3) == round(209.0225, 3) + def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None: default_conf['use_sell_signal'] = False @@ -521,7 +641,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None: timerange = TimeRange('date', None, 1517227800, 0) data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'], timerange=timerange) - processed = backtesting.strategy.ohlcvdata_to_dataframe(data) + processed = backtesting.strategy.advise_all_indicators(data) min_date, max_date = get_timerange(processed) result = backtesting.backtest( processed=processed, @@ -555,9 +675,10 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None: 'initial_stop_loss_ratio': [-0.1, -0.1], 'stop_loss_abs': [0.0940005, 0.09272236], 'stop_loss_ratio': [-0.1, -0.1], - 'min_rate': [0.1038, 0.10302485], + 'min_rate': [0.10370188, 0.10300000000000001], 'max_rate': [0.10501, 0.1038888], 'is_open': [False, False], + 'buy_tag': [None, None], }) pd.testing.assert_frame_equal(results, expected) data_pair = processed[pair] @@ -585,7 +706,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None timerange = TimeRange.parse_timerange('1510688220-1510700340') data = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'], timerange=timerange) - processed = backtesting.strategy.ohlcvdata_to_dataframe(data) + processed = backtesting.strategy.advise_all_indicators(data) min_date, max_date = get_timerange(processed) results = backtesting.backtest( processed=processed, @@ -604,7 +725,7 @@ def test_processed(default_conf, mocker, testdatadir) -> None: backtesting._set_strategy(backtesting.strategylist[0]) dict_of_tickerrows = load_data_test('raise', testdatadir) - dataframes = backtesting.strategy.ohlcvdata_to_dataframe(dict_of_tickerrows) + dataframes = backtesting.strategy.advise_all_indicators(dict_of_tickerrows) dataframe = dataframes['UNITTEST/BTC'] cols = dataframe.columns # assert the dataframe got some of the indicator columns @@ -664,7 +785,7 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir, def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir): - # Override the default buy trend function in our default_strategy + # Override the default buy trend function in our StrategyTestV2 def fun(dataframe=None, pair=None): buy_value = 1 sell_value = 1 @@ -680,7 +801,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir): def test_backtest_only_sell(mocker, default_conf, testdatadir): - # Override the default buy trend function in our default_strategy + # Override the default buy trend function in our StrategyTestV2 def fun(dataframe=None, pair=None): buy_value = 0 sell_value = 1 @@ -702,6 +823,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir): pair='UNITTEST/BTC', datadir=testdatadir) default_conf['timeframe'] = '1m' backtesting = Backtesting(default_conf) + backtesting.required_startup = 0 backtesting._set_strategy(backtesting.strategylist[0]) backtesting.strategy.advise_buy = _trend_alternate # Override backtesting.strategy.advise_sell = _trend_alternate # Override @@ -711,6 +833,14 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir): # 100 buys signals results = result['results'] assert len(results) == 100 + # Cached data should be 200 + analyzed_df = backtesting.dataprovider.get_analyzed_dataframe('UNITTEST/BTC', '1m')[0] + assert len(analyzed_df) == 200 + # Expect last candle to be 1 below end date (as the last candle is assumed as "incomplete" + # during backtesting) + expected_last_candle_date = backtest_conf['end_date'] - timedelta(minutes=1) + assert analyzed_df.iloc[-1]['date'].to_pydatetime() == expected_last_candle_date + # One trade was force-closed at the end assert len(results.loc[results['is_open']]) == 0 @@ -741,7 +871,8 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir) data = trim_dictlist(data, -500) # Remove data for one pair from the beginning of the data - data[pair] = data[pair][tres:].reset_index() + if tres > 0: + data[pair] = data[pair][tres:].reset_index() default_conf['timeframe'] = '5m' backtesting = Backtesting(default_conf) @@ -749,7 +880,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir) backtesting.strategy.advise_buy = _trend_alternate_hold # Override backtesting.strategy.advise_sell = _trend_alternate_hold # Override - processed = backtesting.strategy.ohlcvdata_to_dataframe(data) + processed = backtesting.strategy.advise_all_indicators(data) min_date, max_date = get_timerange(processed) backtest_conf = { 'processed': processed, @@ -766,6 +897,13 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir) # make sure we don't have trades with more than configured max_open_trades assert len(evaluate_result_multi(results['results'], '5m', 3)) == 0 + # Cached data correctly removed amounts + offset = 1 if tres == 0 else 0 + removed_candles = len(data[pair]) - offset - backtesting.strategy.startup_candle_count + assert len(backtesting.dataprovider.get_analyzed_dataframe(pair, '5m')[0]) == removed_candles + assert len(backtesting.dataprovider.get_analyzed_dataframe( + 'NXT/BTC', '5m')[0]) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count + backtest_conf = { 'processed': processed, 'start_date': min_date, @@ -790,7 +928,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): args = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--datadir', str(testdatadir), '--timeframe', '1m', '--timerange', '1510694220-1510700340', @@ -832,7 +970,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): 'locks': [], 'rejected_signals': 20, 'final_balance': 1000, - }) + }) mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['UNITTEST/BTC'])) mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock) @@ -861,8 +999,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): '--enable-position-stacking', '--disable-max-market-positions', '--strategy-list', - 'DefaultStrategy', - 'TestStrategyLegacy', + 'StrategyTestV2', + 'TestStrategyLegacyV1', ] args = get_args(args) start_backtesting(args) @@ -884,8 +1022,8 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): 'Backtesting with data from 2017-11-14 21:17:00 ' 'up to 2017-11-14 22:58:00 (0 days).', 'Parameter --enable-position-stacking detected ...', - 'Running backtesting for Strategy DefaultStrategy', - 'Running backtesting for Strategy TestStrategyLegacy', + 'Running backtesting for Strategy StrategyTestV2', + 'Running backtesting for Strategy TestStrategyLegacyV1', ] for line in exists: @@ -965,8 +1103,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat '--enable-position-stacking', '--disable-max-market-positions', '--strategy-list', - 'DefaultStrategy', - 'TestStrategyLegacy', + 'StrategyTestV2', + 'TestStrategyLegacyV1', ] args = get_args(args) start_backtesting(args) @@ -982,8 +1120,8 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat 'Backtesting with data from 2017-11-14 21:17:00 ' 'up to 2017-11-14 22:58:00 (0 days).', 'Parameter --enable-position-stacking detected ...', - 'Running backtesting for Strategy DefaultStrategy', - 'Running backtesting for Strategy TestStrategyLegacy', + 'Running backtesting for Strategy StrategyTestV2', + 'Running backtesting for Strategy TestStrategyLegacyV1', ] for line in exists: @@ -995,3 +1133,102 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat assert 'LEFT OPEN TRADES REPORT' in captured.out assert '2017-11-14 21:17:00 -> 2017-11-14 22:58:00 | Max open trades : 1' in captured.out assert 'STRATEGY SUMMARY' in captured.out + + +@pytest.mark.filterwarnings("ignore:deprecated") +def test_backtest_start_multi_strat_nomock_detail(default_conf, mocker, + caplog, testdatadir, capsys): + # Tests detail-data loading + default_conf.update({ + "use_sell_signal": True, + "sell_profit_only": False, + "sell_profit_offset": 0.0, + "ignore_roi_if_buy_signal": False, + }) + patch_exchange(mocker) + result1 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'], + 'profit_ratio': [0.0, 0.0], + 'profit_abs': [0.0, 0.0], + 'open_date': pd.to_datetime(['2018-01-29 18:40:00', + '2018-01-30 03:30:00', ], utc=True + ), + 'close_date': pd.to_datetime(['2018-01-29 20:45:00', + '2018-01-30 05:35:00', ], utc=True), + 'trade_duration': [235, 40], + 'is_open': [False, False], + 'stake_amount': [0.01, 0.01], + 'open_rate': [0.104445, 0.10302485], + 'close_rate': [0.104969, 0.103541], + 'sell_reason': [SellType.ROI, SellType.ROI] + }) + result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'], + 'profit_ratio': [0.03, 0.01, 0.1], + 'profit_abs': [0.01, 0.02, 0.2], + 'open_date': pd.to_datetime(['2018-01-29 18:40:00', + '2018-01-30 03:30:00', + '2018-01-30 05:30:00'], utc=True + ), + 'close_date': pd.to_datetime(['2018-01-29 20:45:00', + '2018-01-30 05:35:00', + '2018-01-30 08:30:00'], utc=True), + 'trade_duration': [47, 40, 20], + 'is_open': [False, False, False], + 'stake_amount': [0.01, 0.01, 0.01], + 'open_rate': [0.104445, 0.10302485, 0.122541], + 'close_rate': [0.104969, 0.103541, 0.123541], + 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] + }) + backtestmock = MagicMock(side_effect=[ + { + 'results': result1, + 'config': default_conf, + 'locks': [], + 'rejected_signals': 20, + 'final_balance': 1000, + }, + { + 'results': result2, + 'config': default_conf, + 'locks': [], + 'rejected_signals': 20, + 'final_balance': 1000, + } + ]) + mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', + PropertyMock(return_value=['XRP/ETH'])) + mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock) + + patched_configuration_load_config_file(mocker, default_conf) + + args = [ + 'backtesting', + '--config', 'config.json', + '--datadir', str(testdatadir), + '--strategy-path', str(Path(__file__).parents[1] / 'strategy/strats'), + '--timeframe', '5m', + '--timeframe-detail', '1m', + '--strategy-list', + 'StrategyTestV2' + ] + args = get_args(args) + start_backtesting(args) + + # check the logs, that will contain the backtest result + exists = [ + 'Parameter -i/--timeframe detected ... Using timeframe: 5m ...', + 'Parameter --timeframe-detail detected, using 1m for intra-candle backtesting ...', + f'Using data directory: {testdatadir} ...', + 'Loading data from 2019-10-11 00:00:00 ' + 'up to 2019-10-13 11:10:00 (2 days).', + 'Backtesting with data from 2019-10-11 01:40:00 ' + 'up to 2019-10-13 11:10:00 (2 days).', + 'Running backtesting for Strategy StrategyTestV2', + ] + + for line in exists: + assert log_has(line, caplog) + + captured = capsys.readouterr() + assert 'BACKTESTING REPORT' in captured.out + assert 'SELL REASON STATS' in captured.out + assert 'LEFT OPEN TRADES REPORT' in captured.out diff --git a/tests/optimize/test_edge_cli.py b/tests/optimize/test_edge_cli.py index 6818a573b..18d5f1c76 100644 --- a/tests/optimize/test_edge_cli.py +++ b/tests/optimize/test_edge_cli.py @@ -16,7 +16,7 @@ def test_setup_optimize_configuration_without_arguments(mocker, default_conf, ca args = [ 'edge', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', ] config = setup_optimize_configuration(get_args(args), RunMode.EDGE) @@ -46,7 +46,7 @@ def test_setup_edge_configuration_with_arguments(mocker, edge_conf, caplog) -> N args = [ 'edge', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--datadir', '/foo/bar', '--timeframe', '1m', '--timerange', ':100', @@ -80,7 +80,7 @@ def test_start(mocker, fee, edge_conf, caplog) -> None: args = [ 'edge', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', ] pargs = get_args(args) start_edge(pargs) diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 14fea573f..e4ce29d44 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -17,13 +17,10 @@ from freqtrade.optimize.hyperopt_auto import HyperOptAuto from freqtrade.optimize.hyperopt_tools import HyperoptTools from freqtrade.optimize.optimize_reports import generate_strategy_stats from freqtrade.optimize.space import SKDecimal -from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver from freqtrade.strategy.hyper import IntParameter from tests.conftest import (get_args, log_has, log_has_re, patch_exchange, patched_configuration_load_config_file) -from .hyperopts.default_hyperopt import DefaultHyperOpt - def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None: patched_configuration_load_config_file(mocker, default_conf) @@ -31,7 +28,7 @@ def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, ca args = [ 'hyperopt', '--config', 'config.json', - '--hyperopt', 'DefaultHyperOpt', + '--strategy', 'HyperoptableStrategy', ] config = setup_optimize_configuration(get_args(args), RunMode.HYPEROPT) @@ -63,7 +60,7 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo args = [ 'hyperopt', '--config', 'config.json', - '--hyperopt', 'DefaultHyperOpt', + '--strategy', 'HyperoptableStrategy', '--datadir', '/foo/bar', '--timeframe', '1m', '--timerange', ':100', @@ -115,7 +112,7 @@ def test_setup_hyperopt_configuration_stake_amount(mocker, default_conf) -> None args = [ 'hyperopt', '--config', 'config.json', - '--hyperopt', 'DefaultHyperOpt', + '--strategy', 'HyperoptableStrategy', '--stake-amount', '1', '--starting-balance', '2' ] @@ -125,7 +122,7 @@ def test_setup_hyperopt_configuration_stake_amount(mocker, default_conf) -> None args = [ 'hyperopt', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--stake-amount', '1', '--starting-balance', '0.5' ] @@ -133,47 +130,6 @@ def test_setup_hyperopt_configuration_stake_amount(mocker, default_conf) -> None setup_optimize_configuration(get_args(args), RunMode.HYPEROPT) -def test_hyperoptresolver(mocker, default_conf, caplog) -> None: - patched_configuration_load_config_file(mocker, default_conf) - - hyperopt = DefaultHyperOpt - delattr(hyperopt, 'populate_indicators') - delattr(hyperopt, 'populate_buy_trend') - delattr(hyperopt, 'populate_sell_trend') - mocker.patch( - 'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver.load_object', - MagicMock(return_value=hyperopt(default_conf)) - ) - default_conf.update({'hyperopt': 'DefaultHyperOpt'}) - x = HyperOptResolver.load_hyperopt(default_conf) - assert not hasattr(x, 'populate_indicators') - assert not hasattr(x, 'populate_buy_trend') - assert not hasattr(x, 'populate_sell_trend') - assert log_has("Hyperopt class does not provide populate_indicators() method. " - "Using populate_indicators from the strategy.", caplog) - assert log_has("Hyperopt class does not provide populate_sell_trend() method. " - "Using populate_sell_trend from the strategy.", caplog) - assert log_has("Hyperopt class does not provide populate_buy_trend() method. " - "Using populate_buy_trend from the strategy.", caplog) - assert hasattr(x, "ticker_interval") # DEPRECATED - assert hasattr(x, "timeframe") - - -def test_hyperoptresolver_wrongname(default_conf) -> None: - default_conf.update({'hyperopt': "NonExistingHyperoptClass"}) - - with pytest.raises(OperationalException, match=r'Impossible to load Hyperopt.*'): - HyperOptResolver.load_hyperopt(default_conf) - - -def test_hyperoptresolver_noname(default_conf): - default_conf['hyperopt'] = '' - with pytest.raises(OperationalException, - match="No Hyperopt set. Please use `--hyperopt` to specify " - "the Hyperopt class to use."): - HyperOptResolver.load_hyperopt(default_conf) - - def test_start_not_installed(mocker, default_conf, import_fails) -> None: start_mock = MagicMock() patched_configuration_load_config_file(mocker, default_conf) @@ -184,9 +140,7 @@ def test_start_not_installed(mocker, default_conf, import_fails) -> None: args = [ 'hyperopt', '--config', 'config.json', - '--hyperopt', 'DefaultHyperOpt', - '--hyperopt-path', - str(Path(__file__).parent / "hyperopts"), + '--strategy', 'HyperoptableStrategy', '--epochs', '5', '--hyperopt-loss', 'SharpeHyperOptLossDaily', ] @@ -196,7 +150,7 @@ def test_start_not_installed(mocker, default_conf, import_fails) -> None: start_hyperopt(pargs) -def test_start(mocker, hyperopt_conf, caplog) -> None: +def test_start_no_hyperopt_allowed(mocker, hyperopt_conf, caplog) -> None: start_mock = MagicMock() patched_configuration_load_config_file(mocker, hyperopt_conf) mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock) @@ -205,15 +159,13 @@ def test_start(mocker, hyperopt_conf, caplog) -> None: args = [ 'hyperopt', '--config', 'config.json', - '--hyperopt', 'DefaultHyperOpt', + '--hyperopt', 'HyperoptTestSepFile', '--hyperopt-loss', 'SharpeHyperOptLossDaily', '--epochs', '5' ] pargs = get_args(args) - start_hyperopt(pargs) - - assert log_has('Starting freqtrade in Hyperopt mode', caplog) - assert start_mock.call_count == 1 + with pytest.raises(OperationalException, match=r"Using separate Hyperopt files has been.*"): + start_hyperopt(pargs) def test_start_no_data(mocker, hyperopt_conf) -> None: @@ -225,11 +177,11 @@ def test_start_no_data(mocker, hyperopt_conf) -> None: ) patch_exchange(mocker) - + # TODO: migrate to strategy-based hyperopt args = [ 'hyperopt', '--config', 'config.json', - '--hyperopt', 'DefaultHyperOpt', + '--strategy', 'HyperoptableStrategy', '--hyperopt-loss', 'SharpeHyperOptLossDaily', '--epochs', '5' ] @@ -247,7 +199,7 @@ def test_start_filelock(mocker, hyperopt_conf, caplog) -> None: args = [ 'hyperopt', '--config', 'config.json', - '--hyperopt', 'DefaultHyperOpt', + '--strategy', 'HyperoptableStrategy', '--hyperopt-loss', 'SharpeHyperOptLossDaily', '--epochs', '5' ] @@ -351,7 +303,7 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None: del hyperopt_conf['timeframe'] hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) hyperopt.start() @@ -399,7 +351,7 @@ def test_hyperopt_format_results(hyperopt): 'rejected_signals': 2, 'backtest_start_time': 1619718665, 'backtest_end_time': 1619718665, - } + } results_metrics = generate_strategy_stats({'XRP/BTC': None}, '', bt_result, Arrow(2017, 11, 14, 19, 32, 00), Arrow(2017, 12, 14, 19, 32, 00), market_change=0) @@ -426,67 +378,15 @@ def test_hyperopt_format_results(hyperopt): def test_populate_indicators(hyperopt, testdatadir) -> None: data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True) - dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data) - dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], - {'pair': 'UNITTEST/BTC'}) + dataframes = hyperopt.backtesting.strategy.advise_all_indicators(data) + dataframe = dataframes['UNITTEST/BTC'] # Check if some indicators are generated. We will not test all of them assert 'adx' in dataframe - assert 'mfi' in dataframe + assert 'macd' in dataframe assert 'rsi' in dataframe -def test_buy_strategy_generator(hyperopt, testdatadir) -> None: - data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True) - dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data) - dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], - {'pair': 'UNITTEST/BTC'}) - - populate_buy_trend = hyperopt.custom_hyperopt.buy_strategy_generator( - { - 'adx-value': 20, - 'fastd-value': 20, - 'mfi-value': 20, - 'rsi-value': 20, - 'adx-enabled': True, - 'fastd-enabled': True, - 'mfi-enabled': True, - 'rsi-enabled': True, - 'trigger': 'bb_lower' - } - ) - result = populate_buy_trend(dataframe, {'pair': 'UNITTEST/BTC'}) - # Check if some indicators are generated. We will not test all of them - assert 'buy' in result - assert 1 in result['buy'] - - -def test_sell_strategy_generator(hyperopt, testdatadir) -> None: - data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True) - dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data) - dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], - {'pair': 'UNITTEST/BTC'}) - - populate_sell_trend = hyperopt.custom_hyperopt.sell_strategy_generator( - { - 'sell-adx-value': 20, - 'sell-fastd-value': 75, - 'sell-mfi-value': 80, - 'sell-rsi-value': 20, - 'sell-adx-enabled': True, - 'sell-fastd-enabled': True, - 'sell-mfi-enabled': True, - 'sell-rsi-enabled': True, - 'sell-trigger': 'sell-bb_upper' - } - ) - result = populate_sell_trend(dataframe, {'pair': 'UNITTEST/BTC'}) - # Check if some indicators are generated. We will not test all of them - print(result) - assert 'sell' in result - assert 1 in result['sell'] - - def test_generate_optimizer(mocker, hyperopt_conf) -> None: hyperopt_conf.update({'spaces': 'all', 'hyperopt_min_trades': 1, @@ -527,24 +427,12 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: mocker.patch('freqtrade.optimize.hyperopt.load', return_value={'XRP/BTC': None}) optimizer_param = { - 'adx-value': 0, - 'fastd-value': 35, - 'mfi-value': 0, - 'rsi-value': 0, - 'adx-enabled': False, - 'fastd-enabled': True, - 'mfi-enabled': False, - 'rsi-enabled': False, - 'trigger': 'macd_cross_signal', - 'sell-adx-value': 0, - 'sell-fastd-value': 75, - 'sell-mfi-value': 0, - 'sell-rsi-value': 0, - 'sell-adx-enabled': False, - 'sell-fastd-enabled': True, - 'sell-mfi-enabled': False, - 'sell-rsi-enabled': False, - 'sell-trigger': 'macd_cross_signal', + 'buy_plusdi': 0.02, + 'buy_rsi': 35, + 'sell_minusdi': 0.02, + 'sell_rsi': 75, + 'protection_cooldown_lookback': 20, + 'protection_enabled': True, 'roi_t1': 60.0, 'roi_t2': 30.0, 'roi_t3': 20.0, @@ -564,35 +452,26 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: '0.00003100 BTC ( 0.00%). ' 'Avg duration 0:50:00 min.' ), - 'params_details': {'buy': {'adx-enabled': False, - 'adx-value': 0, - 'fastd-enabled': True, - 'fastd-value': 35, - 'mfi-enabled': False, - 'mfi-value': 0, - 'rsi-enabled': False, - 'rsi-value': 0, - 'trigger': 'macd_cross_signal'}, + 'params_details': {'buy': {'buy_plusdi': 0.02, + 'buy_rsi': 35, + }, 'roi': {"0": 0.12000000000000001, "20.0": 0.02, "50.0": 0.01, "110.0": 0}, - 'sell': {'sell-adx-enabled': False, - 'sell-adx-value': 0, - 'sell-fastd-enabled': True, - 'sell-fastd-value': 75, - 'sell-mfi-enabled': False, - 'sell-mfi-value': 0, - 'sell-rsi-enabled': False, - 'sell-rsi-value': 0, - 'sell-trigger': 'macd_cross_signal'}, + 'protection': {'protection_cooldown_lookback': 20, + 'protection_enabled': True, + }, + 'sell': {'sell_minusdi': 0.02, + 'sell_rsi': 75, + }, 'stoploss': {'stoploss': -0.4}, 'trailing': {'trailing_only_offset_is_reached': False, 'trailing_stop': True, 'trailing_stop_positive': 0.02, 'trailing_stop_positive_offset': 0.07}}, 'params_dict': optimizer_param, - 'params_not_optimized': {'buy': {}, 'sell': {}}, + 'params_not_optimized': {'buy': {}, 'protection': {}, 'sell': {}}, 'results_metrics': ANY, 'total_profit': 3.1e-08 } @@ -659,7 +538,7 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None: }) hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) hyperopt.start() @@ -712,7 +591,7 @@ def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None: hyperopt_conf.update({'print_json': True}) hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) hyperopt.start() @@ -760,7 +639,7 @@ def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None: }) hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) hyperopt.start() @@ -804,14 +683,9 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non hyperopt_conf.update({'spaces': 'roi stoploss'}) hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) - del hyperopt.custom_hyperopt.__class__.buy_strategy_generator - del hyperopt.custom_hyperopt.__class__.sell_strategy_generator - del hyperopt.custom_hyperopt.__class__.indicator_space - del hyperopt.custom_hyperopt.__class__.sell_indicator_space - hyperopt.start() parallel.assert_called_once() @@ -842,16 +716,14 @@ def test_simplified_interface_all_failed(mocker, hyperopt_conf) -> None: hyperopt_conf.update({'spaces': 'all', }) + mocker.patch('freqtrade.optimize.hyperopt_auto.HyperOptAuto._generate_indicator_space', + return_value=[]) + hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) - del hyperopt.custom_hyperopt.__class__.buy_strategy_generator - del hyperopt.custom_hyperopt.__class__.sell_strategy_generator - del hyperopt.custom_hyperopt.__class__.indicator_space - del hyperopt.custom_hyperopt.__class__.sell_indicator_space - - with pytest.raises(OperationalException, match=r"The 'buy' space is included into *"): + with pytest.raises(OperationalException, match=r"The 'protection' space is included into *"): hyperopt.start() @@ -885,14 +757,9 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None: hyperopt_conf.update({'spaces': 'buy'}) hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) - # TODO: sell_strategy_generator() is actually not called because - # run_optimizer_parallel() is mocked - del hyperopt.custom_hyperopt.__class__.sell_strategy_generator - del hyperopt.custom_hyperopt.__class__.sell_indicator_space - hyperopt.start() parallel.assert_called_once() @@ -939,14 +806,9 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None: hyperopt_conf.update({'spaces': 'sell', }) hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) - # TODO: buy_strategy_generator() is actually not called because - # run_optimizer_parallel() is mocked - del hyperopt.custom_hyperopt.__class__.buy_strategy_generator - del hyperopt.custom_hyperopt.__class__.indicator_space - hyperopt.start() parallel.assert_called_once() @@ -963,13 +825,12 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None: assert hasattr(hyperopt, "position_stacking") -@pytest.mark.parametrize("method,space", [ - ('buy_strategy_generator', 'buy'), - ('indicator_space', 'buy'), - ('sell_strategy_generator', 'sell'), - ('sell_indicator_space', 'sell'), +@pytest.mark.parametrize("space", [ + ('buy'), + ('sell'), + ('protection'), ]) -def test_simplified_interface_failed(mocker, hyperopt_conf, method, space) -> None: +def test_simplified_interface_failed(mocker, hyperopt_conf, space) -> None: mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock()) mocker.patch('freqtrade.optimize.hyperopt.file_dump_json') mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data', @@ -978,17 +839,17 @@ def test_simplified_interface_failed(mocker, hyperopt_conf, method, space) -> No 'freqtrade.optimize.hyperopt.get_timerange', MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13))) ) + mocker.patch('freqtrade.optimize.hyperopt_auto.HyperOptAuto._generate_indicator_space', + return_value=[]) patch_exchange(mocker) hyperopt_conf.update({'spaces': space}) hyperopt = Hyperopt(hyperopt_conf) - hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock() + hyperopt.backtesting.strategy.advise_all_indicators = MagicMock() hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={}) - delattr(hyperopt.custom_hyperopt.__class__, method) - with pytest.raises(OperationalException, match=f"The '{space}' space is included into *"): hyperopt.start() @@ -998,10 +859,11 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None: mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) (Path(tmpdir) / 'hyperopt_results').mkdir(parents=True) # No hyperopt needed - del hyperopt_conf['hyperopt'] hyperopt_conf.update({ 'strategy': 'HyperoptableStrategy', 'user_data_dir': Path(tmpdir), + 'hyperopt_random_state': 42, + 'spaces': ['all'] }) hyperopt = Hyperopt(hyperopt_conf) assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto) @@ -1009,12 +871,22 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None: assert hyperopt.backtesting.strategy.buy_rsi.in_space is True assert hyperopt.backtesting.strategy.buy_rsi.value == 35 + assert hyperopt.backtesting.strategy.sell_rsi.value == 74 + assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30 buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range assert isinstance(buy_rsi_range, range) # Range from 0 - 50 (inclusive) assert len(list(buy_rsi_range)) == 51 hyperopt.start() + # All values should've changed. + assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value != 30 + assert hyperopt.backtesting.strategy.buy_rsi.value != 35 + assert hyperopt.backtesting.strategy.sell_rsi.value != 74 + + hyperopt.custom_hyperopt.generate_estimator = lambda *args, **kwargs: 'ET1' + with pytest.raises(OperationalException, match="Estimator ET1 not supported."): + hyperopt.get_optimizer([], 2) def test_SKDecimal(): diff --git a/tests/optimize/test_hyperopt_tools.py b/tests/optimize/test_hyperopt_tools.py index 44b4a7a03..9c2b2e8fc 100644 --- a/tests/optimize/test_hyperopt_tools.py +++ b/tests/optimize/test_hyperopt_tools.py @@ -10,7 +10,7 @@ import rapidjson from freqtrade.constants import FTHYPT_FILEVERSION from freqtrade.exceptions import OperationalException from freqtrade.optimize.hyperopt_tools import HyperoptTools, hyperopt_serializer -from tests.conftest import log_has, log_has_re +from tests.conftest import log_has # Functions for recurrent object patching @@ -20,9 +20,14 @@ def create_results() -> List[Dict]: def test_save_results_saves_epochs(hyperopt, tmpdir, caplog) -> None: + + hyperopt.results_file = Path(tmpdir / 'ut_results.fthypt') + + hyperopt_epochs = HyperoptTools.load_filtered_results(hyperopt.results_file, {}) + assert hyperopt_epochs == ([], 0) + # Test writing to temp dir and reading again epochs = create_results() - hyperopt.results_file = Path(tmpdir / 'ut_results.fthypt') caplog.set_level(logging.DEBUG) @@ -33,68 +38,79 @@ def test_save_results_saves_epochs(hyperopt, tmpdir, caplog) -> None: hyperopt._save_result(epochs[0]) assert log_has(f"2 epochs saved to '{hyperopt.results_file}'.", caplog) - hyperopt_epochs = HyperoptTools.load_previous_results(hyperopt.results_file) + hyperopt_epochs = HyperoptTools.load_filtered_results(hyperopt.results_file, {}) assert len(hyperopt_epochs) == 2 + assert hyperopt_epochs[1] == 2 + assert len(hyperopt_epochs[0]) == 2 - -def test_load_previous_results(testdatadir, caplog) -> None: - - results_file = testdatadir / 'hyperopt_results_SampleStrategy.pickle' - - hyperopt_epochs = HyperoptTools.load_previous_results(results_file) - - assert len(hyperopt_epochs) == 5 - assert log_has_re(r"Reading pickled epochs from .*", caplog) - - caplog.clear() - - # Modern version - results_file = testdatadir / 'strategy_SampleStrategy.fthypt' - - hyperopt_epochs = HyperoptTools.load_previous_results(results_file) - - assert len(hyperopt_epochs) == 5 - assert log_has_re(r"Reading epochs from .*", caplog) + result_gen = HyperoptTools._read_results(hyperopt.results_file, 1) + epoch = next(result_gen) + assert len(epoch) == 1 + assert epoch[0] == epochs[0] + epoch = next(result_gen) + assert len(epoch) == 1 + epoch = next(result_gen) + assert len(epoch) == 0 + with pytest.raises(StopIteration): + next(result_gen) def test_load_previous_results2(mocker, testdatadir, caplog) -> None: - mocker.patch('freqtrade.optimize.hyperopt_tools.HyperoptTools._read_results_pickle', - return_value=[{'asdf': '222'}]) results_file = testdatadir / 'hyperopt_results_SampleStrategy.pickle' - with pytest.raises(OperationalException, match=r"The file .* incompatible.*"): - HyperoptTools.load_previous_results(results_file) + with pytest.raises(OperationalException, + match=r"Legacy hyperopt results are no longer supported.*"): + HyperoptTools.load_filtered_results(results_file, {}) @pytest.mark.parametrize("spaces, expected_results", [ (['buy'], - {'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}), + {'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False, + 'protection': False}), (['sell'], - {'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}), + {'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False, + 'protection': False}), (['roi'], - {'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}), + {'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False, + 'protection': False}), (['stoploss'], - {'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}), + {'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False, + 'protection': False}), (['trailing'], - {'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}), + {'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True, + 'protection': False}), (['buy', 'sell', 'roi', 'stoploss'], - {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}), + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False, + 'protection': False}), (['buy', 'sell', 'roi', 'stoploss', 'trailing'], - {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True, + 'protection': False}), (['buy', 'roi'], - {'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}), + {'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False, + 'protection': False}), (['all'], - {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True, + 'protection': True}), (['default'], - {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}), + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False, + 'protection': False}), (['default', 'trailing'], - {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True, + 'protection': False}), (['all', 'buy'], - {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True, + 'protection': True}), (['default', 'buy'], - {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}), + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False, + 'protection': False}), + (['all'], + {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True, + 'protection': True}), + (['protection'], + {'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False, + 'protection': True}), ]) def test_has_space(hyperopt_conf, spaces, expected_results): - for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']: + for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection']: hyperopt_conf.update({'spaces': spaces}) assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s] @@ -151,9 +167,9 @@ def test__pprint_dict(): def test_get_strategy_filename(default_conf): - x = HyperoptTools.get_strategy_filename(default_conf, 'DefaultStrategy') + x = HyperoptTools.get_strategy_filename(default_conf, 'StrategyTestV2') assert isinstance(x, Path) - assert x == Path(__file__).parents[1] / 'strategy/strats/default_strategy.py' + assert x == Path(__file__).parents[1] / 'strategy/strats/strategy_test_v2.py' x = HyperoptTools.get_strategy_filename(default_conf, 'NonExistingStrategy') assert x is None @@ -161,7 +177,7 @@ def test_get_strategy_filename(default_conf): def test_export_params(tmpdir): - filename = Path(tmpdir) / "DefaultStrategy.json" + filename = Path(tmpdir) / "StrategyTestV2.json" assert not filename.is_file() params = { "params_details": { @@ -189,12 +205,12 @@ def test_export_params(tmpdir): } } - HyperoptTools.export_params(params, "DefaultStrategy", filename) + HyperoptTools.export_params(params, "StrategyTestV2", filename) assert filename.is_file() content = rapidjson.load(filename.open('r')) - assert content['strategy_name'] == 'DefaultStrategy' + assert content['strategy_name'] == 'StrategyTestV2' assert 'params' in content assert "buy" in content["params"] assert "sell" in content["params"] @@ -207,7 +223,7 @@ def test_try_export_params(default_conf, tmpdir, caplog, mocker): default_conf['disableparamexport'] = False export_mock = mocker.patch("freqtrade.optimize.hyperopt_tools.HyperoptTools.export_params") - filename = Path(tmpdir) / "DefaultStrategy.json" + filename = Path(tmpdir) / "StrategyTestV2.json" assert not filename.is_file() params = { "params_details": { @@ -236,17 +252,17 @@ def test_try_export_params(default_conf, tmpdir, caplog, mocker): FTHYPT_FILEVERSION: 2, } - HyperoptTools.try_export_params(default_conf, "DefaultStrategy22", params) + HyperoptTools.try_export_params(default_conf, "StrategyTestV222", params) assert log_has("Strategy not found, not exporting parameter file.", caplog) assert export_mock.call_count == 0 caplog.clear() - HyperoptTools.try_export_params(default_conf, "DefaultStrategy", params) + HyperoptTools.try_export_params(default_conf, "StrategyTestV2", params) assert export_mock.call_count == 1 - assert export_mock.call_args_list[0][0][1] == 'DefaultStrategy' - assert export_mock.call_args_list[0][0][2].name == 'default_strategy.json' + assert export_mock.call_args_list[0][0][1] == 'StrategyTestV2' + assert export_mock.call_args_list[0][0][2].name == 'strategy_test_v2.json' def test_params_print(capsys): diff --git a/tests/optimize/test_hyperoptloss.py b/tests/optimize/test_hyperoptloss.py index ea0caac04..923e3fc32 100644 --- a/tests/optimize/test_hyperoptloss.py +++ b/tests/optimize/test_hyperoptloss.py @@ -4,7 +4,7 @@ from unittest.mock import MagicMock import pytest from freqtrade.exceptions import OperationalException -from freqtrade.optimize.default_hyperopt_loss import ShortTradeDurHyperOptLoss +from freqtrade.optimize.hyperopt_loss_short_trade_dur import ShortTradeDurHyperOptLoss from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver @@ -35,6 +35,7 @@ def test_hyperoptlossresolver_wrongname(default_conf) -> None: def test_loss_calculation_prefer_correct_trade_count(hyperopt_conf, hyperopt_results) -> None: + hyperopt_conf.update({'hyperopt_loss': "ShortTradeDurHyperOptLoss"}) hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf) correct = hl.hyperopt_loss_function(hyperopt_results, 600, datetime(2019, 1, 1), datetime(2019, 5, 1)) @@ -50,6 +51,7 @@ def test_loss_calculation_prefer_shorter_trades(hyperopt_conf, hyperopt_results) resultsb = hyperopt_results.copy() resultsb.loc[1, 'trade_duration'] = 20 + hyperopt_conf.update({'hyperopt_loss': "ShortTradeDurHyperOptLoss"}) hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf) longer = hl.hyperopt_loss_function(hyperopt_results, 100, datetime(2019, 1, 1), datetime(2019, 5, 1)) @@ -64,6 +66,7 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) -> results_under = hyperopt_results.copy() results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2 + hyperopt_conf.update({'hyperopt_loss': "ShortTradeDurHyperOptLoss"}) hl = HyperOptLossResolver.load_hyperoptloss(hyperopt_conf) correct = hl.hyperopt_loss_function(hyperopt_results, 600, datetime(2019, 1, 1), datetime(2019, 5, 1)) @@ -75,91 +78,28 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) -> assert under > correct -def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None: - results_over = hyperopt_results.copy() - results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2 - results_under = hyperopt_results.copy() - results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2 - - default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'}) - hl = HyperOptLossResolver.load_hyperoptloss(default_conf) - correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - over = hl.hyperopt_loss_function(results_over, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - under = hl.hyperopt_loss_function(results_under, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - assert over < correct - assert under > correct - - -def test_sharpe_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None: - results_over = hyperopt_results.copy() - results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2 - results_under = hyperopt_results.copy() - results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2 - - default_conf.update({'hyperopt_loss': 'SharpeHyperOptLossDaily'}) - hl = HyperOptLossResolver.load_hyperoptloss(default_conf) - correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - over = hl.hyperopt_loss_function(results_over, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - under = hl.hyperopt_loss_function(results_under, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - assert over < correct - assert under > correct - - -def test_sortino_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None: - results_over = hyperopt_results.copy() - results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2 - results_under = hyperopt_results.copy() - results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2 - - default_conf.update({'hyperopt_loss': 'SortinoHyperOptLoss'}) - hl = HyperOptLossResolver.load_hyperoptloss(default_conf) - correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - over = hl.hyperopt_loss_function(results_over, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - under = hl.hyperopt_loss_function(results_under, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - assert over < correct - assert under > correct - - -def test_sortino_loss_daily_prefers_higher_profits(default_conf, hyperopt_results) -> None: - results_over = hyperopt_results.copy() - results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2 - results_under = hyperopt_results.copy() - results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2 - - default_conf.update({'hyperopt_loss': 'SortinoHyperOptLossDaily'}) - hl = HyperOptLossResolver.load_hyperoptloss(default_conf) - correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - over = hl.hyperopt_loss_function(results_over, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - under = hl.hyperopt_loss_function(results_under, len(hyperopt_results), - datetime(2019, 1, 1), datetime(2019, 5, 1)) - assert over < correct - assert under > correct - - -def test_onlyprofit_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None: +@pytest.mark.parametrize('lossfunction', [ + "OnlyProfitHyperOptLoss", + "SortinoHyperOptLoss", + "SortinoHyperOptLossDaily", + "SharpeHyperOptLoss", + "SharpeHyperOptLossDaily", +]) +def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None: results_over = hyperopt_results.copy() results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2 + results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2 results_under = hyperopt_results.copy() results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2 + results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2 - default_conf.update({'hyperopt_loss': 'OnlyProfitHyperOptLoss'}) + default_conf.update({'hyperopt_loss': lossfunction}) hl = HyperOptLossResolver.load_hyperoptloss(default_conf) correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results), datetime(2019, 1, 1), datetime(2019, 5, 1)) - over = hl.hyperopt_loss_function(results_over, len(hyperopt_results), + over = hl.hyperopt_loss_function(results_over, len(results_over), datetime(2019, 1, 1), datetime(2019, 5, 1)) - under = hl.hyperopt_loss_function(results_under, len(hyperopt_results), + under = hl.hyperopt_loss_function(results_under, len(results_under), datetime(2019, 1, 1), datetime(2019, 5, 1)) assert over < correct assert under > correct diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 3f31efb95..83caefd2d 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -52,7 +52,7 @@ def test_text_table_bt_results(): def test_generate_backtest_stats(default_conf, testdatadir, tmpdir): - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) StrategyResolver.load_strategy(default_conf) results = {'DefStrat': { diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index ae8f6e958..cf918e2a0 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -4,6 +4,7 @@ import time from unittest.mock import MagicMock, PropertyMock import pytest +import time_machine from freqtrade.constants import AVAILABLE_PAIRLISTS from freqtrade.exceptions import OperationalException @@ -11,7 +12,8 @@ from freqtrade.persistence import Trade from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist from freqtrade.plugins.pairlistmanager import PairListManager from freqtrade.resolvers import PairListResolver -from tests.conftest import get_patched_exchange, get_patched_freqtradebot, log_has, log_has_re +from tests.conftest import (create_mock_trades, get_patched_exchange, get_patched_freqtradebot, + log_has, log_has_re) @pytest.fixture(scope="function") @@ -79,7 +81,8 @@ def whitelist_conf_agefilter(default_conf): }, { "method": "AgeFilter", - "min_days_listed": 2 + "min_days_listed": 2, + "max_days_listed": 100 } ] return default_conf @@ -128,9 +131,9 @@ def test_load_pairlist_noexist(mocker, markets, default_conf): default_conf, {}, 1) -def test_load_pairlist_verify_multi(mocker, markets, default_conf): +def test_load_pairlist_verify_multi(mocker, markets_static, default_conf): freqtrade = get_patched_freqtradebot(mocker, default_conf) - mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets)) + mocker.patch('freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets_static)) plm = PairListManager(freqtrade.exchange, default_conf) # Call different versions one after the other, should always consider what was passed in # and have no side-effects (therefore the same check multiple times) @@ -302,7 +305,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): # No pair for ETH, all handlers ([{"method": "StaticPairList"}, {"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, - {"method": "AgeFilter", "min_days_listed": 2}, + {"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": None}, {"method": "PrecisionFilter"}, {"method": "PriceFilter", "low_price_ratio": 0.03}, {"method": "SpreadFilter", "max_spread_ratio": 0.005}, @@ -310,12 +313,24 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): "ETH", []), # AgeFilter and VolumePairList (require 2 days only, all should pass age test) ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, - {"method": "AgeFilter", "min_days_listed": 2}], + {"method": "AgeFilter", "min_days_listed": 2, "max_days_listed": 100}], "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']), # AgeFilter and VolumePairList (require 10 days, all should fail age test) ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, - {"method": "AgeFilter", "min_days_listed": 10}], + {"method": "AgeFilter", "min_days_listed": 10, "max_days_listed": None}], "BTC", []), + # AgeFilter and VolumePairList (all pair listed > 2, all should fail age test) + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "AgeFilter", "min_days_listed": 1, "max_days_listed": 2}], + "BTC", []), + # AgeFilter and VolumePairList LTC/BTC has 6 candles - removes all + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 5}], + "BTC", []), + # AgeFilter and VolumePairList LTC/BTC has 6 candles - passes + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "AgeFilter", "min_days_listed": 4, "max_days_listed": 10}], + "BTC", ["LTC/BTC"]), # Precisionfilter and quote volume ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, {"method": "PrecisionFilter"}], @@ -414,10 +429,26 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): {"method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01, "refresh_period": 1440}], "BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC']), + ([{"method": "StaticPairList"}, + {"method": "RangeStabilityFilter", "lookback_days": 10, + "max_rate_of_change": 0.01, "refresh_period": 1440}], + "BTC", []), # All removed because of max_rate_of_change being 0.017 ([{"method": "StaticPairList"}, {"method": "VolatilityFilter", "lookback_days": 3, "min_volatility": 0.002, "max_volatility": 0.004, "refresh_period": 1440}], - "BTC", ['ETH/BTC', 'TKN/BTC']) + "BTC", ['ETH/BTC', 'TKN/BTC']), + # VolumePairList with no offset = unchanged pairlist + ([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"}, + {"method": "OffsetFilter", "offset": 0}], + "USDT", ['ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT', 'ADADOUBLE/USDT']), + # VolumePairList with offset = 2 + ([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"}, + {"method": "OffsetFilter", "offset": 2}], + "USDT", ['ADAHALF/USDT', 'ADADOUBLE/USDT']), + # VolumePairList with higher offset, than total pairlist + ([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"}, + {"method": "OffsetFilter", "offset": 100}], + "USDT", []) ]) def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers, ohlcv_history, pairlists, base_currency, @@ -431,7 +462,7 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t ohlcv_data = { ('ETH/BTC', '1d'): ohlcv_history, ('TKN/BTC', '1d'): ohlcv_history, - ('LTC/BTC', '1d'): ohlcv_history, + ('LTC/BTC', '1d'): ohlcv_history.append(ohlcv_history), ('XRP/BTC', '1d'): ohlcv_history, ('HOT/BTC', '1d'): ohlcv_history_high_vola, } @@ -480,9 +511,13 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t for pairlist in pairlists: if pairlist['method'] == 'AgeFilter' and pairlist['min_days_listed'] and \ - len(ohlcv_history) <= pairlist['min_days_listed']: + len(ohlcv_history) < pairlist['min_days_listed']: assert log_has_re(r'^Removed .* from whitelist, because age .* is less than ' r'.* day.*', caplog) + if pairlist['method'] == 'AgeFilter' and pairlist['max_days_listed'] and \ + len(ohlcv_history) > pairlist['max_days_listed']: + assert log_has_re(r'^Removed .* from whitelist, because age .* is less than ' + r'.* day.* or more than .* day', caplog) if pairlist['method'] == 'PrecisionFilter' and whitelist_result: assert log_has_re(r'^Removed .* from whitelist, because stop price .* ' r'would be <= stop limit.*', caplog) @@ -507,6 +542,105 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t assert log_has_re(r'^Removed .* from whitelist, because volatility.*$', caplog) +@pytest.mark.parametrize("pairlists,base_currency,volumefilter_result", [ + # default refresh of 1800 to small for daily candle lookback + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume", + "lookback_days": 1}], + "BTC", "default_refresh_too_short"), # OperationalException expected + # ambigous configuration with lookback days and period + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume", + "lookback_days": 1, "lookback_period": 1}], + "BTC", "lookback_days_and_period"), # OperationalException expected + # negative lookback period + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume", + "lookback_timeframe": "1d", "lookback_period": -1}], + "BTC", "lookback_period_negative"), # OperationalException expected + # lookback range exceedes exchange limit + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume", + "lookback_timeframe": "1m", "lookback_period": 2000, "refresh_period": 3600}], + "BTC", 'lookback_exceeds_exchange_request_size'), # OperationalException expected + # expecing pairs as given + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume", + "lookback_timeframe": "1d", "lookback_period": 1, "refresh_period": 86400}], + "BTC", ['HOT/BTC', 'LTC/BTC', 'ETH/BTC', 'TKN/BTC', 'XRP/BTC']), + # expecting pairs from default tickers, because 1h candles are not available + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume", + "lookback_timeframe": "1h", "lookback_period": 2, "refresh_period": 3600}], + "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'HOT/BTC', 'FUEL/BTC']), +]) +def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers, ohlcv_history, + pairlists, base_currency, volumefilter_result, caplog) -> None: + whitelist_conf['pairlists'] = pairlists + whitelist_conf['stake_currency'] = base_currency + + ohlcv_history_high_vola = ohlcv_history.copy() + ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, 'close'] = 0.00090 + + # create candles for medium overall volume with last candle high volume + ohlcv_history_medium_volume = ohlcv_history.copy() + ohlcv_history_medium_volume.loc[ohlcv_history_medium_volume.index == 2, 'volume'] = 5 + + # create candles for high volume with all candles high volume + ohlcv_history_high_volume = ohlcv_history.copy() + ohlcv_history_high_volume.loc[:, 'volume'] = 10 + + ohlcv_data = { + ('ETH/BTC', '1d'): ohlcv_history, + ('TKN/BTC', '1d'): ohlcv_history, + ('LTC/BTC', '1d'): ohlcv_history_medium_volume, + ('XRP/BTC', '1d'): ohlcv_history_high_vola, + ('HOT/BTC', '1d'): ohlcv_history_high_volume, + } + + mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) + + if volumefilter_result == 'default_refresh_too_short': + with pytest.raises(OperationalException, + match=r'Refresh period of [0-9]+ seconds is smaller than one timeframe ' + r'of [0-9]+.*\. Please adjust refresh_period to at least [0-9]+ ' + r'and restart the bot\.'): + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) + return + elif volumefilter_result == 'lookback_days_and_period': + with pytest.raises(OperationalException, + match=r'Ambigous configuration: lookback_days and lookback_period both ' + r'set in pairlist config\..*'): + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) + elif volumefilter_result == 'lookback_period_negative': + with pytest.raises(OperationalException, + match=r'VolumeFilter requires lookback_period to be >= 0'): + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) + elif volumefilter_result == 'lookback_exceeds_exchange_request_size': + with pytest.raises(OperationalException, + match=r'VolumeFilter requires lookback_period to not exceed ' + r'exchange max request size \([0-9]+\)'): + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) + else: + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_tickers=tickers, + markets=PropertyMock(return_value=shitcoinmarkets) + ) + + # remove ohlcv when looback_timeframe != 1d + # to enforce fallback to ticker data + if 'lookback_timeframe' in pairlists[0]: + if pairlists[0]['lookback_timeframe'] != '1d': + ohlcv_data = [] + + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data), + ) + + freqtrade.pairlists.refresh_pairlist() + whitelist = freqtrade.pairlists.whitelist + + assert isinstance(whitelist, list) + assert whitelist == volumefilter_result + + def test_PrecisionFilter_error(mocker, whitelist_conf) -> None: whitelist_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PrecisionFilter"}] del whitelist_conf['stoploss'] @@ -530,6 +664,31 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None: assert log_has("PerformanceFilter is not available in this mode.", caplog) +@pytest.mark.usefixtures("init_persistence") +def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None: + whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC') + whitelist_conf['pairlists'] = [ + {"method": "StaticPairList"}, + {"method": "PerformanceFilter", "minutes": 60} + ] + mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) + exchange = get_patched_exchange(mocker, whitelist_conf) + pm = PairListManager(exchange, whitelist_conf) + pm.refresh_pairlist() + + assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC'] + + with time_machine.travel("2021-09-01 05:00:00 +00:00") as t: + create_mock_trades(fee) + pm.refresh_pairlist() + assert pm.whitelist == ['XRP/BTC', 'ETH/BTC', 'TKN/BTC'] + + # Move to "outside" of lookback window, so original sorting is restored. + t.move_to("2021-09-01 07:00:00 +00:00") + pm.refresh_pairlist() + assert pm.whitelist == ['ETH/BTC', 'TKN/BTC', 'XRP/BTC'] + + def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None: default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}] @@ -650,6 +809,22 @@ def test_agefilter_min_days_listed_too_small(mocker, default_conf, markets, tick get_patched_freqtradebot(mocker, default_conf) +def test_agefilter_max_days_lower_than_min_days(mocker, default_conf, markets, tickers): + default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}, + {'method': 'AgeFilter', 'min_days_listed': 3, + "max_days_listed": 2}] + + mocker.patch.multiple('freqtrade.exchange.Exchange', + markets=PropertyMock(return_value=markets), + exchange_has=MagicMock(return_value=True), + get_tickers=tickers + ) + + with pytest.raises(OperationalException, + match=r'AgeFilter max_days_listed <= min_days_listed not permitted'): + get_patched_freqtradebot(mocker, default_conf) + + def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tickers): default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}, {'method': 'AgeFilter', 'min_days_listed': 99999}] @@ -667,32 +842,75 @@ def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tick def test_agefilter_caching(mocker, markets, whitelist_conf_agefilter, tickers, ohlcv_history): - ohlcv_data = { - ('ETH/BTC', '1d'): ohlcv_history, - ('TKN/BTC', '1d'): ohlcv_history, - ('LTC/BTC', '1d'): ohlcv_history, - } - mocker.patch.multiple('freqtrade.exchange.Exchange', - markets=PropertyMock(return_value=markets), - exchange_has=MagicMock(return_value=True), - get_tickers=tickers - ) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data), + with time_machine.travel("2021-09-01 05:00:00 +00:00") as t: + ohlcv_data = { + ('ETH/BTC', '1d'): ohlcv_history, + ('TKN/BTC', '1d'): ohlcv_history, + ('LTC/BTC', '1d'): ohlcv_history, + } + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + markets=PropertyMock(return_value=markets), + exchange_has=MagicMock(return_value=True), + get_tickers=tickers, + refresh_latest_ohlcv=MagicMock(return_value=ohlcv_data), + ) + + freqtrade = get_patched_freqtradebot(mocker, whitelist_conf_agefilter) + assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 0 + freqtrade.pairlists.refresh_pairlist() + assert len(freqtrade.pairlists.whitelist) == 3 + assert freqtrade.exchange.refresh_latest_ohlcv.call_count > 0 + + freqtrade.pairlists.refresh_pairlist() + assert len(freqtrade.pairlists.whitelist) == 3 + # Call to XRP/BTC cached + assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 2 + + ohlcv_data = { + ('ETH/BTC', '1d'): ohlcv_history, + ('TKN/BTC', '1d'): ohlcv_history, + ('LTC/BTC', '1d'): ohlcv_history, + ('XRP/BTC', '1d'): ohlcv_history.iloc[[0]], + } + mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data) + freqtrade.pairlists.refresh_pairlist() + assert len(freqtrade.pairlists.whitelist) == 3 + assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1 + + # Move to next day + t.move_to("2021-09-02 01:00:00 +00:00") + mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data) + freqtrade.pairlists.refresh_pairlist() + assert len(freqtrade.pairlists.whitelist) == 3 + assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1 + + # Move another day with fresh mocks (now the pair is old enough) + t.move_to("2021-09-03 01:00:00 +00:00") + # Called once for XRP/BTC + ohlcv_data = { + ('ETH/BTC', '1d'): ohlcv_history, + ('TKN/BTC', '1d'): ohlcv_history, + ('LTC/BTC', '1d'): ohlcv_history, + ('XRP/BTC', '1d'): ohlcv_history, + } + mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data) + freqtrade.pairlists.refresh_pairlist() + assert len(freqtrade.pairlists.whitelist) == 4 + # Called once (only for XRP/BTC) + assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 1 + + +def test_OffsetFilter_error(mocker, whitelist_conf) -> None: + whitelist_conf['pairlists'] = ( + [{"method": "StaticPairList"}, {"method": "OffsetFilter", "offset": -1}] ) - freqtrade = get_patched_freqtradebot(mocker, whitelist_conf_agefilter) - assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 0 - freqtrade.pairlists.refresh_pairlist() - assert len(freqtrade.pairlists.whitelist) == 3 - assert freqtrade.exchange.refresh_latest_ohlcv.call_count > 0 + mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True)) - previous_call_count = freqtrade.exchange.refresh_latest_ohlcv.call_count - freqtrade.pairlists.refresh_pairlist() - assert len(freqtrade.pairlists.whitelist) == 3 - # Called once for XRP/BTC - assert freqtrade.exchange.refresh_latest_ohlcv.call_count == previous_call_count + 1 + with pytest.raises(OperationalException, + match=r'OffsetFilter requires offset to be >= 0'): + PairListManager(MagicMock, whitelist_conf) def test_rangestabilityfilter_checks(mocker, default_conf, markets, tickers): @@ -718,15 +936,16 @@ def test_rangestabilityfilter_checks(mocker, default_conf, markets, tickers): get_patched_freqtradebot(mocker, default_conf) -@pytest.mark.parametrize('min_rate_of_change,expected_length', [ - (0.01, 5), - (0.05, 0), # Setting rate_of_change to 5% removes all pairs from the whitelist. +@pytest.mark.parametrize('min_rate_of_change,max_rate_of_change,expected_length', [ + (0.01, 0.99, 5), + (0.05, 0.0, 0), # Setting min rate_of_change to 5% removes all pairs from the whitelist. ]) def test_rangestabilityfilter_caching(mocker, markets, default_conf, tickers, ohlcv_history, - min_rate_of_change, expected_length): + min_rate_of_change, max_rate_of_change, expected_length): default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}, {'method': 'RangeStabilityFilter', 'lookback_days': 2, - 'min_rate_of_change': min_rate_of_change}] + 'min_rate_of_change': min_rate_of_change, + "max_rate_of_change": max_rate_of_change}] mocker.patch.multiple('freqtrade.exchange.Exchange', markets=PropertyMock(return_value=markets), @@ -828,11 +1047,18 @@ def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplo None, "PriceFilter requires max_value to be >= 0" ), # OperationalException expected - ({"method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01}, + ({"method": "RangeStabilityFilter", "lookback_days": 10, + "min_rate_of_change": 0.01}, "[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below " "0.01 over the last days.'}]", None ), + ({"method": "RangeStabilityFilter", "lookback_days": 10, + "min_rate_of_change": 0.01, "max_rate_of_change": 0.99}, + "[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below " + "0.01 and above 0.99 over the last days.'}]", + None + ), ]) def test_pricefilter_desc(mocker, whitelist_conf, markets, pairlistconfig, desc_expected, exception_expected): diff --git a/tests/plugins/test_pairlocks.py b/tests/plugins/test_pairlocks.py index fce3a8cd1..c694fd7c1 100644 --- a/tests/plugins/test_pairlocks.py +++ b/tests/plugins/test_pairlocks.py @@ -68,7 +68,7 @@ def test_PairLocks(use_db): # Global lock PairLocks.lock_pair('*', lock_time) assert PairLocks.is_global_lock(lock_time + timedelta(minutes=-50)) - # Global lock also locks every pair seperately + # Global lock also locks every pair separately assert PairLocks.is_pair_locked(pair, lock_time + timedelta(minutes=-50)) assert PairLocks.is_pair_locked('XRP/USDT', lock_time + timedelta(minutes=-50)) diff --git a/tests/plugins/test_protections.py b/tests/plugins/test_protections.py index 9ec47dade..a3cb29c9d 100644 --- a/tests/plugins/test_protections.py +++ b/tests/plugins/test_protections.py @@ -93,7 +93,7 @@ def test_stoploss_guard(mocker, default_conf, fee, caplog): Trade.query.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=200, min_ago_close=30, - )) + )) assert not freqtrade.protections.global_stop() assert not log_has_re(message, caplog) @@ -125,7 +125,7 @@ def test_stoploss_guard(mocker, default_conf, fee, caplog): # Test 5m after lock-period - this should try and relock the pair, but end-time # should be the previous end-time end_time = PairLocks.get_pair_longest_lock('*').lock_end_time + timedelta(minutes=5) - assert freqtrade.protections.global_stop(end_time) + freqtrade.protections.global_stop(end_time) assert not PairLocks.is_global_lock(end_time) @@ -150,7 +150,7 @@ def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair Trade.query.session.add(generate_mock_trade( pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=200, min_ago_close=30, profit_rate=0.9, - )) + )) assert not freqtrade.protections.stop_per_pair(pair) assert not freqtrade.protections.global_stop() @@ -182,7 +182,7 @@ def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair min_ago_open=180, min_ago_close=30, profit_rate=0.9, )) - assert freqtrade.protections.stop_per_pair(pair) + freqtrade.protections.stop_per_pair(pair) assert freqtrade.protections.global_stop() != only_per_pair assert PairLocks.is_pair_locked(pair) assert PairLocks.is_global_lock() != only_per_pair diff --git a/tests/rpc/test_fiat_convert.py b/tests/rpc/test_fiat_convert.py index 5174f9416..2fe5d4a56 100644 --- a/tests/rpc/test_fiat_convert.py +++ b/tests/rpc/test_fiat_convert.py @@ -22,7 +22,7 @@ def test_fiat_convert_is_supported(mocker): def test_fiat_convert_find_price(mocker): fiat_convert = CryptoToFiatConverter() - fiat_convert._cryptomap = {} + fiat_convert._coinlistings = {} fiat_convert._backoff = 0 mocker.patch('freqtrade.rpc.fiat_convert.CryptoToFiatConverter._load_cryptomap', return_value=None) @@ -44,7 +44,7 @@ def test_fiat_convert_find_price(mocker): def test_fiat_convert_unsupported_crypto(mocker, caplog): - mocker.patch('freqtrade.rpc.fiat_convert.CryptoToFiatConverter._cryptomap', return_value=[]) + mocker.patch('freqtrade.rpc.fiat_convert.CryptoToFiatConverter._coinlistings', return_value=[]) fiat_convert = CryptoToFiatConverter() assert fiat_convert._find_price(crypto_symbol='CRYPTO_123', fiat_symbol='EUR') == 0.0 assert log_has('unsupported crypto-symbol CRYPTO_123 - returning 0.0', caplog) @@ -88,9 +88,9 @@ def test_fiat_convert_two_FIAT(mocker): def test_loadcryptomap(mocker): fiat_convert = CryptoToFiatConverter() - assert len(fiat_convert._cryptomap) == 2 + assert len(fiat_convert._coinlistings) == 2 - assert fiat_convert._cryptomap["btc"] == "bitcoin" + assert fiat_convert._get_gekko_id("btc") == "bitcoin" def test_fiat_init_network_exception(mocker): @@ -102,11 +102,10 @@ def test_fiat_init_network_exception(mocker): ) # with pytest.raises(RequestEsxception): fiat_convert = CryptoToFiatConverter() - fiat_convert._cryptomap = {} + fiat_convert._coinlistings = {} fiat_convert._load_cryptomap() - length_cryptomap = len(fiat_convert._cryptomap) - assert length_cryptomap == 0 + assert len(fiat_convert._coinlistings) == 0 def test_fiat_convert_without_network(mocker): @@ -132,32 +131,44 @@ def test_fiat_too_many_requests_response(mocker, caplog): ) # with pytest.raises(RequestEsxception): fiat_convert = CryptoToFiatConverter() - fiat_convert._cryptomap = {} + fiat_convert._coinlistings = {} fiat_convert._load_cryptomap() - length_cryptomap = len(fiat_convert._cryptomap) - assert length_cryptomap == 0 + assert len(fiat_convert._coinlistings) == 0 assert fiat_convert._backoff > datetime.datetime.now().timestamp() assert log_has( - 'Too many requests for Coingecko API, backing off and trying again later.', - caplog - ) + 'Too many requests for Coingecko API, backing off and trying again later.', + caplog + ) + + +def test_fiat_multiple_coins(mocker, caplog): + fiat_convert = CryptoToFiatConverter() + fiat_convert._coinlistings = [ + {'id': 'helium', 'symbol': 'hnt', 'name': 'Helium'}, + {'id': 'hymnode', 'symbol': 'hnt', 'name': 'Hymnode'}, + {'id': 'bitcoin', 'symbol': 'btc', 'name': 'Bitcoin'}, + ] + + assert fiat_convert._get_gekko_id('btc') == 'bitcoin' + assert fiat_convert._get_gekko_id('hnt') is None + + assert log_has('Found multiple mappings in goingekko for hnt.', caplog) def test_fiat_invalid_response(mocker, caplog): # Because CryptoToFiatConverter is a Singleton we reset the listings - listmock = MagicMock(return_value="{'novalidjson':DEADBEEFf}") + listmock = MagicMock(return_value=None) mocker.patch.multiple( 'freqtrade.rpc.fiat_convert.CoinGeckoAPI', get_coins_list=listmock, ) # with pytest.raises(RequestEsxception): fiat_convert = CryptoToFiatConverter() - fiat_convert._cryptomap = {} + fiat_convert._coinlistings = [] fiat_convert._load_cryptomap() - length_cryptomap = len(fiat_convert._cryptomap) - assert length_cryptomap == 0 + assert len(fiat_convert._coinlistings) == 0 assert log_has_re('Could not load FIAT Cryptocurrency map for the following problem: .*', caplog) diff --git a/tests/rpc/test_rpc.py b/tests/rpc/test_rpc.py index cc29dc157..0ba42c4ce 100644 --- a/tests/rpc/test_rpc.py +++ b/tests/rpc/test_rpc.py @@ -35,7 +35,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None: ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) freqtradebot.state = State.RUNNING @@ -69,6 +69,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None: 'min_rate': ANY, 'max_rate': ANY, 'strategy': ANY, + 'buy_tag': ANY, 'timeframe': 5, 'open_order_id': ANY, 'close_date': None, @@ -109,7 +110,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None: 'exchange': 'binance', } - mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', + mocker.patch('freqtrade.exchange.Exchange.get_rate', MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available"))) results = rpc._rpc_trade_status() assert isnan(results[0]['current_profit']) @@ -135,6 +136,7 @@ def test_rpc_trade_status(default_conf, ticker, fee, mocker) -> None: 'min_rate': ANY, 'max_rate': ANY, 'strategy': ANY, + 'buy_tag': ANY, 'timeframe': ANY, 'open_order_id': ANY, 'close_date': None, @@ -190,7 +192,7 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None: ) del default_conf['fiat_display_currency'] freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) freqtradebot.state = State.RUNNING @@ -217,7 +219,7 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None: assert '-0.41% (-0.06)' == result[0][3] assert '-0.06' == f'{fiat_profit_sum:.2f}' - mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', + mocker.patch('freqtrade.exchange.Exchange.get_rate', MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available"))) result, headers, fiat_profit_sum = rpc._rpc_status_table(default_conf['stake_currency'], 'USD') assert 'instantly' == result[0][2] @@ -237,7 +239,7 @@ def test_rpc_daily_profit(default_conf, update, ticker, fee, ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) stake_currency = default_conf['stake_currency'] fiat_display_currency = default_conf['fiat_display_currency'] @@ -369,7 +371,7 @@ def test_rpc_trade_statistics(default_conf, ticker, ticker_sell_up, fee, ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) stake_currency = default_conf['stake_currency'] fiat_display_currency = default_conf['fiat_display_currency'] @@ -427,7 +429,7 @@ def test_rpc_trade_statistics(default_conf, ticker, ticker_sell_up, fee, assert prec_satoshi(stats['best_rate'], 6.2) # Test non-available pair - mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', + mocker.patch('freqtrade.exchange.Exchange.get_rate', MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available"))) stats = rpc._rpc_trade_statistics(stake_currency, fiat_display_currency) assert stats['trade_count'] == 2 @@ -457,7 +459,7 @@ def test_rpc_trade_statistics_closed(mocker, default_conf, ticker, fee, ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) stake_currency = default_conf['stake_currency'] fiat_display_currency = default_conf['fiat_display_currency'] @@ -524,7 +526,7 @@ def test_rpc_balance_handle_error(default_conf, mocker): ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) rpc._fiat_converter = CryptoToFiatConverter() with pytest.raises(RPCException, match="Error getting current tickers."): @@ -565,7 +567,7 @@ def test_rpc_balance_handle(default_conf, mocker, tickers): ) default_conf['dry_run'] = False freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) rpc._fiat_converter = CryptoToFiatConverter() @@ -610,7 +612,7 @@ def test_rpc_start(mocker, default_conf) -> None: ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) freqtradebot.state = State.STOPPED @@ -631,7 +633,7 @@ def test_rpc_stop(mocker, default_conf) -> None: ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) freqtradebot.state = State.RUNNING @@ -653,7 +655,7 @@ def test_rpc_stopbuy(mocker, default_conf) -> None: ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) freqtradebot.state = State.RUNNING @@ -685,7 +687,7 @@ def test_rpc_forcesell(default_conf, ticker, fee, mocker) -> None: mocker.patch('freqtrade.wallets.Wallets.get_free', return_value=1000) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) freqtradebot.state = State.STOPPED @@ -803,7 +805,7 @@ def test_performance_handle(default_conf, ticker, limit_buy_order, fee, ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) # Create some test data @@ -836,7 +838,7 @@ def test_rpc_count(mocker, default_conf, ticker, fee) -> None: ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) counts = rpc._rpc_count() @@ -857,11 +859,11 @@ def test_rpcforcebuy(mocker, default_conf, ticker, fee, limit_buy_order_open) -> get_balances=MagicMock(return_value=ticker), fetch_ticker=ticker, get_fee=fee, - buy=buy_mm + create_order=buy_mm ) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) pair = 'ETH/BTC' trade = rpc._rpc_forcebuy(pair, None) @@ -886,8 +888,8 @@ def test_rpcforcebuy(mocker, default_conf, ticker, fee, limit_buy_order_open) -> # Test not buying freqtradebot = get_patched_freqtradebot(mocker, default_conf) - freqtradebot.config['stake_amount'] = 0.0000001 - patch_get_signal(freqtradebot, (True, False)) + freqtradebot.config['stake_amount'] = 0 + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) pair = 'TKN/BTC' trade = rpc._rpc_forcebuy(pair, None) @@ -900,7 +902,7 @@ def test_rpcforcebuy_stopped(mocker, default_conf) -> None: mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock()) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) pair = 'ETH/BTC' with pytest.raises(RPCException, match=r'trader is not running'): @@ -911,7 +913,7 @@ def test_rpcforcebuy_disabled(mocker, default_conf) -> None: mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock()) freqtradebot = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) rpc = RPC(freqtradebot) pair = 'ETH/BTC' with pytest.raises(RPCException, match=r'Forcebuy not enabled.'): diff --git a/tests/rpc/test_rpc_apiserver.py b/tests/rpc/test_rpc_apiserver.py index b8dd112c9..7c98b2df7 100644 --- a/tests/rpc/test_rpc_apiserver.py +++ b/tests/rpc/test_rpc_apiserver.py @@ -2,6 +2,7 @@ Unit test file for rpc/api_server.py """ +import json from datetime import datetime, timedelta, timezone from pathlib import Path from unittest.mock import ANY, MagicMock, PropertyMock @@ -16,7 +17,7 @@ from requests.auth import _basic_auth_str from freqtrade.__init__ import __version__ from freqtrade.enums import RunMode, State -from freqtrade.exceptions import ExchangeError +from freqtrade.exceptions import DependencyException, ExchangeError, OperationalException from freqtrade.loggers import setup_logging, setup_logging_pre from freqtrade.persistence import PairLocks, Trade from freqtrade.rpc import RPC @@ -48,9 +49,13 @@ def botclient(default_conf, mocker): ftbot = get_patched_freqtradebot(mocker, default_conf) rpc = RPC(ftbot) mocker.patch('freqtrade.rpc.api_server.ApiServer.start_api', MagicMock()) - apiserver = ApiServer(rpc, default_conf) - yield ftbot, TestClient(apiserver.app) - # Cleanup ... ? + try: + apiserver = ApiServer(default_conf) + apiserver.add_rpc_handler(rpc) + yield ftbot, TestClient(apiserver.app) + # Cleanup ... ? + finally: + ApiServer.shutdown() def client_post(client, url, data={}): @@ -104,6 +109,20 @@ def test_api_ui_fallback(botclient): rc = client_get(client, "/something") assert rc.status_code == 200 + # Test directory traversal + rc = client_get(client, '%2F%2F%2Fetc/passwd') + assert rc.status_code == 200 + assert '`freqtrade install-ui`' in rc.text + + +def test_api_ui_version(botclient, mocker): + ftbot, client = botclient + + mocker.patch('freqtrade.commands.deploy_commands.read_ui_version', return_value='0.1.2') + rc = client_get(client, "/ui_version") + assert rc.status_code == 200 + assert rc.json()['version'] == '0.1.2' + def test_api_auth(): with pytest.raises(ValueError): @@ -226,8 +245,13 @@ def test_api__init__(default_conf, mocker): }}) mocker.patch('freqtrade.rpc.telegram.Updater', MagicMock()) mocker.patch('freqtrade.rpc.api_server.webserver.ApiServer.start_api', MagicMock()) - apiserver = ApiServer(RPC(get_patched_freqtradebot(mocker, default_conf)), default_conf) + apiserver = ApiServer(default_conf) + apiserver.add_rpc_handler(RPC(get_patched_freqtradebot(mocker, default_conf))) assert apiserver._config == default_conf + with pytest.raises(OperationalException, match="RPC Handler already attached."): + apiserver.add_rpc_handler(RPC(get_patched_freqtradebot(mocker, default_conf))) + + ApiServer.shutdown() def test_api_UvicornServer(mocker): @@ -289,15 +313,21 @@ def test_api_run(default_conf, mocker, caplog): }}) mocker.patch('freqtrade.rpc.telegram.Updater', MagicMock()) - server_mock = MagicMock() + server_inst_mock = MagicMock() + server_inst_mock.run_in_thread = MagicMock() + server_inst_mock.run = MagicMock() + server_mock = MagicMock(return_value=server_inst_mock) mocker.patch('freqtrade.rpc.api_server.webserver.UvicornServer', server_mock) - apiserver = ApiServer(RPC(get_patched_freqtradebot(mocker, default_conf)), default_conf) + apiserver = ApiServer(default_conf) + apiserver.add_rpc_handler(RPC(get_patched_freqtradebot(mocker, default_conf))) assert server_mock.call_count == 1 assert apiserver._config == default_conf apiserver.start_api() assert server_mock.call_count == 2 + assert server_inst_mock.run_in_thread.call_count == 2 + assert server_inst_mock.run.call_count == 0 assert server_mock.call_args_list[0][0][0].host == "127.0.0.1" assert server_mock.call_args_list[0][0][0].port == 8080 assert isinstance(server_mock.call_args_list[0][0][0].app, FastAPI) @@ -316,6 +346,8 @@ def test_api_run(default_conf, mocker, caplog): apiserver.start_api() assert server_mock.call_count == 1 + assert server_inst_mock.run_in_thread.call_count == 1 + assert server_inst_mock.run.call_count == 0 assert server_mock.call_args_list[0][0][0].host == "0.0.0.0" assert server_mock.call_args_list[0][0][0].port == 8089 assert isinstance(server_mock.call_args_list[0][0][0].app, FastAPI) @@ -329,12 +361,24 @@ def test_api_run(default_conf, mocker, caplog): "Please make sure that this is intentional!", caplog) assert log_has_re("SECURITY WARNING - `jwt_secret_key` seems to be default.*", caplog) + server_mock.reset_mock() + apiserver._standalone = True + apiserver.start_api() + assert server_inst_mock.run_in_thread.call_count == 0 + assert server_inst_mock.run.call_count == 1 + + apiserver1 = ApiServer(default_conf) + assert id(apiserver1) == id(apiserver) + + apiserver._standalone = False + # Test crashing API server caplog.clear() mocker.patch('freqtrade.rpc.api_server.webserver.UvicornServer', MagicMock(side_effect=Exception)) apiserver.start_api() assert log_has("Api server failed to start.", caplog) + ApiServer.shutdown() def test_api_cleanup(default_conf, mocker, caplog): @@ -350,11 +394,13 @@ def test_api_cleanup(default_conf, mocker, caplog): server_mock.cleanup = MagicMock() mocker.patch('freqtrade.rpc.api_server.webserver.UvicornServer', server_mock) - apiserver = ApiServer(RPC(get_patched_freqtradebot(mocker, default_conf)), default_conf) + apiserver = ApiServer(default_conf) + apiserver.add_rpc_handler(RPC(get_patched_freqtradebot(mocker, default_conf))) apiserver.cleanup() assert apiserver._server.cleanup.call_count == 1 assert log_has("Stopping API Server", caplog) + ApiServer.shutdown() def test_api_reloadconf(botclient): @@ -376,20 +422,22 @@ def test_api_stopbuy(botclient): assert ftbot.config['max_open_trades'] == 0 -def test_api_balance(botclient, mocker, rpc_balance): +def test_api_balance(botclient, mocker, rpc_balance, tickers): ftbot, client = botclient ftbot.config['dry_run'] = False mocker.patch('freqtrade.exchange.Exchange.get_balances', return_value=rpc_balance) + mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers) mocker.patch('freqtrade.exchange.Exchange.get_valid_pair_combination', side_effect=lambda a, b: f"{a}/{b}") ftbot.wallets.update() rc = client_get(client, f"{BASE_URI}/balance") assert_response(rc) - assert "currencies" in rc.json() - assert len(rc.json()["currencies"]) == 5 - assert rc.json()['currencies'][0] == { + response = rc.json() + assert "currencies" in response + assert len(response["currencies"]) == 5 + assert response['currencies'][0] == { 'currency': 'BTC', 'free': 12.0, 'balance': 12.0, @@ -397,11 +445,15 @@ def test_api_balance(botclient, mocker, rpc_balance): 'est_stake': 12.0, 'stake': 'BTC', } + assert 'starting_capital' in response + assert 'starting_capital_fiat' in response + assert 'starting_capital_pct' in response + assert 'starting_capital_ratio' in response def test_api_count(botclient, mocker, ticker, fee, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_balances=MagicMock(return_value=ticker), @@ -463,7 +515,7 @@ def test_api_locks(botclient): def test_api_show_config(botclient, mocker): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) rc = client_get(client, f"{BASE_URI}/show_config") assert_response(rc) @@ -481,7 +533,7 @@ def test_api_show_config(botclient, mocker): def test_api_daily(botclient, mocker, ticker, fee, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_balances=MagicMock(return_value=ticker), @@ -499,7 +551,7 @@ def test_api_daily(botclient, mocker, ticker, fee, markets): def test_api_trades(botclient, mocker, fee, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', markets=PropertyMock(return_value=markets) @@ -527,7 +579,7 @@ def test_api_trades(botclient, mocker, fee, markets): def test_api_trade_single(botclient, mocker, fee, ticker, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', markets=PropertyMock(return_value=markets), @@ -547,7 +599,7 @@ def test_api_trade_single(botclient, mocker, fee, ticker, markets): def test_api_delete_trade(botclient, mocker, fee, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) stoploss_mock = MagicMock() cancel_mock = MagicMock() mocker.patch.multiple( @@ -615,13 +667,13 @@ def test_api_logs(botclient): # Help debugging random test failure print(f"rc={rc.json()}") print(f"rc1={rc1.json()}") - assert rc1.json()['log_count'] == 5 + assert rc1.json()['log_count'] > 2 assert len(rc1.json()['logs']) == rc1.json()['log_count'] def test_api_edge_disabled(botclient, mocker, ticker, fee, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_balances=MagicMock(return_value=ticker), @@ -637,7 +689,7 @@ def test_api_edge_disabled(botclient, mocker, ticker, fee, markets): @pytest.mark.usefixtures("init_persistence") def test_api_profit(botclient, mocker, ticker, fee, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_balances=MagicMock(return_value=ticker), @@ -668,12 +720,16 @@ def test_api_profit(botclient, mocker, ticker, fee, markets): 'profit_all_ratio_mean': -0.6641100666666667, 'profit_all_percent_sum': -398.47, 'profit_all_ratio_sum': -3.9846604, + 'profit_all_percent': -4.41, + 'profit_all_ratio': -0.044063014216106644, 'profit_closed_coin': 0.00073913, 'profit_closed_fiat': 9.124559849999999, 'profit_closed_ratio_mean': 0.0075, 'profit_closed_percent_mean': 0.75, 'profit_closed_ratio_sum': 0.015, 'profit_closed_percent_sum': 1.5, + 'profit_closed_ratio': 7.391275897987988e-07, + 'profit_closed_percent': 0.0, 'trade_count': 6, 'closed_trade_count': 2, 'winning_trades': 2, @@ -684,7 +740,7 @@ def test_api_profit(botclient, mocker, ticker, fee, markets): @pytest.mark.usefixtures("init_persistence") def test_api_stats(botclient, mocker, ticker, fee, markets,): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_balances=MagicMock(return_value=ticker), @@ -712,7 +768,7 @@ def test_api_stats(botclient, mocker, ticker, fee, markets,): def test_api_performance(botclient, fee): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) trade = Trade( pair='LTC/ETH', @@ -758,7 +814,7 @@ def test_api_performance(botclient, fee): def test_api_status(botclient, mocker, ticker, fee, markets): ftbot, client = botclient - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_balances=MagicMock(return_value=ticker), @@ -829,12 +885,13 @@ def test_api_status(botclient, mocker, ticker, fee, markets): 'open_trade_value': 15.1668225, 'sell_reason': None, 'sell_order_status': None, - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', + 'buy_tag': None, 'timeframe': 5, 'exchange': 'binance', } - mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', + mocker.patch('freqtrade.exchange.Exchange.get_rate', MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available"))) rc = client_get(client, f"{BASE_URI}/status") @@ -896,7 +953,7 @@ def test_api_whitelist(botclient): "whitelist": ['ETH/BTC', 'LTC/BTC', 'XRP/BTC', 'NEO/BTC'], "length": 4, "method": ["StaticPairList"] - } + } def test_api_forcebuy(botclient, mocker, fee): @@ -933,7 +990,7 @@ def test_api_forcebuy(botclient, mocker, fee): close_rate=0.265441, id=22, timeframe=5, - strategy="DefaultStrategy" + strategy="StrategyTestV2" )) mocker.patch("freqtrade.rpc.RPC._rpc_forcebuy", fbuy_mock) @@ -983,10 +1040,11 @@ def test_api_forcebuy(botclient, mocker, fee): 'open_trade_value': 0.24605460, 'sell_reason': None, 'sell_order_status': None, - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', + 'buy_tag': None, 'timeframe': 5, 'exchange': 'binance', - } + } def test_api_forcesell(botclient, mocker, ticker, fee, markets): @@ -999,7 +1057,7 @@ def test_api_forcesell(botclient, mocker, ticker, fee, markets): markets=PropertyMock(return_value=markets), _is_dry_limit_order_filled=MagicMock(return_value=False), ) - patch_get_signal(ftbot, (True, False)) + patch_get_signal(ftbot) rc = client_post(client, f"{BASE_URI}/forcesell", data='{"tradeid": "1"}') @@ -1049,7 +1107,7 @@ def test_api_pair_candles(botclient, ohlcv_history): f"{BASE_URI}/pair_candles?limit={amount}&pair=XRP%2FBTC&timeframe={timeframe}") assert_response(rc) assert 'strategy' in rc.json() - assert rc.json()['strategy'] == 'DefaultStrategy' + assert rc.json()['strategy'] == 'StrategyTestV2' assert 'columns' in rc.json() assert 'data_start_ts' in rc.json() assert 'data_start' in rc.json() @@ -1087,19 +1145,19 @@ def test_api_pair_history(botclient, ohlcv_history): # No pair rc = client_get(client, f"{BASE_URI}/pair_history?timeframe={timeframe}" - "&timerange=20180111-20180112&strategy=DefaultStrategy") + "&timerange=20180111-20180112&strategy=StrategyTestV2") assert_response(rc, 422) # No Timeframe rc = client_get(client, f"{BASE_URI}/pair_history?pair=UNITTEST%2FBTC" - "&timerange=20180111-20180112&strategy=DefaultStrategy") + "&timerange=20180111-20180112&strategy=StrategyTestV2") assert_response(rc, 422) # No timerange rc = client_get(client, f"{BASE_URI}/pair_history?pair=UNITTEST%2FBTC&timeframe={timeframe}" - "&strategy=DefaultStrategy") + "&strategy=StrategyTestV2") assert_response(rc, 422) # No strategy @@ -1111,14 +1169,14 @@ def test_api_pair_history(botclient, ohlcv_history): # Working rc = client_get(client, f"{BASE_URI}/pair_history?pair=UNITTEST%2FBTC&timeframe={timeframe}" - "&timerange=20180111-20180112&strategy=DefaultStrategy") + "&timerange=20180111-20180112&strategy=StrategyTestV2") assert_response(rc, 200) assert rc.json()['length'] == 289 assert len(rc.json()['data']) == rc.json()['length'] assert 'columns' in rc.json() assert 'data' in rc.json() assert rc.json()['pair'] == 'UNITTEST/BTC' - assert rc.json()['strategy'] == 'DefaultStrategy' + assert rc.json()['strategy'] == 'StrategyTestV2' assert rc.json()['data_start'] == '2018-01-11 00:00:00+00:00' assert rc.json()['data_start_ts'] == 1515628800000 assert rc.json()['data_stop'] == '2018-01-12 00:00:00+00:00' @@ -1127,7 +1185,7 @@ def test_api_pair_history(botclient, ohlcv_history): # No data found rc = client_get(client, f"{BASE_URI}/pair_history?pair=UNITTEST%2FBTC&timeframe={timeframe}" - "&timerange=20200111-20200112&strategy=DefaultStrategy") + "&timerange=20200111-20200112&strategy=StrategyTestV2") assert_response(rc, 502) assert rc.json()['error'] == ("Error querying /api/v1/pair_history: " "No data for UNITTEST/BTC, 5m in 20200111-20200112 found.") @@ -1140,8 +1198,10 @@ def test_api_plot_config(botclient): assert_response(rc) assert rc.json() == {} - ftbot.strategy.plot_config = {'main_plot': {'sma': {}}, - 'subplots': {'RSI': {'rsi': {'color': 'red'}}}} + ftbot.strategy.plot_config = { + 'main_plot': {'sma': {}}, + 'subplots': {'RSI': {'rsi': {'color': 'red'}}} + } rc = client_get(client, f"{BASE_URI}/plot_config") assert_response(rc) assert rc.json() == ftbot.strategy.plot_config @@ -1163,21 +1223,22 @@ def test_api_strategies(botclient): assert_response(rc) assert rc.json() == {'strategies': [ - 'DefaultStrategy', 'HyperoptableStrategy', - 'TestStrategyLegacy' - ]} + 'InformativeDecoratorTest', + 'StrategyTestV2', + 'TestStrategyLegacyV1' + ]} def test_api_strategy(botclient): ftbot, client = botclient - rc = client_get(client, f"{BASE_URI}/strategy/DefaultStrategy") + rc = client_get(client, f"{BASE_URI}/strategy/StrategyTestV2") assert_response(rc) - assert rc.json()['strategy'] == 'DefaultStrategy' + assert rc.json()['strategy'] == 'StrategyTestV2' - data = (Path(__file__).parents[1] / "strategy/strats/default_strategy.py").read_text() + data = (Path(__file__).parents[1] / "strategy/strats/strategy_test_v2.py").read_text() assert rc.json()['code'] == data rc = client_get(client, f"{BASE_URI}/strategy/NoStrat") @@ -1208,3 +1269,108 @@ def test_list_available_pairs(botclient): assert rc.json()['length'] == 1 assert rc.json()['pairs'] == ['XRP/ETH'] assert len(rc.json()['pair_interval']) == 1 + + +def test_api_backtesting(botclient, mocker, fee, caplog): + ftbot, client = botclient + mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) + + # Backtesting not started yet + rc = client_get(client, f"{BASE_URI}/backtest") + assert_response(rc) + + result = rc.json() + assert result['status'] == 'not_started' + assert not result['running'] + assert result['status_msg'] == 'Backtest not yet executed' + assert result['progress'] == 0 + + # Reset backtesting + rc = client_delete(client, f"{BASE_URI}/backtest") + assert_response(rc) + result = rc.json() + assert result['status'] == 'reset' + assert not result['running'] + assert result['status_msg'] == 'Backtest reset' + + # start backtesting + data = { + "strategy": "StrategyTestV2", + "timeframe": "5m", + "timerange": "20180110-20180111", + "max_open_trades": 3, + "stake_amount": 100, + "dry_run_wallet": 1000, + "enable_protections": False + } + rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data)) + assert_response(rc) + result = rc.json() + + assert result['status'] == 'running' + assert result['progress'] == 0 + assert result['running'] + assert result['status_msg'] == 'Backtest started' + + rc = client_get(client, f"{BASE_URI}/backtest") + assert_response(rc) + + result = rc.json() + assert result['status'] == 'ended' + assert not result['running'] + assert result['status_msg'] == 'Backtest ended' + assert result['progress'] == 1 + assert result['backtest_result'] + + rc = client_get(client, f"{BASE_URI}/backtest/abort") + assert_response(rc) + result = rc.json() + assert result['status'] == 'not_running' + assert not result['running'] + assert result['status_msg'] == 'Backtest ended' + + # Simulate running backtest + ApiServer._bgtask_running = True + rc = client_get(client, f"{BASE_URI}/backtest/abort") + assert_response(rc) + result = rc.json() + assert result['status'] == 'stopping' + assert not result['running'] + assert result['status_msg'] == 'Backtest ended' + + # Get running backtest... + rc = client_get(client, f"{BASE_URI}/backtest") + assert_response(rc) + result = rc.json() + assert result['status'] == 'running' + assert result['running'] + assert result['step'] == "backtest" + assert result['status_msg'] == "Backtest running" + + # Try delete with task still running + rc = client_delete(client, f"{BASE_URI}/backtest") + assert_response(rc) + result = rc.json() + assert result['status'] == 'running' + + # Post to backtest that's still running + rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data)) + assert_response(rc, 502) + result = rc.json() + assert 'Bot Background task already running' in result['error'] + + ApiServer._bgtask_running = False + + mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest_one_strategy', + side_effect=DependencyException()) + rc = client_post(client, f"{BASE_URI}/backtest", data=json.dumps(data)) + assert log_has("Backtesting caused an error: ", caplog) + + # Delete backtesting to avoid leakage since the backtest-object may stick around. + rc = client_delete(client, f"{BASE_URI}/backtest") + assert_response(rc) + + result = rc.json() + assert result['status'] == 'reset' + assert not result['running'] + assert result['status_msg'] == 'Backtest reset' diff --git a/tests/rpc/test_rpc_manager.py b/tests/rpc/test_rpc_manager.py index 918022386..596b5ae20 100644 --- a/tests/rpc/test_rpc_manager.py +++ b/tests/rpc/test_rpc_manager.py @@ -5,6 +5,7 @@ from unittest.mock import MagicMock from freqtrade.enums import RPCMessageType from freqtrade.rpc import RPCManager +from freqtrade.rpc.api_server.webserver import ApiServer from tests.conftest import get_patched_freqtradebot, log_has @@ -190,3 +191,4 @@ def test_init_apiserver_enabled(mocker, default_conf, caplog) -> None: assert len(rpc_manager.registered_modules) == 1 assert 'apiserver' in [mod.name for mod in rpc_manager.registered_modules] assert run_mock.call_count == 1 + ApiServer.shutdown() diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index 782ae69c6..7dde7b803 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -119,7 +119,7 @@ def test_authorized_only(default_conf, mocker, caplog, update) -> None: rpc = RPC(bot) dummy = DummyCls(rpc, default_conf) - patch_get_signal(bot, (True, False)) + patch_get_signal(bot) dummy.dummy_handler(update=update, context=MagicMock()) assert dummy.state['called'] is True assert log_has('Executing handler: dummy_handler for chat_id: 0', caplog) @@ -139,7 +139,7 @@ def test_authorized_only_unauthorized(default_conf, mocker, caplog) -> None: rpc = RPC(bot) dummy = DummyCls(rpc, default_conf) - patch_get_signal(bot, (True, False)) + patch_get_signal(bot) dummy.dummy_handler(update=update, context=MagicMock()) assert dummy.state['called'] is False assert not log_has('Executing handler: dummy_handler for chat_id: 3735928559', caplog) @@ -155,7 +155,7 @@ def test_authorized_only_exception(default_conf, mocker, caplog, update) -> None bot = FreqtradeBot(default_conf) rpc = RPC(bot) dummy = DummyCls(rpc, default_conf) - patch_get_signal(bot, (True, False)) + patch_get_signal(bot) dummy.dummy_exception(update=update, context=MagicMock()) assert dummy.state['called'] is False @@ -185,6 +185,7 @@ def test_telegram_status(default_conf, update, mocker) -> None: 'current_rate': 1.098e-05, 'amount': 90.99181074, 'stake_amount': 90.99181074, + 'buy_tag': None, 'close_profit_pct': None, 'profit': -0.0059, 'profit_pct': -0.59, @@ -228,7 +229,7 @@ def test_status_handle(default_conf, update, ticker, fee, mocker) -> None: telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) freqtradebot.state = State.STOPPED # Status is also enabled when stopped @@ -285,7 +286,7 @@ def test_status_table_handle(default_conf, update, ticker, fee, mocker) -> None: telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) freqtradebot.state = State.STOPPED # Status table is also enabled when stopped @@ -329,7 +330,7 @@ def test_daily_handle(default_conf, update, ticker, limit_buy_order, fee, telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # Create some test data freqtradebot.enter_positions() @@ -400,7 +401,7 @@ def test_daily_wrong_input(default_conf, update, ticker, mocker) -> None: ) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # Try invalid data msg_mock.reset_mock() @@ -432,7 +433,7 @@ def test_profit_handle(default_conf, update, ticker, ticker_sell_up, fee, ) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) telegram._profit(update=update, context=MagicMock()) assert msg_mock.call_count == 1 @@ -452,7 +453,8 @@ def test_profit_handle(default_conf, update, ticker, ticker_sell_up, fee, assert msg_mock.call_count == 1 assert 'No closed trade' in msg_mock.call_args_list[-1][0][0] assert '*ROI:* All trades' in msg_mock.call_args_list[-1][0][0] - assert ('∙ `-0.00000500 BTC (-0.50%) (-0.5 \N{GREEK CAPITAL LETTER SIGMA}%)`' + mocker.patch('freqtrade.wallets.Wallets.get_starting_balance', return_value=0.01) + assert ('∙ `-0.00000500 BTC (-0.50%) (-0.0 \N{GREEK CAPITAL LETTER SIGMA}%)`' in msg_mock.call_args_list[-1][0][0]) msg_mock.reset_mock() @@ -466,11 +468,11 @@ def test_profit_handle(default_conf, update, ticker, ticker_sell_up, fee, telegram._profit(update=update, context=MagicMock()) assert msg_mock.call_count == 1 assert '*ROI:* Closed trades' in msg_mock.call_args_list[-1][0][0] - assert ('∙ `0.00006217 BTC (6.20%) (6.2 \N{GREEK CAPITAL LETTER SIGMA}%)`' + assert ('∙ `0.00006217 BTC (6.20%) (0.62 \N{GREEK CAPITAL LETTER SIGMA}%)`' in msg_mock.call_args_list[-1][0][0]) assert '∙ `0.933 USD`' in msg_mock.call_args_list[-1][0][0] assert '*ROI:* All trades' in msg_mock.call_args_list[-1][0][0] - assert ('∙ `0.00006217 BTC (6.20%) (6.2 \N{GREEK CAPITAL LETTER SIGMA}%)`' + assert ('∙ `0.00006217 BTC (6.20%) (0.62 \N{GREEK CAPITAL LETTER SIGMA}%)`' in msg_mock.call_args_list[-1][0][0]) assert '∙ `0.933 USD`' in msg_mock.call_args_list[-1][0][0] @@ -486,7 +488,7 @@ def test_telegram_stats(default_conf, update, ticker, ticker_sell_up, fee, get_fee=fee, ) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) telegram._stats(update=update, context=MagicMock()) assert msg_mock.call_count == 1 @@ -512,19 +514,22 @@ def test_telegram_balance_handle(default_conf, update, mocker, rpc_balance, tick side_effect=lambda a, b: f"{a}/{b}") telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) telegram._balance(update=update, context=MagicMock()) result = msg_mock.call_args_list[0][0][0] assert msg_mock.call_count == 1 assert '*BTC:*' in result assert '*ETH:*' not in result - assert '*USDT:*' in result - assert '*EUR:*' in result + assert '*USDT:*' not in result + assert '*EUR:*' not in result + assert '*LTC:*' in result + assert '*XRP:*' not in result assert 'Balance:' in result assert 'Est. BTC:' in result assert 'BTC: 12.00000000' in result - assert '*XRP:* not showing <0.0001 BTC amount' in result + assert "*3 Other Currencies (< 0.0001 BTC):*" in result + assert 'BTC: 0.00000309' in result def test_balance_handle_empty_response(default_conf, update, mocker) -> None: @@ -532,7 +537,7 @@ def test_balance_handle_empty_response(default_conf, update, mocker) -> None: mocker.patch('freqtrade.exchange.Exchange.get_balances', return_value={}) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) freqtradebot.config['dry_run'] = False telegram._balance(update=update, context=MagicMock()) @@ -545,7 +550,7 @@ def test_balance_handle_empty_response_dry(default_conf, update, mocker) -> None mocker.patch('freqtrade.exchange.Exchange.get_balances', return_value={}) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) telegram._balance(update=update, context=MagicMock()) result = msg_mock.call_args_list[0][0][0] @@ -571,10 +576,12 @@ def test_balance_handle_too_large_response(default_conf, update, mocker) -> None 'total': 100.0, 'symbol': 100.0, 'value': 1000.0, + 'starting_capital': 1000, + 'starting_capital_fiat': 1000, }) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) telegram._balance(update=update, context=MagicMock()) assert msg_mock.call_count > 1 @@ -673,7 +680,7 @@ def test_telegram_forcesell_handle(default_conf, update, ticker, fee, freqtradebot = FreqtradeBot(default_conf) rpc = RPC(freqtradebot) telegram = Telegram(rpc, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # Create some test data freqtradebot.enter_positions() @@ -732,7 +739,7 @@ def test_telegram_forcesell_down_handle(default_conf, update, ticker, fee, freqtradebot = FreqtradeBot(default_conf) rpc = RPC(freqtradebot) telegram = Telegram(rpc, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # Create some test data freqtradebot.enter_positions() @@ -793,7 +800,7 @@ def test_forcesell_all_handle(default_conf, update, ticker, fee, mocker) -> None freqtradebot = FreqtradeBot(default_conf) rpc = RPC(freqtradebot) telegram = Telegram(rpc, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # Create some test data freqtradebot.enter_positions() @@ -834,7 +841,7 @@ def test_forcesell_handle_invalid(default_conf, update, mocker) -> None: return_value=15000.0) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # Trader is not running freqtradebot.state = State.STOPPED @@ -872,7 +879,7 @@ def test_forcebuy_handle(default_conf, update, mocker) -> None: mocker.patch('freqtrade.rpc.RPC._rpc_forcebuy', fbuy_mock) telegram, freqtradebot, _ = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # /forcebuy ETH/BTC context = MagicMock() @@ -901,7 +908,7 @@ def test_forcebuy_handle_exception(default_conf, update, mocker) -> None: mocker.patch('freqtrade.rpc.rpc.CryptoToFiatConverter._find_price', return_value=15000.0) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) update.message.text = '/forcebuy ETH/Nonepair' telegram._forcebuy(update=update, context=MagicMock()) @@ -918,7 +925,7 @@ def test_forcebuy_no_pair(default_conf, update, mocker) -> None: telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) context = MagicMock() context.args = [] @@ -946,7 +953,7 @@ def test_performance_handle(default_conf, update, ticker, fee, get_fee=fee, ) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) # Create some test data freqtradebot.enter_positions() @@ -974,7 +981,7 @@ def test_count_handle(default_conf, update, ticker, fee, mocker) -> None: get_fee=fee, ) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) freqtradebot.state = State.STOPPED telegram._count(update=update, context=MagicMock()) @@ -1003,7 +1010,7 @@ def test_telegram_lock_handle(default_conf, update, ticker, fee, mocker) -> None get_fee=fee, ) telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf) - patch_get_signal(freqtradebot, (True, False)) + patch_get_signal(freqtradebot) telegram._locks(update=update, context=MagicMock()) assert msg_mock.call_count == 1 assert 'No active locks.' in msg_mock.call_args_list[0][0][0] @@ -1231,7 +1238,7 @@ def test_show_config_handle(default_conf, update, mocker) -> None: assert msg_mock.call_count == 1 assert '*Mode:* `{}`'.format('Dry-run') in msg_mock.call_args_list[0][0][0] assert '*Exchange:* `binance`' in msg_mock.call_args_list[0][0][0] - assert '*Strategy:* `DefaultStrategy`' in msg_mock.call_args_list[0][0][0] + assert '*Strategy:* `StrategyTestV2`' in msg_mock.call_args_list[0][0][0] assert '*Stoploss:* `-0.1`' in msg_mock.call_args_list[0][0][0] msg_mock.reset_mock() @@ -1240,7 +1247,7 @@ def test_show_config_handle(default_conf, update, mocker) -> None: assert msg_mock.call_count == 1 assert '*Mode:* `{}`'.format('Dry-run') in msg_mock.call_args_list[0][0][0] assert '*Exchange:* `binance`' in msg_mock.call_args_list[0][0][0] - assert '*Strategy:* `DefaultStrategy`' in msg_mock.call_args_list[0][0][0] + assert '*Strategy:* `StrategyTestV2`' in msg_mock.call_args_list[0][0][0] assert '*Initial Stoploss:* `-0.1`' in msg_mock.call_args_list[0][0][0] @@ -1249,6 +1256,7 @@ def test_send_msg_buy_notification(default_conf, mocker, caplog) -> None: msg = { 'type': RPCMessageType.BUY, 'trade_id': 1, + 'buy_tag': 'buy_signal_01', 'exchange': 'Binance', 'pair': 'ETH/BTC', 'limit': 1.099e-05, @@ -1266,6 +1274,7 @@ def test_send_msg_buy_notification(default_conf, mocker, caplog) -> None: telegram.send_msg(msg) assert msg_mock.call_args[0][0] \ == '\N{LARGE BLUE CIRCLE} *Binance:* Buying ETH/BTC (#1)\n' \ + '*Buy Tag:* `buy_signal_01`\n' \ '*Amount:* `1333.33333333`\n' \ '*Open Rate:* `0.00001099`\n' \ '*Current Rate:* `0.00001099`\n' \ @@ -1293,6 +1302,7 @@ def test_send_msg_buy_cancel_notification(default_conf, mocker) -> None: telegram.send_msg({ 'type': RPCMessageType.BUY_CANCEL, + 'buy_tag': 'buy_signal_01', 'trade_id': 1, 'exchange': 'Binance', 'pair': 'ETH/BTC', @@ -1303,6 +1313,34 @@ def test_send_msg_buy_cancel_notification(default_conf, mocker) -> None: 'Reason: cancelled due to timeout.') +def test_send_msg_protection_notification(default_conf, mocker, time_machine) -> None: + + default_conf['telegram']['notification_settings']['protection_trigger'] = 'on' + + telegram, _, msg_mock = get_telegram_testobject(mocker, default_conf) + time_machine.move_to("2021-09-01 05:00:00 +00:00") + lock = PairLocks.lock_pair('ETH/BTC', arrow.utcnow().shift(minutes=6).datetime, 'randreason') + msg = { + 'type': RPCMessageType.PROTECTION_TRIGGER, + } + msg.update(lock.to_json()) + telegram.send_msg(msg) + assert (msg_mock.call_args[0][0] == "*Protection* triggered due to randreason. " + "`ETH/BTC` will be locked until `2021-09-01 05:10:00`.") + + msg_mock.reset_mock() + # Test global protection + + msg = { + 'type': RPCMessageType.PROTECTION_TRIGGER_GLOBAL, + } + lock = PairLocks.lock_pair('*', arrow.utcnow().shift(minutes=100).datetime, 'randreason') + msg.update(lock.to_json()) + telegram.send_msg(msg) + assert (msg_mock.call_args[0][0] == "*Protection* triggered due to randreason. " + "*All pairs* will be locked until `2021-09-01 06:45:00`.") + + def test_send_msg_buy_fill_notification(default_conf, mocker) -> None: default_conf['telegram']['notification_settings']['buy_fill'] = 'on' @@ -1310,6 +1348,7 @@ def test_send_msg_buy_fill_notification(default_conf, mocker) -> None: telegram.send_msg({ 'type': RPCMessageType.BUY_FILL, + 'buy_tag': 'buy_signal_01', 'trade_id': 1, 'exchange': 'Binance', 'pair': 'ETH/USDT', @@ -1494,6 +1533,7 @@ def test_send_msg_buy_notification_no_fiat(default_conf, mocker) -> None: telegram.send_msg({ 'type': RPCMessageType.BUY, + 'buy_tag': 'buy_signal_01', 'trade_id': 1, 'exchange': 'Binance', 'pair': 'ETH/BTC', @@ -1508,6 +1548,7 @@ def test_send_msg_buy_notification_no_fiat(default_conf, mocker) -> None: 'open_date': arrow.utcnow().shift(hours=-1) }) assert msg_mock.call_args[0][0] == ('\N{LARGE BLUE CIRCLE} *Binance:* Buying ETH/BTC (#1)\n' + '*Buy Tag:* `buy_signal_01`\n' '*Amount:* `1333.33333333`\n' '*Open Rate:* `0.00001099`\n' '*Current Rate:* `0.00001099`\n' diff --git a/tests/strategy/strats/failing_strategy.py b/tests/strategy/strats/failing_strategy.py index f8eaac3c3..a65a0ddc2 100644 --- a/tests/strategy/strats/failing_strategy.py +++ b/tests/strategy/strats/failing_strategy.py @@ -5,5 +5,5 @@ import nonexiting_module # noqa from freqtrade.strategy.interface import IStrategy -class TestStrategyLegacy(IStrategy): +class TestStrategyLegacyV1(IStrategy): pass diff --git a/tests/strategy/strats/hyperoptable_strategy.py b/tests/strategy/strats/hyperoptable_strategy.py index cc4734e13..88bdd078e 100644 --- a/tests/strategy/strats/hyperoptable_strategy.py +++ b/tests/strategy/strats/hyperoptable_strategy.py @@ -4,7 +4,8 @@ import talib.abstract as ta from pandas import DataFrame import freqtrade.vendor.qtpylib.indicators as qtpylib -from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy, RealParameter +from freqtrade.strategy import (BooleanParameter, DecimalParameter, IntParameter, IStrategy, + RealParameter) class HyperoptableStrategy(IStrategy): @@ -64,6 +65,18 @@ class HyperoptableStrategy(IStrategy): sell_rsi = IntParameter(low=50, high=100, default=70, space='sell') sell_minusdi = DecimalParameter(low=0, high=1, default=0.5001, decimals=3, space='sell', load=False) + protection_enabled = BooleanParameter(default=True) + protection_cooldown_lookback = IntParameter([0, 50], default=30) + + @property + def protections(self): + prot = [] + if self.protection_enabled.value: + prot.append({ + "method": "CooldownPeriod", + "stop_duration_candles": self.protection_cooldown_lookback.value + }) + return prot def informative_pairs(self): """ diff --git a/tests/strategy/strats/informative_decorator_strategy.py b/tests/strategy/strats/informative_decorator_strategy.py new file mode 100644 index 000000000..a32ad79e8 --- /dev/null +++ b/tests/strategy/strats/informative_decorator_strategy.py @@ -0,0 +1,75 @@ +# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement + +from pandas import DataFrame + +from freqtrade.strategy import informative, merge_informative_pair +from freqtrade.strategy.interface import IStrategy + + +class InformativeDecoratorTest(IStrategy): + """ + Strategy used by tests freqtrade bot. + Please do not modify this strategy, it's intended for internal use only. + Please look at the SampleStrategy in the user_data/strategy directory + or strategy repository https://github.com/freqtrade/freqtrade-strategies + for samples and inspiration. + """ + INTERFACE_VERSION = 2 + stoploss = -0.10 + timeframe = '5m' + startup_candle_count: int = 20 + + def informative_pairs(self): + return [('BTC/USDT', '5m')] + + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['buy'] = 0 + return dataframe + + def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['sell'] = 0 + return dataframe + + # Decorator stacking test. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Simple informative test. + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Quote currency different from stake currency test. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Formatting test. + @informative('30m', 'BTC/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Custom formatter test + @informative('30m', 'ETH/{stake}', fmt=lambda column, **kwargs: column + '_from_callable') + def populate_indicators_eth_30m(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = 14 + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + + # Mixing manual informative pairs with decorators. + informative = self.dp.get_pair_dataframe('BTC/USDT', '5m') + informative['rsi'] = 14 + dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True) + + return dataframe diff --git a/tests/strategy/strats/legacy_strategy.py b/tests/strategy/strats/legacy_strategy_v1.py similarity index 98% rename from tests/strategy/strats/legacy_strategy.py rename to tests/strategy/strats/legacy_strategy_v1.py index 9ef00b110..ebfce632b 100644 --- a/tests/strategy/strats/legacy_strategy.py +++ b/tests/strategy/strats/legacy_strategy_v1.py @@ -10,7 +10,7 @@ from freqtrade.strategy.interface import IStrategy # -------------------------------- # This class is a sample. Feel free to customize it. -class TestStrategyLegacy(IStrategy): +class TestStrategyLegacyV1(IStrategy): """ This is a test strategy using the legacy function headers, which will be removed in a future update. diff --git a/tests/strategy/strats/default_strategy.py b/tests/strategy/strats/strategy_test_v2.py similarity index 98% rename from tests/strategy/strats/default_strategy.py rename to tests/strategy/strats/strategy_test_v2.py index 7171b93ae..53e39526f 100644 --- a/tests/strategy/strats/default_strategy.py +++ b/tests/strategy/strats/strategy_test_v2.py @@ -7,9 +7,9 @@ import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.strategy.interface import IStrategy -class DefaultStrategy(IStrategy): +class StrategyTestV2(IStrategy): """ - Default Strategy provided by freqtrade bot. + Strategy used by tests freqtrade bot. Please do not modify this strategy, it's intended for internal use only. Please look at the SampleStrategy in the user_data/strategy directory or strategy repository https://github.com/freqtrade/freqtrade-strategies diff --git a/tests/strategy/test_default_strategy.py b/tests/strategy/test_default_strategy.py index 92ac9f63a..6426ebe5f 100644 --- a/tests/strategy/test_default_strategy.py +++ b/tests/strategy/test_default_strategy.py @@ -4,20 +4,20 @@ from pandas import DataFrame from freqtrade.persistence.models import Trade -from .strats.default_strategy import DefaultStrategy +from .strats.strategy_test_v2 import StrategyTestV2 -def test_default_strategy_structure(): - assert hasattr(DefaultStrategy, 'minimal_roi') - assert hasattr(DefaultStrategy, 'stoploss') - assert hasattr(DefaultStrategy, 'timeframe') - assert hasattr(DefaultStrategy, 'populate_indicators') - assert hasattr(DefaultStrategy, 'populate_buy_trend') - assert hasattr(DefaultStrategy, 'populate_sell_trend') +def test_strategy_test_v2_structure(): + assert hasattr(StrategyTestV2, 'minimal_roi') + assert hasattr(StrategyTestV2, 'stoploss') + assert hasattr(StrategyTestV2, 'timeframe') + assert hasattr(StrategyTestV2, 'populate_indicators') + assert hasattr(StrategyTestV2, 'populate_buy_trend') + assert hasattr(StrategyTestV2, 'populate_sell_trend') -def test_default_strategy(result, fee): - strategy = DefaultStrategy({}) +def test_strategy_test_v2(result, fee): + strategy = StrategyTestV2({}) metadata = {'pair': 'ETH/BTC'} assert type(strategy.minimal_roi) is dict diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 62a638ed3..dcb9e3e64 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -16,17 +16,17 @@ from freqtrade.exceptions import OperationalException, StrategyError from freqtrade.optimize.space import SKDecimal from freqtrade.persistence import PairLocks, Trade from freqtrade.resolvers import StrategyResolver -from freqtrade.strategy.hyper import (BaseParameter, CategoricalParameter, DecimalParameter, - IntParameter, RealParameter) +from freqtrade.strategy.hyper import (BaseParameter, BooleanParameter, CategoricalParameter, + DecimalParameter, IntParameter, RealParameter) from freqtrade.strategy.interface import SellCheckTuple from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from tests.conftest import log_has, log_has_re -from .strats.default_strategy import DefaultStrategy +from .strats.strategy_test_v2 import StrategyTestV2 # Avoid to reinit the same object again and again -_STRATEGY = DefaultStrategy(config={}) +_STRATEGY = StrategyTestV2(config={}) _STRATEGY.dp = DataProvider({}, None, None) @@ -38,15 +38,20 @@ def test_returns_latest_signal(mocker, default_conf, ohlcv_history): mocked_history['buy'] = 0 mocked_history.loc[1, 'sell'] = 1 - assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, True) + assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, True, None) mocked_history.loc[1, 'sell'] = 0 mocked_history.loc[1, 'buy'] = 1 - assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (True, False) + assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (True, False, None) mocked_history.loc[1, 'sell'] = 0 mocked_history.loc[1, 'buy'] = 0 - assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, False) + assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, False, None) + mocked_history.loc[1, 'sell'] = 0 + mocked_history.loc[1, 'buy'] = 1 + mocked_history.loc[1, 'buy_tag'] = 'buy_signal_01' + + assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (True, False, 'buy_signal_01') def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history): @@ -63,15 +68,21 @@ def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history): def test_get_signal_empty(default_conf, mocker, caplog): - assert (False, False) == _STRATEGY.get_signal('foo', default_conf['timeframe'], DataFrame()) + assert (False, False, None) == _STRATEGY.get_signal( + 'foo', default_conf['timeframe'], DataFrame() + ) assert log_has('Empty candle (OHLCV) data for pair foo', caplog) caplog.clear() - assert (False, False) == _STRATEGY.get_signal('bar', default_conf['timeframe'], None) + assert (False, False, None) == _STRATEGY.get_signal('bar', default_conf['timeframe'], None) assert log_has('Empty candle (OHLCV) data for pair bar', caplog) caplog.clear() - assert (False, False) == _STRATEGY.get_signal('baz', default_conf['timeframe'], DataFrame([])) + assert (False, False, None) == _STRATEGY.get_signal( + 'baz', + default_conf['timeframe'], + DataFrame([]) + ) assert log_has('Empty candle (OHLCV) data for pair baz', caplog) @@ -107,12 +118,37 @@ def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history): caplog.set_level(logging.INFO) mocker.patch.object(_STRATEGY, 'assert_df') - assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'], mocked_history) + assert (False, False, None) == _STRATEGY.get_signal( + 'xyz', + default_conf['timeframe'], + mocked_history + ) assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog) +def test_get_signal_no_sell_column(default_conf, mocker, caplog, ohlcv_history): + # default_conf defines a 5m interval. we check interval * 2 + 5m + # this is necessary as the last candle is removed (partial candles) by default + ohlcv_history.loc[1, 'date'] = arrow.utcnow() + # Take a copy to correctly modify the call + mocked_history = ohlcv_history.copy() + # Intentionally don't set sell column + # mocked_history['sell'] = 0 + mocked_history['buy'] = 0 + mocked_history.loc[1, 'buy'] = 1 + + caplog.set_level(logging.INFO) + mocker.patch.object(_STRATEGY, 'assert_df') + + assert (True, False, None) == _STRATEGY.get_signal( + 'xyz', + default_conf['timeframe'], + mocked_history + ) + + def test_ignore_expired_candle(default_conf): - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) strategy.ignore_buying_expired_candle_after = 60 @@ -182,10 +218,6 @@ def test_assert_df(ohlcv_history, caplog): match="Buy column not set"): _STRATEGY.assert_df(ohlcv_history.drop('buy', axis=1), len(ohlcv_history), ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date']) - with pytest.raises(StrategyError, - match="Sell column not set"): - _STRATEGY.assert_df(ohlcv_history.drop('sell', axis=1), len(ohlcv_history), - ohlcv_history.loc[df_len, 'close'], ohlcv_history.loc[0, 'date']) _STRATEGY.disable_dataframe_checks = True caplog.clear() @@ -196,25 +228,25 @@ def test_assert_df(ohlcv_history, caplog): _STRATEGY.disable_dataframe_checks = False -def test_ohlcvdata_to_dataframe(default_conf, testdatadir) -> None: - default_conf.update({'strategy': 'DefaultStrategy'}) +def test_advise_all_indicators(default_conf, testdatadir) -> None: + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) timerange = TimeRange.parse_timerange('1510694220-1510700340') data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange, fill_up_missing=True) - processed = strategy.ohlcvdata_to_dataframe(data) + processed = strategy.advise_all_indicators(data) assert len(processed['UNITTEST/BTC']) == 102 # partial candle was removed -def test_ohlcvdata_to_dataframe_copy(mocker, default_conf, testdatadir) -> None: - default_conf.update({'strategy': 'DefaultStrategy'}) +def test_advise_all_indicators_copy(mocker, default_conf, testdatadir) -> None: + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) aimock = mocker.patch('freqtrade.strategy.interface.IStrategy.advise_indicators') timerange = TimeRange.parse_timerange('1510694220-1510700340') data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange, fill_up_missing=True) - strategy.ohlcvdata_to_dataframe(data) + strategy.advise_all_indicators(data) assert aimock.call_count == 1 # Ensure that a copy of the dataframe is passed to advice_indicators assert aimock.call_args_list[0][0][0] is not data @@ -226,7 +258,7 @@ def test_min_roi_reached(default_conf, fee) -> None: min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1}, {0: 0.1, 20: 0.05, 55: 0.01}] for roi in min_roi_list: - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) strategy.minimal_roi = roi trade = Trade( @@ -265,7 +297,7 @@ def test_min_roi_reached2(default_conf, fee) -> None: }, ] for roi in min_roi_list: - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) strategy.minimal_roi = roi trade = Trade( @@ -300,7 +332,7 @@ def test_min_roi_reached3(default_conf, fee) -> None: 30: 0.05, 55: 0.30, } - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) strategy.minimal_roi = min_roi trade = Trade( @@ -353,7 +385,7 @@ def test_min_roi_reached3(default_conf, fee) -> None: def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, trailing, custom, profit2, adjusted2, expected2, custom_stop) -> None: - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) trade = Trade( @@ -366,7 +398,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili exchange='binance', open_rate=1, ) - trade.adjust_min_max_rates(trade.open_rate) + trade.adjust_min_max_rates(trade.open_rate, trade.open_rate) strategy.trailing_stop = trailing strategy.trailing_stop_positive = -0.05 strategy.use_custom_stoploss = custom @@ -401,7 +433,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili def test_custom_sell(default_conf, fee, caplog) -> None: - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) trade = Trade( @@ -455,7 +487,7 @@ def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None: advise_sell=sell_mock, ) - strategy = DefaultStrategy({}) + strategy = StrategyTestV2({}) strategy.analyze_ticker(ohlcv_history, {'pair': 'ETH/BTC'}) assert ind_mock.call_count == 1 assert buy_mock.call_count == 1 @@ -486,7 +518,7 @@ def test__analyze_ticker_internal_skip_analyze(ohlcv_history, mocker, caplog) -> advise_sell=sell_mock, ) - strategy = DefaultStrategy({}) + strategy = StrategyTestV2({}) strategy.dp = DataProvider({}, None, None) strategy.process_only_new_candles = True @@ -518,8 +550,9 @@ def test__analyze_ticker_internal_skip_analyze(ohlcv_history, mocker, caplog) -> @pytest.mark.usefixtures("init_persistence") def test_is_pair_locked(default_conf): - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) PairLocks.timeframe = default_conf['timeframe'] + PairLocks.use_db = True strategy = StrategyResolver.load_strategy(default_conf) # No lock should be present assert len(PairLocks.get_pair_locks(None)) == 0 @@ -570,11 +603,11 @@ def test_is_pair_locked(default_conf): def test_is_informative_pairs_callback(default_conf): - default_conf.update({'strategy': 'TestStrategyLegacy'}) + default_conf.update({'strategy': 'TestStrategyLegacyV1'}) strategy = StrategyResolver.load_strategy(default_conf) # Should return empty # Uses fallback to base implementation - assert [] == strategy.informative_pairs() + assert [] == strategy.gather_informative_pairs() @pytest.mark.parametrize('error', [ @@ -597,7 +630,7 @@ def test_strategy_safe_wrapper_error(caplog, error): assert ret caplog.clear() - # Test supressing error + # Test suppressing error ret = strategy_safe_wrapper(failing_method, message='DeadBeef', supress_error=True)() assert log_has_re(r'DeadBeef.*', caplog) @@ -685,24 +718,41 @@ def test_hyperopt_parameters(): assert len(list(catpar.range)) == 3 assert list(catpar.range) == ['buy_rsi', 'buy_macd', 'buy_none'] + boolpar = BooleanParameter(default=True, space='buy') + assert boolpar.value is True + assert isinstance(boolpar.get_space(''), Categorical) + assert isinstance(boolpar.range, list) + assert len(list(boolpar.range)) == 1 + + boolpar.in_space = True + assert len(list(boolpar.range)) == 2 + + assert list(boolpar.range) == [True, False] + def test_auto_hyperopt_interface(default_conf): default_conf.update({'strategy': 'HyperoptableStrategy'}) PairLocks.timeframe = default_conf['timeframe'] strategy = StrategyResolver.load_strategy(default_conf) + with pytest.raises(OperationalException): + next(strategy.enumerate_parameters('deadBeef')) + assert strategy.buy_rsi.value == strategy.buy_params['buy_rsi'] # PlusDI is NOT in the buy-params, so default should be used assert strategy.buy_plusdi.value == 0.5 assert strategy.sell_rsi.value == strategy.sell_params['sell_rsi'] + assert repr(strategy.sell_rsi) == 'IntParameter(74)' + # Parameter is disabled - so value from sell_param dict will NOT be used. assert strategy.sell_minusdi.value == 0.5 all_params = strategy.detect_all_parameters() assert isinstance(all_params, dict) assert len(all_params['buy']) == 2 assert len(all_params['sell']) == 2 - assert all_params['count'] == 4 + # Number of Hyperoptable parameters + assert all_params['count'] == 6 strategy.__class__.sell_rsi = IntParameter([0, 10], default=5, space='buy') diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 3b84fc254..cb7cf97a1 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -4,16 +4,18 @@ import numpy as np import pandas as pd import pytest -from freqtrade.strategy import merge_informative_pair, stoploss_from_open, timeframe_to_minutes +from freqtrade.data.dataprovider import DataProvider +from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open, + timeframe_to_minutes) -def generate_test_data(timeframe: str, size: int): +def generate_test_data(timeframe: str, size: int, start: str = '2020-07-05'): np.random.seed(42) tf_mins = timeframe_to_minutes(timeframe) base = np.random.normal(20, 2, size=size) - date = pd.period_range('2020-07-05', periods=size, freq=f'{tf_mins}min').to_timestamp() + date = pd.date_range(start, periods=size, freq=f'{tf_mins}min', tz='UTC') df = pd.DataFrame({ 'date': date, 'open': base, @@ -132,3 +134,65 @@ def test_stoploss_from_open(): assert stoploss == 0 else: assert isclose(stop_price, expected_stop_price, rel_tol=0.00001) + + +def test_stoploss_from_absolute(): + assert stoploss_from_absolute(90, 100) == 1 - (90 / 100) + assert stoploss_from_absolute(100, 100) == 0 + assert stoploss_from_absolute(110, 100) == 0 + assert stoploss_from_absolute(100, 0) == 1 + assert stoploss_from_absolute(0, 100) == 1 + + +def test_informative_decorator(mocker, default_conf): + test_data_5m = generate_test_data('5m', 40) + test_data_30m = generate_test_data('30m', 40) + test_data_1h = generate_test_data('1h', 40) + data = { + ('XRP/USDT', '5m'): test_data_5m, + ('XRP/USDT', '30m'): test_data_30m, + ('XRP/USDT', '1h'): test_data_1h, + ('LTC/USDT', '5m'): test_data_5m, + ('LTC/USDT', '30m'): test_data_30m, + ('LTC/USDT', '1h'): test_data_1h, + ('BTC/USDT', '30m'): test_data_30m, + ('BTC/USDT', '5m'): test_data_5m, + ('BTC/USDT', '1h'): test_data_1h, + ('ETH/USDT', '1h'): test_data_1h, + ('ETH/USDT', '30m'): test_data_30m, + ('ETH/BTC', '1h'): test_data_1h, + } + from .strats.informative_decorator_strategy import InformativeDecoratorTest + default_conf['stake_currency'] = 'USDT' + strategy = InformativeDecoratorTest(config=default_conf) + strategy.dp = DataProvider({}, None, None) + mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[ + 'XRP/USDT', 'LTC/USDT', 'BTC/USDT' + ]) + + assert len(strategy._ft_informative) == 6 # Equal to number of decorators used + informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'), + ('LTC/USDT', '30m'), ('BTC/USDT', '1h'), ('BTC/USDT', '30m'), + ('BTC/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')] + for inf_pair in informative_pairs: + assert inf_pair in strategy.gather_informative_pairs() + + def test_historic_ohlcv(pair, timeframe): + return data[(pair, timeframe or strategy.timeframe)].copy() + mocker.patch('freqtrade.data.dataprovider.DataProvider.historic_ohlcv', + side_effect=test_historic_ohlcv) + + analyzed = strategy.advise_all_indicators( + {p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')}) + expected_columns = [ + 'rsi_1h', 'rsi_30m', # Stacked informative decorators + 'btc_usdt_rsi_1h', # BTC 1h informative + 'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting + 'rsi_from_callable', # Custom column formatter + 'eth_btc_rsi_1h', # Quote currency not matching stake currency + 'rsi', 'rsi_less', # Non-informative columns + 'rsi_5m', # Manual informative dataframe + ] + for _, dataframe in analyzed.items(): + for col in expected_columns: + assert col in dataframe.columns diff --git a/tests/strategy/test_strategy_loading.py b/tests/strategy/test_strategy_loading.py index 115a2fbde..3a30a824a 100644 --- a/tests/strategy/test_strategy_loading.py +++ b/tests/strategy/test_strategy_loading.py @@ -18,7 +18,7 @@ def test_search_strategy(): s, _ = StrategyResolver._search_object( directory=default_location, - object_name='DefaultStrategy', + object_name='StrategyTestV2', add_source=True, ) assert issubclass(s, IStrategy) @@ -35,7 +35,7 @@ def test_search_all_strategies_no_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=False) assert isinstance(strategies, list) - assert len(strategies) == 3 + assert len(strategies) == 4 assert isinstance(strategies[0], dict) @@ -43,10 +43,10 @@ def test_search_all_strategies_with_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=True) assert isinstance(strategies, list) - assert len(strategies) == 4 + assert len(strategies) == 5 # with enum_failed=True search_all_objects() shall find 2 good strategies # and 1 which fails to load - assert len([x for x in strategies if x['class'] is not None]) == 3 + assert len([x for x in strategies if x['class'] is not None]) == 4 assert len([x for x in strategies if x['class'] is None]) == 1 @@ -74,10 +74,10 @@ def test_load_strategy_base64(result, caplog, default_conf): def test_load_strategy_invalid_directory(result, caplog, default_conf): - default_conf['strategy'] = 'DefaultStrategy' + default_conf['strategy'] = 'StrategyTestV2' extra_dir = Path.cwd() / 'some/path' with pytest.raises(OperationalException): - StrategyResolver._load_strategy('DefaultStrategy', config=default_conf, + StrategyResolver._load_strategy('StrategyTestV2', config=default_conf, extra_dir=extra_dir) assert log_has_re(r'Path .*' + r'some.*path.*' + r'.* does not exist', caplog) @@ -100,7 +100,7 @@ def test_load_strategy_noname(default_conf): def test_strategy(result, default_conf): - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) metadata = {'pair': 'ETH/BTC'} @@ -127,7 +127,7 @@ def test_strategy(result, default_conf): def test_strategy_override_minimal_roi(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'minimal_roi': { "20": 0.1, "0": 0.5 @@ -144,7 +144,7 @@ def test_strategy_override_minimal_roi(caplog, default_conf): def test_strategy_override_stoploss(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'stoploss': -0.5 }) strategy = StrategyResolver.load_strategy(default_conf) @@ -156,7 +156,7 @@ def test_strategy_override_stoploss(caplog, default_conf): def test_strategy_override_trailing_stop(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'trailing_stop': True }) strategy = StrategyResolver.load_strategy(default_conf) @@ -169,7 +169,7 @@ def test_strategy_override_trailing_stop(caplog, default_conf): def test_strategy_override_trailing_stop_positive(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'trailing_stop_positive': -0.1, 'trailing_stop_positive_offset': -0.2 @@ -189,7 +189,7 @@ def test_strategy_override_timeframe(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'timeframe': 60, 'stake_currency': 'ETH' }) @@ -205,7 +205,7 @@ def test_strategy_override_process_only_new_candles(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'process_only_new_candles': True }) strategy = StrategyResolver.load_strategy(default_conf) @@ -225,7 +225,7 @@ def test_strategy_override_order_types(caplog, default_conf): 'stoploss_on_exchange': True, } default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'order_types': order_types }) strategy = StrategyResolver.load_strategy(default_conf) @@ -239,12 +239,12 @@ def test_strategy_override_order_types(caplog, default_conf): " 'stoploss_on_exchange': True}.", caplog) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'order_types': {'buy': 'market'} }) # Raise error for invalid configuration with pytest.raises(ImportError, - match=r"Impossible to load Strategy 'DefaultStrategy'. " + match=r"Impossible to load Strategy 'StrategyTestV2'. " r"Order-types mapping is incomplete."): StrategyResolver.load_strategy(default_conf) @@ -258,7 +258,7 @@ def test_strategy_override_order_tif(caplog, default_conf): } default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'order_time_in_force': order_time_in_force }) strategy = StrategyResolver.load_strategy(default_conf) @@ -271,12 +271,12 @@ def test_strategy_override_order_tif(caplog, default_conf): " {'buy': 'fok', 'sell': 'gtc'}.", caplog) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'order_time_in_force': {'buy': 'fok'} }) # Raise error for invalid configuration with pytest.raises(ImportError, - match=r"Impossible to load Strategy 'DefaultStrategy'. " + match=r"Impossible to load Strategy 'StrategyTestV2'. " r"Order-time-in-force mapping is incomplete."): StrategyResolver.load_strategy(default_conf) @@ -284,7 +284,7 @@ def test_strategy_override_order_tif(caplog, default_conf): def test_strategy_override_use_sell_signal(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', }) strategy = StrategyResolver.load_strategy(default_conf) assert strategy.use_sell_signal @@ -294,7 +294,7 @@ def test_strategy_override_use_sell_signal(caplog, default_conf): assert default_conf['use_sell_signal'] default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'use_sell_signal': False, }) strategy = StrategyResolver.load_strategy(default_conf) @@ -307,7 +307,7 @@ def test_strategy_override_use_sell_signal(caplog, default_conf): def test_strategy_override_use_sell_profit_only(caplog, default_conf): caplog.set_level(logging.INFO) default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', }) strategy = StrategyResolver.load_strategy(default_conf) assert not strategy.sell_profit_only @@ -317,7 +317,7 @@ def test_strategy_override_use_sell_profit_only(caplog, default_conf): assert not default_conf['sell_profit_only'] default_conf.update({ - 'strategy': 'DefaultStrategy', + 'strategy': 'StrategyTestV2', 'sell_profit_only': True, }) strategy = StrategyResolver.load_strategy(default_conf) @@ -330,7 +330,7 @@ def test_strategy_override_use_sell_profit_only(caplog, default_conf): @pytest.mark.filterwarnings("ignore:deprecated") def test_deprecate_populate_indicators(result, default_conf): default_location = Path(__file__).parent / "strats" - default_conf.update({'strategy': 'TestStrategyLegacy', + default_conf.update({'strategy': 'TestStrategyLegacyV1', 'strategy_path': default_location}) strategy = StrategyResolver.load_strategy(default_conf) with warnings.catch_warnings(record=True) as w: @@ -365,7 +365,7 @@ def test_deprecate_populate_indicators(result, default_conf): def test_call_deprecated_function(result, monkeypatch, default_conf, caplog): default_location = Path(__file__).parent / "strats" del default_conf['timeframe'] - default_conf.update({'strategy': 'TestStrategyLegacy', + default_conf.update({'strategy': 'TestStrategyLegacyV1', 'strategy_path': default_location}) strategy = StrategyResolver.load_strategy(default_conf) metadata = {'pair': 'ETH/BTC'} @@ -395,7 +395,7 @@ def test_call_deprecated_function(result, monkeypatch, default_conf, caplog): def test_strategy_interface_versioning(result, monkeypatch, default_conf): - default_conf.update({'strategy': 'DefaultStrategy'}) + default_conf.update({'strategy': 'StrategyTestV2'}) strategy = StrategyResolver.load_strategy(default_conf) metadata = {'pair': 'ETH/BTC'} diff --git a/tests/test_arguments.py b/tests/test_arguments.py index 0d81dea28..fca5c6ab9 100644 --- a/tests/test_arguments.py +++ b/tests/test_arguments.py @@ -123,9 +123,9 @@ def test_parse_args_backtesting_custom() -> None: '-c', 'test_conf.json', '--ticker-interval', '1m', '--strategy-list', - 'DefaultStrategy', + 'StrategyTestV2', 'SampleStrategy' - ] + ] call_args = Arguments(args).get_parsed_arg() assert call_args['config'] == ['test_conf.json'] assert call_args['verbosity'] == 0 @@ -172,7 +172,7 @@ def test_download_data_options() -> None: def test_plot_dataframe_options() -> None: args = [ 'plot-dataframe', - '-c', 'config_bittrex.json.example', + '-c', 'config_examples/config_bittrex.example.json', '--indicators1', 'sma10', 'sma100', '--indicators2', 'macd', 'fastd', 'fastk', '--plot-limit', '30', diff --git a/tests/test_configuration.py b/tests/test_configuration.py index 8edd09c5a..1ce45e4d5 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -11,15 +11,15 @@ import pytest from jsonschema import ValidationError from freqtrade.commands import Arguments -from freqtrade.configuration import (Configuration, check_exchange, remove_credentials, - validate_config_consistency) +from freqtrade.configuration import Configuration, check_exchange, validate_config_consistency from freqtrade.configuration.config_validation import validate_config_schema from freqtrade.configuration.deprecated_settings import (check_conflicting_settings, process_deprecated_setting, process_removed_setting, process_temporary_deprecated_settings) +from freqtrade.configuration.environment_vars import flat_vars_to_nested_dict from freqtrade.configuration.load_config import load_config_file, load_file, log_config_error_range -from freqtrade.constants import DEFAULT_DB_DRYRUN_URL, DEFAULT_DB_PROD_URL +from freqtrade.constants import DEFAULT_DB_DRYRUN_URL, DEFAULT_DB_PROD_URL, ENV_VAR_PREFIX from freqtrade.enums import RunMode from freqtrade.exceptions import OperationalException from freqtrade.loggers import _set_loggers, setup_logging, setup_logging_pre @@ -28,7 +28,7 @@ from tests.conftest import log_has, log_has_re, patched_configuration_load_confi @pytest.fixture(scope="function") def all_conf(): - config_file = Path(__file__).parents[1] / "config_full.json.example" + config_file = Path(__file__).parents[1] / "config_examples/config_full.example.json" conf = load_config_file(str(config_file)) return conf @@ -403,7 +403,7 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) -> arglist = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', ] args = Arguments(arglist).get_parsed_arg() @@ -440,7 +440,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non arglist = [ 'backtesting', '--config', 'config.json', - '--strategy', 'DefaultStrategy', + '--strategy', 'StrategyTestV2', '--datadir', '/foo/bar', '--userdir', "/tmp/freqtrade", '--ticker-interval', '1m', @@ -497,7 +497,7 @@ def test_setup_configuration_with_stratlist(mocker, default_conf, caplog) -> Non '--ticker-interval', '1m', '--export', 'trades', '--strategy-list', - 'DefaultStrategy', + 'StrategyTestV2', 'TestStrategy' ] @@ -616,18 +616,6 @@ def test_check_exchange(default_conf, caplog) -> None: check_exchange(default_conf) -def test_remove_credentials(default_conf, caplog) -> None: - conf = deepcopy(default_conf) - conf['dry_run'] = False - remove_credentials(conf) - - assert conf['dry_run'] is True - assert conf['exchange']['key'] == '' - assert conf['exchange']['secret'] == '' - assert conf['exchange']['password'] == '' - assert conf['exchange']['uid'] == '' - - def test_cli_verbose_with_params(default_conf, mocker, caplog) -> None: patched_configuration_load_config_file(mocker, default_conf) @@ -1129,17 +1117,17 @@ def test_pairlist_resolving_fallback(mocker): @pytest.mark.parametrize("setting", [ - ("ask_strategy", "use_sell_signal", True, - None, "use_sell_signal", False), - ("ask_strategy", "sell_profit_only", True, - None, "sell_profit_only", False), - ("ask_strategy", "sell_profit_offset", 0.1, - None, "sell_profit_offset", 0.01), - ("ask_strategy", "ignore_roi_if_buy_signal", True, - None, "ignore_roi_if_buy_signal", False), - ("ask_strategy", "ignore_buying_expired_candle_after", 5, - None, "ignore_buying_expired_candle_after", 6), - ]) + ("ask_strategy", "use_sell_signal", True, + None, "use_sell_signal", False), + ("ask_strategy", "sell_profit_only", True, + None, "sell_profit_only", False), + ("ask_strategy", "sell_profit_offset", 0.1, + None, "sell_profit_offset", 0.01), + ("ask_strategy", "ignore_roi_if_buy_signal", True, + None, "ignore_roi_if_buy_signal", False), + ("ask_strategy", "ignore_buying_expired_candle_after", 5, + None, "ignore_buying_expired_candle_after", 6), +]) def test_process_temporary_deprecated_settings(mocker, default_conf, setting, caplog): patched_configuration_load_config_file(mocker, default_conf) @@ -1179,10 +1167,10 @@ def test_process_temporary_deprecated_settings(mocker, default_conf, setting, ca @pytest.mark.parametrize("setting", [ - ("experimental", "use_sell_signal", False), - ("experimental", "sell_profit_only", True), - ("experimental", "ignore_roi_if_buy_signal", True), - ]) + ("experimental", "use_sell_signal", False), + ("experimental", "sell_profit_only", True), + ("experimental", "ignore_roi_if_buy_signal", True), +]) def test_process_removed_settings(mocker, default_conf, setting): patched_configuration_load_config_file(mocker, default_conf) @@ -1329,7 +1317,7 @@ def test_process_removed_setting(mocker, default_conf, caplog): 'sectionB', 'somesetting') -def test_process_deprecated_ticker_interval(mocker, default_conf, caplog): +def test_process_deprecated_ticker_interval(default_conf, caplog): message = "DEPRECATED: Please use 'timeframe' instead of 'ticker_interval." config = deepcopy(default_conf) process_temporary_deprecated_settings(config) @@ -1349,3 +1337,46 @@ def test_process_deprecated_ticker_interval(mocker, default_conf, caplog): with pytest.raises(OperationalException, match=r"Both 'timeframe' and 'ticker_interval' detected."): process_temporary_deprecated_settings(config) + + +def test_process_deprecated_protections(default_conf, caplog): + message = "DEPRECATED: Setting 'protections' in the configuration is deprecated." + config = deepcopy(default_conf) + process_temporary_deprecated_settings(config) + assert not log_has(message, caplog) + + config['protections'] = [] + process_temporary_deprecated_settings(config) + assert log_has(message, caplog) + + +def test_flat_vars_to_nested_dict(caplog): + + test_args = { + 'FREQTRADE__EXCHANGE__SOME_SETTING': 'true', + 'FREQTRADE__EXCHANGE__SOME_FALSE_SETTING': 'false', + 'FREQTRADE__EXCHANGE__CONFIG__whatever': 'sometime', + 'FREQTRADE__ASK_STRATEGY__PRICE_SIDE': 'bid', + 'FREQTRADE__ASK_STRATEGY__cccc': '500', + 'FREQTRADE__STAKE_AMOUNT': '200.05', + 'NOT_RELEVANT': '200.0', # Will be ignored + } + expected = { + 'stake_amount': 200.05, + 'ask_strategy': { + 'price_side': 'bid', + 'cccc': 500, + }, + 'exchange': { + 'config': { + 'whatever': 'sometime', + }, + 'some_setting': True, + 'some_false_setting': False, + } + } + res = flat_vars_to_nested_dict(test_args, ENV_VAR_PREFIX) + assert res == expected + + assert log_has("Loading variable 'FREQTRADE__EXCHANGE__SOME_SETTING'", caplog) + assert not log_has("Loading variable 'NOT_RELEVANT'", caplog) diff --git a/tests/test_directory_operations.py b/tests/test_directory_operations.py index a11200526..905b078f9 100644 --- a/tests/test_directory_operations.py +++ b/tests/test_directory_operations.py @@ -74,16 +74,12 @@ def test_copy_sample_files(mocker, default_conf, caplog) -> None: copymock = mocker.patch('shutil.copy', MagicMock()) copy_sample_files(Path('/tmp/bar')) - assert copymock.call_count == 5 + assert copymock.call_count == 3 assert copymock.call_args_list[0][0][1] == str( Path('/tmp/bar') / 'strategies/sample_strategy.py') assert copymock.call_args_list[1][0][1] == str( - Path('/tmp/bar') / 'hyperopts/sample_hyperopt_advanced.py') - assert copymock.call_args_list[2][0][1] == str( Path('/tmp/bar') / 'hyperopts/sample_hyperopt_loss.py') - assert copymock.call_args_list[3][0][1] == str( - Path('/tmp/bar') / 'hyperopts/sample_hyperopt.py') - assert copymock.call_args_list[4][0][1] == str( + assert copymock.call_args_list[2][0][1] == str( Path('/tmp/bar') / 'notebooks/strategy_analysis_example.ipynb') diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 99e11e893..d312bdb11 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -78,11 +78,15 @@ def test_bot_cleanup(mocker, default_conf, caplog) -> None: assert coo_mock.call_count == 1 -def test_order_dict_dry_run(default_conf, mocker, caplog) -> None: +@pytest.mark.parametrize('runmode', [ + RunMode.DRY_RUN, + RunMode.LIVE +]) +def test_order_dict(default_conf, mocker, runmode, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) conf = default_conf.copy() - conf['runmode'] = RunMode.DRY_RUN + conf['runmode'] = runmode conf['order_types'] = { 'buy': 'market', 'sell': 'limit', @@ -92,45 +96,14 @@ def test_order_dict_dry_run(default_conf, mocker, caplog) -> None: conf['bid_strategy']['price_side'] = 'ask' freqtrade = FreqtradeBot(conf) + if runmode == RunMode.LIVE: + assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) assert freqtrade.strategy.order_types['stoploss_on_exchange'] caplog.clear() # is left untouched conf = default_conf.copy() - conf['runmode'] = RunMode.DRY_RUN - conf['order_types'] = { - 'buy': 'market', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': False, - } - freqtrade = FreqtradeBot(conf) - assert not freqtrade.strategy.order_types['stoploss_on_exchange'] - assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) - - -def test_order_dict_live(default_conf, mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - - conf = default_conf.copy() - conf['runmode'] = RunMode.LIVE - conf['order_types'] = { - 'buy': 'market', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': True, - } - conf['bid_strategy']['price_side'] = 'ask' - - freqtrade = FreqtradeBot(conf) - assert not log_has_re(".*stoploss_on_exchange .* dry-run", caplog) - assert freqtrade.strategy.order_types['stoploss_on_exchange'] - - caplog.clear() - # is left untouched - conf = default_conf.copy() - conf['runmode'] = RunMode.LIVE + conf['runmode'] = runmode conf['order_types'] = { 'buy': 'market', 'sell': 'limit', @@ -161,7 +134,7 @@ def test_get_trade_stake_amount(default_conf, ticker, mocker) -> None: (True, 0.0022, 3, 0.5, [0.001, 0.001, 0.0]), (True, 0.0027, 3, 0.5, [0.001, 0.001, 0.000673]), (True, 0.0022, 3, 1, [0.001, 0.001, 0.0]), - ]) +]) def test_check_available_stake_amount(default_conf, ticker, mocker, fee, limit_buy_order_open, amend_last, wallet, max_open, lsamr, expected) -> None: patch_RPCManager(mocker) @@ -169,7 +142,7 @@ def test_check_available_stake_amount(default_conf, ticker, mocker, fee, limit_b mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee ) default_conf['dry_run_wallet'] = wallet @@ -185,7 +158,7 @@ def test_check_available_stake_amount(default_conf, ticker, mocker, fee, limit_b limit_buy_order_open['id'] = str(i) result = freqtrade.wallets.get_trade_stake_amount('ETH/BTC') assert pytest.approx(result) == expected[i] - freqtrade.execute_buy('ETH/BTC', result) + freqtrade.execute_entry('ETH/BTC', result) else: with pytest.raises(DependencyException): freqtrade.wallets.get_trade_stake_amount('ETH/BTC') @@ -219,8 +192,14 @@ def test_edge_overrides_stake_amount(mocker, edge_conf) -> None: 'LTC/BTC', freqtrade.edge) == (999.9 * 0.5 * 0.01) / 0.21 -def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf) -> None: - +@pytest.mark.parametrize('buy_price_mult,ignore_strat_sl', [ + # Override stoploss + (0.79, False), + # Override strategy stoploss + (0.85, True) +]) +def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, + buy_price_mult, ignore_strat_sl, edge_conf) -> None: patch_RPCManager(mocker) patch_exchange(mocker) patch_edge(mocker) @@ -234,9 +213,9 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=MagicMock(return_value={ - 'bid': buy_price * 0.79, - 'ask': buy_price * 0.79, - 'last': buy_price * 0.79 + 'bid': buy_price * buy_price_mult, + 'ask': buy_price * buy_price_mult, + 'last': buy_price * buy_price_mult, }), get_fee=fee, ) @@ -253,46 +232,10 @@ def test_edge_overrides_stoploss(limit_buy_order, fee, caplog, mocker, edge_conf ############################################# # stoploss shoud be hit - assert freqtrade.handle_trade(trade) is True - assert log_has('Executing Sell for NEO/BTC. Reason: stop_loss', caplog) - assert trade.sell_reason == SellType.STOP_LOSS.value - - -def test_edge_should_ignore_strategy_stoploss(limit_buy_order, fee, - mocker, edge_conf) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - patch_edge(mocker) - edge_conf['max_open_trades'] = float('inf') - - # Strategy stoploss is -0.1 but Edge imposes a stoploss at -0.2 - # Thus, if price falls 15%, stoploss should not be triggered - # - # mocking the ticker: price is falling ... - buy_price = limit_buy_order['price'] - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': buy_price * 0.85, - 'ask': buy_price * 0.85, - 'last': buy_price * 0.85 - }), - get_fee=fee, - ) - ############################################# - - # Create a trade with "limit_buy_order" price - freqtrade = FreqtradeBot(edge_conf) - freqtrade.active_pair_whitelist = ['NEO/BTC'] - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - freqtrade.enter_positions() - trade = Trade.query.first() - trade.update(limit_buy_order) - ############################################# - - # stoploss shoud not be hit - assert freqtrade.handle_trade(trade) is False + assert freqtrade.handle_trade(trade) is not ignore_strat_sl + if not ignore_strat_sl: + assert log_has('Executing Sell for NEO/BTC. Reason: stop_loss', caplog) + assert trade.sell_reason == SellType.STOP_LOSS.value def test_total_open_trades_stakes(mocker, default_conf, ticker, fee) -> None: @@ -376,106 +319,74 @@ def test_create_trade_no_stake_amount(default_conf, ticker, limit_buy_order, freqtrade.create_trade('ETH/BTC') -def test_create_trade_minimal_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: +@pytest.mark.parametrize('stake_amount,create,amount_enough,max_open_trades', [ + (0.0005, True, True, 99), + (0.000000005, True, False, 99), + (0, False, True, 99), + (UNLIMITED_STAKE_AMOUNT, False, True, 0), +]) +def test_create_trade_minimal_amount( + default_conf, ticker, limit_buy_order_open, fee, mocker, + stake_amount, create, amount_enough, max_open_trades, caplog +) -> None: patch_RPCManager(mocker) patch_exchange(mocker) buy_mock = MagicMock(return_value=limit_buy_order_open) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=buy_mock, + create_order=buy_mock, get_fee=fee, ) - default_conf['stake_amount'] = 0.0005 + default_conf['max_open_trades'] = max_open_trades freqtrade = FreqtradeBot(default_conf) + freqtrade.config['stake_amount'] = stake_amount patch_get_signal(freqtrade) - freqtrade.create_trade('ETH/BTC') - rate, amount = buy_mock.call_args[1]['rate'], buy_mock.call_args[1]['amount'] - assert rate * amount <= default_conf['stake_amount'] - - -def test_create_trade_too_small_stake_amount(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - buy_mock = MagicMock(return_value=limit_buy_order_open) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - buy=buy_mock, - get_fee=fee, - ) - - freqtrade = FreqtradeBot(default_conf) - freqtrade.config['stake_amount'] = 0.000000005 - - patch_get_signal(freqtrade) - - assert not freqtrade.create_trade('ETH/BTC') - - -def test_create_trade_limit_reached(default_conf, ticker, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), - get_fee=fee, - ) - default_conf['max_open_trades'] = 0 - default_conf['stake_amount'] = UNLIMITED_STAKE_AMOUNT - - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - - assert not freqtrade.create_trade('ETH/BTC') - assert freqtrade.wallets.get_trade_stake_amount('ETH/BTC', freqtrade.edge) == 0 + if create: + assert freqtrade.create_trade('ETH/BTC') + if amount_enough: + rate, amount = buy_mock.call_args[1]['rate'], buy_mock.call_args[1]['amount'] + assert rate * amount <= default_conf['stake_amount'] + else: + assert log_has_re( + r"Stake amount for pair .* is too small.*", + caplog + ) + else: + assert not freqtrade.create_trade('ETH/BTC') + if not max_open_trades: + assert freqtrade.wallets.get_trade_stake_amount('ETH/BTC', freqtrade.edge) == 0 +@pytest.mark.parametrize('whitelist,positions', [ + (["ETH/BTC"], 1), # No pairs left + ([], 0), # No pairs in whitelist +]) def test_enter_positions_no_pairs_left(default_conf, ticker, limit_buy_order_open, fee, - mocker, caplog) -> None: + whitelist, positions, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) - - default_conf['exchange']['pair_whitelist'] = ["ETH/BTC"] + default_conf['exchange']['pair_whitelist'] = whitelist freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) n = freqtrade.enter_positions() - assert n == 1 - assert not log_has_re(r"No currency pair in active pair whitelist.*", caplog) - n = freqtrade.enter_positions() - assert n == 0 - assert log_has_re(r"No currency pair in active pair whitelist.*", caplog) - - -def test_enter_positions_no_pairs_in_whitelist(default_conf, ticker, limit_buy_order, fee, - mocker, caplog) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - get_fee=fee, - ) - default_conf['exchange']['pair_whitelist'] = [] - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - - n = freqtrade.enter_positions() - assert n == 0 - assert log_has("Active pair whitelist is empty.", caplog) + assert n == positions + if positions: + assert not log_has_re(r"No currency pair in active pair whitelist.*", caplog) + n = freqtrade.enter_positions() + assert n == 0 + assert log_has_re(r"No currency pair in active pair whitelist.*", caplog) + else: + assert n == 0 + assert log_has("Active pair whitelist is empty.", caplog) @pytest.mark.usefixtures("init_persistence") @@ -486,7 +397,7 @@ def test_enter_positions_global_pairlock(default_conf, ticker, limit_buy_order, mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value={'id': limit_buy_order['id']}), + create_order=MagicMock(return_value={'id': limit_buy_order['id']}), get_fee=fee, ) freqtrade = FreqtradeBot(default_conf) @@ -497,6 +408,7 @@ def test_enter_positions_global_pairlock(default_conf, ticker, limit_buy_order, # 0 trades, but it's not because of pairlock. assert n == 0 assert not log_has_re(message, caplog) + caplog.clear() PairLocks.lock_pair('*', arrow.utcnow().shift(minutes=20).datetime, 'Just because') n = freqtrade.enter_positions() @@ -504,6 +416,29 @@ def test_enter_positions_global_pairlock(default_conf, ticker, limit_buy_order, assert log_has_re(message, caplog) +def test_handle_protections(mocker, default_conf, fee): + default_conf['protections'] = [ + {"method": "CooldownPeriod", "stop_duration": 60}, + { + "method": "StoplossGuard", + "lookback_period_candles": 24, + "trade_limit": 4, + "stop_duration_candles": 4, + "only_per_pair": False + } + ] + + freqtrade = get_patched_freqtradebot(mocker, default_conf) + freqtrade.protections._protection_handlers[1].global_stop = MagicMock( + return_value=(True, arrow.utcnow().shift(hours=1).datetime, "asdf")) + create_mock_trades(fee) + freqtrade.handle_protections('ETC/BTC') + send_msg_mock = freqtrade.rpc.send_msg + assert send_msg_mock.call_count == 2 + assert send_msg_mock.call_args_list[0][0][0]['type'] == RPCMessageType.PROTECTION_TRIGGER + assert send_msg_mock.call_args_list[1][0][0]['type'] == RPCMessageType.PROTECTION_TRIGGER_GLOBAL + + def test_create_trade_no_signal(default_conf, fee, mocker) -> None: default_conf['dry_run'] = True @@ -515,7 +450,7 @@ def test_create_trade_no_signal(default_conf, fee, mocker) -> None: ) default_conf['stake_amount'] = 10 freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade, value=(False, False)) + patch_get_signal(freqtrade, value=(False, False, None)) Trade.query = MagicMock() Trade.query.filter = MagicMock() @@ -535,7 +470,7 @@ def test_create_trades_multiple_trades(default_conf, ticker, fee, mocker, limit_ mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) freqtrade = FreqtradeBot(default_conf) @@ -556,15 +491,15 @@ def test_create_trades_preopen(default_conf, ticker, fee, mocker, limit_buy_orde mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) # Create 2 existing trades - freqtrade.execute_buy('ETH/BTC', default_conf['stake_amount']) - freqtrade.execute_buy('NEO/BTC', default_conf['stake_amount']) + freqtrade.execute_entry('ETH/BTC', default_conf['stake_amount']) + freqtrade.execute_entry('NEO/BTC', default_conf['stake_amount']) assert len(Trade.get_open_trades()) == 2 # Change order_id for new orders @@ -585,7 +520,7 @@ def test_process_trade_creation(default_conf, ticker, limit_buy_order, limit_buy mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), fetch_order=MagicMock(return_value=limit_buy_order), get_fee=fee, ) @@ -620,7 +555,7 @@ def test_process_exchange_failures(default_conf, ticker, mocker) -> None: mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(side_effect=TemporaryError) + create_order=MagicMock(side_effect=TemporaryError) ) sleep_mock = mocker.patch('time.sleep', side_effect=lambda _: None) @@ -637,7 +572,7 @@ def test_process_operational_exception(default_conf, ticker, mocker) -> None: mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(side_effect=OperationalException) + create_order=MagicMock(side_effect=OperationalException) ) worker = Worker(args=None, config=default_conf) patch_get_signal(worker.freqtrade) @@ -655,7 +590,7 @@ def test_process_trade_handling(default_conf, ticker, limit_buy_order_open, fee, mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), fetch_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) @@ -682,7 +617,7 @@ def test_process_trade_no_whitelist_pair(default_conf, ticker, limit_buy_order, mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value={'id': limit_buy_order['id']}), + create_order=MagicMock(return_value={'id': limit_buy_order['id']}), fetch_order=MagicMock(return_value=limit_buy_order), get_fee=fee, ) @@ -732,11 +667,14 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None: mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(side_effect=TemporaryError), + create_order=MagicMock(side_effect=TemporaryError), refresh_latest_ohlcv=refresh_mock, ) inf_pairs = MagicMock(return_value=[("BTC/ETH", '1m'), ("ETH/USDT", "1h")]) - mocker.patch('freqtrade.strategy.interface.IStrategy.get_signal', return_value=(False, False)) + mocker.patch( + 'freqtrade.strategy.interface.IStrategy.get_signal', + return_value=(False, False, '') + ) mocker.patch('time.sleep', return_value=None) freqtrade = FreqtradeBot(default_conf) @@ -752,7 +690,7 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None: assert ("ETH/BTC", default_conf["timeframe"]) in refresh_mock.call_args[0][0] -def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order_open) -> None: +def test_execute_entry(mocker, default_conf, fee, limit_buy_order, limit_buy_order_open) -> None: patch_RPCManager(mocker) patch_exchange(mocker) freqtrade = FreqtradeBot(default_conf) @@ -763,19 +701,19 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order buy_mm = MagicMock(return_value=limit_buy_order_open) mocker.patch.multiple( 'freqtrade.exchange.Exchange', - get_buy_rate=buy_rate_mock, + get_rate=buy_rate_mock, fetch_ticker=MagicMock(return_value={ 'bid': 0.00001172, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=buy_mm, + create_order=buy_mm, get_min_pair_stake_amount=MagicMock(return_value=1), get_fee=fee, ) pair = 'ETH/BTC' - assert not freqtrade.execute_buy(pair, stake_amount) + assert not freqtrade.execute_entry(pair, stake_amount) assert buy_rate_mock.call_count == 1 assert buy_mm.call_count == 0 assert freqtrade.strategy.confirm_trade_entry.call_count == 1 @@ -783,7 +721,7 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order limit_buy_order_open['id'] = '22' freqtrade.strategy.confirm_trade_entry = MagicMock(return_value=True) - assert freqtrade.execute_buy(pair, stake_amount) + assert freqtrade.execute_entry(pair, stake_amount) assert buy_rate_mock.call_count == 1 assert buy_mm.call_count == 1 call_args = buy_mm.call_args_list[0][1] @@ -802,8 +740,8 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order # Test calling with price limit_buy_order_open['id'] = '33' fix_price = 0.06 - assert freqtrade.execute_buy(pair, stake_amount, fix_price) - # Make sure get_buy_rate wasn't called again + assert freqtrade.execute_entry(pair, stake_amount, fix_price) + # Make sure get_rate wasn't called again assert buy_rate_mock.call_count == 0 assert buy_mm.call_count == 2 @@ -818,8 +756,9 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order limit_buy_order['cost'] = 100 limit_buy_order['id'] = '444' - mocker.patch('freqtrade.exchange.Exchange.buy', MagicMock(return_value=limit_buy_order)) - assert freqtrade.execute_buy(pair, stake_amount) + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=limit_buy_order)) + assert freqtrade.execute_entry(pair, stake_amount) trade = Trade.query.all()[2] assert trade assert trade.open_order_id is None @@ -834,14 +773,33 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order limit_buy_order['price'] = 0.5 limit_buy_order['cost'] = 40.495905365 limit_buy_order['id'] = '555' - mocker.patch('freqtrade.exchange.Exchange.buy', MagicMock(return_value=limit_buy_order)) - assert freqtrade.execute_buy(pair, stake_amount) + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=limit_buy_order)) + assert freqtrade.execute_entry(pair, stake_amount) trade = Trade.query.all()[3] assert trade assert trade.open_order_id == '555' assert trade.open_rate == 0.5 assert trade.stake_amount == 40.495905365 + # Test with custom stake + limit_buy_order['status'] = 'open' + limit_buy_order['id'] = '556' + + freqtrade.strategy.custom_stake_amount = lambda **kwargs: 150.0 + assert freqtrade.execute_entry(pair, stake_amount) + trade = Trade.query.all()[4] + assert trade + assert trade.stake_amount == 150 + + # Exception case + limit_buy_order['id'] = '557' + freqtrade.strategy.custom_stake_amount = lambda **kwargs: 20 / 0 + assert freqtrade.execute_entry(pair, stake_amount) + trade = Trade.query.all()[5] + assert trade + assert trade.stake_amount == 2.0 + # In case of the order is rejected and not filled at all limit_buy_order['status'] = 'rejected' limit_buy_order['amount'] = 90.99181073 @@ -850,17 +808,52 @@ def test_execute_buy(mocker, default_conf, fee, limit_buy_order, limit_buy_order limit_buy_order['price'] = 0.5 limit_buy_order['cost'] = 0.0 limit_buy_order['id'] = '66' - mocker.patch('freqtrade.exchange.Exchange.buy', MagicMock(return_value=limit_buy_order)) - assert not freqtrade.execute_buy(pair, stake_amount) + mocker.patch('freqtrade.exchange.Exchange.create_order', + MagicMock(return_value=limit_buy_order)) + assert not freqtrade.execute_entry(pair, stake_amount) # Fail to get price... - mocker.patch('freqtrade.exchange.Exchange.get_buy_rate', MagicMock(return_value=0.0)) + mocker.patch('freqtrade.exchange.Exchange.get_rate', MagicMock(return_value=0.0)) with pytest.raises(PricingError, match="Could not determine buy price."): - freqtrade.execute_buy(pair, stake_amount) + freqtrade.execute_entry(pair, stake_amount) + + # In case of custom entry price + mocker.patch('freqtrade.exchange.Exchange.get_rate', return_value=0.50) + limit_buy_order['status'] = 'open' + limit_buy_order['id'] = '5566' + freqtrade.strategy.custom_entry_price = lambda **kwargs: 0.508 + assert freqtrade.execute_entry(pair, stake_amount) + trade = Trade.query.all()[6] + assert trade + assert trade.open_rate_requested == 0.508 + + # In case of custom entry price set to None + limit_buy_order['status'] = 'open' + limit_buy_order['id'] = '5567' + freqtrade.strategy.custom_entry_price = lambda **kwargs: None + + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_rate=MagicMock(return_value=10), + ) + + assert freqtrade.execute_entry(pair, stake_amount) + trade = Trade.query.all()[7] + assert trade + assert trade.open_rate_requested == 10 + + # In case of custom entry price not float type + limit_buy_order['status'] = 'open' + limit_buy_order['id'] = '5568' + freqtrade.strategy.custom_entry_price = lambda **kwargs: "string price" + assert freqtrade.execute_entry(pair, stake_amount) + trade = Trade.query.all()[8] + assert trade + assert trade.open_rate_requested == 10 -def test_execute_buy_confirm_error(mocker, default_conf, fee, limit_buy_order) -> None: +def test_execute_entry_confirm_error(mocker, default_conf, fee, limit_buy_order) -> None: freqtrade = get_patched_freqtradebot(mocker, default_conf) mocker.patch.multiple( 'freqtrade.exchange.Exchange', @@ -869,8 +862,8 @@ def test_execute_buy_confirm_error(mocker, default_conf, fee, limit_buy_order) - 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value=limit_buy_order), - get_buy_rate=MagicMock(return_value=0.11), + create_order=MagicMock(return_value=limit_buy_order), + get_rate=MagicMock(return_value=0.11), get_min_pair_stake_amount=MagicMock(return_value=1), get_fee=fee, ) @@ -878,18 +871,18 @@ def test_execute_buy_confirm_error(mocker, default_conf, fee, limit_buy_order) - pair = 'ETH/BTC' freqtrade.strategy.confirm_trade_entry = MagicMock(side_effect=ValueError) - assert freqtrade.execute_buy(pair, stake_amount) + assert freqtrade.execute_entry(pair, stake_amount) limit_buy_order['id'] = '222' freqtrade.strategy.confirm_trade_entry = MagicMock(side_effect=Exception) - assert freqtrade.execute_buy(pair, stake_amount) + assert freqtrade.execute_entry(pair, stake_amount) limit_buy_order['id'] = '2223' freqtrade.strategy.confirm_trade_entry = MagicMock(return_value=True) - assert freqtrade.execute_buy(pair, stake_amount) + assert freqtrade.execute_entry(pair, stake_amount) freqtrade.strategy.confirm_trade_entry = MagicMock(return_value=False) - assert not freqtrade.execute_buy(pair, stake_amount) + assert not freqtrade.execute_entry(pair, stake_amount) def test_add_stoploss_on_exchange(mocker, default_conf, limit_buy_order) -> None: @@ -931,8 +924,10 @@ def test_handle_stoploss_on_exchange(mocker, default_conf, fee, caplog, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - sell=MagicMock(return_value={'id': limit_sell_order['id']}), + create_order=MagicMock(side_effect=[ + {'id': limit_buy_order['id']}, + {'id': limit_sell_order['id']}, + ]), get_fee=fee, ) mocker.patch.multiple( @@ -1005,6 +1000,7 @@ def test_handle_stoploss_on_exchange(mocker, default_conf, fee, caplog, assert log_has_re(r'STOP_LOSS_LIMIT is hit for Trade\(id=1, .*\)\.', caplog) assert trade.stoploss_order_id is None assert trade.is_open is False + caplog.clear() mocker.patch( 'freqtrade.exchange.Binance.stoploss', @@ -1048,8 +1044,10 @@ def test_handle_sle_cancel_cant_recreate(mocker, default_conf, fee, caplog, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - sell=MagicMock(return_value={'id': limit_sell_order['id']}), + create_order=MagicMock(side_effect=[ + {'id': limit_buy_order['id']}, + {'id': limit_sell_order['id']}, + ]), get_fee=fee, ) mocker.patch.multiple( @@ -1077,7 +1075,10 @@ def test_create_stoploss_order_invalid_order(mocker, default_conf, caplog, fee, limit_buy_order_open, limit_sell_order): rpc_mock = patch_RPCManager(mocker) patch_exchange(mocker) - sell_mock = MagicMock(return_value={'id': limit_sell_order['id']}) + create_order_mock = MagicMock(side_effect=[ + limit_buy_order_open, + {'id': limit_sell_order['id']} + ]) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=MagicMock(return_value={ @@ -1085,8 +1086,7 @@ def test_create_stoploss_order_invalid_order(mocker, default_conf, caplog, fee, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value=limit_buy_order_open), - sell=sell_mock, + create_order=create_order_mock, get_fee=fee, ) mocker.patch.multiple( @@ -1105,13 +1105,13 @@ def test_create_stoploss_order_invalid_order(mocker, default_conf, caplog, fee, assert trade.stoploss_order_id is None assert trade.sell_reason == SellType.EMERGENCY_SELL.value assert log_has("Unable to place a stoploss order on exchange. ", caplog) - assert log_has("Selling the trade forcefully", caplog) + assert log_has("Exiting the trade forcefully", caplog) # Should call a market sell - assert sell_mock.call_count == 1 - assert sell_mock.call_args[1]['ordertype'] == 'market' - assert sell_mock.call_args[1]['pair'] == trade.pair - assert sell_mock.call_args[1]['amount'] == trade.amount + assert create_order_mock.call_count == 2 + assert create_order_mock.call_args[1]['ordertype'] == 'market' + assert create_order_mock.call_args[1]['pair'] == trade.pair + assert create_order_mock.call_args[1]['amount'] == trade.amount # Rpc is sending first buy, then sell assert rpc_mock.call_count == 2 @@ -1132,8 +1132,10 @@ def test_create_stoploss_order_insufficient_funds(mocker, default_conf, caplog, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value=limit_buy_order_open), - sell=sell_mock, + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + sell_mock, + ]), get_fee=fee, fetch_order=MagicMock(return_value={'status': 'canceled'}), ) @@ -1173,8 +1175,10 @@ def test_handle_stoploss_on_exchange_trailing(mocker, default_conf, fee, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - sell=MagicMock(return_value={'id': limit_sell_order['id']}), + create_order=MagicMock(side_effect=[ + {'id': limit_buy_order['id']}, + {'id': limit_sell_order['id']}, + ]), get_fee=fee, ) mocker.patch.multiple( @@ -1279,8 +1283,10 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - sell=MagicMock(return_value={'id': limit_sell_order['id']}), + create_order=MagicMock(side_effect=[ + {'id': limit_buy_order['id']}, + {'id': limit_sell_order['id']}, + ]), get_fee=fee, ) mocker.patch.multiple( @@ -1352,8 +1358,10 @@ def test_handle_stoploss_on_exchange_custom_stop(mocker, default_conf, fee, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - sell=MagicMock(return_value={'id': limit_sell_order['id']}), + create_order=MagicMock(side_effect=[ + {'id': limit_buy_order['id']}, + {'id': limit_sell_order['id']}, + ]), get_fee=fee, ) mocker.patch.multiple( @@ -1463,8 +1471,10 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - sell=MagicMock(return_value={'id': limit_sell_order['id']}), + create_order=MagicMock(side_effect=[ + {'id': limit_buy_order['id']}, + {'id': limit_sell_order['id']}, + ]), get_fee=fee, stoploss=stoploss, ) @@ -1556,30 +1566,27 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, stop_price=0.00002346 * 0.99) -def test_enter_positions(mocker, default_conf, caplog) -> None: +@pytest.mark.parametrize('return_value,side_effect,log_message', [ + (False, None, 'Found no buy signals for whitelisted currencies. Trying again...'), + (None, DependencyException, 'Unable to create trade for ETH/BTC: ') +]) +def test_enter_positions(mocker, default_conf, return_value, side_effect, + log_message, caplog) -> None: caplog.set_level(logging.DEBUG) freqtrade = get_patched_freqtradebot(mocker, default_conf) - mock_ct = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.create_trade', - MagicMock(return_value=False)) - n = freqtrade.enter_positions() - assert n == 0 - assert log_has('Found no buy signals for whitelisted currencies. Trying again...', caplog) - # create_trade should be called once for every pair in the whitelist. - assert mock_ct.call_count == len(default_conf['exchange']['pair_whitelist']) - - -def test_enter_positions_exception(mocker, default_conf, caplog) -> None: - freqtrade = get_patched_freqtradebot(mocker, default_conf) - mock_ct = mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.create_trade', - MagicMock(side_effect=DependencyException) + MagicMock( + return_value=return_value, + side_effect=side_effect + ) ) n = freqtrade.enter_positions() assert n == 0 + assert log_has(log_message, caplog) + # create_trade should be called once for every pair in the whitelist. assert mock_ct.call_count == len(default_conf['exchange']['pair_whitelist']) - assert log_has('Unable to create trade for ETH/BTC: ', caplog) def test_exit_positions(mocker, default_conf, limit_buy_order, caplog) -> None: @@ -1648,10 +1655,12 @@ def test_update_trade_state(mocker, default_conf, limit_buy_order, caplog) -> No ) assert not freqtrade.update_trade_state(trade, None) assert log_has_re(r'Orderid for trade .* is empty.', caplog) + caplog.clear() # Add datetime explicitly since sqlalchemy defaults apply only once written to database freqtrade.update_trade_state(trade, '123') # Test amount not modified by fee-logic assert not log_has_re(r'Applying fee to .*', caplog) + caplog.clear() assert trade.open_order_id is None assert trade.amount == limit_buy_order['amount'] @@ -1671,8 +1680,13 @@ def test_update_trade_state(mocker, default_conf, limit_buy_order, caplog) -> No assert log_has_re('Found open order for.*', caplog) +@pytest.mark.parametrize('initial_amount,has_rounding_fee', [ + (90.99181073 + 1e-14, True), + (8.0, False) +]) def test_update_trade_state_withorderdict(default_conf, trades_for_order, limit_buy_order, fee, - mocker): + mocker, initial_amount, has_rounding_fee, caplog): + trades_for_order[0]['amount'] = initial_amount mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) # fetch_order should not be called!! mocker.patch('freqtrade.exchange.Exchange.fetch_order', MagicMock(side_effect=ValueError)) @@ -1693,32 +1707,8 @@ def test_update_trade_state_withorderdict(default_conf, trades_for_order, limit_ freqtrade.update_trade_state(trade, '123456', limit_buy_order) assert trade.amount != amount assert trade.amount == limit_buy_order['amount'] - - -def test_update_trade_state_withorderdict_rounding_fee(default_conf, trades_for_order, fee, - limit_buy_order, mocker, caplog): - trades_for_order[0]['amount'] = limit_buy_order['amount'] + 1e-14 - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) - # fetch_order should not be called!! - mocker.patch('freqtrade.exchange.Exchange.fetch_order', MagicMock(side_effect=ValueError)) - patch_exchange(mocker) - amount = sum(x['amount'] for x in trades_for_order) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - open_rate=0.245441, - fee_open=fee.return_value, - fee_close=fee.return_value, - open_order_id='123456', - is_open=True, - open_date=arrow.utcnow().datetime, - ) - freqtrade.update_trade_state(trade, '123456', limit_buy_order) - assert trade.amount != amount - assert trade.amount == limit_buy_order['amount'] - assert log_has_re(r'Applying fee on amount for .*', caplog) + if has_rounding_fee: + assert log_has_re(r'Applying fee on amount for .*', caplog) def test_update_trade_state_exception(mocker, default_conf, @@ -1801,8 +1791,10 @@ def test_handle_trade(default_conf, limit_buy_order, limit_sell_order_open, limi 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value=limit_buy_order), - sell=MagicMock(return_value=limit_sell_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order, + limit_sell_order_open, + ]), get_fee=fee, ) freqtrade = FreqtradeBot(default_conf) @@ -1818,7 +1810,7 @@ def test_handle_trade(default_conf, limit_buy_order, limit_sell_order_open, limi assert trade.is_open is True freqtrade.wallets.update() - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) assert freqtrade.handle_trade(trade) is True assert trade.open_order_id == limit_sell_order['id'] @@ -1838,12 +1830,15 @@ def test_handle_overlapping_signals(default_conf, ticker, limit_buy_order_open, mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade, value=(True, True)) + patch_get_signal(freqtrade, value=(True, True, None)) freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) freqtrade.enter_positions() @@ -1854,7 +1849,7 @@ def test_handle_overlapping_signals(default_conf, ticker, limit_buy_order_open, assert nb_trades == 0 # Buy is triggering, so buying ... - patch_get_signal(freqtrade, value=(True, False)) + patch_get_signal(freqtrade) freqtrade.enter_positions() trades = Trade.query.all() nb_trades = len(trades) @@ -1862,7 +1857,7 @@ def test_handle_overlapping_signals(default_conf, ticker, limit_buy_order_open, assert trades[0].is_open is True # Buy and Sell are not triggering, so doing nothing ... - patch_get_signal(freqtrade, value=(False, False)) + patch_get_signal(freqtrade, value=(False, False, None)) assert freqtrade.handle_trade(trades[0]) is False trades = Trade.query.all() nb_trades = len(trades) @@ -1870,7 +1865,7 @@ def test_handle_overlapping_signals(default_conf, ticker, limit_buy_order_open, assert trades[0].is_open is True # Buy and Sell are triggering, so doing nothing ... - patch_get_signal(freqtrade, value=(True, True)) + patch_get_signal(freqtrade, value=(True, True, None)) assert freqtrade.handle_trade(trades[0]) is False trades = Trade.query.all() nb_trades = len(trades) @@ -1878,7 +1873,7 @@ def test_handle_overlapping_signals(default_conf, ticker, limit_buy_order_open, assert trades[0].is_open is True # Sell is triggering, guess what : we are Selling! - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) trades = Trade.query.all() assert freqtrade.handle_trade(trades[0]) is True @@ -1891,12 +1886,15 @@ def test_handle_trade_roi(default_conf, ticker, limit_buy_order_open, mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) freqtrade = get_patched_freqtradebot(mocker, default_conf) - patch_get_signal(freqtrade, value=(True, False)) + patch_get_signal(freqtrade) freqtrade.strategy.min_roi_reached = MagicMock(return_value=True) freqtrade.enter_positions() @@ -1904,26 +1902,29 @@ def test_handle_trade_roi(default_conf, ticker, limit_buy_order_open, trade = Trade.query.first() trade.is_open = True - # FIX: sniffing logs, suggest handle_trade should not execute_sell + # FIX: sniffing logs, suggest handle_trade should not execute_trade_exit # instead that responsibility should be moved out of handle_trade(), # we might just want to check if we are in a sell condition without # executing # if ROI is reached we must sell - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) assert freqtrade.handle_trade(trade) assert log_has("ETH/BTC - Required profit reached. sell_type=SellType.ROI", caplog) -def test_handle_trade_use_sell_signal( - default_conf, ticker, limit_buy_order_open, fee, mocker, caplog) -> None: +def test_handle_trade_use_sell_signal(default_conf, ticker, limit_buy_order_open, + limit_sell_order_open, fee, mocker, caplog) -> None: # use_sell_signal is True buy default caplog.set_level(logging.DEBUG) patch_RPCManager(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + limit_sell_order_open, + ]), get_fee=fee, ) @@ -1935,10 +1936,10 @@ def test_handle_trade_use_sell_signal( trade = Trade.query.first() trade.is_open = True - patch_get_signal(freqtrade, value=(False, False)) + patch_get_signal(freqtrade, value=(False, False, None)) assert not freqtrade.handle_trade(trade) - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) assert freqtrade.handle_trade(trade) assert log_has("ETH/BTC - Sell signal received. sell_type=SellType.SELL_SIGNAL", caplog) @@ -1951,7 +1952,7 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_buy_order_open mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) freqtrade = FreqtradeBot(default_conf) @@ -2347,8 +2348,8 @@ def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocke mocker.patch.multiple( 'freqtrade.freqtradebot.FreqtradeBot', - handle_cancel_buy=MagicMock(), - handle_cancel_sell=MagicMock(), + handle_cancel_enter=MagicMock(), + handle_cancel_exit=MagicMock(), ) mocker.patch.multiple( 'freqtrade.exchange.Exchange', @@ -2368,7 +2369,7 @@ def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocke caplog) -def test_handle_cancel_buy(mocker, caplog, default_conf, limit_buy_order) -> None: +def test_handle_cancel_enter(mocker, caplog, default_conf, limit_buy_order) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_buy_order = deepcopy(limit_buy_order) @@ -2379,7 +2380,7 @@ def test_handle_cancel_buy(mocker, caplog, default_conf, limit_buy_order) -> Non mocker.patch('freqtrade.exchange.Exchange.cancel_order_with_result', cancel_order_mock) freqtrade = FreqtradeBot(default_conf) - freqtrade._notify_buy_cancel = MagicMock() + freqtrade._notify_enter_cancel = MagicMock() trade = MagicMock() trade.pair = 'LTC/USDT' @@ -2387,46 +2388,46 @@ def test_handle_cancel_buy(mocker, caplog, default_conf, limit_buy_order) -> Non limit_buy_order['filled'] = 0.0 limit_buy_order['status'] = 'open' reason = CANCEL_REASON['TIMEOUT'] - assert freqtrade.handle_cancel_buy(trade, limit_buy_order, reason) + assert freqtrade.handle_cancel_enter(trade, limit_buy_order, reason) assert cancel_order_mock.call_count == 1 cancel_order_mock.reset_mock() caplog.clear() limit_buy_order['filled'] = 0.01 - assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason) + assert not freqtrade.handle_cancel_enter(trade, limit_buy_order, reason) assert cancel_order_mock.call_count == 0 assert log_has_re("Order .* for .* not cancelled, as the filled amount.* unsellable.*", caplog) caplog.clear() cancel_order_mock.reset_mock() limit_buy_order['filled'] = 2 - assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason) + assert not freqtrade.handle_cancel_enter(trade, limit_buy_order, reason) assert cancel_order_mock.call_count == 1 # Order remained open for some reason (cancel failed) cancel_buy_order['status'] = 'open' cancel_order_mock = MagicMock(return_value=cancel_buy_order) mocker.patch('freqtrade.exchange.Exchange.cancel_order_with_result', cancel_order_mock) - assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason) + assert not freqtrade.handle_cancel_enter(trade, limit_buy_order, reason) assert log_has_re(r"Order .* for .* not cancelled.", caplog) @pytest.mark.parametrize("limit_buy_order_canceled_empty", ['binance', 'ftx', 'kraken', 'bittrex'], indirect=['limit_buy_order_canceled_empty']) -def test_handle_cancel_buy_exchanges(mocker, caplog, default_conf, - limit_buy_order_canceled_empty) -> None: +def test_handle_cancel_enter_exchanges(mocker, caplog, default_conf, + limit_buy_order_canceled_empty) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = mocker.patch( 'freqtrade.exchange.Exchange.cancel_order_with_result', return_value=limit_buy_order_canceled_empty) - nofiy_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot._notify_buy_cancel') + nofiy_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot._notify_enter_cancel') freqtrade = FreqtradeBot(default_conf) reason = CANCEL_REASON['TIMEOUT'] trade = MagicMock() trade.pair = 'LTC/ETH' - assert freqtrade.handle_cancel_buy(trade, limit_buy_order_canceled_empty, reason) + assert freqtrade.handle_cancel_enter(trade, limit_buy_order_canceled_empty, reason) assert cancel_order_mock.call_count == 0 assert log_has_re(r'Buy order fully cancelled. Removing .* from database\.', caplog) assert nofiy_mock.call_count == 1 @@ -2438,8 +2439,8 @@ def test_handle_cancel_buy_exchanges(mocker, caplog, default_conf, 'String Return value', 123 ]) -def test_handle_cancel_buy_corder_empty(mocker, default_conf, limit_buy_order, - cancelorder) -> None: +def test_handle_cancel_enter_corder_empty(mocker, default_conf, limit_buy_order, + cancelorder) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = MagicMock(return_value=cancelorder) @@ -2449,7 +2450,7 @@ def test_handle_cancel_buy_corder_empty(mocker, default_conf, limit_buy_order, ) freqtrade = FreqtradeBot(default_conf) - freqtrade._notify_buy_cancel = MagicMock() + freqtrade._notify_enter_cancel = MagicMock() trade = MagicMock() trade.pair = 'LTC/USDT' @@ -2457,16 +2458,16 @@ def test_handle_cancel_buy_corder_empty(mocker, default_conf, limit_buy_order, limit_buy_order['filled'] = 0.0 limit_buy_order['status'] = 'open' reason = CANCEL_REASON['TIMEOUT'] - assert freqtrade.handle_cancel_buy(trade, limit_buy_order, reason) + assert freqtrade.handle_cancel_enter(trade, limit_buy_order, reason) assert cancel_order_mock.call_count == 1 cancel_order_mock.reset_mock() limit_buy_order['filled'] = 1.0 - assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason) + assert not freqtrade.handle_cancel_enter(trade, limit_buy_order, reason) assert cancel_order_mock.call_count == 1 -def test_handle_cancel_sell_limit(mocker, default_conf, fee) -> None: +def test_handle_cancel_exit_limit(mocker, default_conf, fee) -> None: send_msg_mock = patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = MagicMock() @@ -2474,7 +2475,7 @@ def test_handle_cancel_sell_limit(mocker, default_conf, fee) -> None: 'freqtrade.exchange.Exchange', cancel_order=cancel_order_mock, ) - mocker.patch('freqtrade.exchange.Exchange.get_sell_rate', return_value=0.245441) + mocker.patch('freqtrade.exchange.Exchange.get_rate', return_value=0.245441) freqtrade = FreqtradeBot(default_conf) @@ -2492,26 +2493,26 @@ def test_handle_cancel_sell_limit(mocker, default_conf, fee) -> None: 'amount': 1, 'status': "open"} reason = CANCEL_REASON['TIMEOUT'] - assert freqtrade.handle_cancel_sell(trade, order, reason) + assert freqtrade.handle_cancel_exit(trade, order, reason) assert cancel_order_mock.call_count == 1 assert send_msg_mock.call_count == 1 send_msg_mock.reset_mock() order['amount'] = 2 - assert freqtrade.handle_cancel_sell(trade, order, reason + assert freqtrade.handle_cancel_exit(trade, order, reason ) == CANCEL_REASON['PARTIALLY_FILLED_KEEP_OPEN'] # Assert cancel_order was not called (callcount remains unchanged) assert cancel_order_mock.call_count == 1 assert send_msg_mock.call_count == 1 - assert freqtrade.handle_cancel_sell(trade, order, reason + assert freqtrade.handle_cancel_exit(trade, order, reason ) == CANCEL_REASON['PARTIALLY_FILLED_KEEP_OPEN'] # Message should not be iterated again assert trade.sell_order_status == CANCEL_REASON['PARTIALLY_FILLED_KEEP_OPEN'] assert send_msg_mock.call_count == 1 -def test_handle_cancel_sell_cancel_exception(mocker, default_conf) -> None: +def test_handle_cancel_exit_cancel_exception(mocker, default_conf) -> None: patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch( @@ -2524,10 +2525,10 @@ def test_handle_cancel_sell_cancel_exception(mocker, default_conf) -> None: order = {'remaining': 1, 'amount': 1, 'status': "open"} - assert freqtrade.handle_cancel_sell(trade, order, reason) == 'error cancelling order' + assert freqtrade.handle_cancel_exit(trade, order, reason) == 'error cancelling order' -def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> None: +def test_execute_trade_exit_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> None: rpc_mock = patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -2555,16 +2556,16 @@ def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> N fetch_ticker=ticker_sell_up ) # Prevented sell ... - freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_type=SellType.ROI)) + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.ROI)) assert rpc_mock.call_count == 0 assert freqtrade.strategy.confirm_trade_exit.call_count == 1 # Repatch with true freqtrade.strategy.confirm_trade_exit = MagicMock(return_value=True) - freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_type=SellType.ROI)) + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.ROI)) assert freqtrade.strategy.confirm_trade_exit.call_count == 1 assert rpc_mock.call_count == 1 @@ -2591,7 +2592,7 @@ def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> N } == last_msg -def test_execute_sell_down(default_conf, ticker, fee, ticker_sell_down, mocker) -> None: +def test_execute_trade_exit_down(default_conf, ticker, fee, ticker_sell_down, mocker) -> None: rpc_mock = patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -2616,8 +2617,8 @@ def test_execute_sell_down(default_conf, ticker, fee, ticker_sell_down, mocker) fetch_ticker=ticker_sell_down ) - freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_down()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) assert rpc_mock.call_count == 2 last_msg = rpc_mock.call_args_list[-1][0][0] @@ -2643,8 +2644,73 @@ def test_execute_sell_down(default_conf, ticker, fee, ticker_sell_down, mocker) } == last_msg -def test_execute_sell_down_stoploss_on_exchange_dry_run(default_conf, ticker, fee, - ticker_sell_down, mocker) -> None: +def test_execute_trade_exit_custom_exit_price(default_conf, ticker, fee, ticker_sell_up, + mocker) -> None: + rpc_mock = patch_RPCManager(mocker) + patch_exchange(mocker) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + fetch_ticker=ticker, + get_fee=fee, + _is_dry_limit_order_filled=MagicMock(return_value=False), + ) + patch_whitelist(mocker, default_conf) + freqtrade = FreqtradeBot(default_conf) + patch_get_signal(freqtrade) + freqtrade.strategy.confirm_trade_exit = MagicMock(return_value=False) + + # Create some test data + freqtrade.enter_positions() + rpc_mock.reset_mock() + + trade = Trade.query.first() + assert trade + assert freqtrade.strategy.confirm_trade_exit.call_count == 0 + + # Increase the price and sell it + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + fetch_ticker=ticker_sell_up + ) + + freqtrade.strategy.confirm_trade_exit = MagicMock(return_value=True) + + # Set a custom exit price + freqtrade.strategy.custom_exit_price = lambda **kwargs: 1.170e-05 + + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.SELL_SIGNAL)) + + # Sell price must be different to default bid price + + assert freqtrade.strategy.confirm_trade_exit.call_count == 1 + + assert rpc_mock.call_count == 1 + last_msg = rpc_mock.call_args_list[-1][0][0] + assert { + 'trade_id': 1, + 'type': RPCMessageType.SELL, + 'exchange': 'Binance', + 'pair': 'ETH/BTC', + 'gain': 'profit', + 'limit': 1.170e-05, + 'amount': 91.07468123, + 'order_type': 'limit', + 'open_rate': 1.098e-05, + 'current_rate': 1.173e-05, + 'profit_amount': 6.041e-05, + 'profit_ratio': 0.06025919, + 'stake_currency': 'BTC', + 'fiat_currency': 'USD', + 'sell_reason': SellType.SELL_SIGNAL.value, + 'open_date': ANY, + 'close_date': ANY, + 'close_rate': ANY, + } == last_msg + + +def test_execute_trade_exit_down_stoploss_on_exchange_dry_run(default_conf, ticker, fee, + ticker_sell_down, mocker) -> None: rpc_mock = patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -2674,8 +2740,8 @@ def test_execute_sell_down_stoploss_on_exchange_dry_run(default_conf, ticker, fe # Setting trade stoploss to 0.01 trade.stop_loss = 0.00001099 * 0.99 - freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_down()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) assert rpc_mock.call_count == 2 last_msg = rpc_mock.call_args_list[-1][0][0] @@ -2702,18 +2768,22 @@ def test_execute_sell_down_stoploss_on_exchange_dry_run(default_conf, ticker, fe } == last_msg -def test_execute_sell_sloe_cancel_exception(mocker, default_conf, ticker, fee, caplog) -> None: +def test_execute_trade_exit_sloe_cancel_exception( + mocker, default_conf, ticker, fee, caplog) -> None: freqtrade = get_patched_freqtradebot(mocker, default_conf) mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order', side_effect=InvalidOrderException()) mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=300)) - sellmock = MagicMock(return_value={'id': '12345555'}) + create_order_mock = MagicMock(side_effect=[ + {'id': '12345554'}, + {'id': '12345555'}, + ]) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, get_fee=fee, - sell=sellmock + create_order=create_order_mock, ) freqtrade.strategy.order_types['stoploss_on_exchange'] = True @@ -2726,14 +2796,14 @@ def test_execute_sell_sloe_cancel_exception(mocker, default_conf, ticker, fee, c freqtrade.config['dry_run'] = False trade.stoploss_order_id = "abcd" - freqtrade.execute_sell(trade=trade, limit=1234, - sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) - assert sellmock.call_count == 1 + freqtrade.execute_trade_exit(trade=trade, limit=1234, + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) + assert create_order_mock.call_count == 2 assert log_has('Could not cancel stoploss order abcd', caplog) -def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticker_sell_up, - mocker) -> None: +def test_execute_trade_exit_with_stoploss_on_exchange(default_conf, ticker, fee, ticker_sell_up, + mocker) -> None: default_conf['exchange']['name'] = 'binance' rpc_mock = patch_RPCManager(mocker) @@ -2777,8 +2847,8 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke fetch_ticker=ticker_sell_up ) - freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) trade = Trade.query.first() assert trade @@ -2786,8 +2856,8 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke assert rpc_mock.call_count == 3 -def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, ticker, fee, - mocker) -> None: +def test_may_execute_trade_exit_after_stoploss_on_exchange_hit(default_conf, ticker, fee, + mocker) -> None: default_conf['exchange']['name'] = 'binance' rpc_mock = patch_RPCManager(mocker) patch_exchange(mocker) @@ -2858,8 +2928,8 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, ticker, f assert rpc_mock.call_args_list[2][0][0]['type'] == RPCMessageType.SELL -def test_execute_sell_market_order(default_conf, ticker, fee, - ticker_sell_up, mocker) -> None: +def test_execute_trade_exit_market_order(default_conf, ticker, fee, + ticker_sell_up, mocker) -> None: rpc_mock = patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -2885,8 +2955,8 @@ def test_execute_sell_market_order(default_conf, ticker, fee, ) freqtrade.config['order_types']['sell'] = 'market' - freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_type=SellType.ROI)) + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.ROI)) assert not trade.is_open assert trade.close_profit == 0.0620716 @@ -2916,15 +2986,18 @@ def test_execute_sell_market_order(default_conf, ticker, fee, } == last_msg -def test_execute_sell_insufficient_funds_error(default_conf, ticker, fee, - ticker_sell_up, mocker) -> None: +def test_execute_trade_exit_insufficient_funds_error(default_conf, ticker, fee, + ticker_sell_up, mocker) -> None: freqtrade = get_patched_freqtradebot(mocker, default_conf) mock_insuf = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_insufficient_funds') mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, get_fee=fee, - sell=MagicMock(side_effect=InsufficientFundsError()) + create_order=MagicMock(side_effect=[ + {'id': 1234553382}, + InsufficientFundsError(), + ]), ) patch_get_signal(freqtrade) @@ -2941,140 +3014,65 @@ def test_execute_sell_insufficient_funds_error(default_conf, ticker, fee, ) sell_reason = SellCheckTuple(sell_type=SellType.ROI) - assert not freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=sell_reason) + assert not freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=sell_reason) assert mock_insuf.call_count == 1 -def test_sell_profit_only_enable_profit(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: +@pytest.mark.parametrize('profit_only,bid,ask,handle_first,handle_second,sell_type', [ + # Enable profit + (True, 0.00001172, 0.00001173, False, True, SellType.SELL_SIGNAL.value), + # Disable profit + (False, 0.00002172, 0.00002173, True, False, SellType.SELL_SIGNAL.value), + # Enable loss + # * Shouldn't this be SellType.STOP_LOSS.value + (True, 0.00000172, 0.00000173, False, False, None), + # Disable loss + (False, 0.00000172, 0.00000173, True, False, SellType.SELL_SIGNAL.value), +]) +def test_sell_profit_only( + default_conf, limit_buy_order, limit_buy_order_open, + fee, mocker, profit_only, bid, ask, handle_first, handle_second, sell_type) -> None: patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=MagicMock(return_value={ - 'bid': 0.00001172, - 'ask': 0.00001173, - 'last': 0.00001172 + 'bid': bid, + 'ask': ask, + 'last': bid }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) default_conf.update({ 'use_sell_signal': True, - 'sell_profit_only': True, + 'sell_profit_only': profit_only, 'sell_profit_offset': 0.1, }) freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - + if sell_type == SellType.SELL_SIGNAL.value: + freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) + else: + freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple( + sell_type=SellType.NONE)) freqtrade.enter_positions() trade = Trade.query.first() trade.update(limit_buy_order) freqtrade.wallets.update() - patch_get_signal(freqtrade, value=(False, True)) - assert freqtrade.handle_trade(trade) is False + patch_get_signal(freqtrade, value=(False, True, None)) + assert freqtrade.handle_trade(trade) is handle_first - freqtrade.strategy.sell_profit_offset = 0.0 - assert freqtrade.handle_trade(trade) is True + if handle_second: + freqtrade.strategy.sell_profit_offset = 0.0 + assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value - - -def test_sell_profit_only_disable_profit(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.00002172, - 'ask': 0.00002173, - 'last': 0.00002172 - }), - buy=MagicMock(return_value=limit_buy_order_open), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': False, - }) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - freqtrade.wallets.update() - patch_get_signal(freqtrade, value=(False, True)) - assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value - - -def test_sell_profit_only_enable_loss(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.00000172, - 'ask': 0.00000173, - 'last': 0.00000172 - }), - buy=MagicMock(return_value=limit_buy_order_open), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': True, - }) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple( - sell_type=SellType.NONE)) - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - patch_get_signal(freqtrade, value=(False, True)) - assert freqtrade.handle_trade(trade) is False - - -def test_sell_profit_only_disable_loss(default_conf, limit_buy_order, limit_buy_order_open, - fee, mocker) -> None: - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=MagicMock(return_value={ - 'bid': 0.0000172, - 'ask': 0.0000173, - 'last': 0.0000172 - }), - buy=MagicMock(return_value=limit_buy_order_open), - get_fee=fee, - ) - default_conf.update({ - 'use_sell_signal': True, - 'sell_profit_only': False, - }) - - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.strategy.min_roi_reached = MagicMock(return_value=False) - - freqtrade.enter_positions() - - trade = Trade.query.first() - trade.update(limit_buy_order) - freqtrade.wallets.update() - patch_get_signal(freqtrade, value=(False, True)) - assert freqtrade.handle_trade(trade) is True - assert trade.sell_reason == SellType.SELL_SIGNAL.value + assert trade.sell_reason == sell_type def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_open, @@ -3088,7 +3086,10 @@ def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_ 'ask': 0.00002173, 'last': 0.00002172 }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) @@ -3101,7 +3102,7 @@ def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_ trade = Trade.query.first() amnt = trade.amount trade.update(limit_buy_order) - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=trade.amount * 0.985)) assert freqtrade.handle_trade(trade) is True @@ -3109,11 +3110,15 @@ def test_sell_not_enough_balance(default_conf, limit_buy_order, limit_buy_order_ assert trade.amount != amnt -def test__safe_sell_amount(default_conf, fee, caplog, mocker): +@pytest.mark.parametrize('amount_wallet,has_err', [ + (95.29, False), + (91.29, True) +]) +def test__safe_exit_amount(default_conf, fee, caplog, mocker, amount_wallet, has_err): patch_RPCManager(mocker) patch_exchange(mocker) amount = 95.33 - amount_wallet = 95.29 + amount_wallet = amount_wallet mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=amount_wallet)) wallet_update = mocker.patch('freqtrade.wallets.Wallets.update') trade = Trade( @@ -3127,37 +3132,19 @@ def test__safe_sell_amount(default_conf, fee, caplog, mocker): ) freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) - - wallet_update.reset_mock() - assert freqtrade._safe_sell_amount(trade.pair, trade.amount) == amount_wallet - assert log_has_re(r'.*Falling back to wallet-amount.', caplog) - assert wallet_update.call_count == 1 - caplog.clear() - wallet_update.reset_mock() - assert freqtrade._safe_sell_amount(trade.pair, amount_wallet) == amount_wallet - assert not log_has_re(r'.*Falling back to wallet-amount.', caplog) - assert wallet_update.call_count == 1 - - -def test__safe_sell_amount_error(default_conf, fee, caplog, mocker): - patch_RPCManager(mocker) - patch_exchange(mocker) - amount = 95.33 - amount_wallet = 91.29 - mocker.patch('freqtrade.wallets.Wallets.get_free', MagicMock(return_value=amount_wallet)) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - open_rate=0.245441, - open_order_id="123456", - fee_open=fee.return_value, - fee_close=fee.return_value, - ) - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - with pytest.raises(DependencyException, match=r"Not enough amount to sell."): - assert freqtrade._safe_sell_amount(trade.pair, trade.amount) + if has_err: + with pytest.raises(DependencyException, match=r"Not enough amount to sell."): + assert freqtrade._safe_exit_amount(trade.pair, trade.amount) + else: + wallet_update.reset_mock() + assert freqtrade._safe_exit_amount(trade.pair, trade.amount) == amount_wallet + assert log_has_re(r'.*Falling back to wallet-amount.', caplog) + assert wallet_update.call_count == 1 + caplog.clear() + wallet_update.reset_mock() + assert freqtrade._safe_exit_amount(trade.pair, amount_wallet) == amount_wallet + assert not log_has_re(r'.*Falling back to wallet-amount.', caplog) + assert wallet_update.call_count == 1 def test_locked_pairs(default_conf, ticker, fee, ticker_sell_down, mocker, caplog) -> None: @@ -3183,8 +3170,8 @@ def test_locked_pairs(default_conf, ticker, fee, ticker_sell_down, mocker, caplo fetch_ticker=ticker_sell_down ) - freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) + freqtrade.execute_trade_exit(trade=trade, limit=ticker_sell_down()['bid'], + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) trade.close(ticker_sell_down()['bid']) assert freqtrade.strategy.is_pair_locked(trade.pair) @@ -3206,7 +3193,10 @@ def test_ignore_roi_if_buy_signal(default_conf, limit_buy_order, limit_buy_order 'ask': 0.0000173, 'last': 0.0000172 }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) default_conf['ignore_roi_if_buy_signal'] = True @@ -3220,11 +3210,11 @@ def test_ignore_roi_if_buy_signal(default_conf, limit_buy_order, limit_buy_order trade = Trade.query.first() trade.update(limit_buy_order) freqtrade.wallets.update() - patch_get_signal(freqtrade, value=(True, True)) + patch_get_signal(freqtrade, value=(True, True, None)) assert freqtrade.handle_trade(trade) is False # Test if buy-signal is absent (should sell due to roi = true) - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) assert freqtrade.handle_trade(trade) is True assert trade.sell_reason == SellType.ROI.value @@ -3240,7 +3230,10 @@ def test_trailing_stop_loss(default_conf, limit_buy_order_open, limit_buy_order, 'ask': 0.00001099, 'last': 0.00001099 }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) default_conf['trailing_stop'] = True @@ -3292,7 +3285,10 @@ def test_trailing_stop_loss_positive(default_conf, limit_buy_order, limit_buy_or 'ask': buy_price - 0.000001, 'last': buy_price - 0.000001 }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) default_conf['trailing_stop'] = True @@ -3322,6 +3318,7 @@ def test_trailing_stop_loss_positive(default_conf, limit_buy_order, limit_buy_or assert log_has("ETH/BTC - Using positive stoploss: 0.01 offset: 0 profit: 0.2666%", caplog) assert log_has("ETH/BTC - Adjusting stoploss...", caplog) assert trade.stop_loss == 0.0000138501 + caplog.clear() mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={ @@ -3349,7 +3346,10 @@ def test_trailing_stop_loss_offset(default_conf, limit_buy_order, limit_buy_orde 'ask': buy_price - 0.000001, 'last': buy_price - 0.000001 }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + ]), get_fee=fee, ) patch_whitelist(mocker, default_conf) @@ -3379,6 +3379,7 @@ def test_trailing_stop_loss_offset(default_conf, limit_buy_order, limit_buy_orde assert log_has("ETH/BTC - Using positive stoploss: 0.01 offset: 0.011 profit: 0.2666%", caplog) assert log_has("ETH/BTC - Adjusting stoploss...", caplog) assert trade.stop_loss == 0.0000138501 + caplog.clear() mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', MagicMock(return_value={ @@ -3409,7 +3410,7 @@ def test_tsl_only_offset_reached(default_conf, limit_buy_order, limit_buy_order_ 'ask': buy_price, 'last': buy_price }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) patch_whitelist(mocker, default_conf) @@ -3443,6 +3444,7 @@ def test_tsl_only_offset_reached(default_conf, limit_buy_order, limit_buy_order_ assert not log_has("ETH/BTC - Adjusting stoploss...", caplog) assert trade.stop_loss == 0.0000098910 + caplog.clear() # price rises above the offset (rises 12% when the offset is 5.5%) mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', @@ -3469,7 +3471,11 @@ def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order, limit_b 'ask': 0.00000173, 'last': 0.00000172 }), - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + {'id': 1234553382}, + {'id': 1234553383} + ]), get_fee=fee, _is_dry_limit_order_filled=MagicMock(return_value=False), ) @@ -3485,11 +3491,11 @@ def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order, limit_b trade = Trade.query.first() trade.update(limit_buy_order) # Sell due to min_roi_reached - patch_get_signal(freqtrade, value=(True, True)) + patch_get_signal(freqtrade, value=(True, True, None)) assert freqtrade.handle_trade(trade) is True # Test if buy-signal is absent - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) assert freqtrade.handle_trade(trade) is True assert trade.sell_reason == SellType.SELL_SIGNAL.value @@ -3562,8 +3568,33 @@ def test_get_real_amount_no_trade(default_conf, buy_order_fee, caplog, mocker, f caplog) -def test_get_real_amount_stake(default_conf, trades_for_order, buy_order_fee, fee, mocker): - trades_for_order[0]['fee']['currency'] = 'ETH' +@pytest.mark.parametrize( + 'fee_par,fee_reduction_amount,use_ticker_rate,expected_log', [ + # basic, amount does not change + ({'cost': 0.008, 'currency': 'ETH'}, 0, False, None), + # no currency in fee + ({'cost': 0.004, 'currency': None}, 0, True, None), + # BNB no rate + ({'cost': 0.00094518, 'currency': 'BNB'}, 0, True, ( + 'Fee for Trade Trade(id=None, pair=LTC/ETH, amount=8.00000000, open_rate=0.24544100,' + ' open_since=closed) [buy]: 0.00094518 BNB - rate: None' + )), + # from order + ({'cost': 0.004, 'currency': 'LTC'}, 0.004, False, ( + 'Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, ' + 'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.996).' + )), + # invalid, no currency in from fee dict + ({'cost': 0.008, 'currency': None}, 0, True, None), + ]) +def test_get_real_amount( + default_conf, trades_for_order, buy_order_fee, fee, mocker, caplog, + fee_par, fee_reduction_amount, use_ticker_rate, expected_log +): + + buy_order = deepcopy(buy_order_fee) + buy_order['fee'] = fee_par + trades_for_order[0]['fee'] = fee_par mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) amount = sum(x['amount'] for x in trades_for_order) @@ -3578,19 +3609,38 @@ def test_get_real_amount_stake(default_conf, trades_for_order, buy_order_fee, fe ) freqtrade = get_patched_freqtradebot(mocker, default_conf) - # Amount does not change - assert freqtrade.get_real_amount(trade, buy_order_fee) == amount + if not use_ticker_rate: + mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', side_effect=ExchangeError) + + caplog.clear() + assert freqtrade.get_real_amount(trade, buy_order) == amount - fee_reduction_amount + + if expected_log: + assert log_has(expected_log, caplog) -def test_get_real_amount_no_currency_in_fee(default_conf, trades_for_order, buy_order_fee, - fee, mocker): +@pytest.mark.parametrize( + 'fee_cost, fee_currency, fee_reduction_amount, expected_fee, expected_log_amount', [ + # basic, amount is reduced by fee + (None, None, 0.001, 0.001, 7.992), + # different fee currency on both trades, fee is average of both trade's fee + (0.02, 'BNB', 0.0005, 0.001518575, 7.996), + ]) +def test_get_real_amount_multi( + default_conf, trades_for_order2, buy_order_fee, caplog, fee, mocker, markets, + fee_cost, fee_currency, fee_reduction_amount, expected_fee, expected_log_amount, +): - limit_buy_order = deepcopy(buy_order_fee) - limit_buy_order['fee'] = {'cost': 0.004, 'currency': None} - trades_for_order[0]['fee']['currency'] = None + trades_for_order = deepcopy(trades_for_order2) + if fee_cost: + trades_for_order[0]['fee']['cost'] = fee_cost + if fee_currency: + trades_for_order[0]['fee']['currency'] = fee_currency mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) - amount = sum(x['amount'] for x in trades_for_order) + amount = float(sum(x['amount'] for x in trades_for_order)) + default_conf['stake_currency'] = "ETH" + trade = Trade( pair='LTC/ETH', amount=amount, @@ -3600,76 +3650,7 @@ def test_get_real_amount_no_currency_in_fee(default_conf, trades_for_order, buy_ open_rate=0.245441, open_order_id="123456" ) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - # Amount does not change - assert freqtrade.get_real_amount(trade, limit_buy_order) == amount - - -def test_get_real_amount_BNB(default_conf, trades_for_order, buy_order_fee, fee, mocker): - trades_for_order[0]['fee']['currency'] = 'BNB' - trades_for_order[0]['fee']['cost'] = 0.00094518 - - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) - amount = sum(x['amount'] for x in trades_for_order) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - fee_open=fee.return_value, - fee_close=fee.return_value, - open_rate=0.245441, - open_order_id="123456" - ) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - - # Amount does not change - assert freqtrade.get_real_amount(trade, buy_order_fee) == amount - - -def test_get_real_amount_multi(default_conf, trades_for_order2, buy_order_fee, caplog, fee, mocker): - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order2) - amount = float(sum(x['amount'] for x in trades_for_order2)) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - fee_open=fee.return_value, - fee_close=fee.return_value, - open_rate=0.245441, - open_order_id="123456" - ) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - - # Amount is reduced by "fee" - assert freqtrade.get_real_amount(trade, buy_order_fee) == amount - (amount * 0.001) - assert log_has('Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, ' - 'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.992).', - caplog) - - assert trade.fee_open == 0.001 - assert trade.fee_close == 0.001 - assert trade.fee_open_cost is not None - assert trade.fee_open_currency is not None - assert trade.fee_close_cost is None - assert trade.fee_close_currency is None - - -def test_get_real_amount_multi2(default_conf, trades_for_order3, buy_order_fee, caplog, fee, - mocker, markets): - # Different fee currency on both trades - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order3) - amount = float(sum(x['amount'] for x in trades_for_order3)) - default_conf['stake_currency'] = 'ETH' - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - fee_open=fee.return_value, - fee_close=fee.return_value, - open_rate=0.245441, - open_order_id="123456" - ) # Fake markets entry to enable fee parsing markets['BNB/ETH'] = markets['ETH/BTC'] freqtrade = get_patched_freqtradebot(mocker, default_conf) @@ -3678,46 +3659,24 @@ def test_get_real_amount_multi2(default_conf, trades_for_order3, buy_order_fee, return_value={'ask': 0.19, 'last': 0.2}) # Amount is reduced by "fee" - assert freqtrade.get_real_amount(trade, buy_order_fee) == amount - (amount * 0.0005) - assert log_has('Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, ' - 'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.996).', - caplog) - # Overall fee is average of both trade's fee - assert trade.fee_open == 0.001518575 + expected_amount = amount - (amount * fee_reduction_amount) + assert freqtrade.get_real_amount(trade, buy_order_fee) == expected_amount + assert log_has( + ( + 'Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, ' + f'open_rate=0.24544100, open_since=closed) (from 8.0 to {expected_log_amount}).' + ), + caplog + ) + + assert trade.fee_open == expected_fee + assert trade.fee_close == expected_fee assert trade.fee_open_cost is not None assert trade.fee_open_currency is not None assert trade.fee_close_cost is None assert trade.fee_close_currency is None -def test_get_real_amount_fromorder(default_conf, trades_for_order, buy_order_fee, fee, - caplog, mocker): - limit_buy_order = deepcopy(buy_order_fee) - limit_buy_order['fee'] = {'cost': 0.004, 'currency': 'LTC'} - - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', - return_value=[trades_for_order]) - amount = float(sum(x['amount'] for x in trades_for_order)) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - fee_open=fee.return_value, - fee_close=fee.return_value, - open_rate=0.245441, - open_order_id="123456" - ) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - # Ticker rate cannot be found for this to work. - mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', side_effect=ExchangeError) - - # Amount is reduced by "fee" - assert freqtrade.get_real_amount(trade, limit_buy_order) == amount - 0.004 - assert log_has('Applying fee on amount for Trade(id=None, pair=LTC/ETH, amount=8.00000000, ' - 'open_rate=0.24544100, open_since=closed) (from 8.0 to 7.996).', - caplog) - - def test_get_real_amount_invalid_order(default_conf, trades_for_order, buy_order_fee, fee, mocker): limit_buy_order = deepcopy(buy_order_fee) limit_buy_order['fee'] = {'cost': 0.004} @@ -3785,27 +3744,6 @@ def test_get_real_amount_wrong_amount_rounding(default_conf, trades_for_order, b abs_tol=MATH_CLOSE_PREC,) -def test_get_real_amount_invalid(default_conf, trades_for_order, buy_order_fee, fee, mocker): - # Remove "Currency" from fee dict - trades_for_order[0]['fee'] = {'cost': 0.008} - - mocker.patch('freqtrade.exchange.Exchange.get_trades_for_order', return_value=trades_for_order) - amount = sum(x['amount'] for x in trades_for_order) - trade = Trade( - pair='LTC/ETH', - amount=amount, - exchange='binance', - open_rate=0.245441, - fee_open=fee.return_value, - fee_close=fee.return_value, - - open_order_id="123456" - ) - freqtrade = get_patched_freqtradebot(mocker, default_conf) - # Amount does not change - assert freqtrade.get_real_amount(trade, buy_order_fee) == amount - - def test_get_real_amount_open_trade(default_conf, fee, mocker): amount = 12345 trade = Trade( @@ -3856,17 +3794,21 @@ def test_apply_fee_conditional(default_conf, fee, caplog, mocker, assert walletmock.call_count == 1 +@pytest.mark.parametrize("delta, is_high_delta", [ + (0.1, False), + (100, True), +]) def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order_open, limit_buy_order, - fee, mocker, order_book_l2): + fee, mocker, order_book_l2, delta, is_high_delta): default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True - default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 0.1 + default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = delta patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2) mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) @@ -3877,88 +3819,55 @@ def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order_open, freqtrade.enter_positions() trade = Trade.query.first() - assert trade is not None - assert trade.stake_amount == 0.001 - assert trade.is_open - assert trade.open_date is not None - assert trade.exchange == 'binance' + if is_high_delta: + assert trade is None + else: + assert trade is not None + assert trade.stake_amount == 0.001 + assert trade.is_open + assert trade.open_date is not None + assert trade.exchange == 'binance' - assert len(Trade.query.all()) == 1 + assert len(Trade.query.all()) == 1 - # Simulate fulfilled LIMIT_BUY order for trade - trade.update(limit_buy_order) + # Simulate fulfilled LIMIT_BUY order for trade + trade.update(limit_buy_order) - assert trade.open_rate == 0.00001099 - assert whitelist == default_conf['exchange']['pair_whitelist'] + assert trade.open_rate == 0.00001099 + assert whitelist == default_conf['exchange']['pair_whitelist'] -def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_order, - fee, mocker, order_book_l2): - default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True - # delta is 100 which is impossible to reach. hence check_depth_of_market will return false - default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100 - patch_RPCManager(mocker) - patch_exchange(mocker) - mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book', order_book_l2) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_ticker=ticker, - buy=MagicMock(return_value={'id': limit_buy_order['id']}), - get_fee=fee, - ) - # Save state of current whitelist - freqtrade = FreqtradeBot(default_conf) - patch_get_signal(freqtrade) - freqtrade.enter_positions() - - trade = Trade.query.first() - assert trade is None - - -def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2) -> None: +@pytest.mark.parametrize('exception_thrown,ask,last,order_book_top,order_book', [ + (False, 0.045, 0.046, 2, None), + (True, 0.042, 0.046, 1, {'bids': [[]], 'asks': [[]]}) +]) +def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, exception_thrown, + ask, last, order_book_top, order_book, caplog) -> None: """ - test if function get_buy_rate will return the order book price - instead of the ask rate + test if function get_rate will return the order book price instead of the ask rate """ patch_exchange(mocker) - ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046}) + ticker_mock = MagicMock(return_value={'ask': ask, 'last': last}) mocker.patch.multiple( 'freqtrade.exchange.Exchange', - fetch_l2_order_book=order_book_l2, + fetch_l2_order_book=MagicMock(return_value=order_book) if order_book else order_book_l2, fetch_ticker=ticker_mock, - ) default_conf['exchange']['name'] = 'binance' default_conf['bid_strategy']['use_order_book'] = True - default_conf['bid_strategy']['order_book_top'] = 2 + default_conf['bid_strategy']['order_book_top'] = order_book_top default_conf['bid_strategy']['ask_last_balance'] = 0 default_conf['telegram']['enabled'] = False freqtrade = FreqtradeBot(default_conf) - assert freqtrade.exchange.get_buy_rate('ETH/BTC', True) == 0.043935 - assert ticker_mock.call_count == 0 - - -def test_order_book_bid_strategy_exception(mocker, default_conf, caplog) -> None: - patch_exchange(mocker) - ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046}) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - fetch_l2_order_book=MagicMock(return_value={'bids': [[]], 'asks': [[]]}), - fetch_ticker=ticker_mock, - - ) - default_conf['exchange']['name'] = 'binance' - default_conf['bid_strategy']['use_order_book'] = True - default_conf['bid_strategy']['order_book_top'] = 1 - default_conf['bid_strategy']['ask_last_balance'] = 0 - default_conf['telegram']['enabled'] = False - - freqtrade = FreqtradeBot(default_conf) - # orderbook shall be used even if tickers would be lower. - with pytest.raises(PricingError): - freqtrade.exchange.get_buy_rate('ETH/BTC', refresh=True) - assert log_has_re(r'Buy Price from orderbook could not be determined.', caplog) + if exception_thrown: + with pytest.raises(PricingError): + freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") + assert log_has_re( + r'Buy Price at location 1 from orderbook could not be determined.', caplog) + else: + assert freqtrade.exchange.get_rate('ETH/BTC', refresh=True, side="buy") == 0.043935 + assert ticker_mock.call_count == 0 def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2) -> None: @@ -4000,8 +3909,10 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order_open, limit_buy_o 'ask': 0.00001173, 'last': 0.00001172 }), - buy=MagicMock(return_value=limit_buy_order_open), - sell=MagicMock(return_value=limit_sell_order_open), + create_order=MagicMock(side_effect=[ + limit_buy_order_open, + limit_sell_order_open, + ]), get_fee=fee, ) freqtrade = FreqtradeBot(default_conf) @@ -4017,7 +3928,7 @@ def test_order_book_ask_strategy(default_conf, limit_buy_order_open, limit_buy_o freqtrade.wallets.update() assert trade.is_open is True - patch_get_signal(freqtrade, value=(False, True)) + patch_get_signal(freqtrade, value=(False, True, None)) assert freqtrade.handle_trade(trade) is True assert trade.close_rate_requested == order_book_l2.return_value['asks'][0][0] @@ -4066,7 +3977,7 @@ def test_sync_wallet_dry_run(mocker, default_conf, ticker, fee, limit_buy_order_ mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee, ) @@ -4093,8 +4004,8 @@ def test_cancel_all_open_orders(mocker, default_conf, fee, limit_buy_order, limi mocker.patch('freqtrade.exchange.Exchange.fetch_order', side_effect=[ ExchangeError(), limit_sell_order, limit_buy_order, limit_sell_order]) - buy_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_buy') - sell_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_sell') + buy_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_enter') + sell_mock = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_cancel_exit') freqtrade = get_patched_freqtradebot(mocker, default_conf) create_mock_trades(fee) @@ -4122,15 +4033,16 @@ def test_check_for_open_trades(mocker, default_conf, fee): @pytest.mark.usefixtures("init_persistence") -def test_update_open_orders(mocker, default_conf, fee, caplog): +def test_startup_update_open_orders(mocker, default_conf, fee, caplog): freqtrade = get_patched_freqtradebot(mocker, default_conf) create_mock_trades(fee) - freqtrade.update_open_orders() + freqtrade.startup_update_open_orders() assert not log_has_re(r"Error updating Order .*", caplog) + caplog.clear() freqtrade.config['dry_run'] = False - freqtrade.update_open_orders() + freqtrade.startup_update_open_orders() assert log_has_re(r"Error updating Order .*", caplog) caplog.clear() @@ -4141,7 +4053,7 @@ def test_update_open_orders(mocker, default_conf, fee, caplog): 'status': 'closed', }) mocker.patch('freqtrade.exchange.Exchange.fetch_order', return_value=matching_buy_order) - freqtrade.update_open_orders() + freqtrade.startup_update_open_orders() # Only stoploss and sell orders are kept open assert len(Order.get_open_orders()) == 2 @@ -4209,14 +4121,14 @@ def test_update_closed_trades_without_assigned_fees(mocker, default_conf, fee): @pytest.mark.usefixtures("init_persistence") -def test_reupdate_buy_order_fees(mocker, default_conf, fee, caplog): +def test_reupdate_enter_order_fees(mocker, default_conf, fee, caplog): freqtrade = get_patched_freqtradebot(mocker, default_conf) mock_uts = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.update_trade_state') create_mock_trades(fee) trades = Trade.get_trades().all() - freqtrade.reupdate_buy_order_fees(trades[0]) + freqtrade.reupdate_enter_order_fees(trades[0]) assert log_has_re(r"Trying to reupdate buy fees for .*", caplog) assert mock_uts.call_count == 1 assert mock_uts.call_args_list[0][0][0] == trades[0] @@ -4239,7 +4151,7 @@ def test_reupdate_buy_order_fees(mocker, default_conf, fee, caplog): ) Trade.query.session.add(trade) - freqtrade.reupdate_buy_order_fees(trade) + freqtrade.reupdate_enter_order_fees(trade) assert log_has_re(r"Trying to reupdate buy fees for .*", caplog) assert mock_uts.call_count == 0 assert not log_has_re(r"Updating buy-fee on trade .* for order .*\.", caplog) @@ -4249,7 +4161,7 @@ def test_reupdate_buy_order_fees(mocker, default_conf, fee, caplog): def test_handle_insufficient_funds(mocker, default_conf, fee): freqtrade = get_patched_freqtradebot(mocker, default_conf) mock_rlo = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.refind_lost_order') - mock_bof = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.reupdate_buy_order_fees') + mock_bof = mocker.patch('freqtrade.freqtradebot.FreqtradeBot.reupdate_enter_order_fees') create_mock_trades(fee) trades = Trade.get_trades().all() @@ -4380,3 +4292,43 @@ def test_refind_lost_order(mocker, default_conf, fee, caplog): freqtrade.refind_lost_order(trades[4]) assert log_has(f"Error updating {order['id']}.", caplog) + + +def test_get_valid_price(mocker, default_conf) -> None: + patch_RPCManager(mocker) + patch_exchange(mocker) + freqtrade = FreqtradeBot(default_conf) + freqtrade.config['custom_price_max_distance_ratio'] = 0.02 + + custom_price_string = "10" + custom_price_badstring = "10abc" + custom_price_float = 10.0 + custom_price_int = 10 + + custom_price_over_max_alwd = 11.0 + custom_price_under_min_alwd = 9.0 + proposed_price = 10.1 + + valid_price_from_string = freqtrade.get_valid_price(custom_price_string, proposed_price) + valid_price_from_badstring = freqtrade.get_valid_price(custom_price_badstring, proposed_price) + valid_price_from_int = freqtrade.get_valid_price(custom_price_int, proposed_price) + valid_price_from_float = freqtrade.get_valid_price(custom_price_float, proposed_price) + + valid_price_at_max_alwd = freqtrade.get_valid_price(custom_price_over_max_alwd, proposed_price) + valid_price_at_min_alwd = freqtrade.get_valid_price(custom_price_under_min_alwd, proposed_price) + + assert isinstance(valid_price_from_string, float) + assert isinstance(valid_price_from_badstring, float) + assert isinstance(valid_price_from_int, float) + assert isinstance(valid_price_from_float, float) + + assert valid_price_from_string == custom_price_float + assert valid_price_from_badstring == proposed_price + assert valid_price_from_int == custom_price_int + assert valid_price_from_float == custom_price_float + + assert valid_price_at_max_alwd < custom_price_over_max_alwd + assert valid_price_at_max_alwd > proposed_price + + assert valid_price_at_min_alwd > custom_price_under_min_alwd + assert valid_price_at_min_alwd < proposed_price diff --git a/tests/test_integration.py b/tests/test_integration.py index b12959a03..a3484d438 100644 --- a/tests/test_integration.py +++ b/tests/test_integration.py @@ -9,7 +9,7 @@ from freqtrade.strategy.interface import SellCheckTuple from tests.conftest import get_patched_freqtradebot, patch_get_signal -def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, ticker, fee, +def test_may_execute_exit_stoploss_on_exchange_multi(default_conf, ticker, fee, limit_buy_order, mocker) -> None: """ Tests workflow of selling stoploss_on_exchange. @@ -70,7 +70,7 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, ticker, fee, mocker.patch.multiple( 'freqtrade.freqtradebot.FreqtradeBot', create_stoploss_order=MagicMock(return_value=True), - _notify_sell=MagicMock(), + _notify_exit=MagicMock(), ) mocker.patch("freqtrade.strategy.interface.IStrategy.should_sell", should_sell_mock) wallets_mock = mocker.patch("freqtrade.wallets.Wallets.update", MagicMock()) @@ -154,7 +154,7 @@ def test_forcebuy_last_unlimited(default_conf, ticker, fee, limit_buy_order, moc mocker.patch.multiple( 'freqtrade.freqtradebot.FreqtradeBot', create_stoploss_order=MagicMock(return_value=True), - _notify_sell=MagicMock(), + _notify_exit=MagicMock(), ) should_sell_mock = MagicMock(side_effect=[ SellCheckTuple(sell_type=SellType.NONE), diff --git a/tests/test_main.py b/tests/test_main.py index 3546a3bab..59a5bb0f7 100644 --- a/tests/test_main.py +++ b/tests/test_main.py @@ -67,12 +67,12 @@ def test_main_fatal_exception(mocker, default_conf, caplog) -> None: mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock()) mocker.patch('freqtrade.freqtradebot.init_db', MagicMock()) - args = ['trade', '-c', 'config_bittrex.json.example'] + args = ['trade', '-c', 'config_examples/config_bittrex.example.json'] # Test Main + the KeyboardInterrupt exception with pytest.raises(SystemExit): main(args) - assert log_has('Using config: config_bittrex.json.example ...', caplog) + assert log_has('Using config: config_examples/config_bittrex.example.json ...', caplog) assert log_has('Fatal exception!', caplog) @@ -85,12 +85,12 @@ def test_main_keyboard_interrupt(mocker, default_conf, caplog) -> None: mocker.patch('freqtrade.wallets.Wallets.update', MagicMock()) mocker.patch('freqtrade.freqtradebot.init_db', MagicMock()) - args = ['trade', '-c', 'config_bittrex.json.example'] + args = ['trade', '-c', 'config_examples/config_bittrex.example.json'] # Test Main + the KeyboardInterrupt exception with pytest.raises(SystemExit): main(args) - assert log_has('Using config: config_bittrex.json.example ...', caplog) + assert log_has('Using config: config_examples/config_bittrex.example.json ...', caplog) assert log_has('SIGINT received, aborting ...', caplog) @@ -106,12 +106,12 @@ def test_main_operational_exception(mocker, default_conf, caplog) -> None: mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock()) mocker.patch('freqtrade.freqtradebot.init_db', MagicMock()) - args = ['trade', '-c', 'config_bittrex.json.example'] + args = ['trade', '-c', 'config_examples/config_bittrex.example.json'] # Test Main + the KeyboardInterrupt exception with pytest.raises(SystemExit): main(args) - assert log_has('Using config: config_bittrex.json.example ...', caplog) + assert log_has('Using config: config_examples/config_bittrex.example.json ...', caplog) assert log_has('Oh snap!', caplog) @@ -157,12 +157,16 @@ def test_main_reload_config(mocker, default_conf, caplog) -> None: mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock()) mocker.patch('freqtrade.freqtradebot.init_db', MagicMock()) - args = Arguments(['trade', '-c', 'config_bittrex.json.example']).get_parsed_arg() + args = Arguments([ + 'trade', + '-c', + 'config_examples/config_bittrex.example.json' + ]).get_parsed_arg() worker = Worker(args=args, config=default_conf) with pytest.raises(SystemExit): - main(['trade', '-c', 'config_bittrex.json.example']) + main(['trade', '-c', 'config_examples/config_bittrex.example.json']) - assert log_has('Using config: config_bittrex.json.example ...', caplog) + assert log_has('Using config: config_examples/config_bittrex.example.json ...', caplog) assert worker_mock.call_count == 4 assert reconfigure_mock.call_count == 1 assert isinstance(worker.freqtrade, FreqtradeBot) @@ -180,7 +184,11 @@ def test_reconfigure(mocker, default_conf) -> None: mocker.patch('freqtrade.freqtradebot.RPCManager', MagicMock()) mocker.patch('freqtrade.freqtradebot.init_db', MagicMock()) - args = Arguments(['trade', '-c', 'config_bittrex.json.example']).get_parsed_arg() + args = Arguments([ + 'trade', + '-c', + 'config_examples/config_bittrex.example.json' + ]).get_parsed_arg() worker = Worker(args=args, config=default_conf) freqtrade = worker.freqtrade diff --git a/tests/test_misc.py b/tests/test_misc.py index e6ba70aee..221c7b712 100644 --- a/tests/test_misc.py +++ b/tests/test_misc.py @@ -7,7 +7,7 @@ from unittest.mock import MagicMock import pytest from freqtrade.misc import (decimals_per_coin, file_dump_json, file_load_json, format_ms_time, - pair_to_filename, plural, render_template, + pair_to_filename, parse_db_uri_for_logging, plural, render_template, render_template_with_fallback, round_coin_value, safe_value_fallback, safe_value_fallback2, shorten_date) @@ -179,3 +179,18 @@ def test_render_template_fallback(mocker): ) assert isinstance(val, str) assert 'if self.dp' in val + + +def test_parse_db_uri_for_logging() -> None: + postgresql_conn_uri = "postgresql+psycopg2://scott123:scott123@host/dbname" + mariadb_conn_uri = "mariadb+mariadbconnector://app_user:Password123!@127.0.0.1:3306/company" + mysql_conn_uri = "mysql+pymysql://user:pass@some_mariadb/dbname?charset=utf8mb4" + sqlite_conn_uri = "sqlite:////freqtrade/user_data/tradesv3.sqlite" + censored_pwd = "*****" + + def get_pwd(x): return x.split(':')[2].split('@')[0] + + assert get_pwd(parse_db_uri_for_logging(postgresql_conn_uri)) == censored_pwd + assert get_pwd(parse_db_uri_for_logging(mariadb_conn_uri)) == censored_pwd + assert get_pwd(parse_db_uri_for_logging(mysql_conn_uri)) == censored_pwd + assert sqlite_conn_uri == parse_db_uri_for_logging(sqlite_conn_uri) diff --git a/tests/test_periodiccache.py b/tests/test_periodiccache.py new file mode 100644 index 000000000..f874f9041 --- /dev/null +++ b/tests/test_periodiccache.py @@ -0,0 +1,32 @@ +import time_machine + +from freqtrade.configuration import PeriodicCache + + +def test_ttl_cache(): + + with time_machine.travel("2021-09-01 05:00:00 +00:00") as t: + + cache = PeriodicCache(5, ttl=60) + cache1h = PeriodicCache(5, ttl=3600) + + assert cache.timer() == 1630472400.0 + cache['a'] = 1235 + cache1h['a'] = 555123 + assert 'a' in cache + assert 'a' in cache1h + + t.move_to("2021-09-01 05:00:59 +00:00") + assert 'a' in cache + assert 'a' in cache1h + + # Cache expired + t.move_to("2021-09-01 05:01:00 +00:00") + assert 'a' not in cache + assert 'a' in cache1h + + t.move_to("2021-09-01 05:59:59 +00:00") + assert 'a' in cache1h + + t.move_to("2021-09-01 06:00:00 +00:00") + assert 'a' not in cache1h diff --git a/tests/test_persistence.py b/tests/test_persistence.py index 1576aaa5a..d036b045e 100644 --- a/tests/test_persistence.py +++ b/tests/test_persistence.py @@ -1,6 +1,7 @@ # pragma pylint: disable=missing-docstring, C0103 import logging from datetime import datetime, timedelta, timezone +from math import isclose from pathlib import Path from types import FunctionType from unittest.mock import MagicMock @@ -64,40 +65,37 @@ def test_init_dryrun_db(default_conf, tmpdir): @pytest.mark.usefixtures("init_persistence") -def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog): +def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, caplog): """ - On this test we will buy and sell a crypto currency. + On this test we will buy and sell a crypto currency. + fee: 0.25% quote + open_rate: 2.00 quote + close_rate: 2.20 quote + amount: = 30.0 crypto + stake_amount + 60.0 quote + borrowed + 0 quote + open_value: (amount * open_rate) + (amount * open_rate * fee) + 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote + close_value: + (amount * close_rate) - (amount * close_rate * fee) - interest + (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835 + total_profit: + close_value - open_value + 65.835 - 60.15 = 5.685 + total_profit_ratio: + ((close_value/open_value) - 1) * leverage + ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232 - Buy - - Buy: 90.99181073 Crypto at 0.00001099 BTC - (90.99181073*0.00001099 = 0.0009999 BTC) - - Buying fee: 0.25% - - Total cost of buy trade: 0.001002500 BTC - ((90.99181073*0.00001099) + ((90.99181073*0.00001099)*0.0025)) - - Sell - - Sell: 90.99181073 Crypto at 0.00001173 BTC - (90.99181073*0.00001173 = 0,00106733394 BTC) - - Selling fee: 0.25% - - Total cost of sell trade: 0.001064666 BTC - ((90.99181073*0.00001173) - ((90.99181073*0.00001173)*0.0025)) - - Profit/Loss: +0.000062166 BTC - (Sell:0.001064666 - Buy:0.001002500) - Profit/Loss percentage: 0.0620 - ((0.001064666/0.001002500)-1 = 6.20%) - - :param limit_buy_order: - :param limit_sell_order: - :return: """ trade = Trade( id=2, - pair='ETH/BTC', - stake_amount=0.001, - open_rate=0.01, - amount=5, + pair='ADA/USDT', + stake_amount=60.0, + open_rate=2.0, + amount=30.0, is_open=True, open_date=arrow.utcnow().datetime, fee_open=fee.return_value, @@ -109,35 +107,36 @@ def test_update_with_binance(limit_buy_order, limit_sell_order, fee, caplog): assert trade.close_date is None trade.open_order_id = 'something' - trade.update(limit_buy_order) + trade.update(limit_buy_order_usdt) assert trade.open_order_id is None - assert trade.open_rate == 0.00001099 + assert trade.open_rate == 2.00 assert trade.close_profit is None assert trade.close_date is None assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, " - r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).", + r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).", caplog) caplog.clear() trade.open_order_id = 'something' - trade.update(limit_sell_order) + trade.update(limit_sell_order_usdt) assert trade.open_order_id is None - assert trade.close_rate == 0.00001173 - assert trade.close_profit == 0.06201058 + assert trade.close_rate == 2.20 + assert trade.close_profit == round(0.0945137157107232, 8) assert trade.close_date is not None assert log_has_re(r"LIMIT_SELL has been fulfilled for Trade\(id=2, " - r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001099, open_since=.*\).", + r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).", caplog) + caplog.clear() @pytest.mark.usefixtures("init_persistence") -def test_update_market_order(market_buy_order, market_sell_order, fee, caplog): +def test_update_market_order(market_buy_order_usdt, market_sell_order_usdt, fee, caplog): trade = Trade( id=1, - pair='ETH/BTC', - stake_amount=0.001, - amount=5, - open_rate=0.01, + pair='ADA/USDT', + stake_amount=60.0, + open_rate=2.0, + amount=30.0, is_open=True, fee_open=fee.return_value, fee_close=fee.return_value, @@ -146,61 +145,60 @@ def test_update_market_order(market_buy_order, market_sell_order, fee, caplog): ) trade.open_order_id = 'something' - trade.update(market_buy_order) + trade.update(market_buy_order_usdt) assert trade.open_order_id is None - assert trade.open_rate == 0.00004099 + assert trade.open_rate == 2.0 assert trade.close_profit is None assert trade.close_date is None assert log_has_re(r"MARKET_BUY has been fulfilled for Trade\(id=1, " - r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).", + r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).", caplog) caplog.clear() trade.is_open = True trade.open_order_id = 'something' - trade.update(market_sell_order) + trade.update(market_sell_order_usdt) assert trade.open_order_id is None - assert trade.close_rate == 0.00004173 - assert trade.close_profit == 0.01297561 + assert trade.close_rate == 2.2 + assert trade.close_profit == round(0.0945137157107232, 8) assert trade.close_date is not None assert log_has_re(r"MARKET_SELL has been fulfilled for Trade\(id=1, " - r"pair=ETH/BTC, amount=91.99181073, open_rate=0.00004099, open_since=.*\).", + r"pair=ADA/USDT, amount=30.00000000, open_rate=2.00000000, open_since=.*\).", caplog) @pytest.mark.usefixtures("init_persistence") -def test_calc_open_close_trade_price(limit_buy_order, limit_sell_order, fee): +def test_calc_open_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - open_rate=0.01, - amount=5, + pair='ADA/USDT', + stake_amount=60.0, + open_rate=2.0, + amount=30.0, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', ) trade.open_order_id = 'something' - trade.update(limit_buy_order) - assert trade._calc_open_trade_value() == 0.0010024999999225068 + trade.update(limit_buy_order_usdt) + assert trade._calc_open_trade_value() == 60.15 + trade.update(limit_sell_order_usdt) + assert isclose(trade.calc_close_trade_value(), 65.835) - trade.update(limit_sell_order) - assert trade.calc_close_trade_value() == 0.0010646656050132426 - - # Profit in BTC - assert trade.calc_profit() == 0.00006217 + # Profit in USDT + assert trade.calc_profit() == 5.685 # Profit in percent - assert trade.calc_profit_ratio() == 0.06201058 + assert trade.calc_profit_ratio() == round(0.0945137157107232, 8) @pytest.mark.usefixtures("init_persistence") -def test_trade_close(limit_buy_order, limit_sell_order, fee): +def test_trade_close(limit_buy_order_usdt, limit_sell_order_usdt, fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - open_rate=0.01, - amount=5, + pair='ADA/USDT', + stake_amount=60.0, + open_rate=2.0, + amount=30.0, is_open=True, fee_open=fee.return_value, fee_close=fee.return_value, @@ -210,9 +208,9 @@ def test_trade_close(limit_buy_order, limit_sell_order, fee): assert trade.close_profit is None assert trade.close_date is None assert trade.is_open is True - trade.close(0.02) + trade.close(2.2) assert trade.is_open is False - assert trade.close_profit == 0.99002494 + assert trade.close_profit == round(0.0945137157107232, 8) assert trade.close_date is not None new_date = arrow.Arrow(2020, 2, 2, 15, 6, 1).datetime, @@ -220,34 +218,34 @@ def test_trade_close(limit_buy_order, limit_sell_order, fee): # Close should NOT update close_date if the trade has been closed already assert trade.is_open is False trade.close_date = new_date - trade.close(0.02) + trade.close(2.2) assert trade.close_date == new_date @pytest.mark.usefixtures("init_persistence") -def test_calc_close_trade_price_exception(limit_buy_order, fee): +def test_calc_close_trade_price_exception(limit_buy_order_usdt, fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - open_rate=0.1, - amount=5, + pair='ADA/USDT', + stake_amount=60.0, + open_rate=2.0, + amount=30.0, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', ) trade.open_order_id = 'something' - trade.update(limit_buy_order) + trade.update(limit_buy_order_usdt) assert trade.calc_close_trade_value() == 0.0 @pytest.mark.usefixtures("init_persistence") -def test_update_open_order(limit_buy_order): +def test_update_open_order(limit_buy_order_usdt): trade = Trade( - pair='ETH/BTC', - stake_amount=1.00, - open_rate=0.01, - amount=5, + pair='ADA/USDT', + stake_amount=60.0, + open_rate=2.0, + amount=30.0, fee_open=0.1, fee_close=0.1, exchange='binance', @@ -257,8 +255,8 @@ def test_update_open_order(limit_buy_order): assert trade.close_profit is None assert trade.close_date is None - limit_buy_order['status'] = 'open' - trade.update(limit_buy_order) + limit_buy_order_usdt['status'] = 'open' + trade.update(limit_buy_order_usdt) assert trade.open_order_id is None assert trade.close_profit is None @@ -266,127 +264,203 @@ def test_update_open_order(limit_buy_order): @pytest.mark.usefixtures("init_persistence") -def test_update_invalid_order(limit_buy_order): +def test_update_invalid_order(limit_buy_order_usdt): trade = Trade( - pair='ETH/BTC', - stake_amount=1.00, - amount=5, - open_rate=0.001, + pair='ADA/USDT', + stake_amount=60.0, + amount=30.0, + open_rate=2.0, fee_open=0.1, fee_close=0.1, exchange='binance', ) - limit_buy_order['type'] = 'invalid' + limit_buy_order_usdt['type'] = 'invalid' with pytest.raises(ValueError, match=r'Unknown order type'): - trade.update(limit_buy_order) + trade.update(limit_buy_order_usdt) @pytest.mark.usefixtures("init_persistence") -def test_calc_open_trade_value(limit_buy_order, fee): +def test_calc_open_trade_value(limit_buy_order_usdt, fee): + """ + fee: 0.25 %, 0.3% quote + open_rate: 2.00 quote + amount: = 30.0 crypto + stake_amount + 60.0 quote + open_value: (amount * open_rate) + (amount * open_rate * fee) + 0.25% fee + 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote + 0.3% fee + 30 * 2 + 30 * 2 * 0.003 = 60.18 quote + """ trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - amount=5, - open_rate=0.00001099, + pair='ADA/USDT', + stake_amount=60.0, + amount=30.0, + open_rate=2.0, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', ) trade.open_order_id = 'open_trade' - trade.update(limit_buy_order) # Buy @ 0.00001099 + trade.update(limit_buy_order_usdt) # Buy @ 2.0 # Get the open rate price with the standard fee rate - assert trade._calc_open_trade_value() == 0.0010024999999225068 + assert trade._calc_open_trade_value() == 60.15 trade.fee_open = 0.003 # Get the open rate price with a custom fee rate - assert trade._calc_open_trade_value() == 0.001002999999922468 + assert trade._calc_open_trade_value() == 60.18 @pytest.mark.usefixtures("init_persistence") -def test_calc_close_trade_price(limit_buy_order, limit_sell_order, fee): +def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - amount=5, - open_rate=0.00001099, + pair='ADA/USDT', + stake_amount=60.0, + amount=30.0, + open_rate=2.0, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', ) trade.open_order_id = 'close_trade' - trade.update(limit_buy_order) # Buy @ 0.00001099 + trade.update(limit_buy_order_usdt) # Buy @ 2.0 # Get the close rate price with a custom close rate and a regular fee rate - assert trade.calc_close_trade_value(rate=0.00001234) == 0.0011200318470471794 - + assert trade.calc_close_trade_value(rate=2.5) == 74.8125 # Get the close rate price with a custom close rate and a custom fee rate - assert trade.calc_close_trade_value(rate=0.00001234, fee=0.003) == 0.0011194704275749754 - + assert trade.calc_close_trade_value(rate=2.5, fee=0.003) == 74.775 # Test when we apply a Sell order, and ask price with a custom fee rate - trade.update(limit_sell_order) - assert trade.calc_close_trade_value(fee=0.005) == 0.0010619972701635854 + trade.update(limit_sell_order_usdt) + assert trade.calc_close_trade_value(fee=0.005) == 65.67 @pytest.mark.usefixtures("init_persistence") -def test_calc_profit(limit_buy_order, limit_sell_order, fee): +def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee): + """ + arguments: + fee: + 0.25% quote + 0.30% quote + open_rate: 2.0 quote + close_rate: + 1.9 quote + 2.1 quote + 2.2 quote + amount: = 30.0 crypto + stake_amount + 60.0 quote + open_value: (amount * open_rate) + (amount * open_rate * fee) + 0.0025 fee + 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote + 30 * 2 - 30 * 2 * 0.0025 = 59.85 quote + 0.003 fee: Is only applied to close rate in this test + close_value: + equations: + (amount_closed * close_rate) - (amount_closed * close_rate * fee) + 2.1 quote + (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) = 62.8425 + 1.9 quote + (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) = 56.8575 + 2.2 quote + (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835 + total_profit: + equations: + close_value - open_value + 2.1 quote + 62.8425 - 60.15 = 2.6925 + 1.9 quote + 56.8575 - 60.15 = -3.2925 + 2.2 quote + 65.835 - 60.15 = 5.685 + total_profit_ratio: + equations: + ((close_value/open_value) - 1) * leverage + 2.1 quote + (62.8425 / 60.15) - 1 = 0.04476309226932673 + 1.9 quote + (56.8575 / 60.15) - 1 = -0.05473815461346632 + 2.2 quote + (65.835 / 60.15) - 1 = 0.0945137157107232 + fee: 0.003 + close_value: + 2.1 quote: (30.00 * 2.1) - (30.00 * 2.1 * 0.003) = 62.811 + 1.9 quote: (30.00 * 1.9) - (30.00 * 1.9 * 0.003) = 56.829 + 2.2 quote: (30.00 * 2.2) - (30.00 * 2.2 * 0.003) = 65.802 + total_profit + fee: 0.003 + 2.1 quote: 62.811 - 60.15 = 2.6610000000000014 + 1.9 quote: 56.829 - 60.15 = -3.320999999999998 + 2.2 quote: 65.802 - 60.15 = 5.652000000000008 + total_profit_ratio + fee: 0.003 + 2.1 quote: (62.811 / 60.15) - 1 = 0.04423940149625927 + 1.9 quote: (56.829 / 60.15) - 1 = -0.05521197007481293 + 2.2 quote: (65.802 / 60.15) - 1 = 0.09396508728179565 + """ trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - amount=5, - open_rate=0.00001099, + pair='ADA/USDT', + stake_amount=60.0, + amount=30.0, + open_rate=2.0, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', ) trade.open_order_id = 'something' - trade.update(limit_buy_order) # Buy @ 0.00001099 + trade.update(limit_buy_order_usdt) # Buy @ 2.0 # Custom closing rate and regular fee rate - # Higher than open rate - assert trade.calc_profit(rate=0.00001234) == 0.00011753 - # Lower than open rate - assert trade.calc_profit(rate=0.00000123) == -0.00089086 + # Higher than open rate - 2.1 quote + assert trade.calc_profit(rate=2.1) == 2.6925 + # Lower than open rate - 1.9 quote + assert trade.calc_profit(rate=1.9) == round(-3.292499999999997, 8) - # Custom closing rate and custom fee rate - # Higher than open rate - assert trade.calc_profit(rate=0.00001234, fee=0.003) == 0.00011697 - # Lower than open rate - assert trade.calc_profit(rate=0.00000123, fee=0.003) == -0.00089092 + # fee 0.003 + # Higher than open rate - 2.1 quote + assert trade.calc_profit(rate=2.1, fee=0.003) == 2.661 + # Lower than open rate - 1.9 quote + assert trade.calc_profit(rate=1.9, fee=0.003) == round(-3.320999999999998, 8) - # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 - trade.update(limit_sell_order) - assert trade.calc_profit() == 0.00006217 + # Test when we apply a Sell order. Sell higher than open rate @ 2.2 + trade.update(limit_sell_order_usdt) + assert trade.calc_profit() == round(5.684999999999995, 8) # Test with a custom fee rate on the close trade - assert trade.calc_profit(fee=0.003) == 0.00006163 + assert trade.calc_profit(fee=0.003) == round(5.652000000000008, 8) @pytest.mark.usefixtures("init_persistence") -def test_calc_profit_ratio(limit_buy_order, limit_sell_order, fee): +def test_calc_profit_ratio(limit_buy_order_usdt, limit_sell_order_usdt, fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - amount=5, - open_rate=0.00001099, + pair='ADA/USDT', + stake_amount=60.0, + amount=30.0, + open_rate=2.0, fee_open=fee.return_value, fee_close=fee.return_value, - exchange='binance', + exchange='binance' ) trade.open_order_id = 'something' - trade.update(limit_buy_order) # Buy @ 0.00001099 + trade.update(limit_buy_order_usdt) # Buy @ 2.0 - # Get percent of profit with a custom rate (Higher than open rate) - assert trade.calc_profit_ratio(rate=0.00001234) == 0.11723875 + # Higher than open rate - 2.1 quote + assert trade.calc_profit_ratio(rate=2.1) == round(0.04476309226932673, 8) + # Lower than open rate - 1.9 quote + assert trade.calc_profit_ratio(rate=1.9) == round(-0.05473815461346632, 8) - # Get percent of profit with a custom rate (Lower than open rate) - assert trade.calc_profit_ratio(rate=0.00000123) == -0.88863828 + # fee 0.003 + # Higher than open rate - 2.1 quote + assert trade.calc_profit_ratio(rate=2.1, fee=0.003) == round(0.04423940149625927, 8) + # Lower than open rate - 1.9 quote + assert trade.calc_profit_ratio(rate=1.9, fee=0.003) == round(-0.05521197007481293, 8) - # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 - trade.update(limit_sell_order) - assert trade.calc_profit_ratio() == 0.06201058 + # Test when we apply a Sell order. Sell higher than open rate @ 2.2 + trade.update(limit_sell_order_usdt) + assert trade.calc_profit_ratio() == round(0.0945137157107232, 8) # Test with a custom fee rate on the close trade - assert trade.calc_profit_ratio(fee=0.003) == 0.06147824 + assert trade.calc_profit_ratio(fee=0.003) == round(0.09396508728179565, 8) trade.open_trade_value = 0.0 assert trade.calc_profit_ratio(fee=0.003) == 0.0 @@ -397,7 +471,7 @@ def test_clean_dry_run_db(default_conf, fee): # Simulate dry_run entries trade = Trade( - pair='ETH/BTC', + pair='ADA/USDT', stake_amount=0.001, amount=123.0, fee_open=fee.return_value, @@ -442,96 +516,6 @@ def test_clean_dry_run_db(default_conf, fee): assert len(Trade.query.filter(Trade.open_order_id.isnot(None)).all()) == 1 -def test_migrate_old(mocker, default_conf, fee): - """ - Test Database migration(starting with old pairformat) - """ - amount = 103.223 - create_table_old = """CREATE TABLE IF NOT EXISTS "trades" ( - id INTEGER NOT NULL, - exchange VARCHAR NOT NULL, - pair VARCHAR NOT NULL, - is_open BOOLEAN NOT NULL, - fee FLOAT NOT NULL, - open_rate FLOAT, - close_rate FLOAT, - close_profit FLOAT, - stake_amount FLOAT NOT NULL, - amount FLOAT, - open_date DATETIME NOT NULL, - close_date DATETIME, - open_order_id VARCHAR, - PRIMARY KEY (id), - CHECK (is_open IN (0, 1)) - );""" - insert_table_old = """INSERT INTO trades (exchange, pair, is_open, open_order_id, fee, - open_rate, stake_amount, amount, open_date) - VALUES ('binance', 'BTC_ETC', 1, '123123', {fee}, - 0.00258580, {stake}, {amount}, - '2017-11-28 12:44:24.000000') - """.format(fee=fee.return_value, - stake=default_conf.get("stake_amount"), - amount=amount - ) - insert_table_old2 = """INSERT INTO trades (exchange, pair, is_open, fee, - open_rate, close_rate, stake_amount, amount, open_date) - VALUES ('binance', 'BTC_ETC', 0, {fee}, - 0.00258580, 0.00268580, {stake}, {amount}, - '2017-11-28 12:44:24.000000') - """.format(fee=fee.return_value, - stake=default_conf.get("stake_amount"), - amount=amount - ) - engine = create_engine('sqlite://') - mocker.patch('freqtrade.persistence.models.create_engine', lambda *args, **kwargs: engine) - - # Create table using the old format - with engine.begin() as connection: - connection.execute(text(create_table_old)) - connection.execute(text(insert_table_old)) - connection.execute(text(insert_table_old2)) - # Run init to test migration - init_db(default_conf['db_url'], default_conf['dry_run']) - - assert len(Trade.query.filter(Trade.id == 1).all()) == 1 - trade = Trade.query.filter(Trade.id == 1).first() - assert trade.fee_open == fee.return_value - assert trade.fee_close == fee.return_value - assert trade.open_rate_requested is None - assert trade.close_rate_requested is None - assert trade.is_open == 1 - assert trade.amount == amount - assert trade.amount_requested == amount - assert trade.stake_amount == default_conf.get("stake_amount") - assert trade.pair == "ETC/BTC" - assert trade.exchange == "binance" - assert trade.max_rate == 0.0 - assert trade.stop_loss == 0.0 - assert trade.initial_stop_loss == 0.0 - assert trade.open_trade_value == trade._calc_open_trade_value() - assert trade.close_profit_abs is None - assert trade.fee_open_cost is None - assert trade.fee_open_currency is None - assert trade.fee_close_cost is None - assert trade.fee_close_currency is None - assert trade.timeframe is None - - trade = Trade.query.filter(Trade.id == 2).first() - assert trade.close_rate is not None - assert trade.is_open == 0 - assert trade.open_rate_requested is None - assert trade.close_rate_requested is None - assert trade.close_rate is not None - assert pytest.approx(trade.close_profit_abs) == trade.calc_profit() - assert trade.sell_order_status is None - - # Should've created one order - assert len(Order.query.all()) == 1 - order = Order.query.first() - assert order.order_id == '123123' - assert order.ft_order_side == 'buy' - - def test_migrate_new(mocker, default_conf, fee, caplog): """ Test Database migration (starting with new pairformat) @@ -754,9 +738,9 @@ def test_migrate_mid_state(mocker, default_conf, fee, caplog): def test_adjust_stop_loss(fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - amount=5, + pair='ADA/USDT', + stake_amount=30.0, + amount=30, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', @@ -806,34 +790,39 @@ def test_adjust_stop_loss(fee): def test_adjust_min_max_rates(fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, - amount=5, + pair='ADA/USDT', + stake_amount=30.0, + amount=30.0, fee_open=fee.return_value, fee_close=fee.return_value, exchange='binance', open_rate=1, ) - trade.adjust_min_max_rates(trade.open_rate) + trade.adjust_min_max_rates(trade.open_rate, trade.open_rate) assert trade.max_rate == 1 assert trade.min_rate == 1 # check min adjusted, max remained - trade.adjust_min_max_rates(0.96) + trade.adjust_min_max_rates(0.96, 0.96) assert trade.max_rate == 1 assert trade.min_rate == 0.96 # check max adjusted, min remains - trade.adjust_min_max_rates(1.05) + trade.adjust_min_max_rates(1.05, 1.05) assert trade.max_rate == 1.05 assert trade.min_rate == 0.96 # current rate "in the middle" - no adjustment - trade.adjust_min_max_rates(1.03) + trade.adjust_min_max_rates(1.03, 1.03) assert trade.max_rate == 1.05 assert trade.min_rate == 0.96 + # current rate "in the middle" - no adjustment + trade.adjust_min_max_rates(1.10, 0.91) + assert trade.max_rate == 1.10 + assert trade.min_rate == 0.91 + @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize('use_db', [True, False]) @@ -861,6 +850,7 @@ def test_to_json(default_conf, fee): open_date=arrow.utcnow().shift(hours=-2).datetime, open_rate=0.123, exchange='binance', + buy_tag=None, open_order_id='dry_run_buy_12345' ) result = trade.to_json() @@ -910,6 +900,7 @@ def test_to_json(default_conf, fee): 'min_rate': None, 'max_rate': None, 'strategy': None, + 'buy_tag': None, 'timeframe': None, 'exchange': 'binance', } @@ -926,6 +917,7 @@ def test_to_json(default_conf, fee): close_date=arrow.utcnow().shift(hours=-1).datetime, open_rate=0.123, close_rate=0.125, + buy_tag='buys_signal_001', exchange='binance', ) result = trade.to_json() @@ -975,6 +967,7 @@ def test_to_json(default_conf, fee): 'sell_reason': None, 'sell_order_status': None, 'strategy': None, + 'buy_tag': 'buys_signal_001', 'timeframe': None, 'exchange': 'binance', } @@ -983,11 +976,11 @@ def test_to_json(default_conf, fee): def test_stoploss_reinitialization(default_conf, fee): init_db(default_conf['db_url']) trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, + pair='ADA/USDT', + stake_amount=30.0, fee_open=fee.return_value, open_date=arrow.utcnow().shift(hours=-2).datetime, - amount=10, + amount=30.0, fee_close=fee.return_value, exchange='binance', open_rate=1, @@ -1042,11 +1035,11 @@ def test_stoploss_reinitialization(default_conf, fee): def test_update_fee(fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, + pair='ADA/USDT', + stake_amount=30.0, fee_open=fee.return_value, open_date=arrow.utcnow().shift(hours=-2).datetime, - amount=10, + amount=30.0, fee_close=fee.return_value, exchange='binance', open_rate=1, @@ -1081,11 +1074,11 @@ def test_update_fee(fee): def test_fee_updated(fee): trade = Trade( - pair='ETH/BTC', - stake_amount=0.001, + pair='ADA/USDT', + stake_amount=30.0, fee_open=fee.return_value, open_date=arrow.utcnow().shift(hours=-2).datetime, - amount=10, + amount=30.0, fee_close=fee.return_value, exchange='binance', open_rate=1, @@ -1124,6 +1117,21 @@ def test_total_open_trades_stakes(fee, use_db): Trade.use_db = True +@pytest.mark.usefixtures("init_persistence") +@pytest.mark.parametrize('use_db', [True, False]) +def test_get_total_closed_profit(fee, use_db): + + Trade.use_db = use_db + Trade.reset_trades() + res = Trade.get_total_closed_profit() + assert res == 0 + create_mock_trades(fee, use_db) + res = Trade.get_total_closed_profit() + assert res == 0.000739127 + + Trade.use_db = True + + @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize('use_db', [True, False]) def test_get_trades_proxy(fee, use_db): @@ -1216,6 +1224,11 @@ def test_update_order_from_ccxt(caplog): assert o.ft_is_open assert o.order_filled_date is None + # Order is unfilled, "filled" not set + # https://github.com/freqtrade/freqtrade/issues/5404 + ccxt_order.update({'filled': None, 'remaining': 20.0, 'status': 'canceled'}) + o.update_from_ccxt_object(ccxt_order) + # Order has been closed ccxt_order.update({'filled': 20.0, 'remaining': 0.0, 'status': 'closed'}) o.update_from_ccxt_object(ccxt_order) @@ -1298,12 +1311,13 @@ def test_Trade_object_idem(): 'open_date', 'get_best_pair', 'get_overall_performance', + 'get_total_closed_profit', 'total_open_trades_stakes', 'get_sold_trades_without_assigned_fees', 'get_open_trades_without_assigned_fees', 'get_open_order_trades', 'get_trades', - ) + ) # Parent (LocalTrade) should have the same attributes for item in trade: diff --git a/tests/test_plotting.py b/tests/test_plotting.py index 20f159e3a..51301a464 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -70,7 +70,6 @@ def test_add_indicators(default_conf, testdatadir, caplog): indicators1 = {"ema10": {}} indicators2 = {"macd": {"color": "red"}} - default_conf.update({'strategy': 'DefaultStrategy'}) strategy = StrategyResolver.load_strategy(default_conf) # Generate buy/sell signals and indicators @@ -112,7 +111,6 @@ def test_add_areas(default_conf, testdatadir, caplog): "fill_to": "macdhist"}} ind_plain = {"macd": {"fill_to": "macdhist"}} - default_conf.update({'strategy': 'DefaultStrategy'}) strategy = StrategyResolver.load_strategy(default_conf) # Generate buy/sell signals and indicators @@ -239,7 +237,6 @@ def test_generate_candlestick_graph_no_trades(default_conf, mocker, testdatadir) data = history.load_pair_history(pair=pair, timeframe='1m', datadir=testdatadir, timerange=timerange) - default_conf.update({'strategy': 'DefaultStrategy'}) strategy = StrategyResolver.load_strategy(default_conf) # Generate buy/sell signals and indicators @@ -364,7 +361,7 @@ def test_start_plot_dataframe(mocker): aup = mocker.patch("freqtrade.plot.plotting.load_and_plot_trades", MagicMock()) args = [ "plot-dataframe", - "--config", "config_bittrex.json.example", + "--config", "config_examples/config_bittrex.example.json", "--pairs", "ETH/BTC" ] start_plot_dataframe(get_args(args)) @@ -408,7 +405,7 @@ def test_start_plot_profit(mocker): aup = mocker.patch("freqtrade.plot.plotting.plot_profit", MagicMock()) args = [ "plot-profit", - "--config", "config_bittrex.json.example", + "--config", "config_examples/config_bittrex.example.json", "--pairs", "ETH/BTC" ] start_plot_profit(get_args(args)) diff --git a/tests/test_wallets.py b/tests/test_wallets.py index ff303e2ec..53e3b758e 100644 --- a/tests/test_wallets.py +++ b/tests/test_wallets.py @@ -121,18 +121,24 @@ def test_get_trade_stake_amount_no_stake_amount(default_conf, mocker) -> None: freqtrade.wallets.get_trade_stake_amount('ETH/BTC') -@pytest.mark.parametrize("balance_ratio,result1,result2", [ - (1, 50, 66.66666), - (0.99, 49.5, 66.0), - (0.50, 25, 33.3333), +@pytest.mark.parametrize("balance_ratio,capital,result1,result2", [ + (1, None, 50, 66.66666), + (0.99, None, 49.5, 66.0), + (0.50, None, 25, 33.3333), + # Tests with capital ignore balance_ratio + (1, 100, 50, 0.0), + (0.99, 200, 50, 66.66666), + (0.99, 150, 50, 50), + (0.50, 50, 25, 0.0), + (0.50, 10, 5, 0.0), ]) -def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_ratio, result1, - result2, limit_buy_order_open, +def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_ratio, capital, + result1, result2, limit_buy_order_open, fee, mocker) -> None: mocker.patch.multiple( 'freqtrade.exchange.Exchange', fetch_ticker=ticker, - buy=MagicMock(return_value=limit_buy_order_open), + create_order=MagicMock(return_value=limit_buy_order_open), get_fee=fee ) @@ -141,6 +147,8 @@ def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_r conf['dry_run_wallet'] = 100 conf['max_open_trades'] = 2 conf['tradable_balance_ratio'] = balance_ratio + if capital is not None: + conf['available_capital'] = capital freqtrade = get_patched_freqtradebot(mocker, conf) @@ -149,13 +157,13 @@ def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_r assert result == result1 # create one trade, order amount should be 'balance / (max_open_trades - num_open_trades)' - freqtrade.execute_buy('ETH/USDT', result) + freqtrade.execute_entry('ETH/USDT', result) result = freqtrade.wallets.get_trade_stake_amount('LTC/USDT') assert result == result1 # create 2 trades, order amount should be None - freqtrade.execute_buy('LTC/BTC', result) + freqtrade.execute_entry('LTC/BTC', result) result = freqtrade.wallets.get_trade_stake_amount('XRP/USDT') assert result == 0 @@ -170,3 +178,49 @@ def test_get_trade_stake_amount_unlimited_amount(default_conf, ticker, balance_r freqtrade.config['max_open_trades'] = 0 result = freqtrade.wallets.get_trade_stake_amount('NEO/USDT') assert result == 0 + + +@pytest.mark.parametrize('stake_amount,min_stake_amount,max_stake_amount,expected', [ + (22, 11, 50, 22), + (100, 11, 500, 100), + (1000, 11, 500, 500), # Above max-stake + (20, 15, 10, 0), # Minimum stake > max-stake + (1, 11, 100, 11), # Below min stake + (1, 15, 10, 0), # Below min stake and min_stake > max_stake + +]) +def test__validate_stake_amount(mocker, default_conf, + stake_amount, min_stake_amount, max_stake_amount, expected): + freqtrade = get_patched_freqtradebot(mocker, default_conf) + + mocker.patch("freqtrade.wallets.Wallets.get_available_stake_amount", + return_value=max_stake_amount) + res = freqtrade.wallets._validate_stake_amount('XRP/USDT', stake_amount, min_stake_amount) + assert res == expected + + +@pytest.mark.parametrize('available_capital,closed_profit,open_stakes,free,expected', [ + (None, 10, 100, 910, 1000), + (None, 0, 0, 2500, 2500), + (None, 500, 0, 2500, 2000), + (None, 500, 0, 2500, 2000), + (None, -70, 0, 1930, 2000), + # Only available balance matters when it's set. + (100, 0, 0, 0, 100), + (1000, 0, 2, 5, 1000), + (1235, 2250, 2, 5, 1235), + (1235, -2250, 2, 5, 1235), +]) +def test_get_starting_balance(mocker, default_conf, available_capital, closed_profit, + open_stakes, free, expected): + if available_capital: + default_conf['available_capital'] = available_capital + mocker.patch("freqtrade.persistence.models.Trade.get_total_closed_profit", + return_value=closed_profit) + mocker.patch("freqtrade.persistence.models.Trade.total_open_trades_stakes", + return_value=open_stakes) + mocker.patch("freqtrade.wallets.Wallets.get_free", return_value=free) + + freqtrade = get_patched_freqtradebot(mocker, default_conf) + + assert freqtrade.wallets.get_starting_balance() == expected diff --git a/tests/testdata/backtest-result_multistrat.json b/tests/testdata/backtest-result_multistrat.json index 6999050b6..553783dfa 100644 --- a/tests/testdata/backtest-result_multistrat.json +++ b/tests/testdata/backtest-result_multistrat.json @@ -1 +1 @@ -{"strategy": {"DefaultStrategy": {"trades": [{"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:20:00+00:00", "trade_duration": 5, "open_rate": 9.64e-05, "close_rate": 0.00010074887218045112, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1037.344398340249, "profit_abs": 0.00399999999999999}, {"pair": "ADA/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:15:00+00:00", "close_date": "2018-01-10 07:30:00+00:00", "trade_duration": 15, "open_rate": 4.756e-05, "close_rate": 4.9705563909774425e-05, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 2102.6072329688814, "profit_abs": 0.00399999999999999}, {"pair": "XLM/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:35:00+00:00", "trade_duration": 10, "open_rate": 3.339e-05, "close_rate": 3.489631578947368e-05, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 2994.908655286014, "profit_abs": 0.0040000000000000036}, {"pair": "TRX/BTC", "profit_percent": 0.03990025, "open_date": "2018-01-10 07:25:00+00:00", "close_date": "2018-01-10 07:40:00+00:00", "trade_duration": 15, "open_rate": 9.696e-05, "close_rate": 0.00010133413533834584, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1031.3531353135315, "profit_abs": 0.00399999999999999}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 07:35:00+00:00", "close_date": "2018-01-10 08:35:00+00:00", "trade_duration": 60, "open_rate": 0.0943, "close_rate": 0.09477268170426063, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1.0604453870625663, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 07:40:00+00:00", "close_date": "2018-01-10 08:10:00+00:00", "trade_duration": 30, "open_rate": 0.02719607, "close_rate": 0.02760503345864661, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 3.677001860930642, "profit_abs": 0.0010000000000000009}, {"pair": "ZEC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 08:15:00+00:00", "close_date": "2018-01-10 09:55:00+00:00", "trade_duration": 100, "open_rate": 0.04634952, "close_rate": 0.046581848421052625, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 2.1575196463739, "profit_abs": 0.0}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 14:45:00+00:00", "close_date": "2018-01-10 15:50:00+00:00", "trade_duration": 65, "open_rate": 3.066e-05, "close_rate": 3.081368421052631e-05, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 3261.5786040443577, "profit_abs": -1.3877787807814457e-17}, {"pair": "LTC/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 16:35:00+00:00", "close_date": "2018-01-10 17:15:00+00:00", "trade_duration": 40, "open_rate": 0.0168999, "close_rate": 0.016984611278195488, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 5.917194776300452, "profit_abs": 1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 16:40:00+00:00", "close_date": "2018-01-10 17:20:00+00:00", "trade_duration": 40, "open_rate": 0.09132568, "close_rate": 0.0917834528320802, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1.0949822656672252, "profit_abs": 0.0}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 18:50:00+00:00", "close_date": "2018-01-10 19:45:00+00:00", "trade_duration": 55, "open_rate": 0.08898003, "close_rate": 0.08942604518796991, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1.1238476768326557, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETH/BTC", "profit_percent": 0.0, "open_date": "2018-01-10 22:15:00+00:00", "close_date": "2018-01-10 23:00:00+00:00", "trade_duration": 45, "open_rate": 0.08560008, "close_rate": 0.08602915308270676, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1.1682232072680307, "profit_abs": 0.0}, {"pair": "ETC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-10 22:50:00+00:00", "close_date": "2018-01-10 23:20:00+00:00", "trade_duration": 30, "open_rate": 0.00249083, "close_rate": 0.0025282860902255634, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 40.147260150231055, "profit_abs": 0.000999999999999987}, {"pair": "NXT/BTC", "profit_percent": -0.0, "open_date": "2018-01-10 23:15:00+00:00", "close_date": "2018-01-11 00:15:00+00:00", "trade_duration": 60, "open_rate": 3.022e-05, "close_rate": 3.037147869674185e-05, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 3309.0668431502318, "profit_abs": -1.3877787807814457e-17}, {"pair": "ETC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-10 23:40:00+00:00", "close_date": "2018-01-11 00:05:00+00:00", "trade_duration": 25, "open_rate": 0.002437, "close_rate": 0.0024980776942355883, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 41.03405826836274, "profit_abs": 0.001999999999999974}, {"pair": "ZEC/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 00:00:00+00:00", "close_date": "2018-01-11 00:35:00+00:00", "trade_duration": 35, "open_rate": 0.04771803, "close_rate": 0.04843559436090225, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 2.0956439316543456, "profit_abs": 0.0010000000000000009}, {"pair": "XLM/BTC", "profit_percent": -0.10448878, "open_date": "2018-01-11 03:40:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 45, "open_rate": 3.651e-05, "close_rate": 3.2859000000000005e-05, "open_at_end": false, "sell_reason": "stop_loss", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 2738.9756231169545, "profit_abs": -0.01047499999999997}, {"pair": "ETH/BTC", "profit_percent": 0.00997506, "open_date": "2018-01-11 03:55:00+00:00", "close_date": "2018-01-11 04:25:00+00:00", "trade_duration": 30, "open_rate": 0.08824105, "close_rate": 0.08956798308270676, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1.1332594070446804, "profit_abs": 0.0010000000000000009}, {"pair": "ETC/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 04:00:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 50, "open_rate": 0.00243, "close_rate": 0.002442180451127819, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 41.1522633744856, "profit_abs": -1.3877787807814457e-17}, {"pair": "ZEC/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:55:00+00:00", "trade_duration": 25, "open_rate": 0.04545064, "close_rate": 0.046589753784461146, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 2.200189040242338, "profit_abs": 0.001999999999999988}, {"pair": "XLM/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:30:00+00:00", "close_date": "2018-01-11 04:50:00+00:00", "trade_duration": 20, "open_rate": 3.372e-05, "close_rate": 3.456511278195488e-05, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 2965.599051008304, "profit_abs": 0.001999999999999988}, {"pair": "XMR/BTC", "profit_percent": 0.01995012, "open_date": "2018-01-11 04:55:00+00:00", "close_date": "2018-01-11 05:15:00+00:00", "trade_duration": 20, "open_rate": 0.02644, "close_rate": 0.02710265664160401, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 3.7821482602118004, "profit_abs": 0.001999999999999988}, {"pair": "ETH/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:20:00+00:00", "close_date": "2018-01-11 12:00:00+00:00", "trade_duration": 40, "open_rate": 0.08812, "close_rate": 0.08856170426065162, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 0.0025, "amount": 1.1348161597821154, "profit_abs": 0.0}, {"pair": "XMR/BTC", "profit_percent": -0.0, "open_date": "2018-01-11 11:35:00+00:00", "close_date": "2018-01-11 12:15:00+00:00", "trade_duration": 40, "open_rate": 0.02683577, "close_rate": 0.026970285137844607, "open_at_end": false, "sell_reason": "roi", "fee_open": 0.0025, "fee_close": 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