fixed some bugs, improved the backtesting and strategy table. Possible now to specify which features we want to use in the backtesting api
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Gert
parent
a51746c255
commit
1b77d66e2c
@ -1,3 +1,4 @@
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import datetime
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import logging
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import os
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import boto3
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@ -37,101 +38,105 @@ def backtest(event, context):
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no return
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"""
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if 'body' in event:
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event['body'] = json.loads(event['body'])
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name = event['body']['name']
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user = event['body']['user']
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if 'Records' in event:
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for x in event['Records']:
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if 'Sns' in x and 'Message' in x['Sns']:
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# technically we can get all these from teh strategy table
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stake_currency = event['body']['stake_currency'].upper()
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asset = event['body']['asset']
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exchange = event['body']['exchange']
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event['body'] = json.loads(x['Sns']['Message'])
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name = event['body']['name']
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user = event['body']['user']
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assets = list(map(lambda x: "{}/{}".format(x, stake_currency).upper(), asset))
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trade_table = get_trade_table()
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table = get_strategy_table()
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trade_table = get_trade_table()
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table = get_strategy_table()
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response = table.query(
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KeyConditionExpression=Key('user').eq(user) &
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Key('name').eq(name)
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response = table.query(
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KeyConditionExpression=Key('user').eq(user) &
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Key('name').eq(name)
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)
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)
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print(response)
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if "Items" in response and len(response['Items']) > 0:
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print(response)
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if "Items" in response and len(response['Items']) > 0:
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today = datetime.datetime.today()
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yesterday = today - datetime.timedelta(days=1)
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content = response['Items'][0]['content']
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configuration = {
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"max_open_trades": 1,
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"stake_currency": stake_currency,
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"stake_amount": 1,
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"fiat_display_currency": "USD",
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"unfilledtimeout": 600,
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"bid_strategy": {
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"ask_last_balance": 0.0
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},
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"exchange": {
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"name": exchange,
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"enabled": True,
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"key": "key",
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"secret": "secret",
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"pair_whitelist": assets
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},
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"telegram": {
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"enabled": False,
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"token": "token",
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"chat_id": "0"
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},
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"initial_state": "running",
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"datadir": ".",
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"experimental": {
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"use_sell_signal": True,
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"sell_profit_only": True
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},
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"internals": {
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"process_throttle_secs": 5
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},
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'realistic_simulation': True,
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"loglevel": logging.DEBUG,
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"strategy": "{}:{}".format(name, content)
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content = response['Items'][0]['content']
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configuration = {
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"max_open_trades": 1,
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"stake_currency": response['Items'][0]['stake_currency'],
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"stake_amount": 1,
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"fiat_display_currency": "USD",
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"unfilledtimeout": 600,
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"trailing_stop": response['Items'][0]['trailing_stop'],
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"bid_strategy": {
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"ask_last_balance": 0.0
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},
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"exchange": {
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"name": response['Items'][0]['exchange'],
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"enabled": True,
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"key": "key",
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"secret": "secret",
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"pair_whitelist": list(
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map(lambda x: "{}/{}".format(x, response['Items'][0]['stake_currency']).upper(),
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response['Items'][0]['assets']))
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},
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"telegram": {
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"enabled": False,
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"token": "token",
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"chat_id": "0"
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},
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"initial_state": "running",
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"datadir": ".",
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"experimental": {
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"use_sell_signal": response['Items'][0]['use_sell'],
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"sell_profit_only": True
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},
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"internals": {
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"process_throttle_secs": 5
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},
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'realistic_simulation': True,
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"loglevel": logging.DEBUG,
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"strategy": "{}:{}".format(name, content),
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"timerange": "{}-{}".format(yesterday.strftime('%Y%m%d'), today.strftime('%Y%m%d')),
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"refresh_pairs": True
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}
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}
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print("generated configuration")
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print(configuration)
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print("generated configuration")
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print(configuration)
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print("initialized backtesting")
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backtesting = Backtesting(configuration)
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result = backtesting.start()
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print("finished test")
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print("initialized backtesting")
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backtesting = Backtesting(configuration)
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result = backtesting.start()
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print("finished test")
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print("persist data in dynamo")
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print("persist data in dynamo")
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print(result)
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for index, row in result.iterrows():
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data = {
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"id": "{}.{}:{}".format(user, name, row['currency']),
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"trade": "{} to {}".format(row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
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row['exit'].strftime('%Y-%m-%d %H:%M:%S')),
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"pair": row['currency'],
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"duration": row['duration'],
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"profit_percent": row['profit_percent'],
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"profit_stake": row['profit_BTC'],
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"entry_date": row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
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"exit_date": row['exit'].strftime('%Y-%m-%d %H:%M:%S')
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}
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print(result)
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for index, row in result.iterrows():
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data = {
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"id": "{}.{}:{}".format(user, name, row['currency']),
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"trade": "{} to {}".format(row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
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row['exit'].strftime('%Y-%m-%d %H:%M:%S')),
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"pair": row['currency'],
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"duration": row['duration'],
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"profit_percent": row['profit_percent'],
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"profit_stake": row['profit_BTC'],
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"entry_date": row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
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"exit_date": row['exit'].strftime('%Y-%m-%d %H:%M:%S')
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}
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data = json.dumps(data, use_decimal=True)
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data = json.loads(data, use_decimal=True)
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print(data)
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# persist data
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trade_table.put_item(Item=data)
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else:
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raise Exception(
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"sorry we did not find any matching strategy for user {} and name {}".format(user, name))
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data = json.dumps(data, use_decimal=True)
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data = json.loads(data, use_decimal=True)
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print(data)
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# persist data
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trade_table.put_item(Item=data)
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else:
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raise Exception(
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"sorry we did not find any matching strategy for user {} and name {}".format(user, name))
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else:
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raise Exception("no body provided")
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raise Exception("not a valid event: {}".format(event))
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def cron(event, context):
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@ -186,6 +186,22 @@ def __evaluate(data):
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data['stoploss'] = strat.stoploss
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data['ticker'] = strat.ticker_interval
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# default variables if not provided
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if 'trailing_stop' not in data:
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data['trailing_stop'] = False
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if 'stake_currency' not in data:
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data['stake_currency'] = "USDT"
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if 'use_sell' not in data:
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data['use_sell'] = True
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if 'exchange' not in data:
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data['exchange'] = 'binance'
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if 'assets' not in data:
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data['assets'] = ["BTC", "ETH", "LTC"]
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# force serialization to deal with decimal number
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data = json.dumps(data, use_decimal=True)
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data = json.loads(data, use_decimal=True)
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@ -13,6 +13,9 @@ def get_trade_table():
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:return:
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"""
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if 'tradeTable' not in os.environ:
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os.environ['tradeTable'] = "FreqTradeTable"
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table_name = os.environ['tradeTable']
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existing_tables = boto3.client('dynamodb').list_tables()['TableNames']
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if table_name not in existing_tables:
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@ -55,6 +58,9 @@ def get_strategy_table():
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provides us access to the strategy table and if it doesn't exists creates it for us
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:return:
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"""
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if 'strategyTable' not in os.environ:
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os.environ['strategyTable'] = "FreqStrategyTable"
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table_name = os.environ['strategyTable']
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existing_tables = boto3.client('dynamodb').list_tables()['TableNames']
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@ -62,7 +68,7 @@ def get_strategy_table():
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if table_name not in existing_tables:
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try:
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db.create_table(
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TableName=os.environ[table_name],
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TableName=table_name,
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KeySchema=[
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{
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'AttributeName': 'user',
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@ -1,5 +1,7 @@
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import os
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from base64 import urlsafe_b64encode
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import boto3
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import pytest
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import simplejson as json
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from freqtrade.aws.backtesting_lambda import backtest, cron
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@ -64,15 +66,21 @@ class MyFancyTestStrategy(IStrategy):
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"body": json.dumps(request)
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}, {})
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# build sns request
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request = {
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"user": "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
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"name": "MyFancyTestStrategy",
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"stake_currency": "usdt",
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"asset": ["ETH", "BTC", "XRP", "LTC"],
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"exchange": "binance"
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"name": "MyFancyTestStrategy"
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}
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backtest({"body": json.dumps(request)}, {})
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backtest({
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"Records": [
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{
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"Sns": {
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"Subject": "backtesting",
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"Message": json.dumps(request)
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}
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}]
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}, {})
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def test_cron(lambda_context):
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@ -135,4 +143,7 @@ class MyFancyTestStrategy(IStrategy):
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}, {})
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print("evaluating cron job")
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cron({}, {})
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#TODO test receiving of message some how
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@ -628,13 +628,15 @@ def lambda_context():
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lamb.start()
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session = boto3.session.Session()
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client = session.client('sns')
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dynamodb = boto3.resource('dynamodb')
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os.environ["strategyTable"] = "StrategyTable"
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os.environ["tradeTable"] = "TradeTable"
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os.environ["topic"] = "UnitTestTopic"
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client = session.client('sns')
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client.create_topic(Name=os.environ["topic"])
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dynamodb = boto3.resource('dynamodb')
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import responses
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# do not mock requests to these urls
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@ -490,7 +490,7 @@ def test_processed(default_conf, mocker) -> None:
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def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
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mocker.patch('freqtrade.optimize.backtesting.exchange.get_fee', fee)
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tests = [['raise', 17], ['lower', 0], ['sine', 17]]
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tests = [['raise', 17], ['lower', 0], ['sine', 16]]
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for [contour, numres] in tests:
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simple_backtest(default_conf, contour, numres, mocker)
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