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Merge branch 'feat/short' into pr/samgermain/5567

This commit is contained in:
Matthias 2021-10-17 10:41:03 +02:00
parent 41b5e5627b 69fdb8edfa
commit 198f3c5238
17 changed files with 94 additions and 28 deletions
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9
build_helpers/install_ta-lib.sh
View File

@ -11,8 +11,13 @@ if [ ! -f "${INSTALL_LOC}/lib/libta_lib.a" ]; then
&& curl 'http://git.savannah.gnu.org/gitweb/?p=config.git;a=blob_plain;f=config.guess;hb=HEAD' -o config.guess \
&& curl 'http://git.savannah.gnu.org/gitweb/?p=config.git;a=blob_plain;f=config.sub;hb=HEAD' -o config.sub \
&& ./configure --prefix=${INSTALL_LOC}/ \
&& make -j$(nproc) \
&& which sudo && sudo make install || make install
&& make
if [ $? -ne 0 ]; then
echo "Failed building ta-lib."
cd .. && rm -rf ./ta-lib/
exit 1
fi
which sudo && sudo make install || make install
if [ -x "$(command -v apt-get)" ]; then
echo "Updating library path using ldconfig"
sudo ldconfig

4
docs/hyperopt.md
View File

@ -51,6 +51,7 @@ usage: freqtrade hyperopt [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
[--print-all] [--no-color] [--print-json] [-j JOBS]
[--random-state INT] [--min-trades INT]
[--hyperopt-loss NAME] [--disable-param-export]
[--ignore-missing-spaces]
optional arguments:
-h, --help show this help message and exit
@ -118,6 +119,9 @@ optional arguments:
MaxDrawDownHyperOptLoss
--disable-param-export
Disable automatic hyperopt parameter export.
--ignore-missing-spaces, --ignore-unparameterized-spaces
Suppress errors for any requested Hyperopt spaces that
do not contain any parameters.
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).

9
docs/includes/pairlists.md
View File

@ -194,17 +194,22 @@ 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.
The optional `min_profit` parameter defines the minimum profit a pair must have to be considered.
Pairs below this level will be filtered out.
Using this parameter without `minutes` is highly discouraged, as it can lead to an empty pairlist without without a way to recover.
```json
"pairlists": [
// ...
{
"method": "PerformanceFilter",
"minutes": 1440 // rolling 24h
"minutes": 1440, // rolling 24h
"min_profit": 0.01
}
],
```
!!! Note
!!! Warning "Backtesting"
`PerformanceFilter` does not support backtesting mode.
#### PrecisionFilter

3
freqtrade/commands/arguments.py
View File

@ -31,7 +31,8 @@ ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"epochs", "spaces", "print_all",
"print_colorized", "print_json", "hyperopt_jobs",
"hyperopt_random_state", "hyperopt_min_trades",
"hyperopt_loss", "disableparamexport"]
"hyperopt_loss", "disableparamexport",
"hyperopt_ignore_missing_space"]
ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]

6
freqtrade/commands/cli_options.py
View File

@ -558,4 +558,10 @@ AVAILABLE_CLI_OPTIONS = {
help='Do not print epoch details header.',
action='store_true',
),
"hyperopt_ignore_missing_space": Arg(
"--ignore-missing-spaces", "--ignore-unparameterized-spaces",
help=("Suppress errors for any requested Hyperopt spaces "
"that do not contain any parameters."),
action="store_true",
),
}

3
freqtrade/configuration/configuration.py
View File

@ -369,6 +369,9 @@ class Configuration:
self._args_to_config(config, argname='hyperopt_show_no_header',
logstring='Parameter --no-header detected: {}')
self._args_to_config(config, argname="hyperopt_ignore_missing_space",
logstring="Paramter --ignore-missing-space detected: {}")
def _process_plot_options(self, config: Dict[str, Any]) -> None:
self._args_to_config(config, argname='pairs',

1
freqtrade/optimize/hyperopt.py
View File

@ -258,6 +258,7 @@ 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.protection_space
+ self.roi_space + self.stoploss_space + self.trailing_space)

27
freqtrade/optimize/hyperopt_auto.py
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@ -3,6 +3,7 @@ HyperOptAuto class.
This module implements a convenience auto-hyperopt class, which can be used together with strategies
that implement IHyperStrategy interface.
"""
import logging
from contextlib import suppress
from typing import Callable, Dict, List
@ -15,12 +16,19 @@ with suppress(ImportError):
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.")
logger = logging.getLogger(__name__)
def _format_exception_message(space: str, ignore_missing_space: bool) -> None:
msg = (f"The '{space}' space is included into the hyperoptimization "
f"but no parameter for this space was not found in your Strategy. "
)
if ignore_missing_space:
logger.warning(msg + "This space will be ignored.")
else:
raise OperationalException(
msg + f"Please make sure to have parameters for this space enabled for optimization "
f"or remove the '{space}' space from hyperoptimization.")
class HyperOptAuto(IHyperOpt):
@ -48,13 +56,16 @@ class HyperOptAuto(IHyperOpt):
if attr.optimize:
yield attr.get_space(attr_name)
def _get_indicator_space(self, category):
def _get_indicator_space(self, category) -> List:
# 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:
_format_exception_message(category)
_format_exception_message(
category,
self.config.get("hyperopt_ignore_missing_space", False))
return []
def buy_indicator_space(self) -> List['Dimension']:
return self._get_indicator_space('buy')

9
freqtrade/plugins/pairlist/PerformanceFilter.py
View File

@ -21,6 +21,7 @@ class PerformanceFilter(IPairList):
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._minutes = pairlistconfig.get('minutes', 0)
self._min_profit = pairlistconfig.get('min_profit', None)
@property
def needstickers(self) -> bool:
@ -68,6 +69,14 @@ class PerformanceFilter(IPairList):
sorted_df = list_df.merge(performance, on='pair', how='left')\
.fillna(0).sort_values(by=['count', 'pair'], ascending=True)\
.sort_values(by=['profit'], ascending=False)
if self._min_profit is not None:
removed = sorted_df[sorted_df['profit'] < self._min_profit]
for _, row in removed.iterrows():
self.log_once(
f"Removing pair {row['pair']} since {row['profit']} is "
f"below {self._min_profit}", logger.info)
sorted_df = sorted_df[sorted_df['profit'] >= self._min_profit]
pairlist = sorted_df['pair'].tolist()
return pairlist

2
freqtrade/rpc/api_server/deps.py
View File

@ -1,5 +1,6 @@
from typing import Any, Dict, Optional
from freqtrade.persistence import Trade
from freqtrade.rpc.rpc import RPC, RPCException
from .webserver import ApiServer
@ -14,6 +15,7 @@ def get_rpc_optional() -> Optional[RPC]:
def get_rpc() -> Optional[RPC]:
_rpc = get_rpc_optional()
if _rpc:
Trade.query.session.rollback()
return _rpc
else:
raise RPCException('Bot is not in the correct state')

4
freqtrade/rpc/telegram.py
View File

@ -25,6 +25,7 @@ from freqtrade.constants import DUST_PER_COIN
from freqtrade.enums import RPCMessageType
from freqtrade.exceptions import OperationalException
from freqtrade.misc import chunks, plural, round_coin_value
from freqtrade.persistence import Trade
from freqtrade.rpc import RPC, RPCException, RPCHandler
@ -59,7 +60,8 @@ def authorized_only(command_handler: Callable[..., None]) -> Callable[..., Any]:
update.message.chat_id
)
return wrapper
# Rollback session to avoid getting data stored in a transaction.
Trade.query.session.rollback()
logger.debug(
'Executing handler: %s for chat_id: %s',
command_handler.__name__,

4
mkdocs.yml
View File

@ -55,8 +55,8 @@ theme:
primary: "blue grey"
accent: "tear"
toggle:
icon: material/toggle-switch-off-outline
name: Switch to dark mode
icon: material/toggle-switch
name: Switch to light mode
extra_css:
- "stylesheets/ft.extra.css"
extra_javascript:

2
tests/conftest.py
View File

@ -285,6 +285,7 @@ def create_mock_trades(fee, is_short: bool, use_db: bool = True):
add_trade(trade)
if use_db:
Trade.commit()
Trade.query.session.flush()
@ -357,6 +358,7 @@ def create_mock_trades_usdt(fee, use_db: bool = True):
add_trade(trade)
if use_db:
Trade.commit()
Trade.query.session.flush()

10
tests/optimize/test_hyperopt.py
View File

@ -705,7 +705,7 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non
assert hasattr(hyperopt, "position_stacking")
def test_simplified_interface_all_failed(mocker, hyperopt_conf) -> None:
def test_simplified_interface_all_failed(mocker, hyperopt_conf, caplog) -> 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',
@ -727,7 +727,13 @@ def test_simplified_interface_all_failed(mocker, hyperopt_conf) -> None:
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
with pytest.raises(OperationalException, match=r"The 'protection' space is included into *"):
hyperopt.start()
hyperopt.init_spaces()
hyperopt.config['hyperopt_ignore_missing_space'] = True
caplog.clear()
hyperopt.init_spaces()
assert log_has_re(r"The 'protection' space is included into *", caplog)
assert hyperopt.protection_space == []
def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:

7
tests/plugins/test_pairlist.py
View File

@ -666,11 +666,11 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
@pytest.mark.usefixtures("init_persistence")
# TODO-lev: @pytest.mark.parametrize('is_short', [True, False])
def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None:
def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee, caplog) -> None:
whitelist_conf['exchange']['pair_whitelist'].append('XRP/BTC')
whitelist_conf['pairlists'] = [
{"method": "StaticPairList"},
{"method": "PerformanceFilter", "minutes": 60}
{"method": "PerformanceFilter", "minutes": 60, "min_profit": 0.01}
]
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
exchange = get_patched_exchange(mocker, whitelist_conf)
@ -682,7 +682,8 @@ def test_PerformanceFilter_lookback(mocker, whitelist_conf, fee) -> None:
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
create_mock_trades(fee, False)
pm.refresh_pairlist()
assert pm.whitelist == ['XRP/BTC', 'ETH/BTC', 'TKN/BTC']
assert pm.whitelist == ['XRP/BTC']
assert log_has_re(r'Removing pair .* since .* is below .*', caplog)
# Move to "outside" of lookback window, so original sorting is restored.
t.move_to("2021-09-01 07:00:00 +00:00")

14
tests/rpc/test_rpc_apiserver.py
View File

@ -95,7 +95,7 @@ def test_api_not_found(botclient):
assert rc.json() == {"detail": "Not Found"}
def test_api_ui_fallback(botclient):
def test_api_ui_fallback(botclient, mocker):
ftbot, client = botclient
rc = client_get(client, "/favicon.ico")
@ -109,9 +109,16 @@ def test_api_ui_fallback(botclient):
rc = client_get(client, "/something")
assert rc.status_code == 200
# Test directory traversal
# Test directory traversal without mock
rc = client_get(client, '%2F%2F%2Fetc/passwd')
assert rc.status_code == 200
# Allow both fallback or real UI
assert '`freqtrade install-ui`' in rc.text or '<!DOCTYPE html>' in rc.text
mocker.patch.object(Path, 'is_file', MagicMock(side_effect=[True, False]))
rc = client_get(client, '%2F%2F%2Fetc/passwd')
assert rc.status_code == 200
assert '`freqtrade install-ui`' in rc.text
@ -617,10 +624,11 @@ def test_api_delete_trade(botclient, mocker, fee, markets):
assert_response(rc, 502)
create_mock_trades(fee, False)
Trade.query.session.flush()
ftbot.strategy.order_types['stoploss_on_exchange'] = True
trades = Trade.query.all()
trades[1].stoploss_order_id = '1234'
Trade.commit()
assert len(trades) > 2
rc = client_delete(client, f"{BASE_URI}/trades/1")

8
tests/test_freqtradebot.py
View File

@ -3738,9 +3738,9 @@ def test_disable_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=MagicMock(return_value={
'bid': 0.00000172,
'ask': 0.00000173,
'last': 0.00000172
'bid': 2.0,
'ask': 2.0,
'last': 2.0
}),
create_order=MagicMock(side_effect=[
limit_order_open[enter_side(is_short)],
@ -3770,7 +3770,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf_usdt, limit_order, limit_
# Test if buy-signal is absent
patch_get_signal(freqtrade, enter_long=False, exit_long=not is_short, exit_short=is_short)
assert freqtrade.handle_trade(trade) is True
assert trade.sell_reason == SellType.SELL_SIGNAL.value
assert trade.sell_reason == SellType.ROI.value
def test_get_real_amount_quote(default_conf_usdt, trades_for_order, buy_order_fee, fee, caplog,