From 4d1488498cb3b884d21eb8c4d3690810bb5d79bc Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 11 Oct 2019 08:55:31 +0200 Subject: [PATCH 01/82] stoploss_reached should not use config --- freqtrade/strategy/interface.py | 10 ++++------ 1 file changed, 4 insertions(+), 6 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index b35ebabbb..4d18e5232 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -79,7 +79,7 @@ class IStrategy(ABC): # trailing stoploss trailing_stop: bool = False trailing_stop_positive: float - trailing_stop_positive_offset: float + trailing_stop_positive_offset: float = 0.0 trailing_only_offset_is_reached = False # associated ticker interval @@ -347,22 +347,20 @@ class IStrategy(ABC): decides to sell or not :param current_profit: current profit in percent """ - trailing_stop = self.config.get('trailing_stop', False) stop_loss_value = force_stoploss if force_stoploss else self.stoploss # Initiate stoploss with open_rate. Does nothing if stoploss is already set. trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True) - if trailing_stop: + if self.trailing_stop: # trailing stoploss handling - sl_offset = self.config.get('trailing_stop_positive_offset') or 0.0 - tsl_only_offset = self.config.get('trailing_only_offset_is_reached', False) + sl_offset = self.trailing_stop_positive_offset # Make sure current_profit is calculated using high for backtesting. high_profit = current_profit if not high else trade.calc_profit_percent(high) # Don't update stoploss if trailing_only_offset_is_reached is true. - if not (tsl_only_offset and high_profit < sl_offset): + if not (self.trailing_only_offset_is_reached and high_profit < sl_offset): # Specific handling for trailing_stop_positive if 'trailing_stop_positive' in self.config and high_profit > sl_offset: # Ignore mypy error check in configuration that this is a float From ff7a3cc885ec9ce26d50ca002fd2b228d666fd89 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 11 Oct 2019 09:05:21 +0200 Subject: [PATCH 02/82] remove last occurance of config. from stop_loss_reached --- freqtrade/strategy/interface.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 4d18e5232..9c6936c20 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -362,9 +362,9 @@ class IStrategy(ABC): # Don't update stoploss if trailing_only_offset_is_reached is true. if not (self.trailing_only_offset_is_reached and high_profit < sl_offset): # Specific handling for trailing_stop_positive - if 'trailing_stop_positive' in self.config and high_profit > sl_offset: + if 'trailing_stop_positive' in self.__dict__ and high_profit > sl_offset: # Ignore mypy error check in configuration that this is a float - stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore + stop_loss_value = self.trailing_stop_positive logger.debug(f"{trade.pair} - Using positive stoploss: {stop_loss_value} " f"offset: {sl_offset:.4g} profit: {current_profit:.4f}%") From 4c1705fb1e552d13f854934dc23acac5b8bf73d5 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 11 Oct 2019 22:59:13 +0300 Subject: [PATCH 03/82] No specific handling for trailing_stop_positive --- freqtrade/resolvers/strategy_resolver.py | 5 ++++- freqtrade/strategy/interface.py | 5 ++--- 2 files changed, 6 insertions(+), 4 deletions(-) diff --git a/freqtrade/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py index 43197e5bc..b9c641853 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -95,7 +95,10 @@ class StrategyResolver(IResolver): logger.info("Override strategy '%s' with value in config file: %s.", attribute, config[attribute]) elif hasattr(self.strategy, attribute): - config[attribute] = getattr(self.strategy, attribute) + val = getattr(self.strategy, attribute) + # None's cannot exist in the config, so do not copy them + if val is not None: + config[attribute] = val # Explicitly check for None here as other "falsy" values are possible elif default is not None: setattr(self.strategy, attribute, default) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 9c6936c20..e4cfe0088 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -78,7 +78,7 @@ class IStrategy(ABC): # trailing stoploss trailing_stop: bool = False - trailing_stop_positive: float + trailing_stop_positive: Optional[float] = None trailing_stop_positive_offset: float = 0.0 trailing_only_offset_is_reached = False @@ -361,8 +361,7 @@ class IStrategy(ABC): # Don't update stoploss if trailing_only_offset_is_reached is true. if not (self.trailing_only_offset_is_reached and high_profit < sl_offset): - # Specific handling for trailing_stop_positive - if 'trailing_stop_positive' in self.__dict__ and high_profit > sl_offset: + if self.trailing_stop_positive is not None and high_profit > sl_offset: # Ignore mypy error check in configuration that this is a float stop_loss_value = self.trailing_stop_positive logger.debug(f"{trade.pair} - Using positive stoploss: {stop_loss_value} " From 3c8d27d0985430254d8d7371e790a56f3ddef8bc Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 09:54:03 +0200 Subject: [PATCH 04/82] remove correct comment ... --- freqtrade/strategy/interface.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index e4cfe0088..014ca9968 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -361,8 +361,8 @@ class IStrategy(ABC): # Don't update stoploss if trailing_only_offset_is_reached is true. if not (self.trailing_only_offset_is_reached and high_profit < sl_offset): + # Specific handling for trailing_stop_positive if self.trailing_stop_positive is not None and high_profit > sl_offset: - # Ignore mypy error check in configuration that this is a float stop_loss_value = self.trailing_stop_positive logger.debug(f"{trade.pair} - Using positive stoploss: {stop_loss_value} " f"offset: {sl_offset:.4g} profit: {current_profit:.4f}%") From baad1a51668a82df63d990a03d73dbd866a17904 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 10:45:57 +0200 Subject: [PATCH 05/82] Explain _params element --- freqtrade/exchange/exchange.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index df7e5e2b4..827a6df7c 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -142,6 +142,8 @@ def retrier(f): class Exchange: _config: Dict = {} + + # Parameters to add directly to buy/sell calls (like agreeing to trading agreement) _params: Dict = {} # Dict to specify which options each exchange implements From 6697b677dc44c91f939e8aa31eff0d590507cdc7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 18:56:46 +0200 Subject: [PATCH 06/82] Add test for test_data_filename --- tests/data/test_history.py | 11 +++++++++-- 1 file changed, 9 insertions(+), 2 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 96bc0da56..458c38189 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -15,13 +15,14 @@ from freqtrade.configuration import TimeRange from freqtrade.data import history from freqtrade.data.history import (download_pair_history, _load_cached_data_for_updating, - load_tickerdata_file, refresh_backtest_ohlcv_data, + load_tickerdata_file, pair_data_filename, trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json from freqtrade.strategy.default_strategy import DefaultStrategy -from tests.conftest import get_patched_exchange, log_has, log_has_re, patch_exchange +from tests.conftest import (get_patched_exchange, log_has, log_has_re, + patch_exchange) # Change this if modifying UNITTEST/BTC testdatafile _BTC_UNITTEST_LENGTH = 13681 @@ -134,6 +135,12 @@ def test_testdata_path(testdatadir) -> None: assert str(Path('tests') / 'testdata') in str(testdatadir) +def test_pair_data_filename(): + fn = pair_data_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m') + assert isinstance(fn, Path) + assert fn == Path('freqtrade/hello/world/ETH_BTC-5m.json') + + def test_load_cached_data_for_updating(mocker) -> None: datadir = Path(__file__).parent.parent.joinpath('testdata') From 63e87ef85b69a267c412ad445b78c069b6024915 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 18:58:27 +0200 Subject: [PATCH 07/82] Add pair_trades_filename --- freqtrade/data/history.py | 6 ++++++ tests/data/test_history.py | 7 +++++++ 2 files changed, 13 insertions(+) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 991a639ca..e47ddf6c8 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -173,6 +173,12 @@ def pair_data_filename(datadir: Path, pair: str, ticker_interval: str) -> Path: return filename +def pair_trades_filename(datadir: Path, pair: str) -> Path: + pair_s = pair.replace("/", "_") + filename = datadir.joinpath(f'{pair_s}-trades.json') + return filename + + def _load_cached_data_for_updating(datadir: Path, pair: str, ticker_interval: str, timerange: Optional[TimeRange]) -> Tuple[List[Any], Optional[int]]: diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 458c38189..12d8d93da 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -17,6 +17,7 @@ from freqtrade.data.history import (download_pair_history, _load_cached_data_for_updating, refresh_backtest_ohlcv_data, load_tickerdata_file, pair_data_filename, + pair_trades_filename, trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json @@ -141,6 +142,12 @@ def test_pair_data_filename(): assert fn == Path('freqtrade/hello/world/ETH_BTC-5m.json') +def test_pair_trades_filename(): + fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m') + assert isinstance(fn, Path) + assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json') + + def test_load_cached_data_for_updating(mocker) -> None: datadir = Path(__file__).parent.parent.joinpath('testdata') From 27dc9ca799e6b2cbba019668f1cbc6bba06fe81a Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 19:22:52 +0200 Subject: [PATCH 08/82] Add trades_pagination attributes --- freqtrade/exchange/binance.py | 2 ++ freqtrade/exchange/exchange.py | 6 ++++++ freqtrade/exchange/kraken.py | 4 ++++ 3 files changed, 12 insertions(+) diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 14f409659..b5507981f 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -16,6 +16,8 @@ class Binance(Exchange): _ft_has: Dict = { "stoploss_on_exchange": True, "order_time_in_force": ['gtc', 'fok', 'ioc'], + "trades_pagination": "id", + "trades_pagination_arg": "fromId", } def get_order_book(self, pair: str, limit: int = 100) -> dict: diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 827a6df7c..98e70ca7e 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -154,6 +154,9 @@ class Exchange: "order_time_in_force": ["gtc"], "ohlcv_candle_limit": 500, "ohlcv_partial_candle": True, + "trades_pagination": "time", # Possible are "time" or "id" + "trades_pagination_arg": "since", + } _ft_has: Dict = {} @@ -197,6 +200,9 @@ class Exchange: self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit'] self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle'] + self._trades_pagination = self._ft_has['trades_pagination'] + self._trades_pagination_arg = self._ft_has['trades_pagination_arg'] + # Initialize ccxt objects self._api = self._init_ccxt( exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config')) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 6d3e82eca..f548489bc 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -14,6 +14,10 @@ logger = logging.getLogger(__name__) class Kraken(Exchange): _params: Dict = {"trading_agreement": "agree"} + _ft_has: Dict = { + "trades_pagination": "id", + "trades_pagination_arg": "since", + } @retrier def get_balances(self) -> dict: From 26b3148904860055aaf714ca8373a175721a320f Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 20:30:13 +0200 Subject: [PATCH 09/82] Add build_ohlcv wrapper --- freqtrade/exchange/exchange.py | 17 +++++++++++++++++ 1 file changed, 17 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 98e70ca7e..8ce0dec1b 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -839,6 +839,23 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e + def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None, + limit: int = None) -> str: + # TODO: fix return value + """ + Build ohlcv data from trade list. + trade-list has to be in the ccxt format, which is a list of dicts containing at least: + * timestamp + * price + * amount + :param trades: List of Dicts + :param timeframe: timeframe to convert to (e.g. "5m") + :param since: start at a specific data, as oposed to the trades-list start date + :param limit: Limit amount of candles + :return: ohlcv data (as returned by ccxt.fetch_ohlcv) + """ + return self._api.build_ohlcv(trades, timeframe, since, limit) + def is_exchange_bad(exchange_name: str) -> bool: return exchange_name in BAD_EXCHANGES From 77c367ad1df5d3c04bf456a67314893179317771 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 20:30:29 +0200 Subject: [PATCH 10/82] First draft of async get_trade methods --- freqtrade/exchange/exchange.py | 140 +++++++++++++++++++++++++++++++++ 1 file changed, 140 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 8ce0dec1b..5608d233c 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -745,6 +745,146 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(f'Could not fetch ticker data. Msg: {e}') from e + @retrier_async + async def _async_fetch_trades(self, pair: str, + since: Optional[int] = None, + params: Optional[dict] = None) -> List[Dict]: + """ + Asyncronously gets trade history using fetch_trades. + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + returns tuple: (pair, ticker_interval, ohlcv_list) + """ + if not self.exchange_has("fetchTrades"): + # TODO: Maybe don't stop the bot ... ? + raise OperationalException("This exchange does not suport downloading Trades.") + try: + # fetch trades asynchronously + if params: + logger.debug("Fetching trades for pair %s, params: %s ", pair, params) + trades = await self._api_async.fetch_trades(pair, params=params, limit=1000) + else: + logger.debug( + "Fetching trades for pair %s, since %s %s...", + pair, since, + '(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else '' + ) + trades = await self._api_async.fetch_trades(pair, since=since, limit=1000) + return trades + except ccxt.NotSupported as e: + raise OperationalException( + f'Exchange {self._api.name} does not support fetching historical trade data.' + f'Message: {e}') from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. ' + f'Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e + + async def _async_get_trade_history_id(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None) -> Tuple[str, List[Dict]]: + """ + Asyncronously gets trade history using fetch_trades + use this when exchange doesn't use time-based pagination (e.g. Kraken) + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + :param until: Until as integer timestamp in milliseconds + returns tuple: (pair, ticker_interval, ohlcv_list) + """ + try: + if self._trades_pagination == 'time': + raise OperationalException(f"Wrong method called to get trades for {self.name}") + trades: List[Dict] = [] + + # Fetch first elements using timebased method to get an ID to paginate on + # Depending on the Exchange, this can introduce a drift at the start of the interval + # of up to an hour. + # Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first candles. + t = await self._async_fetch_trades(pair, since=since) + from_id = t[-1]['id'] + trades.extend(t) + while True: + t = await self._async_fetch_trades(pair, + params={self._trades_pagination_arg: from_id}) + if len(t): + from_id = t[-1]['id'] + # TODO: eliminate duplicates (first trade = last from previous) + trades.extend(t) + # Reached the end of the defined-download period + if until and t[-1]['timestamp'] > until: + print(f"Reached {t[-1]['timestamp']} > {until}") + break + else: + break + + return (pair, trades) + except ccxt.NotSupported as e: + raise OperationalException( + f'Exchange {self._api.name} does not support fetching historical trade data.' + f'Message: {e}') from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. ' + f'Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e + + async def _async_get_trade_history(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None) -> Tuple[str, List]: + """ + Asyncronously gets trade history using fetch_trades. + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + :param until: Until as integer timestamp in milliseconds + returns tuple: (pair, ticker_interval, ohlcv_list) + """ + if not self.exchange_has("fetchTrades"): + # TODO: Maybe don't completey stop the bot ... ? + raise OperationalException("This exchange does not suport downloading Trades.") + try: + if self._trades_pagination != 'time': + return await self._async_get_trade_history_id(pair, since, until) + + trades: List[Dict] = [] + while True: + t = await self._async_fetch_trades(pair, since=since) + if len(t): + since = t[-1]['timestamp'] + trades.extend(t) + # Reached the end of the defined-download period + if until and t[-1]['timestamp'] > until: + break + else: + break + + return (pair, trades) + except ccxt.NotSupported as e: + raise OperationalException( + f'Exchange {self._api.name} does not support fetching historical trade data.' + f'Message: {e}') from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. ' + f'Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e + + def get_historic_trades(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None) -> List: + """ + Gets candle history using asyncio and returns the list of candles. + Handles all async doing. + Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call. + :param pair: Pair to download + :param ticker_interval: Interval to get + :param since_ms: Timestamp in milliseconds to get history from + :returns List of tickers + """ + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history(pair=pair, since=since, until=until)) + @retrier def cancel_order(self, order_id: str, pair: str) -> None: if self._config['dry_run']: From 6cc98c1ea92f5975298946cb8db1219349cbf8c4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 15 Aug 2019 16:49:54 +0200 Subject: [PATCH 11/82] Fix tests --- tests/data/test_history.py | 2 +- tests/exchange/test_exchange.py | 6 +++++- 2 files changed, 6 insertions(+), 2 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 12d8d93da..55b8fe1d1 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -143,7 +143,7 @@ def test_pair_data_filename(): def test_pair_trades_filename(): - fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m') + fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC') assert isinstance(fn, Path) assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json') diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index bf6025322..9e6356b18 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1453,13 +1453,17 @@ def test_merge_ft_has_dict(default_conf, mocker): assert ex._ft_has == Exchange._ft_has_default ex = Kraken(default_conf) - assert ex._ft_has == Exchange._ft_has_default + assert ex._ft_has != Exchange._ft_has_default + assert ex._ft_has['trades_pagination'] == 'id' + assert ex._ft_has['trades_pagination_arg'] == 'since' # Binance defines different values ex = Binance(default_conf) assert ex._ft_has != Exchange._ft_has_default assert ex._ft_has['stoploss_on_exchange'] assert ex._ft_has['order_time_in_force'] == ['gtc', 'fok', 'ioc'] + assert ex._ft_has['trades_pagination'] == 'id' + assert ex._ft_has['trades_pagination_arg'] == 'fromId' conf = copy.deepcopy(default_conf) conf['exchange']['_ft_has_params'] = {"DeadBeef": 20, From 42b82415411b5d90bf8aa46d5fcf59dc57a317c7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:26:20 +0200 Subject: [PATCH 12/82] use gz to save / load trades data --- freqtrade/data/history.py | 2 +- tests/data/test_history.py | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index e47ddf6c8..b487ea56e 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -175,7 +175,7 @@ def pair_data_filename(datadir: Path, pair: str, ticker_interval: str) -> Path: def pair_trades_filename(datadir: Path, pair: str) -> Path: pair_s = pair.replace("/", "_") - filename = datadir.joinpath(f'{pair_s}-trades.json') + filename = datadir.joinpath(f'{pair_s}-trades.json.gz') return filename diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 55b8fe1d1..032c1b306 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -145,7 +145,7 @@ def test_pair_data_filename(): def test_pair_trades_filename(): fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC') assert isinstance(fn, Path) - assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json') + assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json.gz') def test_load_cached_data_for_updating(mocker) -> None: From d250b67f33feccb937ef61a7c7de18a20e25b2cc Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:26:38 +0200 Subject: [PATCH 13/82] Add load/store trades data --- freqtrade/data/history.py | 24 ++++++++++++++++++++++++ 1 file changed, 24 insertions(+) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index b487ea56e..cbae01152 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -82,6 +82,30 @@ def store_tickerdata_file(datadir: Path, pair: str, misc.file_dump_json(filename, data, is_zip=is_zip) +def load_trades_file(datadir: Optional[Path], pair: str, + timerange: Optional[TimeRange] = None) -> Optional[list]: + """ + Load a pair from file, either .json.gz or .json + :return: tickerlist or None if unsuccesful + """ + filename = pair_trades_filename(datadir, pair) + tradesdata = misc.file_load_json(filename) + if not tradesdata: + return None + + # TODO: trim trades based on timerange... ? + return tradesdata + + +def store_trades_file(datadir: Optional[Path], pair: str, + data: list, is_zip: bool = True): + """ + Stores tickerdata to file + """ + filename = pair_trades_filename(datadir, pair) + misc.file_dump_json(filename, data, is_zip=is_zip) + + def _validate_pairdata(pair, pairdata, timerange: TimeRange): if timerange.starttype == 'date' and pairdata[0][0] > timerange.startts * 1000: logger.warning('Missing data at start for pair %s, data starts at %s', From ab8f638e44864882c8be15f217f09a5afc9854e0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:34:52 +0200 Subject: [PATCH 14/82] Move id/time detection to get_historic_trades method --- freqtrade/exchange/exchange.py | 37 +++++++++++++++++++++------------- 1 file changed, 23 insertions(+), 14 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 5608d233c..945c06966 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -783,7 +783,8 @@ class Exchange: async def _async_get_trade_history_id(self, pair: str, since: Optional[int] = None, - until: Optional[int] = None) -> Tuple[str, List[Dict]]: + until: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades use this when exchange doesn't use time-based pagination (e.g. Kraken) @@ -797,14 +798,15 @@ class Exchange: raise OperationalException(f"Wrong method called to get trades for {self.name}") trades: List[Dict] = [] - # Fetch first elements using timebased method to get an ID to paginate on - # Depending on the Exchange, this can introduce a drift at the start of the interval - # of up to an hour. - # Binance returns the "last 1000" candles within a 1h time interval - # - so we will miss the first candles. - t = await self._async_fetch_trades(pair, since=since) - from_id = t[-1]['id'] - trades.extend(t) + if not from_id: + # Fetch first elements using timebased method to get an ID to paginate on + # Depending on the Exchange, this can introduce a drift at the start of the interval + # of up to an hour. + # Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first candles. + t = await self._async_fetch_trades(pair, since=since) + from_id = t[-1]['id'] + trades.extend(t) while True: t = await self._async_fetch_trades(pair, params={self._trades_pagination_arg: from_id}) @@ -844,8 +846,6 @@ class Exchange: # TODO: Maybe don't completey stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") try: - if self._trades_pagination != 'time': - return await self._async_get_trade_history_id(pair, since, until) trades: List[Dict] = [] while True: @@ -872,7 +872,8 @@ class Exchange: def get_historic_trades(self, pair: str, since: Optional[int] = None, - until: Optional[int] = None) -> List: + until: Optional[int] = None, + from_id: Optional[str] = None) -> List: """ Gets candle history using asyncio and returns the list of candles. Handles all async doing. @@ -880,10 +881,18 @@ class Exchange: :param pair: Pair to download :param ticker_interval: Interval to get :param since_ms: Timestamp in milliseconds to get history from + :param from_id: Download data starting with ID (if id is known) :returns List of tickers """ - return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history(pair=pair, since=since, until=until)) + + if self._trades_pagination == 'time': + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history(pair=pair, since=since, until=until)) + elif self._trades_pagination == 'id': + # Use id-based trade-downloader + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history_id(pair=pair, since=since, + until=until, from_id=from_id)) @retrier def cancel_order(self, order_id: str, pair: str) -> None: From 2c0bb71a6e4d81343fd525a18e8b73023589572e Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:51:04 +0200 Subject: [PATCH 15/82] Add download_trades_history() --- freqtrade/data/history.py | 47 +++++++++++++++++++++++++++++++--- freqtrade/exchange/exchange.py | 9 +++++-- 2 files changed, 51 insertions(+), 5 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index cbae01152..46da37f3c 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -83,15 +83,15 @@ def store_tickerdata_file(datadir: Path, pair: str, def load_trades_file(datadir: Optional[Path], pair: str, - timerange: Optional[TimeRange] = None) -> Optional[list]: + timerange: Optional[TimeRange] = None) -> List[Dict]: """ Load a pair from file, either .json.gz or .json - :return: tickerlist or None if unsuccesful + :return: tickerlist or empty list if unsuccesful """ filename = pair_trades_filename(datadir, pair) tradesdata = misc.file_load_json(filename) if not tradesdata: - return None + return [] # TODO: trim trades based on timerange... ? return tradesdata @@ -329,6 +329,47 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes return pairs_not_available +def download_trades_history(datadir: Optional[Path], + exchange: Optional[Exchange], + pair: str, + ticker_interval: str = '5m', + timerange: Optional[TimeRange] = None) -> bool: + + if not exchange: + raise OperationalException( + "Exchange needs to be initialized to download data") + try: + + since = timerange.startts * 1000 if timerange and timerange.starttype == 'date' else None + + trades = load_trades_file(datadir, pair) + + from_id = trades[-1]['id'] if trades else None + + logger.debug("Current Start: %s", trades[1]['datetime'] if trades else 'None') + logger.debug("Current End: %s", trades[-1]['datetime'] if trades else 'None') + + exchange.get_historic_trades(pair=pair, + since=since if since else + int(arrow.utcnow().shift(days=-30).float_timestamp) * 1000, + # until=xxx, + from_id=from_id, + ) + + store_trades_file(datadir, pair, trades) + + logger.debug("New Start: %s", trades[0]['datetime']) + logger.debug("New End: %s", trades[-1]['datetime']) + logger.info(f"New Amount of trades: {len(trades)}") + + except Exception as e: + logger.error( + f'Failed to download historic trades for pair: "{pair}". ' + f'Error: {e}' + ) + return False + + def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: """ Get the maximum timeframe for the given backtest data diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 945c06966..158dfee9e 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -791,6 +791,7 @@ class Exchange: :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds + :param from_id: Download data starting with ID (if id is known). Ignores "since" if set. returns tuple: (pair, ticker_interval, ohlcv_list) """ try: @@ -880,14 +881,18 @@ class Exchange: Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call. :param pair: Pair to download :param ticker_interval: Interval to get - :param since_ms: Timestamp in milliseconds to get history from + :param since: Timestamp in milliseconds to get history from + :param until: Timestamp in milliseconds. Defaults to current timestamp if not defined. :param from_id: Download data starting with ID (if id is known) :returns List of tickers """ - + if not until: + # Current milliseconds + until = ccxt.Exchange.milliseconds() if self._trades_pagination == 'time': return asyncio.get_event_loop().run_until_complete( self._async_get_trade_history(pair=pair, since=since, until=until)) + elif self._trades_pagination == 'id': # Use id-based trade-downloader return asyncio.get_event_loop().run_until_complete( From 57dee794d157ee12dbdbcf1bae0a033fa47bed6a Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:14:13 +0200 Subject: [PATCH 16/82] Fix end-reached for id-based trade-download --- freqtrade/exchange/exchange.py | 10 ++++++---- 1 file changed, 6 insertions(+), 4 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 158dfee9e..aed75df13 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -812,13 +812,15 @@ class Exchange: t = await self._async_fetch_trades(pair, params={self._trades_pagination_arg: from_id}) if len(t): - from_id = t[-1]['id'] - # TODO: eliminate duplicates (first trade = last from previous) trades.extend(t) - # Reached the end of the defined-download period - if until and t[-1]['timestamp'] > until: + if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): + print(f"from_id did not change.") print(f"Reached {t[-1]['timestamp']} > {until}") break + + # TODO: eliminate duplicates (first trade = last from previous) + # Reached the end of the defined-download period + from_id = t[-1]['id'] else: break From 6e952a0aa8fbdbe0c0abaf7ef0e18f5123db134e Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:14:31 +0200 Subject: [PATCH 17/82] Capture downloaded data --- freqtrade/data/history.py | 17 +++++++++-------- 1 file changed, 9 insertions(+), 8 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 46da37f3c..f2960e627 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -346,16 +346,17 @@ def download_trades_history(datadir: Optional[Path], from_id = trades[-1]['id'] if trades else None - logger.debug("Current Start: %s", trades[1]['datetime'] if trades else 'None') + logger.debug("Current Start: %s", trades[0]['datetime'] if trades else 'None') logger.debug("Current End: %s", trades[-1]['datetime'] if trades else 'None') - exchange.get_historic_trades(pair=pair, - since=since if since else - int(arrow.utcnow().shift(days=-30).float_timestamp) * 1000, - # until=xxx, - from_id=from_id, - ) - + new_trades = exchange.get_historic_trades(pair=pair, + since=since if since else + int(arrow.utcnow().shift( + days=-30).float_timestamp) * 1000, + # until=xxx, + from_id=from_id, + ) + trades.extend(new_trades[1]) store_trades_file(datadir, pair, trades) logger.debug("New Start: %s", trades[0]['datetime']) From 06024b0ab0692b0338207d596191cc16f51f43b4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:30:02 +0200 Subject: [PATCH 18/82] Fix zipfile handling --- freqtrade/misc.py | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) diff --git a/freqtrade/misc.py b/freqtrade/misc.py index c9fbda17e..b8e89b040 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -72,8 +72,10 @@ def json_load(datafile: IO): def file_load_json(file): - gzipfile = file.with_suffix(file.suffix + '.gz') - + if file.suffix != ".gz": + gzipfile = file.with_suffix(file.suffix + '.gz') + else: + gzipfile = file # Try gzip file first, otherwise regular json file. if gzipfile.is_file(): logger.debug('Loading ticker data from file %s', gzipfile) From 19f3669fbd32f74ca2f82b408ed44b9ae306dcbc Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:30:09 +0200 Subject: [PATCH 19/82] add docstring --- freqtrade/data/history.py | 17 ++++++++++------- 1 file changed, 10 insertions(+), 7 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index f2960e627..f5a1527f8 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -334,7 +334,10 @@ def download_trades_history(datadir: Optional[Path], pair: str, ticker_interval: str = '5m', timerange: Optional[TimeRange] = None) -> bool: - + """ + Download trade history from the exchange. + Appends to previously downloaded trades data. + """ if not exchange: raise OperationalException( "Exchange needs to be initialized to download data") @@ -350,12 +353,12 @@ def download_trades_history(datadir: Optional[Path], logger.debug("Current End: %s", trades[-1]['datetime'] if trades else 'None') new_trades = exchange.get_historic_trades(pair=pair, - since=since if since else - int(arrow.utcnow().shift( - days=-30).float_timestamp) * 1000, - # until=xxx, - from_id=from_id, - ) + since=since if since else + int(arrow.utcnow().shift( + days=-30).float_timestamp) * 1000, + # until=xxx, + from_id=from_id, + ) trades.extend(new_trades[1]) store_trades_file(datadir, pair, trades) From 1d8fc9705328a84ccfe30a14c0c478abcab342c8 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:12:04 +0200 Subject: [PATCH 20/82] Fix duplicate trade error, rename some methods --- freqtrade/exchange/exchange.py | 24 +++++++++++++++--------- 1 file changed, 15 insertions(+), 9 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index aed75df13..50fdd33fc 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -797,6 +797,10 @@ class Exchange: try: if self._trades_pagination == 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") + i if not self.exchange_has("fetchTrades"): + # TODO: Maybe don't completey stop the bot ... ? + raise OperationalException("This exchange does not suport downloading Trades.") + trades: List[Dict] = [] if not from_id: @@ -807,18 +811,18 @@ class Exchange: # - so we will miss the first candles. t = await self._async_fetch_trades(pair, since=since) from_id = t[-1]['id'] - trades.extend(t) + trades.extend(t[:-1]) while True: t = await self._async_fetch_trades(pair, params={self._trades_pagination_arg: from_id}) if len(t): - trades.extend(t) + # Skip last id since its the key for the next call + trades.extend(t[:-1]) if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): - print(f"from_id did not change.") - print(f"Reached {t[-1]['timestamp']} > {until}") + logger.debug(f"Stopping because from_id did not change. " + f"Reached {t[-1]['timestamp']} > {until}") break - # TODO: eliminate duplicates (first trade = last from previous) # Reached the end of the defined-download period from_id = t[-1]['id'] else: @@ -835,9 +839,9 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e - async def _async_get_trade_history(self, pair: str, - since: Optional[int] = None, - until: Optional[int] = None) -> Tuple[str, List]: + async def _async_get_trade_history_time(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None) -> Tuple[str, List]: """ Asyncronously gets trade history using fetch_trades. :param pair: Pair to fetch trade data for @@ -845,6 +849,8 @@ class Exchange: :param until: Until as integer timestamp in milliseconds returns tuple: (pair, ticker_interval, ohlcv_list) """ + if self._trades_pagination != 'time': + raise OperationalException(f"Wrong method called to get trades for {self.name}") if not self.exchange_has("fetchTrades"): # TODO: Maybe don't completey stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") @@ -893,7 +899,7 @@ class Exchange: until = ccxt.Exchange.milliseconds() if self._trades_pagination == 'time': return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history(pair=pair, since=since, until=until)) + self._async_get_trade_history_time(pair=pair, since=since, until=until)) elif self._trades_pagination == 'id': # Use id-based trade-downloader From 1f79ca953975a3f54499ef697c80f0e260e1a5c5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:13:32 +0200 Subject: [PATCH 21/82] Remove duplicate check --- freqtrade/exchange/exchange.py | 9 ++------- 1 file changed, 2 insertions(+), 7 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 50fdd33fc..4c384e0bd 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -797,9 +797,6 @@ class Exchange: try: if self._trades_pagination == 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") - i if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't completey stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") trades: List[Dict] = [] @@ -843,7 +840,8 @@ class Exchange: since: Optional[int] = None, until: Optional[int] = None) -> Tuple[str, List]: """ - Asyncronously gets trade history using fetch_trades. + Asyncronously gets trade history using fetch_trades, + when the exchange uses time-based iteration :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds @@ -851,9 +849,6 @@ class Exchange: """ if self._trades_pagination != 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") - if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't completey stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") try: trades: List[Dict] = [] From 8069cd66898653b9d9ab98ae44679c19df3fa1b6 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:13:50 +0200 Subject: [PATCH 22/82] add refresh_trades_ method --- freqtrade/data/history.py | 30 +++++++++++++++++++++++++++++- 1 file changed, 29 insertions(+), 1 deletion(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index f5a1527f8..2056ef1c5 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -332,7 +332,6 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes def download_trades_history(datadir: Optional[Path], exchange: Optional[Exchange], pair: str, - ticker_interval: str = '5m', timerange: Optional[TimeRange] = None) -> bool: """ Download trade history from the exchange. @@ -374,6 +373,35 @@ def download_trades_history(datadir: Optional[Path], return False +def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframes: List[str], + dl_path: Path, timerange: TimeRange, + erase=False) -> List[str]: + """ + Refresh stored trades data . + Used by freqtrade download-data + :return: Pairs not available + """ + pairs_not_available = [] + for pair in pairs: + if pair not in exchange.markets: + pairs_not_available.append(pair) + logger.info(f"Skipping pair {pair}...") + continue + # for ticker_interval in timeframes: + + dl_file = pair_trades_filename(dl_path, pair) + if erase and dl_file.exists(): + logger.info( + f'Deleting existing data for pair {pair}.') + dl_file.unlink() + + logger.info(f'Downloading trades for pair {pair}.') + download_trades_history(datadir=dl_path, exchange=exchange, + pair=pair, + timerange=timerange) + return pairs_not_available + + def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: """ Get the maximum timeframe for the given backtest data From c1c49183b5dcfc4566f507701d3804d7e87b6221 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:14:37 +0200 Subject: [PATCH 23/82] Call new method based on condition --- freqtrade/utils.py | 15 +++++++++++---- 1 file changed, 11 insertions(+), 4 deletions(-) diff --git a/freqtrade/utils.py b/freqtrade/utils.py index b3ff43aca..c7950e5a4 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -8,7 +8,8 @@ import arrow from freqtrade import OperationalException from freqtrade.configuration import Configuration, TimeRange from freqtrade.configuration.directory_operations import create_userdata_dir -from freqtrade.data.history import refresh_backtest_ohlcv_data +from freqtrade.data.history import (refresh_backtest_ohlcv_data, + refresh_backtest_trades_data) from freqtrade.exchange import available_exchanges, ccxt_exchanges from freqtrade.resolvers import ExchangeResolver from freqtrade.state import RunMode @@ -88,9 +89,15 @@ def start_download_data(args: Dict[str, Any]) -> None: # Init exchange exchange = ExchangeResolver(config['exchange']['name'], config).exchange - pairs_not_available = refresh_backtest_ohlcv_data( - exchange, pairs=config["pairs"], timeframes=config["timeframes"], - dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + # TODO Add correct switch here! + if 1 == 2: + pairs_not_available = refresh_backtest_ohlcv_data( + exchange, pairs=config["pairs"], timeframes=config["timeframes"], + dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + else: + pairs_not_available = refresh_backtest_trades_data( + exchange, pairs=config["pairs"], timeframes=config["timeframes"], + dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) except KeyboardInterrupt: sys.exit("SIGINT received, aborting ...") From 9584629f50b791e21674c2164d34c3f71e896ca4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 11:36:32 +0200 Subject: [PATCH 24/82] Rename argument from dl_path to datadir --- freqtrade/data/history.py | 6 +++--- freqtrade/exchange/exchange.py | 3 +-- freqtrade/utils.py | 2 +- 3 files changed, 5 insertions(+), 6 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 2056ef1c5..60db309d1 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -374,7 +374,7 @@ def download_trades_history(datadir: Optional[Path], def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframes: List[str], - dl_path: Path, timerange: TimeRange, + datadir: Path, timerange: TimeRange, erase=False) -> List[str]: """ Refresh stored trades data . @@ -389,14 +389,14 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe continue # for ticker_interval in timeframes: - dl_file = pair_trades_filename(dl_path, pair) + dl_file = pair_trades_filename(datadir, pair) if erase and dl_file.exists(): logger.info( f'Deleting existing data for pair {pair}.') dl_file.unlink() logger.info(f'Downloading trades for pair {pair}.') - download_trades_history(datadir=dl_path, exchange=exchange, + download_trades_history(datadir=datadir, exchange=exchange, pair=pair, timerange=timerange) return pairs_not_available diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 4c384e0bd..869037328 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -997,8 +997,7 @@ class Exchange: raise OperationalException(e) from e def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None, - limit: int = None) -> str: - # TODO: fix return value + limit: int = None) -> List: """ Build ohlcv data from trade list. trade-list has to be in the ccxt format, which is a list of dicts containing at least: diff --git a/freqtrade/utils.py b/freqtrade/utils.py index c7950e5a4..8d0d8eb03 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -97,7 +97,7 @@ def start_download_data(args: Dict[str, Any]) -> None: else: pairs_not_available = refresh_backtest_trades_data( exchange, pairs=config["pairs"], timeframes=config["timeframes"], - dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) except KeyboardInterrupt: sys.exit("SIGINT received, aborting ...") From 476adf872a7a802169986237fef9a815bce33039 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 11:43:14 +0200 Subject: [PATCH 25/82] Add conversion from trades to ohlcv at different intervals --- freqtrade/data/history.py | 27 +++++++++++++++++++++------ freqtrade/utils.py | 8 +++++++- 2 files changed, 28 insertions(+), 7 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 60db309d1..606d7b801 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -86,7 +86,7 @@ def load_trades_file(datadir: Optional[Path], pair: str, timerange: Optional[TimeRange] = None) -> List[Dict]: """ Load a pair from file, either .json.gz or .json - :return: tickerlist or empty list if unsuccesful + :return: tradelist or empty list if unsuccesful """ filename = pair_trades_filename(datadir, pair) tradesdata = misc.file_load_json(filename) @@ -373,11 +373,10 @@ def download_trades_history(datadir: Optional[Path], return False -def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframes: List[str], - datadir: Path, timerange: TimeRange, - erase=False) -> List[str]: +def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: Path, + timerange: TimeRange, erase=False) -> List[str]: """ - Refresh stored trades data . + Refresh stored trades data. Used by freqtrade download-data :return: Pairs not available """ @@ -387,7 +386,6 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe pairs_not_available.append(pair) logger.info(f"Skipping pair {pair}...") continue - # for ticker_interval in timeframes: dl_file = pair_trades_filename(datadir, pair) if erase and dl_file.exists(): @@ -402,6 +400,23 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe return pairs_not_available +def convert_trades_to_ohlcv(exchange: Exchange, pairs: List[str], timeframes: List[str], + datadir: Path, timerange: TimeRange, erase=False) -> None: + """ + Convert stored trades data to ohlcv data + """ + for pair in pairs: + trades = load_trades_file(datadir, pair) + for timeframe in timeframes: + ohlcv_file = pair_data_filename(datadir, pair, timeframe) + if erase and ohlcv_file.exists(): + logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.') + ohlcv_file.unlink() + ohlcv = exchange.build_ohlcv(trades, timeframe) + # Store ohlcv + store_tickerdata_file(datadir, pair, timeframe, data=ohlcv) + + def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: """ Get the maximum timeframe for the given backtest data diff --git a/freqtrade/utils.py b/freqtrade/utils.py index 8d0d8eb03..adcb3f6e0 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -8,7 +8,8 @@ import arrow from freqtrade import OperationalException from freqtrade.configuration import Configuration, TimeRange from freqtrade.configuration.directory_operations import create_userdata_dir -from freqtrade.data.history import (refresh_backtest_ohlcv_data, +from freqtrade.data.history import (convert_trades_to_ohlcv, + refresh_backtest_ohlcv_data, refresh_backtest_trades_data) from freqtrade.exchange import available_exchanges, ccxt_exchanges from freqtrade.resolvers import ExchangeResolver @@ -96,6 +97,11 @@ def start_download_data(args: Dict[str, Any]) -> None: dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) else: pairs_not_available = refresh_backtest_trades_data( + exchange, pairs=config["pairs"], datadir=Path(config['datadir']), + timerange=timerange, erase=config.get("erase")) + + # Convert downloaded trade data to different timeframes + convert_trades_to_ohlcv( exchange, pairs=config["pairs"], timeframes=config["timeframes"], datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) From 0d592f6c5552896c7b21cc6924e0617eb89445ed Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 12:56:10 +0200 Subject: [PATCH 26/82] Refactor trade downloading to handle exceptions only once --- freqtrade/data/history.py | 1 + freqtrade/exchange/exchange.py | 133 ++++++++++++++++----------------- 2 files changed, 67 insertions(+), 67 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 606d7b801..0049f0db5 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -364,6 +364,7 @@ def download_trades_history(datadir: Optional[Path], logger.debug("New Start: %s", trades[0]['datetime']) logger.debug("New End: %s", trades[-1]['datetime']) logger.info(f"New Amount of trades: {len(trades)}") + return True except Exception as e: logger.error( diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 869037328..f48fa0a71 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -751,13 +751,11 @@ class Exchange: params: Optional[dict] = None) -> List[Dict]: """ Asyncronously gets trade history using fetch_trades. + Handles exchange errors, does one call to the exchange. :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds returns tuple: (pair, ticker_interval, ohlcv_list) """ - if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") try: # fetch trades asynchronously if params: @@ -787,58 +785,47 @@ class Exchange: from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades - use this when exchange doesn't use time-based pagination (e.g. Kraken) + use this when exchange uses id-based iteration :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds :param from_id: Download data starting with ID (if id is known). Ignores "since" if set. returns tuple: (pair, ticker_interval, ohlcv_list) """ - try: - if self._trades_pagination == 'time': - raise OperationalException(f"Wrong method called to get trades for {self.name}") + if self._trades_pagination == 'time': + raise OperationalException(f"Wrong method called to get trades for {self.name}") - trades: List[Dict] = [] + trades: List[Dict] = [] - if not from_id: - # Fetch first elements using timebased method to get an ID to paginate on - # Depending on the Exchange, this can introduce a drift at the start of the interval - # of up to an hour. - # Binance returns the "last 1000" candles within a 1h time interval - # - so we will miss the first candles. - t = await self._async_fetch_trades(pair, since=since) - from_id = t[-1]['id'] + if not from_id: + # Fetch first elements using timebased method to get an ID to paginate on + # Depending on the Exchange, this can introduce a drift at the start of the interval + # of up to an hour. + # Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first candles. + t = await self._async_fetch_trades(pair, since=since) + from_id = t[-1]['id'] + trades.extend(t[:-1]) + while True: + t = await self._async_fetch_trades(pair, + params={self._trades_pagination_arg: from_id}) + if len(t): + # Skip last id since its the key for the next call trades.extend(t[:-1]) - while True: - t = await self._async_fetch_trades(pair, - params={self._trades_pagination_arg: from_id}) - if len(t): - # Skip last id since its the key for the next call - trades.extend(t[:-1]) - if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): - logger.debug(f"Stopping because from_id did not change. " - f"Reached {t[-1]['timestamp']} > {until}") - break - - # Reached the end of the defined-download period - from_id = t[-1]['id'] - else: + if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): + logger.debug(f"Stopping because from_id did not change. " + f"Reached {t[-1]['timestamp']} > {until}") break - return (pair, trades) - except ccxt.NotSupported as e: - raise OperationalException( - f'Exchange {self._api.name} does not support fetching historical trade data.' - f'Message: {e}') from e - except (ccxt.NetworkError, ccxt.ExchangeError) as e: - raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. ' - f'Message: {e}') from e - except ccxt.BaseError as e: - raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e + # Reached the end of the defined-download period + from_id = t[-1]['id'] + else: + break - async def _async_get_trade_history_time(self, pair: str, - since: Optional[int] = None, - until: Optional[int] = None) -> Tuple[str, List]: + return (pair, trades) + + async def _async_get_trade_history_time(self, pair: str, until: int, + since: Optional[int] = None) -> Tuple[str, List]: """ Asyncronously gets trade history using fetch_trades, when the exchange uses time-based iteration @@ -849,21 +836,41 @@ class Exchange: """ if self._trades_pagination != 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") - try: - trades: List[Dict] = [] - while True: - t = await self._async_fetch_trades(pair, since=since) - if len(t): - since = t[-1]['timestamp'] - trades.extend(t) - # Reached the end of the defined-download period - if until and t[-1]['timestamp'] > until: - break - else: + trades: List[Dict] = [] + while True: + t = await self._async_fetch_trades(pair, since=since) + if len(t): + since = t[-1]['timestamp'] + trades.extend(t) + # Reached the end of the defined-download period + if until and t[-1]['timestamp'] > until: break + else: + break + + return (pair, trades) + + async def _async_get_trade_history(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: + """ + Async wrapper handling downloading trades using either time or id based methods. + """ + if not self.exchange_has("fetchTrades"): + # TODO: Maybe don't stop the bot ... ? + raise OperationalException("This exchange does not suport downloading Trades.") + try: + if not until: + # Current milliseconds + until = ccxt.Exchange.milliseconds() + if self._trades_pagination == 'time': + return await self._async_get_trade_history_time(pair=pair, since=since, until=until) + elif self._trades_pagination == 'id': + return await self._async_get_trade_history_id(pair=pair, since=since, + until=until, from_id=from_id) - return (pair, trades) except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching historical trade data.' @@ -877,7 +884,7 @@ class Exchange: def get_historic_trades(self, pair: str, since: Optional[int] = None, until: Optional[int] = None, - from_id: Optional[str] = None) -> List: + from_id: Optional[str] = None) -> Tuple[str, List]: """ Gets candle history using asyncio and returns the list of candles. Handles all async doing. @@ -889,18 +896,10 @@ class Exchange: :param from_id: Download data starting with ID (if id is known) :returns List of tickers """ - if not until: - # Current milliseconds - until = ccxt.Exchange.milliseconds() - if self._trades_pagination == 'time': - return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history_time(pair=pair, since=since, until=until)) - elif self._trades_pagination == 'id': - # Use id-based trade-downloader - return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history_id(pair=pair, since=since, - until=until, from_id=from_id)) + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history(pair=pair, since=since, + until=until, from_id=from_id)) @retrier def cancel_order(self, order_id: str, pair: str) -> None: From 05e473642b5d645fc38cc9f1b5ad8ea9fd74304a Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 13:01:44 +0200 Subject: [PATCH 27/82] Small adjustments to get_trade_history --- freqtrade/exchange/exchange.py | 24 +++++++++++++++--------- 1 file changed, 15 insertions(+), 9 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index f48fa0a71..39200c8f7 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -780,8 +780,8 @@ class Exchange: raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e async def _async_get_trade_history_id(self, pair: str, + until: int, since: Optional[int] = None, - until: Optional[int] = None, from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades @@ -812,12 +812,12 @@ class Exchange: if len(t): # Skip last id since its the key for the next call trades.extend(t[:-1]) - if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): + if from_id == t[-1]['id'] or t[-1]['timestamp'] > until: logger.debug(f"Stopping because from_id did not change. " f"Reached {t[-1]['timestamp']} > {until}") + # Reached the end of the defined-download period break - # Reached the end of the defined-download period from_id = t[-1]['id'] else: break @@ -845,6 +845,8 @@ class Exchange: trades.extend(t) # Reached the end of the defined-download period if until and t[-1]['timestamp'] > until: + logger.debug( + f"Stopping because until was reached. {t[-1]['timestamp']} > {until}") break else: break @@ -862,14 +864,18 @@ class Exchange: # TODO: Maybe don't stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") try: - if not until: - # Current milliseconds - until = ccxt.Exchange.milliseconds() if self._trades_pagination == 'time': - return await self._async_get_trade_history_time(pair=pair, since=since, until=until) + return await self._async_get_trade_history_time( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds()) elif self._trades_pagination == 'id': - return await self._async_get_trade_history_id(pair=pair, since=since, - until=until, from_id=from_id) + return await self._async_get_trade_history_id( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds(), from_id=from_id + ) + else: + raise OperationalException(f"Exchange {self.name} does use neither time, " + f"nor id based pagination") except ccxt.NotSupported as e: raise OperationalException( From 16d6914b1535115cdbc817f0a7fb921018235196 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 13:13:41 +0200 Subject: [PATCH 28/82] Add test to cover missing line --- freqtrade/exchange/exchange.py | 4 ++-- tests/exchange/test_exchange.py | 7 +++++++ 2 files changed, 9 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 39200c8f7..4c09b4e46 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -801,8 +801,8 @@ class Exchange: # Fetch first elements using timebased method to get an ID to paginate on # Depending on the Exchange, this can introduce a drift at the start of the interval # of up to an hour. - # Binance returns the "last 1000" candles within a 1h time interval - # - so we will miss the first candles. + # e.g. Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first trades. t = await self._async_fetch_trades(pair, since=since) from_id = t[-1]['id'] trades.extend(t[:-1]) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 9e6356b18..018cab3b8 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1136,6 +1136,13 @@ async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_ await exchange._async_get_candle_history(pair, "5m", (arrow.utcnow().timestamp - 2000) * 1000) + with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' + r'historical candlestick data\..*'): + api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported("Not supported")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_get_candle_history(pair, "5m", + (arrow.utcnow().timestamp - 2000) * 1000) + @pytest.mark.asyncio async def test__async_get_candle_history_empty(default_conf, mocker, caplog): From 939a87ed2e652581c98aa3af9038b225884b76f7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 16:33:56 +0200 Subject: [PATCH 29/82] Add test for fetch_trades --- tests/conftest.py | 64 +++++++++++++++++++++++++++++++++ tests/exchange/test_exchange.py | 48 +++++++++++++++++++++++++ 2 files changed, 112 insertions(+) diff --git a/tests/conftest.py b/tests/conftest.py index 6a0a74b5b..cd0c29efc 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -928,6 +928,70 @@ def trades_for_order(): 'fee': {'cost': 0.008, 'currency': 'LTC'}}] +@pytest.fixture(scope="function") +def trades_history(): + return [{'info': {'a': 126181329, + 'p': '0.01962700', + 'q': '0.04000000', + 'f': 138604155, + 'l': 138604155, + 'T': 1565798399463, + 'm': False, + 'M': True}, + 'timestamp': 1565798399463, + 'datetime': '2019-08-14T15:59:59.463Z', + 'symbol': 'ETH/BTC', + 'id': '126181329', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'buy', + 'price': 0.019627, + 'amount': 0.04, + 'cost': 0.00078508, + 'fee': None}, + {'info': {'a': 126181330, + 'p': '0.01962700', + 'q': '0.24400000', + 'f': 138604156, + 'l': 138604156, + 'T': 1565798399629, + 'm': False, + 'M': True}, + 'timestamp': 1565798399629, + 'datetime': '2019-08-14T15:59:59.629Z', + 'symbol': 'ETH/BTC', + 'id': '126181330', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'buy', + 'price': 0.019627, + 'amount': 0.244, + 'cost': 0.004788987999999999, + 'fee': None}, + {'info': {'a': 126181331, + 'p': '0.01962600', + 'q': '0.01100000', + 'f': 138604157, + 'l': 138604157, + 'T': 1565798399752, + 'm': True, + 'M': True}, + 'timestamp': 1565798399752, + 'datetime': '2019-08-14T15:59:59.752Z', + 'symbol': 'ETH/BTC', + 'id': '126181331', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}] + + @pytest.fixture(scope="function") def trades_for_order2(): return [{'info': {'id': 34567, diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 018cab3b8..a621a5d52 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1314,6 +1314,54 @@ async def test___async_get_candle_history_sort(default_conf, mocker, exchange_na assert ticks[9][5] == 2.31452783 +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_fetch_trades(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._api_async.fetch_trades = get_mock_coro(trades_history) + + pair = 'ETH/BTC' + res = await exchange._async_fetch_trades(pair, since=None, params=None) + assert type(res) is list + assert isinstance(res[0], dict) + assert isinstance(res[1], dict) + + assert exchange._api_async.fetch_trades.call_count == 1 + assert exchange._api_async.fetch_trades.call_args[0][0] == pair + assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 + + assert log_has_re(f"Fetching trades for pair {pair}, since .*", caplog) + caplog.clear() + exchange._api_async.fetch_trades.reset_mock() + res = await exchange._async_fetch_trades(pair, since=None, params={'from': '123'}) + assert exchange._api_async.fetch_trades.call_count == 1 + assert exchange._api_async.fetch_trades.call_args[0][0] == pair + assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 + assert exchange._api_async.fetch_trades.call_args[1]['params'] == {'from': '123'} + assert log_has_re(f"Fetching trades for pair {pair}, params: .*", caplog) + + exchange = Exchange(default_conf) + await async_ccxt_exception(mocker, default_conf, MagicMock(), + "_async_fetch_trades", "fetch_trades", + pair='ABCD/BTC', since=None) + + api_mock = MagicMock() + with pytest.raises(OperationalException, match=r'Could not fetch trade data*'): + api_mock.fetch_trades = MagicMock(side_effect=ccxt.BaseError("Unknown error")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) + + with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' + r'historical trade data\..*'): + api_mock.fetch_trades = MagicMock(side_effect=ccxt.NotSupported("Not supported")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) + + @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True From 57bcff19640f54ccc770733aa4ef5fa677d6f6ee Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 30 Aug 2019 06:51:21 +0200 Subject: [PATCH 30/82] Test get_historic_trades --- tests/exchange/test_exchange.py | 24 ++++++++++++++++++++++++ 1 file changed, 24 insertions(+) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index a621a5d52..081a36e19 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1362,6 +1362,30 @@ async def test__async_fetch_trades(default_conf, mocker, caplog, exchange_name, await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) +@pytest.mark.parametrize("exchange_name", EXCHANGES) +def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades_history): + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + + pair = 'ETH/BTC' + + exchange._async_get_trade_history_id = get_mock_coro((pair, trades_history)) + exchange._async_get_trade_history_time = get_mock_coro((pair, trades_history)) + # one_call calculation * 1.8 should do 2 calls + since = 5 * 60 * 500 * 1.8 + print(f"since = {since}") + ret = exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]) + + # Depending on the exchange, one or the other method should be called + assert sum([exchange._async_get_trade_history_id.call_count, + exchange._async_get_trade_history_time.call_count]) == 1 + + assert len(ret) == 2 + assert ret[0] == pair + assert len(ret[1]) == 3 + + @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True From b6ac898f8f3c6e3eee4142da45313c629ab49059 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 10:45:16 +0200 Subject: [PATCH 31/82] Add test for exception handler --- tests/exchange/test_exchange.py | 17 ++++++++++++++--- 1 file changed, 14 insertions(+), 3 deletions(-) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 081a36e19..707a815d1 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1371,9 +1371,6 @@ def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades exchange._async_get_trade_history_id = get_mock_coro((pair, trades_history)) exchange._async_get_trade_history_time = get_mock_coro((pair, trades_history)) - # one_call calculation * 1.8 should do 2 calls - since = 5 * 60 * 500 * 1.8 - print(f"since = {since}") ret = exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], until=trades_history[-1]["timestamp"]) @@ -1386,6 +1383,20 @@ def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades assert len(ret[1]) == 3 +@pytest.mark.parametrize("exchange_name", EXCHANGES) +def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange_name, + trades_history): + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=False) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + + pair = 'ETH/BTC' + + with pytest.raises(OperationalException, + match="This exchange does not suport downloading Trades."): + exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]) + + @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True From fa8c61382b47ffb7531d671ec148057d82fa2a8f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 10:52:53 +0200 Subject: [PATCH 32/82] Remove unneeded exception handlers --- freqtrade/exchange/exchange.py | 34 ++++++++++++---------------------- 1 file changed, 12 insertions(+), 22 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 4c09b4e46..27bde9a7d 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -863,29 +863,19 @@ class Exchange: if not self.exchange_has("fetchTrades"): # TODO: Maybe don't stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") - try: - if self._trades_pagination == 'time': - return await self._async_get_trade_history_time( - pair=pair, since=since, - until=until or ccxt.Exchange.milliseconds()) - elif self._trades_pagination == 'id': - return await self._async_get_trade_history_id( - pair=pair, since=since, - until=until or ccxt.Exchange.milliseconds(), from_id=from_id - ) - else: - raise OperationalException(f"Exchange {self.name} does use neither time, " - f"nor id based pagination") - except ccxt.NotSupported as e: - raise OperationalException( - f'Exchange {self._api.name} does not support fetching historical trade data.' - f'Message: {e}') from e - except (ccxt.NetworkError, ccxt.ExchangeError) as e: - raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. ' - f'Message: {e}') from e - except ccxt.BaseError as e: - raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e + if self._trades_pagination == 'time': + return await self._async_get_trade_history_time( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds()) + elif self._trades_pagination == 'id': + return await self._async_get_trade_history_id( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds(), from_id=from_id + ) + else: + raise OperationalException(f"Exchange {self.name} does use neither time, " + f"nor id based pagination") def get_historic_trades(self, pair: str, since: Optional[int] = None, From 640d58eb1350c0e7b63cecb3d54341f48e4cea6c Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 10:56:43 +0200 Subject: [PATCH 33/82] Remove unneeded checks --- freqtrade/exchange/exchange.py | 8 ++------ 1 file changed, 2 insertions(+), 6 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 27bde9a7d..6b30af43f 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -785,15 +785,13 @@ class Exchange: from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades - use this when exchange uses id-based iteration + use this when exchange uses id-based iteration (check `self._trades_pagination`) :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds :param from_id: Download data starting with ID (if id is known). Ignores "since" if set. returns tuple: (pair, ticker_interval, ohlcv_list) """ - if self._trades_pagination == 'time': - raise OperationalException(f"Wrong method called to get trades for {self.name}") trades: List[Dict] = [] @@ -828,14 +826,12 @@ class Exchange: since: Optional[int] = None) -> Tuple[str, List]: """ Asyncronously gets trade history using fetch_trades, - when the exchange uses time-based iteration + when the exchange uses time-based iteration (check `self._trades_pagination`) :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds returns tuple: (pair, ticker_interval, ohlcv_list) """ - if self._trades_pagination != 'time': - raise OperationalException(f"Wrong method called to get trades for {self.name}") trades: List[Dict] = [] while True: From 4fdec9d6e587bb5afdefd5adea397ebbf3062f23 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 11:17:02 +0200 Subject: [PATCH 34/82] Test id-based pagination --- tests/exchange/test_exchange.py | 25 +++++++++++++++++++++++++ 1 file changed, 25 insertions(+) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 707a815d1..859d814bc 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1362,6 +1362,31 @@ async def test__async_fetch_trades(default_conf, mocker, caplog, exchange_name, await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_id(default_conf, mocker, caplog, exchange_name, + trades_history): + + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._async_fetch_trades = get_mock_coro(trades_history) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_id(pair, since=trades_history[0]["timestamp"], + until=None) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert exchange._async_fetch_trades.call_count == 2 + # first call (using since, not fromId) + assert exchange._async_fetch_trades.call_args_list[0][0][0] == pair + assert exchange._async_fetch_trades.call_args_list[0][1]['since'] == trades_history[0]["timestamp"] + + # 2nd call + assert exchange._async_fetch_trades.call_args_list[1][0][0] == pair + assert 'params' in exchange._async_fetch_trades.call_args_list[1][1] + assert exchange._ft_has['trades_pagination_arg'] in exchange._async_fetch_trades.call_args_list[1][1]['params'] + + @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades_history): mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) From 9f8a2acf4604cab29df1c532b251f4b51e61ef9d Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:16:02 +0200 Subject: [PATCH 35/82] Extend test-cases to 5 trades --- tests/conftest.py | 40 ++++++++++++++++++++++++++++++++++++++++ 1 file changed, 40 insertions(+) diff --git a/tests/conftest.py b/tests/conftest.py index cd0c29efc..36005b961 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -989,6 +989,46 @@ def trades_history(): 'price': 0.019626, 'amount': 0.011, 'cost': 0.00021588599999999999, + 'fee': None}, + {'info': {'a': 126181332, + 'p': '0.01962600', + 'q': '0.01100000', + 'f': 138604158, + 'l': 138604158, + 'T': 1565798399862, + 'm': True, + 'M': True}, + 'timestamp': 1565798399862, + 'datetime': '2019-08-14T15:59:59.862Z', + 'symbol': 'ETH/BTC', + 'id': '126181332', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}, + {'info': {'a': 126181333, + 'p': '0.01952600', + 'q': '0.01200000', + 'f': 138604158, + 'l': 138604158, + 'T': 1565798399872, + 'm': True, + 'M': True}, + 'timestamp': 1565798399872, + 'datetime': '2019-08-14T15:59:59.872Z', + 'symbol': 'ETH/BTC', + 'id': '126181333', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, 'fee': None}] From 762ae3a598d558df8e9775c8bc9fc0ee1043dbef Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 13:35:25 +0200 Subject: [PATCH 36/82] Extend tests --- freqtrade/exchange/exchange.py | 3 +- tests/exchange/test_exchange.py | 100 +++++++++++++++++++++++++++++--- 2 files changed, 93 insertions(+), 10 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 6b30af43f..fed903a4a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -813,7 +813,8 @@ class Exchange: if from_id == t[-1]['id'] or t[-1]['timestamp'] > until: logger.debug(f"Stopping because from_id did not change. " f"Reached {t[-1]['timestamp']} > {until}") - # Reached the end of the defined-download period + # Reached the end of the defined-download period - add last trade as well. + trades.extend(t[-1:]) break from_id = t[-1]['id'] diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 859d814bc..e0f49e5fa 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1368,23 +1368,105 @@ async def test__async_get_trade_history_id(default_conf, mocker, caplog, exchang trades_history): exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + pagination_arg = exchange._trades_pagination_arg + + async def mock_get_trade_hist(pair, *args, **kwargs): + if 'since' in kwargs: + # Return first 3 + return trades_history[:-2] + elif kwargs.get('params', {}).get(pagination_arg) == trades_history[-3]['id']: + # Return 2 + return trades_history[-3:-1] + else: + # Return last 2 + return trades_history[-2:] # Monkey-patch async function - exchange._async_fetch_trades = get_mock_coro(trades_history) + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + pair = 'ETH/BTC' ret = await exchange._async_get_trade_history_id(pair, since=trades_history[0]["timestamp"], - until=None) + until=trades_history[-1]["timestamp"]-1) assert type(ret) is tuple assert ret[0] == pair assert type(ret[1]) is list - assert exchange._async_fetch_trades.call_count == 2 + assert len(ret[1]) == len(trades_history) + assert exchange._async_fetch_trades.call_count == 3 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list # first call (using since, not fromId) - assert exchange._async_fetch_trades.call_args_list[0][0][0] == pair - assert exchange._async_fetch_trades.call_args_list[0][1]['since'] == trades_history[0]["timestamp"] + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] # 2nd call - assert exchange._async_fetch_trades.call_args_list[1][0][0] == pair - assert 'params' in exchange._async_fetch_trades.call_args_list[1][1] - assert exchange._ft_has['trades_pagination_arg'] in exchange._async_fetch_trades.call_args_list[1][1]['params'] + assert fetch_trades_cal[1][0][0] == pair + assert 'params' in fetch_trades_cal[1][1] + assert exchange._ft_has['trades_pagination_arg'] in fetch_trades_cal[1][1]['params'] + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_time(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + + async def mock_get_trade_hist(pair, *args, **kwargs): + if kwargs['since'] == trades_history[0]["timestamp"]: + return trades_history[:-1] + else: + return trades_history[-1:] + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) + assert exchange._async_fetch_trades.call_count == 2 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + + # 2nd call + assert fetch_trades_cal[1][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + assert log_has_re(r"Stopping because until was reached.*", caplog) + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_time_empty(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + + async def mock_get_trade_hist(pair, *args, **kwargs): + if kwargs['since'] == trades_history[0]["timestamp"]: + return trades_history[:-1] + else: + return [] + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) - 1 + assert exchange._async_fetch_trades.call_count == 2 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] @pytest.mark.parametrize("exchange_name", EXCHANGES) @@ -1405,7 +1487,7 @@ def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades assert len(ret) == 2 assert ret[0] == pair - assert len(ret[1]) == 3 + assert len(ret[1]) == len(trades_history) @pytest.mark.parametrize("exchange_name", EXCHANGES) From 37925e7f6cb8f1ceeccdfe23d286f9c1cbde1931 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:31:01 +0200 Subject: [PATCH 37/82] Add --dl-trades cli flag --- config_kraken.json.example | 3 ++- freqtrade/configuration/arguments.py | 3 ++- freqtrade/configuration/cli_options.py | 5 +++++ freqtrade/configuration/configuration.py | 2 ++ freqtrade/utils.py | 11 +++++------ 5 files changed, 16 insertions(+), 8 deletions(-) diff --git a/config_kraken.json.example b/config_kraken.json.example index 51aa9a8e9..5a36941d8 100644 --- a/config_kraken.json.example +++ b/config_kraken.json.example @@ -70,5 +70,6 @@ "forcebuy_enable": false, "internals": { "process_throttle_secs": 5 - } + }, + "download_trades": true } diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index 76a2b1cc9..e63249577 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -35,7 +35,8 @@ ARGS_LIST_TIMEFRAMES = ["exchange", "print_one_column"] ARGS_CREATE_USERDIR = ["user_data_dir"] -ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "exchange", "timeframes", "erase"] +ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "download_trades", "exchange", + "timeframes", "erase"] ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit", "db_url", "trade_source", "export", "exportfilename", "timerange", "ticker_interval"] diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 7e6a956ce..9868ab874 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -273,6 +273,11 @@ AVAILABLE_CLI_OPTIONS = { type=check_int_positive, metavar='INT', ), + "download_trades": Arg( + '--dl-trades', + help='Download trades instead of OHLCV data.', + action='store_true', + ), "exchange": Arg( '--exchange', help=f'Exchange name (default: `{constants.DEFAULT_EXCHANGE}`). ' diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 665999efb..ec47f7855 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -312,6 +312,8 @@ class Configuration: self._args_to_config(config, argname='days', logstring='Detected --days: {}') + self._args_to_config(config, argname='download_trades', + logstring='Detected --dl-trades: {}') def _process_runmode(self, config: Dict[str, Any]) -> None: diff --git a/freqtrade/utils.py b/freqtrade/utils.py index adcb3f6e0..48734883c 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -90,12 +90,7 @@ def start_download_data(args: Dict[str, Any]) -> None: # Init exchange exchange = ExchangeResolver(config['exchange']['name'], config).exchange - # TODO Add correct switch here! - if 1 == 2: - pairs_not_available = refresh_backtest_ohlcv_data( - exchange, pairs=config["pairs"], timeframes=config["timeframes"], - dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) - else: + if config.get('download_trades'): pairs_not_available = refresh_backtest_trades_data( exchange, pairs=config["pairs"], datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) @@ -104,6 +99,10 @@ def start_download_data(args: Dict[str, Any]) -> None: convert_trades_to_ohlcv( exchange, pairs=config["pairs"], timeframes=config["timeframes"], datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + else: + pairs_not_available = refresh_backtest_ohlcv_data( + exchange, pairs=config["pairs"], timeframes=config["timeframes"], + dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) except KeyboardInterrupt: sys.exit("SIGINT received, aborting ...") From 1b7a09c18423670861ee0879ccce61f8fd7d31f5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:31:14 +0200 Subject: [PATCH 38/82] Add test for utils --dl-trades --- tests/test_utils.py | 22 ++++++++++++++++++++++ 1 file changed, 22 insertions(+) diff --git a/tests/test_utils.py b/tests/test_utils.py index 55672c4c9..586a6891b 100644 --- a/tests/test_utils.py +++ b/tests/test_utils.py @@ -260,3 +260,25 @@ def test_download_data_no_pairs(mocker, caplog): with pytest.raises(OperationalException, match=r"Downloading data requires a list of pairs\..*"): start_download_data(pargs) + + +def test_download_data_trades(mocker, caplog): + dl_mock = mocker.patch('freqtrade.utils.refresh_backtest_trades_data', + MagicMock(return_value=[])) + convert_mock = mocker.patch('freqtrade.utils.convert_trades_to_ohlcv', + MagicMock(return_value=[])) + patch_exchange(mocker) + mocker.patch( + 'freqtrade.exchange.Exchange.markets', PropertyMock(return_value={}) + ) + args = [ + "download-data", + "--exchange", "kraken", + "--pairs", "ETH/BTC", "XRP/BTC", + "--days", "20", + "--dl-trades" + ] + start_download_data(get_args(args)) + assert dl_mock.call_args[1]['timerange'].starttype == "date" + assert dl_mock.call_count == 1 + assert convert_mock.call_count == 1 From 2374cda8d0a987d0ca60e87a44d38db6b12b35fb Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:45:35 +0200 Subject: [PATCH 39/82] Cleanup and tests for refresh_backtest_trades --- freqtrade/data/history.py | 11 ++++------- tests/data/test_history.py | 26 +++++++++++++++++++++++++- 2 files changed, 29 insertions(+), 8 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 0049f0db5..a32a1b9aa 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -82,7 +82,7 @@ def store_tickerdata_file(datadir: Path, pair: str, misc.file_dump_json(filename, data, is_zip=is_zip) -def load_trades_file(datadir: Optional[Path], pair: str, +def load_trades_file(datadir: Path, pair: str, timerange: Optional[TimeRange] = None) -> List[Dict]: """ Load a pair from file, either .json.gz or .json @@ -97,7 +97,7 @@ def load_trades_file(datadir: Optional[Path], pair: str, return tradesdata -def store_trades_file(datadir: Optional[Path], pair: str, +def store_trades_file(datadir: Path, pair: str, data: list, is_zip: bool = True): """ Stores tickerdata to file @@ -329,17 +329,14 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes return pairs_not_available -def download_trades_history(datadir: Optional[Path], - exchange: Optional[Exchange], +def download_trades_history(datadir: Path, + exchange: Exchange, pair: str, timerange: Optional[TimeRange] = None) -> bool: """ Download trade history from the exchange. Appends to previously downloaded trades data. """ - if not exchange: - raise OperationalException( - "Exchange needs to be initialized to download data") try: since = timerange.startts * 1000 if timerange and timerange.starttype == 'date' else None diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 032c1b306..52e37e735 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -18,7 +18,7 @@ from freqtrade.data.history import (download_pair_history, refresh_backtest_ohlcv_data, load_tickerdata_file, pair_data_filename, pair_trades_filename, - trim_tickerlist) + trim_tickerlist, refresh_backtest_trades_data) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json from freqtrade.strategy.default_strategy import DefaultStrategy @@ -583,3 +583,27 @@ def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir): assert "ETH/BTC" in unav_pairs assert "XRP/BTC" in unav_pairs assert log_has("Skipping pair ETH/BTC...", caplog) + + +def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, testdatadir): + dl_mock = mocker.patch('freqtrade.data.history.download_trades_history', MagicMock()) + mocker.patch( + 'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets) + ) + mocker.patch.object(Path, "exists", MagicMock(return_value=True)) + mocker.patch.object(Path, "unlink", MagicMock()) + + ex = get_patched_exchange(mocker, default_conf) + timerange = TimeRange.parse_timerange("20190101-20190102") + unavailable_pairs = refresh_backtest_trades_data(exchange=ex, + pairs=["ETH/BTC", "XRP/BTC", "XRP/ETH"], + datadir=testdatadir, + timerange=timerange, erase=True + ) + + assert dl_mock.call_count == 2 + assert dl_mock.call_args[1]['timerange'].starttype == 'date' + + assert log_has("Downloading trades for pair ETH/BTC.", caplog) + assert unavailable_pairs == ["XRP/ETH"] + assert log_has("Skipping pair XRP/ETH...", caplog) From ccb41d1ef964002f2e3ec103c7ec34d6ebbf008e Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 21:18:56 +0200 Subject: [PATCH 40/82] Add tests for test_download_trades_history --- tests/data/test_history.py | 35 ++++++++++++++++++++++++++++++++++- 1 file changed, 34 insertions(+), 1 deletion(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 52e37e735..ff1434347 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -18,7 +18,7 @@ from freqtrade.data.history import (download_pair_history, refresh_backtest_ohlcv_data, load_tickerdata_file, pair_data_filename, pair_trades_filename, - trim_tickerlist, refresh_backtest_trades_data) + trim_tickerlist, refresh_backtest_trades_data, download_trades_history) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json from freqtrade.strategy.default_strategy import DefaultStrategy @@ -607,3 +607,36 @@ def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, tes assert log_has("Downloading trades for pair ETH/BTC.", caplog) assert unavailable_pairs == ["XRP/ETH"] assert log_has("Skipping pair XRP/ETH...", caplog) + + +def test_download_trades_history(trades_history, mocker, default_conf, testdatadir, caplog) -> None: + + ght_mock = MagicMock(side_effect=lambda pair, *args, **kwargs: (pair, trades_history)) + mocker.patch('freqtrade.exchange.Exchange.get_historic_trades', + ght_mock) + exchange = get_patched_exchange(mocker, default_conf) + file1 = testdatadir / 'ETH_BTC-trades.json.gz' + + _backup_file(file1) + + assert not file1.is_file() + + assert download_trades_history(datadir=testdatadir, exchange=exchange, + pair='ETH/BTC') + assert log_has("New Amount of trades: 5", caplog) + assert file1.is_file() + + # clean files freshly downloaded + _clean_test_file(file1) + + mocker.patch('freqtrade.exchange.Exchange.get_historic_trades', + MagicMock(side_effect=ValueError)) + + assert not download_trades_history(datadir=testdatadir, exchange=exchange, + pair='ETH/BTC') + assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog) + + +def convert_trades_to_ohlcv(): + # TODO: Write this test + pass From 56de81a1f9705c5f551bcd4cf3afd5ba16d4cd19 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 15:57:54 +0200 Subject: [PATCH 41/82] Add some test data --- tests/testdata/XRP_ETH-1m.json | 1 + tests/testdata/XRP_ETH-5m.json | 1 + tests/testdata/XRP_ETH-trades.json.gz | Bin 0 -> 473687 bytes 3 files changed, 2 insertions(+) create mode 100644 tests/testdata/XRP_ETH-1m.json create mode 100644 tests/testdata/XRP_ETH-5m.json create mode 100644 tests/testdata/XRP_ETH-trades.json.gz diff --git a/tests/testdata/XRP_ETH-1m.json b/tests/testdata/XRP_ETH-1m.json new file mode 100644 index 000000000..4ec7c15ab --- /dev/null +++ b/tests/testdata/XRP_ETH-1m.json @@ -0,0 +1 @@ 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diff --git a/tests/testdata/XRP_ETH-5m.json b/tests/testdata/XRP_ETH-5m.json new file mode 100644 index 000000000..92da3c17d --- /dev/null +++ b/tests/testdata/XRP_ETH-5m.json @@ -0,0 +1 @@ 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zSJS%7RvV{BUXHW;0~x%vueU6MgguW79b(s76DL|jHQ%g)?4Kj9$p8tyy6gU!UVFYh z21MB2;e)G94_$-=E*a1k>{}W#Vgtc`c{%pQszbmo;)59u*5~(s%&)L(=~|`s>O9LI zkl4Uy_+(BQjIH;5o@+iO=~gjNpfz|NX>qqn{<}i?i#$q{Of(9D+ZhFI?($w^Dl;uf zC;Y``IFgX*lJ3B4>C5B1Ky_Hlx&tgTred%})O|1GKTrs?0_kUE)(AucUH&3v5*pBEr$njoHwR?_JBvFLOziqANG96g-7%I zAJp|w0@bjbk0GK|y+|4CsSdpp_r^<+X-Z=ACl5C#P$%#N{}*hQ5$pjQ>3CBKicRjG zcJ3ck`y)bu!X-q(_5;7XL~4UR44D$4X=Ve0rFKvTG8(g?j713Hl^Ua?Qp6F@qR=^(t#MG!{q3;4(_a`sNe`CTY z+IPNSC1^KyF7nnI(fZsTuMzX_N@mp?6M#RO*oY%JlBt8phl2J$%FMpR_>b}=A z4Hp2(6C0ij;PfHMV_K Date: Sun, 13 Oct 2019 16:04:40 +0200 Subject: [PATCH 42/82] Add test for trades_ohlcv --- tests/data/test_history.py | 52 +++++++++++++++++++++++++++++++++----- 1 file changed, 45 insertions(+), 7 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index ff1434347..299c79a2c 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -13,14 +13,18 @@ from pandas import DataFrame from freqtrade import OperationalException from freqtrade.configuration import TimeRange from freqtrade.data import history -from freqtrade.data.history import (download_pair_history, - _load_cached_data_for_updating, - refresh_backtest_ohlcv_data, +from freqtrade.data.history import (_load_cached_data_for_updating, + convert_trades_to_ohlcv, + download_pair_history, + download_trades_history, load_tickerdata_file, pair_data_filename, pair_trades_filename, - trim_tickerlist, refresh_backtest_trades_data, download_trades_history) + refresh_backtest_ohlcv_data, + refresh_backtest_trades_data, + trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json +from freqtrade.resolvers.exchange_resolver import ExchangeResolver from freqtrade.strategy.default_strategy import DefaultStrategy from tests.conftest import (get_patched_exchange, log_has, log_has_re, patch_exchange) @@ -637,6 +641,40 @@ def test_download_trades_history(trades_history, mocker, default_conf, testdatad assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog) -def convert_trades_to_ohlcv(): - # TODO: Write this test - pass +def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog): + pair = 'XRP/ETH' + file1 = testdatadir / 'XRP_ETH-1m.json' + file5 = testdatadir / 'XRP_ETH-5m.json' + # Compare downloaded dataset with converted dataset + dfbak_1m = history.load_pair_history(datadir=testdatadir, + ticker_interval="1m", + pair=pair) + dfbak_5m = history.load_pair_history(datadir=testdatadir, + ticker_interval="5m", + pair=pair) + + _backup_file(file1) + _backup_file(file5) + + exchange = ExchangeResolver('Bittrex', default_conf).exchange + tr = TimeRange.parse_timerange('20191011-20191012') + # mocker.patch.object(Path, "exists", MagicMock(return_value=True)) + # mocker.patch.object(Path, "unlink", MagicMock()) + + convert_trades_to_ohlcv(exchange, [pair], timeframes=['1m', '5m'], + datadir=testdatadir, timerange=tr, erase=True) + + # assert log_has("Deleting existing data for XRP/ETH, interval 1m.", caplog) + # Load new data + df_1m = history.load_pair_history(datadir=testdatadir, + ticker_interval="1m", + pair=pair) + df_5m = history.load_pair_history(datadir=testdatadir, + ticker_interval="5m", + pair=pair) + + assert df_1m.equals(dfbak_1m) + assert df_5m.equals(dfbak_5m) + + _clean_test_file(file1) + _clean_test_file(file5) From 3e4617be37b9df159c0c66d60066110b496bc90b Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 19:21:27 +0200 Subject: [PATCH 43/82] add pandas-based converter-functions --- freqtrade/data/converter.py | 20 ++++++++++++++++++++ freqtrade/data/history.py | 6 +++--- tests/data/test_history.py | 11 ++++------- 3 files changed, 27 insertions(+), 10 deletions(-) diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index b530b3bce..63a6c98df 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -114,3 +114,23 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame: keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum']) # logger.info('order book %s', frame ) return frame + + +def trades_to_ohlcv(trades, timeframe): + """ + Converts trades list to ohlcv list + """ + from freqtrade.exchange import timeframe_to_minutes + ticker_minutes = timeframe_to_minutes(timeframe) + df = pd.DataFrame(trades) + df['datetime'] = pd.to_datetime(df['datetime']) + + df = df.set_index('datetime') + df_new = df['price'].resample(f'{ticker_minutes}min').ohlc() + + df_new['volume'] = df['amount'].resample(f'{ticker_minutes}min').sum() + df_new['date'] = df_new.index.astype("int64") // 10 ** 6 + # Drop 0 volume columns + df_new = df_new.dropna() + columns = ["date", "open", "high", "low", "close", "volume"] + return list(zip(*[df_new[x].values.tolist() for x in columns])) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index a32a1b9aa..e594af430 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -17,7 +17,7 @@ from pandas import DataFrame from freqtrade import OperationalException, misc from freqtrade.configuration import TimeRange -from freqtrade.data.converter import parse_ticker_dataframe +from freqtrade.data.converter import parse_ticker_dataframe, trades_to_ohlcv from freqtrade.exchange import Exchange, timeframe_to_minutes logger = logging.getLogger(__name__) @@ -398,7 +398,7 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: return pairs_not_available -def convert_trades_to_ohlcv(exchange: Exchange, pairs: List[str], timeframes: List[str], +def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str], datadir: Path, timerange: TimeRange, erase=False) -> None: """ Convert stored trades data to ohlcv data @@ -410,7 +410,7 @@ def convert_trades_to_ohlcv(exchange: Exchange, pairs: List[str], timeframes: Li if erase and ohlcv_file.exists(): logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.') ohlcv_file.unlink() - ohlcv = exchange.build_ohlcv(trades, timeframe) + ohlcv = trades_to_ohlcv(trades, timeframe) # Store ohlcv store_tickerdata_file(datadir, pair, timeframe, data=ohlcv) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 299c79a2c..d653428e9 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -24,7 +24,6 @@ from freqtrade.data.history import (_load_cached_data_for_updating, trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json -from freqtrade.resolvers.exchange_resolver import ExchangeResolver from freqtrade.strategy.default_strategy import DefaultStrategy from tests.conftest import (get_patched_exchange, log_has, log_has_re, patch_exchange) @@ -642,6 +641,7 @@ def test_download_trades_history(trades_history, mocker, default_conf, testdatad def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog): + pair = 'XRP/ETH' file1 = testdatadir / 'XRP_ETH-1m.json' file5 = testdatadir / 'XRP_ETH-5m.json' @@ -653,18 +653,15 @@ def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog): ticker_interval="5m", pair=pair) - _backup_file(file1) + _backup_file(file1, copy_file=True) _backup_file(file5) - exchange = ExchangeResolver('Bittrex', default_conf).exchange tr = TimeRange.parse_timerange('20191011-20191012') - # mocker.patch.object(Path, "exists", MagicMock(return_value=True)) - # mocker.patch.object(Path, "unlink", MagicMock()) - convert_trades_to_ohlcv(exchange, [pair], timeframes=['1m', '5m'], + convert_trades_to_ohlcv([pair], timeframes=['1m', '5m'], datadir=testdatadir, timerange=tr, erase=True) - # assert log_has("Deleting existing data for XRP/ETH, interval 1m.", caplog) + assert log_has("Deleting existing data for pair XRP/ETH, interval 1m.", caplog) # Load new data df_1m = history.load_pair_history(datadir=testdatadir, ticker_interval="1m", From 023eb19615f55abf1e021518d8af1b24768287e0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 19:35:33 +0200 Subject: [PATCH 44/82] Add documentation for --dl-trades --- docs/data-download.md | 28 +++++++++++++++++++++++++++- 1 file changed, 27 insertions(+), 1 deletion(-) diff --git a/docs/data-download.md b/docs/data-download.md index 244acb153..b091f0069 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -38,7 +38,7 @@ Mixing different stake-currencies is allowed for this file, since it's only used ] ``` -### start download +### Start download Then run: @@ -57,6 +57,32 @@ This will download ticker data for all the currency pairs you defined in `pairs. - Use `--timeframes` to specify which tickers to download. Default is `--timeframes 1m 5m` which will download 1-minute and 5-minute tickers. - To use exchange, timeframe and list of pairs as defined in your configuration file, use the `-c/--config` option. With this, the script uses the whitelist defined in the config as the list of currency pairs to download data for and does not require the pairs.json file. You can combine `-c/--config` with most other options. +### Trades (tick) data + +By default, download-data downloads Candles (OHLCV) data. Some exchanges also provide historic trade-data via their API. +This data can be useful if you need many different timeframes, since it is only downloaded once, and then resampled locally to the desired timeframes. + +Since this data is large by default, the files use gzip by default. They are stored in your data-directory with the naming convention of `-trades.json.gz` (`ETH_BTC_trades.json.gz`). Incremental mode is supported, so downloading the data once per week with `--days 8` will create an incremental data-repository. + +To use this mode, simply add `--dl-trades` to your call. This will swap the download-method to trades, and resamples the data locally. + +Example call: + +```bash +freqtrade download-data --exchange binance --pairs XRP/ETH ETH/BTC --days 20 --dl-trades +``` + +!!! Note + While this method uses async calls, it will be slow, since it requires the result of the previous call to generate the next request to the exchange. + +!!! Warning + This datatype is not available during trading. It probably will never be since all exchanges tested don't provide this data in real time, but with a delay of a few 100 candles. + +### Historic Kraken data + +The Kraken API does only provide 720 historic candles, which is sufficient for regular trading operations, but a problem for backtesting. +To download data for the Kraken exchange, using `--dl-trades` is mandatory, otherwise the bot will download the same 720 candles over and over, and you'll not have enough backtest data. + ## Next step Great, you now have backtest data downloaded, so you can now start [backtesting](backtesting.md) your strategy. From 13e80e449cc9d21ac1c179d2176729188d297c36 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 06:19:59 +0200 Subject: [PATCH 45/82] cleanup and better docstring --- freqtrade/data/converter.py | 10 ++++++---- freqtrade/data/history.py | 1 - freqtrade/exchange/exchange.py | 16 ---------------- freqtrade/utils.py | 2 +- 4 files changed, 7 insertions(+), 22 deletions(-) diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index 63a6c98df..1ef224978 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -116,21 +116,23 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame: return frame -def trades_to_ohlcv(trades, timeframe): +def trades_to_ohlcv(trades: list, timeframe: str) -> list: """ Converts trades list to ohlcv list + :param trades: List of trades, as returned by ccxt.fetch_trades. + :param timeframe: Ticker timeframe to resample data to + :return: ohlcv timeframe as list (as returned by ccxt.fetch_ohlcv) """ from freqtrade.exchange import timeframe_to_minutes ticker_minutes = timeframe_to_minutes(timeframe) df = pd.DataFrame(trades) df['datetime'] = pd.to_datetime(df['datetime']) - df = df.set_index('datetime') - df_new = df['price'].resample(f'{ticker_minutes}min').ohlc() + df_new = df['price'].resample(f'{ticker_minutes}min').ohlc() df_new['volume'] = df['amount'].resample(f'{ticker_minutes}min').sum() df_new['date'] = df_new.index.astype("int64") // 10 ** 6 - # Drop 0 volume columns + # Drop 0 volume rows df_new = df_new.dropna() columns = ["date", "open", "high", "low", "close", "volume"] return list(zip(*[df_new[x].values.tolist() for x in columns])) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index e594af430..fd3aee2a9 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -93,7 +93,6 @@ def load_trades_file(datadir: Path, pair: str, if not tradesdata: return [] - # TODO: trim trades based on timerange... ? return tradesdata diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index fed903a4a..86078ae05 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -988,22 +988,6 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None, - limit: int = None) -> List: - """ - Build ohlcv data from trade list. - trade-list has to be in the ccxt format, which is a list of dicts containing at least: - * timestamp - * price - * amount - :param trades: List of Dicts - :param timeframe: timeframe to convert to (e.g. "5m") - :param since: start at a specific data, as oposed to the trades-list start date - :param limit: Limit amount of candles - :return: ohlcv data (as returned by ccxt.fetch_ohlcv) - """ - return self._api.build_ohlcv(trades, timeframe, since, limit) - def is_exchange_bad(exchange_name: str) -> bool: return exchange_name in BAD_EXCHANGES diff --git a/freqtrade/utils.py b/freqtrade/utils.py index 48734883c..e77b76208 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -97,7 +97,7 @@ def start_download_data(args: Dict[str, Any]) -> None: # Convert downloaded trade data to different timeframes convert_trades_to_ohlcv( - exchange, pairs=config["pairs"], timeframes=config["timeframes"], + pairs=config["pairs"], timeframes=config["timeframes"], datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) else: pairs_not_available = refresh_backtest_ohlcv_data( From 76ad5bea0ea9f098dfc68be03a4b60614b58fb1e Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 11:36:42 +0200 Subject: [PATCH 46/82] Load correct exchange class closes #2371 --- freqtrade/exchange/__init__.py | 2 +- freqtrade/exchange/exchange.py | 5 +++++ freqtrade/resolvers/exchange_resolver.py | 4 +++- tests/exchange/test_exchange.py | 6 ++++++ 4 files changed, 15 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index 29971c897..1b3e94951 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -1,4 +1,4 @@ -from freqtrade.exchange.exchange import Exchange # noqa: F401 +from freqtrade.exchange.exchange import Exchange, MAP_EXCHANGE_CHILDCLASS # noqa: F401 from freqtrade.exchange.exchange import (get_exchange_bad_reason, # noqa: F401 is_exchange_bad, is_exchange_known_ccxt, diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index df7e5e2b4..859240695 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -102,6 +102,11 @@ BAD_EXCHANGES = { ], "Does not provide timeframes. ccxt fetchOHLCV: emulated"), } +MAP_EXCHANGE_CHILDCLASS = { + 'binanceus': 'binance', + 'binanceje': 'binance', +} + def retrier_async(f): async def wrapper(*args, **kwargs): diff --git a/freqtrade/resolvers/exchange_resolver.py b/freqtrade/resolvers/exchange_resolver.py index 6fb12a65f..8ae40d971 100644 --- a/freqtrade/resolvers/exchange_resolver.py +++ b/freqtrade/resolvers/exchange_resolver.py @@ -3,7 +3,7 @@ This module loads custom exchanges """ import logging -from freqtrade.exchange import Exchange +from freqtrade.exchange import Exchange, MAP_EXCHANGE_CHILDCLASS import freqtrade.exchange as exchanges from freqtrade.resolvers import IResolver @@ -22,6 +22,8 @@ class ExchangeResolver(IResolver): Load the custom class from config parameter :param config: configuration dictionary """ + # Map exchange name to avoid duplicate classes for identical exchanges + exchange_name = MAP_EXCHANGE_CHILDCLASS.get(exchange_name, exchange_name) exchange_name = exchange_name.title() try: self.exchange = self._load_exchange(exchange_name, kwargs={'config': config}) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index bf6025322..72b536afa 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -142,6 +142,12 @@ def test_exchange_resolver(default_conf, mocker, caplog): assert not log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) + # Test mapping + exchange = ExchangeResolver('binanceus', default_conf).exchange + assert isinstance(exchange, Exchange) + assert isinstance(exchange, Binance) + assert not isinstance(exchange, Kraken) + def test_validate_order_time_in_force(default_conf, mocker, caplog): caplog.set_level(logging.INFO) From b2682bcbf52738ac620cc36b27724fb40a4f6213 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 14 Oct 2019 14:40:20 +0000 Subject: [PATCH 47/82] Bump ccxt from 1.18.1225 to 1.18.1260 Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.18.1225 to 1.18.1260. - [Release notes](https://github.com/ccxt/ccxt/releases) - [Changelog](https://github.com/ccxt/ccxt/blob/master/CHANGELOG.md) - [Commits](https://github.com/ccxt/ccxt/compare/1.18.1225...1.18.1260) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index 872ebec62..74a7694f2 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,6 +1,6 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs -ccxt==1.18.1225 +ccxt==1.18.1260 SQLAlchemy==1.3.9 python-telegram-bot==12.1.1 arrow==0.15.2 From 4c4134a27290f8c353ebbee4c0367b85437f24ee Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 14 Oct 2019 14:41:00 +0000 Subject: [PATCH 48/82] Bump jsonschema from 3.0.2 to 3.1.1 Bumps [jsonschema](https://github.com/Julian/jsonschema) from 3.0.2 to 3.1.1. - [Release notes](https://github.com/Julian/jsonschema/releases) - [Changelog](https://github.com/Julian/jsonschema/blob/master/CHANGELOG.rst) - [Commits](https://github.com/Julian/jsonschema/compare/v3.0.2...v3.1.1) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index 872ebec62..ae0a6b4ce 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -8,7 +8,7 @@ cachetools==3.1.1 requests==2.22.0 urllib3==1.25.6 wrapt==1.11.2 -jsonschema==3.0.2 +jsonschema==3.1.1 TA-Lib==0.4.17 tabulate==0.8.5 coinmarketcap==5.0.3 From f5d87418327fdbd2f60f16ec19dff4c6dc65a0b3 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 14 Oct 2019 15:19:50 +0000 Subject: [PATCH 49/82] Bump sqlalchemy from 1.3.9 to 1.3.10 Bumps [sqlalchemy](https://github.com/sqlalchemy/sqlalchemy) from 1.3.9 to 1.3.10. - [Release notes](https://github.com/sqlalchemy/sqlalchemy/releases) - [Changelog](https://github.com/sqlalchemy/sqlalchemy/blob/master/CHANGES) - [Commits](https://github.com/sqlalchemy/sqlalchemy/commits) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index f85bf8d7a..c2c5317dc 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,7 +1,7 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs ccxt==1.18.1260 -SQLAlchemy==1.3.9 +SQLAlchemy==1.3.10 python-telegram-bot==12.1.1 arrow==0.15.2 cachetools==3.1.1 From 790e6146f504f6a3f1ae35a0630701ae4afe81b2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 20:13:34 +0200 Subject: [PATCH 50/82] Use crossed() in sample strategy --- docs/strategy-customization.md | 17 +++++++++++------ user_data/strategies/sample_strategy.py | 10 +++++----- 2 files changed, 16 insertions(+), 11 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index adcdf0208..39a36c469 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -138,15 +138,19 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ dataframe.loc[ ( - (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) + (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses baove 30 + (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard + (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard + (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'buy'] = 1 return dataframe ``` +!!! Note + Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure backtesting does not buy/sell in no-activity periods. + ### Sell signal rules Edit the method `populate_sell_trend()` into your strategy file to update your sell strategy. @@ -168,9 +172,10 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame """ dataframe.loc[ ( - (dataframe['adx'] > 70) & - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) + (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 30 + (dataframe['tema'] > dataframe['bb_middleband']) & # Guard + (dataframe['tema'] < dataframe['tema'].shift(1)) & #Guard + (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 return dataframe diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 623addb1e..84ff9ec2c 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -277,9 +277,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) & + (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses above 30 + (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard: tema below BB middle + (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard: tema is raising (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'buy'] = 1 @@ -295,9 +295,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 70) & + (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: - ADX crosses above 70 (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) & + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is raising (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 From a320d4ccbae737b7103fa788644d19d395c42fb7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 20:42:08 +0200 Subject: [PATCH 51/82] Don't sell with 0 profit in samplestrategy --- user_data/strategies/sample_strategy.py | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 84ff9ec2c..6d544c667 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -34,9 +34,8 @@ class SampleStrategy(IStrategy): # Minimal ROI designed for the strategy. # This attribute will be overridden if the config file contains "minimal_roi". minimal_roi = { - "40": 0.0, - "30": 0.01, - "20": 0.02, + "60": 0.01, + "30": 0.02, "0": 0.04 } From ace70510f38902dd47f2a62484700fd08542207f Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 15 Oct 2019 14:50:51 +0200 Subject: [PATCH 52/82] Wording fixes --- docs/strategy-customization.md | 8 ++++---- user_data/strategies/sample_strategy.py | 6 +++--- 2 files changed, 7 insertions(+), 7 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 39a36c469..40da697e6 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -138,7 +138,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses baove 30 + (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses above 30 (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard (dataframe['volume'] > 0) # Make sure Volume is not 0 @@ -149,7 +149,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: ``` !!! Note - Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure backtesting does not buy/sell in no-activity periods. + Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the does not buy/sell in no-activity periods. ### Sell signal rules @@ -172,9 +172,9 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 30 + (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 70 (dataframe['tema'] > dataframe['bb_middleband']) & # Guard - (dataframe['tema'] < dataframe['tema'].shift(1)) & #Guard + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 6d544c667..61f4fc15f 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -294,9 +294,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: - ADX crosses above 70 - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is raising + (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 70 + (dataframe['tema'] > dataframe['bb_middleband']) & # Guard: tema above BB middle + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is falling (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 From e6e35c25849160774883e0ed4ed2a2ec56c41430 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 15 Oct 2019 19:38:23 +0200 Subject: [PATCH 53/82] Switch samplestrategy from ADX to RSI --- docs/strategy-customization.md | 6 +++--- tests/strategy/test_strategy.py | 4 ++-- user_data/strategies/sample_strategy.py | 11 +++++------ 3 files changed, 10 insertions(+), 11 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 40da697e6..ca76071af 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -138,7 +138,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses above 30 + (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard (dataframe['volume'] > 0) # Make sure Volume is not 0 @@ -149,7 +149,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: ``` !!! Note - Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the does not buy/sell in no-activity periods. + Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the bot does not buy/sell in no-activity periods. ### Sell signal rules @@ -172,7 +172,7 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 70 + (qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70 (dataframe['tema'] > dataframe['bb_middleband']) & # Guard (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard (dataframe['volume'] > 0) # Make sure Volume is not 0 diff --git a/tests/strategy/test_strategy.py b/tests/strategy/test_strategy.py index 88e29b40e..52216e0ef 100644 --- a/tests/strategy/test_strategy.py +++ b/tests/strategy/test_strategy.py @@ -39,7 +39,7 @@ def test_search_strategy(): def test_load_strategy(default_conf, result): default_conf.update({'strategy': 'SampleStrategy'}) resolver = StrategyResolver(default_conf) - assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) + assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) def test_load_strategy_base64(result, caplog, default_conf): @@ -48,7 +48,7 @@ def test_load_strategy_base64(result, caplog, default_conf): default_conf.update({'strategy': 'SampleStrategy:{}'.format(encoded_string)}) resolver = StrategyResolver(default_conf) - assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) + assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) # Make sure strategy was loaded from base64 (using temp directory)!! assert log_has_re(r"Using resolved strategy SampleStrategy from '" + tempfile.gettempdir() + r"/.*/SampleStrategy\.py'\.\.\.", caplog) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 61f4fc15f..6870de190 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -102,8 +102,10 @@ class SampleStrategy(IStrategy): # ------------------------------------ # ADX - dataframe['adx'] = ta.ADX(dataframe) + # dataframe['adx'] = ta.ADX(dataframe) + # RSI + dataframe['rsi'] = ta.RSI(dataframe) """ # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) @@ -132,9 +134,6 @@ class SampleStrategy(IStrategy): # ROC dataframe['roc'] = ta.ROC(dataframe) - # RSI - dataframe['rsi'] = ta.RSI(dataframe) - # Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy) rsi = 0.1 * (dataframe['rsi'] - 50) dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1) @@ -276,7 +275,7 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses above 30 + (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard: tema below BB middle (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard: tema is raising (dataframe['volume'] > 0) # Make sure Volume is not 0 @@ -294,7 +293,7 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 70 + (qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70 (dataframe['tema'] > dataframe['bb_middleband']) & # Guard: tema above BB middle (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is falling (dataframe['volume'] > 0) # Make sure Volume is not 0 From 36d5bb6f9939c91510f4721b358aff3568d921a6 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 15 Oct 2019 21:11:41 +0300 Subject: [PATCH 54/82] Adjust ADX placement in the comments --- user_data/strategies/sample_strategy.py | 11 ++++++----- 1 file changed, 6 insertions(+), 5 deletions(-) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 6870de190..35ddbdf68 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -98,15 +98,16 @@ class SampleStrategy(IStrategy): :return: a Dataframe with all mandatory indicators for the strategies """ - # Momentum Indicator + # Momentum Indicators # ------------------------------------ - # ADX - # dataframe['adx'] = ta.ADX(dataframe) - # RSI dataframe['rsi'] = ta.RSI(dataframe) + """ + # ADX + # dataframe['adx'] = ta.ADX(dataframe) + # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) @@ -253,7 +254,7 @@ class SampleStrategy(IStrategy): dataframe['ha_low'] = heikinashi['low'] """ - # Retrieve best bid and best ask + # Retrieve best bid and best ask from the orderbook # ------------------------------------ """ # first check if dataprovider is available From a4dfd77d23bca8c2e65bca038d0f0fd069e89892 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 15 Oct 2019 22:35:14 +0300 Subject: [PATCH 55/82] Fix double comments for ADX --- user_data/strategies/sample_strategy.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 35ddbdf68..80c30283d 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -106,7 +106,7 @@ class SampleStrategy(IStrategy): """ # ADX - # dataframe['adx'] = ta.ADX(dataframe) + dataframe['adx'] = ta.ADX(dataframe) # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) From 1a765f1a172e20ce3ecc2c02ad5585952c1af763 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 14:41:39 +0200 Subject: [PATCH 56/82] Return generator instead of Object from _get_valid_object --- freqtrade/resolvers/iresolver.py | 16 ++++++++-------- 1 file changed, 8 insertions(+), 8 deletions(-) diff --git a/freqtrade/resolvers/iresolver.py b/freqtrade/resolvers/iresolver.py index 6303d4801..5e82b4359 100644 --- a/freqtrade/resolvers/iresolver.py +++ b/freqtrade/resolvers/iresolver.py @@ -7,7 +7,7 @@ import importlib.util import inspect import logging from pathlib import Path -from typing import Any, List, Optional, Tuple, Type, Union +from typing import Any, List, Optional, Tuple, Type, Union, Generator logger = logging.getLogger(__name__) @@ -19,13 +19,13 @@ class IResolver: @staticmethod def _get_valid_object(object_type, module_path: Path, - object_name: str) -> Optional[Type[Any]]: + object_name: str) -> Generator[Any, None, None]: """ - Returns the first object with matching object_type and object_name in the path given. + Generator returning objects with matching object_type and object_name in the path given. :param object_type: object_type (class) :param module_path: absolute path to the module :param object_name: Class name of the object - :return: class or None + :return: generator containing matching objects """ # Generate spec based on absolute path @@ -42,7 +42,7 @@ class IResolver: obj for name, obj in inspect.getmembers(module, inspect.isclass) if object_name == name and object_type in obj.__bases__ ) - return next(valid_objects_gen, None) + return valid_objects_gen @staticmethod def _search_object(directory: Path, object_type, object_name: str, @@ -59,9 +59,9 @@ class IResolver: logger.debug('Ignoring %s', entry) continue module_path = entry.resolve() - obj = IResolver._get_valid_object( - object_type, module_path, object_name - ) + + obj = next(IResolver._get_valid_object(object_type, module_path, object_name), None) + if obj: return (obj(**kwargs), module_path) return (None, None) From fda71085e05348db3f7374e726ad1bff4669a21a Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 15 Oct 2019 12:11:14 +0200 Subject: [PATCH 57/82] Refactor load-path building to parent class --- freqtrade/resolvers/hyperopt_resolver.py | 20 ++++---------------- freqtrade/resolvers/iresolver.py | 16 +++++++++++++++- freqtrade/resolvers/pairlist_resolver.py | 6 ++---- freqtrade/resolvers/strategy_resolver.py | 10 ++-------- 4 files changed, 23 insertions(+), 29 deletions(-) diff --git a/freqtrade/resolvers/hyperopt_resolver.py b/freqtrade/resolvers/hyperopt_resolver.py index e96394d69..db51c3ca5 100644 --- a/freqtrade/resolvers/hyperopt_resolver.py +++ b/freqtrade/resolvers/hyperopt_resolver.py @@ -52,14 +52,8 @@ class HyperOptResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('optimize').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('hyperopts'), - current_path, - ] - - if extra_dir: - # Add extra hyperopt directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='hyperopts', extra_dir=extra_dir) hyperopt = self._load_object(paths=abs_paths, object_type=IHyperOpt, object_name=hyperopt_name, kwargs={'config': config}) @@ -109,14 +103,8 @@ class HyperOptLossResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('optimize').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('hyperopts'), - current_path, - ] - - if extra_dir: - # Add extra hyperopt directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='hyperopts', extra_dir=extra_dir) hyperoptloss = self._load_object(paths=abs_paths, object_type=IHyperOptLoss, object_name=hyper_loss_name) diff --git a/freqtrade/resolvers/iresolver.py b/freqtrade/resolvers/iresolver.py index 5e82b4359..51c4f7dba 100644 --- a/freqtrade/resolvers/iresolver.py +++ b/freqtrade/resolvers/iresolver.py @@ -7,7 +7,7 @@ import importlib.util import inspect import logging from pathlib import Path -from typing import Any, List, Optional, Tuple, Type, Union, Generator +from typing import Any, List, Optional, Tuple, Union, Generator logger = logging.getLogger(__name__) @@ -17,6 +17,20 @@ class IResolver: This class contains all the logic to load custom classes """ + def build_search_paths(self, config, current_path: Path, user_subdir: str, + extra_dir: Optional[str] = None) -> List[Path]: + + abs_paths = [ + config['user_data_dir'].joinpath(user_subdir), + current_path, + ] + + if extra_dir: + # Add extra directory to the top of the search paths + abs_paths.insert(0, Path(extra_dir).resolve()) + + return abs_paths + @staticmethod def _get_valid_object(object_type, module_path: Path, object_name: str) -> Generator[Any, None, None]: diff --git a/freqtrade/resolvers/pairlist_resolver.py b/freqtrade/resolvers/pairlist_resolver.py index f38253155..2ddf5de2f 100644 --- a/freqtrade/resolvers/pairlist_resolver.py +++ b/freqtrade/resolvers/pairlist_resolver.py @@ -39,10 +39,8 @@ class PairListResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('pairlist').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('pairlist'), - current_path, - ] + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='pairlist', extra_dir=None) pairlist = self._load_object(paths=abs_paths, object_type=IPairList, object_name=pairlist_name, kwargs=kwargs) diff --git a/freqtrade/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py index b9c641853..d6fbe9a7a 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -124,14 +124,8 @@ class StrategyResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('strategy').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('strategies'), - current_path, - ] - - if extra_dir: - # Add extra strategy directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='strategies', extra_dir=extra_dir) if ":" in strategy_name: logger.info("loading base64 encoded strategy") From 5b58141f6b840f82bbf09161dcb2d4c70c879a01 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 17 Oct 2019 06:11:10 +0200 Subject: [PATCH 58/82] iFix grammar issue --- docs/data-download.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/data-download.md b/docs/data-download.md index b091f0069..83f5cd568 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -80,7 +80,7 @@ freqtrade download-data --exchange binance --pairs XRP/ETH ETH/BTC --days 20 --d ### Historic Kraken data -The Kraken API does only provide 720 historic candles, which is sufficient for regular trading operations, but a problem for backtesting. +The Kraken API does only provide 720 historic candles, which is sufficient for regular trading operations, but is a problem for backtesting. To download data for the Kraken exchange, using `--dl-trades` is mandatory, otherwise the bot will download the same 720 candles over and over, and you'll not have enough backtest data. ## Next step From a39d51d7d02bf685387275357ca9f8aaef08ce11 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 17 Oct 2019 19:33:21 +0200 Subject: [PATCH 59/82] Update test to use limit_buy_order --- tests/conftest.py | 6 ------ tests/test_freqtradebot.py | 15 +++++++-------- 2 files changed, 7 insertions(+), 14 deletions(-) diff --git a/tests/conftest.py b/tests/conftest.py index 6a0a74b5b..b0c68c805 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -896,12 +896,6 @@ def result(testdatadir): return parse_ticker_dataframe(json.load(data_file), '1m', pair="UNITTEST/BTC", fill_missing=True) -# FIX: -# Create an fixture/function -# that inserts a trade of some type and open-status -# return the open-order-id -# See tests in rpc/main that could use this - @pytest.fixture(scope="function") def trades_for_order(): diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 7fb84f078..28ba57c1d 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1678,7 +1678,7 @@ def test_update_trade_state_exception(mocker, default_conf, # Test raise of OperationalException exception mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.get_real_amount', - side_effect=OperationalException() + side_effect=DependencyException() ) freqtrade.update_trade_state(trade) assert log_has('Could not update trade amount: ', caplog) @@ -2188,7 +2188,7 @@ def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) - caplog) -def test_handle_timedout_limit_buy(mocker, default_conf) -> None: +def test_handle_timedout_limit_buy(mocker, default_conf, limit_buy_order) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = MagicMock() @@ -2201,12 +2201,11 @@ def test_handle_timedout_limit_buy(mocker, default_conf) -> None: Trade.session = MagicMock() trade = MagicMock() - order = {'remaining': 1, - 'amount': 1} - assert freqtrade.handle_timedout_limit_buy(trade, order) + limit_buy_order['remaining'] = limit_buy_order['amount'] + assert freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) assert cancel_order_mock.call_count == 1 - order['amount'] = 2 - assert not freqtrade.handle_timedout_limit_buy(trade, order) + limit_buy_order['amount'] = 2 + assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) assert cancel_order_mock.call_count == 2 @@ -3361,7 +3360,7 @@ def test_get_real_amount_wrong_amount(default_conf, trades_for_order, buy_order_ patch_get_signal(freqtrade) # Amount does not change - with pytest.raises(OperationalException, match=r"Half bought\? Amounts don't match"): + with pytest.raises(DependencyException, match=r"Half bought\? Amounts don't match"): freqtrade.get_real_amount(trade, limit_buy_order) From c735d352656f05619a6134554ee5f8c1bf21ee41 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 17 Oct 2019 19:53:01 +0200 Subject: [PATCH 60/82] Extract open_trade generation from freqtradebot --- freqtrade/freqtradebot.py | 6 +- tests/conftest.py | 20 ++++- tests/test_freqtradebot.py | 148 +++++++++---------------------------- 3 files changed, 54 insertions(+), 120 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d62c6a912..46ff09173 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -11,7 +11,7 @@ from typing import Any, Dict, List, Optional, Tuple import arrow from requests.exceptions import RequestException -from freqtrade import (DependencyException, OperationalException, InvalidOrderException, +from freqtrade import (DependencyException, InvalidOrderException, __version__, constants, persistence) from freqtrade.data.converter import order_book_to_dataframe from freqtrade.data.dataprovider import DataProvider @@ -508,7 +508,7 @@ class FreqtradeBot: if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC): logger.warning(f"Amount {amount} does not match amount {trade.amount}") - raise OperationalException("Half bought? Amounts don't match") + raise DependencyException("Half bought? Amounts don't match") real_amount = amount - fee_abs if fee_abs != 0: logger.info(f"Applying fee on amount for {trade} " @@ -536,7 +536,7 @@ class FreqtradeBot: # Fee was applied, so set to 0 trade.fee_open = 0 - except OperationalException as exception: + except DependencyException as exception: logger.warning("Could not update trade amount: %s", exception) trade.update(order) diff --git a/tests/conftest.py b/tests/conftest.py index b0c68c805..8871c01b4 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -9,8 +9,8 @@ from pathlib import Path from unittest.mock import MagicMock, PropertyMock import arrow -import pytest import numpy as np +import pytest from telegram import Chat, Message, Update from freqtrade import constants, persistence @@ -19,10 +19,10 @@ from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.edge import Edge, PairInfo from freqtrade.exchange import Exchange from freqtrade.freqtradebot import FreqtradeBot +from freqtrade.persistence import Trade from freqtrade.resolvers import ExchangeResolver from freqtrade.worker import Worker - logging.getLogger('').setLevel(logging.INFO) @@ -1069,3 +1069,19 @@ def import_fails() -> None: # restore previous importfunction builtins.__import__ = realimport + + +@pytest.fixture(scope="function") +def open_trade(): + return Trade( + pair='ETH/BTC', + open_rate=0.00001099, + exchange='bittrex', + open_order_id='123456789', + amount=90.99181073, + fee_open=0.0, + fee_close=0.0, + stake_amount=1, + open_date=arrow.utcnow().shift(minutes=-601).datetime, + is_open=True + ) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 28ba57c1d..3072a4661 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1916,7 +1916,8 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order, freqtrade.handle_trade(trade) -def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, fee, mocker) -> None: +def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, open_trade, + fee, mocker) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() patch_exchange(mocker) @@ -1929,31 +1930,18 @@ def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, fe ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 0 -def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, +def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, open_trade, fee, mocker, caplog) -> None: """ Handle Buy order cancelled on exchange""" rpc_mock = patch_RPCManager(mocker) @@ -1969,32 +1957,19 @@ def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 0 assert log_has_re("Buy order canceled on Exchange for Trade.*", caplog) -def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_order_old, +def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_order_old, open_trade, fee, mocker) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() @@ -2009,31 +1984,19 @@ def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_ord ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 0 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 1 -def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, mocker) -> None: +def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, mocker, + open_trade) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() patch_exchange(mocker) @@ -2045,30 +2008,20 @@ def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_sell = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(hours=-5).datetime, - close_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=False - ) + open_trade.open_date = arrow.utcnow().shift(hours=-5).datetime + open_trade.close_date = arrow.utcnow().shift(minutes=-601).datetime + open_trade.is_open = False - Trade.session.add(trade_sell) + Trade.session.add(open_trade) # check it does cancel sell orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - assert trade_sell.is_open is True + assert open_trade.is_open is True -def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, +def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, open_trade, mocker, caplog) -> None: """ Handle sell order cancelled on exchange""" rpc_mock = patch_RPCManager(mocker) @@ -2083,32 +2036,22 @@ def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_sell = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(hours=-5).datetime, - close_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=False - ) + open_trade.open_date = arrow.utcnow().shift(hours=-5).datetime + open_trade.close_date = arrow.utcnow().shift(minutes=-601).datetime + open_trade.is_open = False - Trade.session.add(trade_sell) + Trade.session.add(open_trade) # check it does cancel sell orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 1 - assert trade_sell.is_open is True + assert open_trade.is_open is True assert log_has_re("Sell order canceled on exchange for Trade.*", caplog) def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old_partial, - mocker) -> None: + open_trade, mocker) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() patch_exchange(mocker) @@ -2120,33 +2063,20 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit # note this is for a partially-complete buy order freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() assert len(trades) == 1 assert trades[0].amount == 23.0 - assert trades[0].stake_amount == trade_buy.open_rate * trades[0].amount + assert trades[0].stake_amount == open_trade.open_rate * trades[0].amount -def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) -> None: +def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = MagicMock() @@ -2164,26 +2094,12 @@ def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) - ) freqtrade = FreqtradeBot(default_conf) - open_date = arrow.utcnow().shift(minutes=-601) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=open_date.datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) freqtrade.check_handle_timedout() assert log_has_re(r"Cannot query order for Trade\(id=1, pair=ETH/BTC, amount=90.99181073, " r"open_rate=0.00001099, open_since=" - f"{open_date.strftime('%Y-%m-%d %H:%M:%S')}" + f"{open_trade.open_date.strftime('%Y-%m-%d %H:%M:%S')}" r"\) due to Traceback \(most recent call last\):\n*", caplog) @@ -2204,9 +2120,11 @@ def test_handle_timedout_limit_buy(mocker, default_conf, limit_buy_order) -> Non limit_buy_order['remaining'] = limit_buy_order['amount'] assert freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) assert cancel_order_mock.call_count == 1 + + cancel_order_mock.reset_mock() limit_buy_order['amount'] = 2 assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) - assert cancel_order_mock.call_count == 2 + assert cancel_order_mock.call_count == 1 def test_handle_timedout_limit_sell(mocker, default_conf) -> None: From 0ac46eddca5a5277148cc824c46d05873586b094 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 06:38:07 +0200 Subject: [PATCH 61/82] Add tests for new scenario --- tests/conftest.py | 8 ++++++++ tests/test_freqtradebot.py | 36 ++++++++++++++++++++++++++++++++++++ 2 files changed, 44 insertions(+) diff --git a/tests/conftest.py b/tests/conftest.py index 8871c01b4..7d3f1c7ab 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -608,6 +608,14 @@ def limit_buy_order_old_partial(): } +@pytest.fixture +def limit_buy_order_old_partial_canceled(limit_buy_order_old_partial): + res = deepcopy(limit_buy_order_old_partial) + res['status'] = 'canceled' + res['fee'] = {'cost': 0.0001, 'currency': 'ETH'} + return res + + @pytest.fixture def limit_sell_order(): return { diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 3072a4661..89e4a40da 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2076,6 +2076,42 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old assert trades[0].stake_amount == open_trade.open_rate * trades[0].amount +def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, caplog, + limit_buy_order_old_partial, trades_for_order, + limit_buy_order_old_partial_canceled, mocker) -> None: + rpc_mock = patch_RPCManager(mocker) + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled) + patch_exchange(mocker) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_order=MagicMock(return_value=limit_buy_order_old_partial), + cancel_order=cancel_order_mock, + get_trades_for_order=MagicMock(return_value=trades_for_order), + ) + freqtrade = FreqtradeBot(default_conf) + + assert open_trade.amount == limit_buy_order_old_partial['amount'] + + open_trade.fee_open = 0.0025 + open_trade.fee_close = 0.0025 + Trade.session.add(open_trade) + # cancelling a half-filled order should update the amount to the bought amount + # and apply fees if necessary. + freqtrade.check_handle_timedout() + + assert log_has_re(r"Applying fee on amount for Trade.* Order", caplog) + + assert cancel_order_mock.call_count == 1 + assert rpc_mock.call_count == 1 + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() + assert len(trades) == 1 + # Verify that tradehas been updated + assert trades[0].amount == limit_buy_order_old_partial['amount'] - 0.0001 + assert trades[0].open_order_id is None + assert trades[0].fee_open == 0 + + def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) From c181fac6c706fb334ca6f5e8b9200faf62afce7d Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 06:46:48 +0200 Subject: [PATCH 62/82] fix #2383 --- freqtrade/freqtradebot.py | 16 +++++++++++++--- tests/test_freqtradebot.py | 4 ++-- 2 files changed, 15 insertions(+), 5 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 46ff09173..9b9fd3531 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -802,16 +802,26 @@ class FreqtradeBot: """Buy timeout - cancel order :return: True if order was fully cancelled """ - self.exchange.cancel_order(trade.open_order_id, trade.pair) - if order['remaining'] == order['amount']: + corder = self.exchange.cancel_order(trade.open_order_id, trade.pair) + if corder['remaining'] == corder['amount']: # if trade is not partially completed, just delete the trade self.handle_buy_order_full_cancel(trade, "cancelled due to timeout") return True # if trade is partially complete, edit the stake details for the trade # and close the order - trade.amount = order['amount'] - order['remaining'] + trade.amount = corder['amount'] - corder['remaining'] trade.stake_amount = trade.amount * trade.open_rate + # verify if fees were taken from amount to avoid problems during selling + try: + new_amount = self.get_real_amount(trade, corder) + if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC): + trade.amount = new_amount + # Fee was applied, so set to 0 + trade.fee_open = 0 + except DependencyException as e: + logger.warning("Could not update trade amount: %s", e) + trade.open_order_id = None logger.info('Partial buy order timeout for %s.', trade) self.rpc.send_msg({ diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 89e4a40da..b5d36f994 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2053,7 +2053,7 @@ def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old_partial, open_trade, mocker) -> None: rpc_mock = patch_RPCManager(mocker) - cancel_order_mock = MagicMock() + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', @@ -2143,7 +2143,7 @@ def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocke def test_handle_timedout_limit_buy(mocker, default_conf, limit_buy_order) -> None: patch_RPCManager(mocker) patch_exchange(mocker) - cancel_order_mock = MagicMock() + cancel_order_mock = MagicMock(return_value=limit_buy_order) mocker.patch.multiple( 'freqtrade.exchange.Exchange', cancel_order=cancel_order_mock From 271846dfb6058afe80f376d1ab6bd36d331aaf9e Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 07:01:05 +0200 Subject: [PATCH 63/82] Simplify cancel timedout --- freqtrade/freqtradebot.py | 39 ++++++++++++++++++++++----------------- 1 file changed, 22 insertions(+), 17 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 9b9fd3531..4b4904d24 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -772,21 +772,19 @@ class FreqtradeBot: self.wallets.update() continue - # Handle cancelled on exchange - if order['status'] == 'canceled': - if order['side'] == 'buy': - self.handle_buy_order_full_cancel(trade, "canceled on Exchange") - elif order['side'] == 'sell': - self.handle_timedout_limit_sell(trade, order) - self.wallets.update() - # Check if order is still actually open - elif order['status'] == 'open': - if order['side'] == 'buy' and ordertime < buy_timeoutthreashold: - self.handle_timedout_limit_buy(trade, order) - self.wallets.update() - elif order['side'] == 'sell' and ordertime < sell_timeoutthreashold: - self.handle_timedout_limit_sell(trade, order) - self.wallets.update() + if (order['side'] == 'buy' + and order['status'] == 'canceled' + or (order['status'] == 'open' + and order['side'] == 'buy' and ordertime < buy_timeoutthreashold)): + + self.handle_timedout_limit_buy(trade, order) + self.wallets.update() + + elif (order['side'] == 'sell' and order['status'] == 'canceled' + or (order['status'] == 'open' + and order['side'] == 'sell' and ordertime < sell_timeoutthreashold)): + self.handle_timedout_limit_sell(trade, order) + self.wallets.update() def handle_buy_order_full_cancel(self, trade: Trade, reason: str) -> None: """Close trade in database and send message""" @@ -802,10 +800,17 @@ class FreqtradeBot: """Buy timeout - cancel order :return: True if order was fully cancelled """ - corder = self.exchange.cancel_order(trade.open_order_id, trade.pair) + reason = "cancelled due to timeout" + if order['status'] != 'canceled': + corder = self.exchange.cancel_order(trade.open_order_id, trade.pair) + else: + # Order was cancelled already, so we can reuse the existing dict + corder = order + reason = "canceled on Exchange" + if corder['remaining'] == corder['amount']: # if trade is not partially completed, just delete the trade - self.handle_buy_order_full_cancel(trade, "cancelled due to timeout") + self.handle_buy_order_full_cancel(trade, reason) return True # if trade is partially complete, edit the stake details for the trade From 2588990f4b1ec521accab7cff7e59fdcb142373f Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 07:10:02 +0200 Subject: [PATCH 64/82] Require unfilledtimeout - don't require telegram in config --- freqtrade/constants.py | 2 +- freqtrade/rpc/rpc_manager.py | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 697bc280f..a310b4896 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -266,6 +266,6 @@ CONF_SCHEMA = { 'stake_amount', 'dry_run', 'bid_strategy', - 'telegram' + 'unfilledtimeout', ] } diff --git a/freqtrade/rpc/rpc_manager.py b/freqtrade/rpc/rpc_manager.py index 802550b94..cb9e697e9 100644 --- a/freqtrade/rpc/rpc_manager.py +++ b/freqtrade/rpc/rpc_manager.py @@ -18,7 +18,7 @@ class RPCManager: self.registered_modules: List[RPC] = [] # Enable telegram - if freqtrade.config['telegram'].get('enabled', False): + if freqtrade.config.get('telegram', {}).get('enabled', False): logger.info('Enabling rpc.telegram ...') from freqtrade.rpc.telegram import Telegram self.registered_modules.append(Telegram(freqtrade)) From 9d739f98ac6fd9026b419feeed1d462036c1ef35 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 09:04:05 +0200 Subject: [PATCH 65/82] use requested - remaining amount - not the requested amount! --- freqtrade/freqtradebot.py | 7 +++--- tests/test_freqtradebot.py | 49 ++++++++++++++++++++++++++++++++++---- 2 files changed, 49 insertions(+), 7 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 4b4904d24..e3e2ed24b 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -466,12 +466,13 @@ class FreqtradeBot: if result: self.wallets.update() - def get_real_amount(self, trade: Trade, order: Dict) -> float: + def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float: """ Get real amount for the trade Necessary for exchanges which charge fees in base currency (e.g. binance) """ - order_amount = order['amount'] + if order_amount is None: + order_amount = order['amount'] # Only run for closed orders if trade.fee_open == 0 or order['status'] == 'open': return order_amount @@ -819,7 +820,7 @@ class FreqtradeBot: trade.stake_amount = trade.amount * trade.open_rate # verify if fees were taken from amount to avoid problems during selling try: - new_amount = self.get_real_amount(trade, corder) + new_amount = self.get_real_amount(trade, corder, trade.amount) if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC): trade.amount = new_amount # Fee was applied, so set to 0 diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index b5d36f994..503c0e78c 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2076,7 +2076,7 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old assert trades[0].stake_amount == open_trade.open_rate * trades[0].amount -def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, caplog, +def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, caplog, fee, limit_buy_order_old_partial, trades_for_order, limit_buy_order_old_partial_canceled, mocker) -> None: rpc_mock = patch_RPCManager(mocker) @@ -2093,8 +2093,8 @@ def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, cap assert open_trade.amount == limit_buy_order_old_partial['amount'] - open_trade.fee_open = 0.0025 - open_trade.fee_close = 0.0025 + open_trade.fee_open = fee() + open_trade.fee_close = fee() Trade.session.add(open_trade) # cancelling a half-filled order should update the amount to the bought amount # and apply fees if necessary. @@ -2107,11 +2107,52 @@ def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, cap trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() assert len(trades) == 1 # Verify that tradehas been updated - assert trades[0].amount == limit_buy_order_old_partial['amount'] - 0.0001 + assert trades[0].amount == (limit_buy_order_old_partial['amount'] - + limit_buy_order_old_partial['remaining']) - 0.0001 assert trades[0].open_order_id is None assert trades[0].fee_open == 0 +def test_check_handle_timedout_partial_except(default_conf, ticker, open_trade, caplog, fee, + limit_buy_order_old_partial, trades_for_order, + limit_buy_order_old_partial_canceled, mocker) -> None: + rpc_mock = patch_RPCManager(mocker) + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled) + patch_exchange(mocker) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_order=MagicMock(return_value=limit_buy_order_old_partial), + cancel_order=cancel_order_mock, + get_trades_for_order=MagicMock(return_value=trades_for_order), + ) + mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', + MagicMock(side_effect=DependencyException)) + freqtrade = FreqtradeBot(default_conf) + + assert open_trade.amount == limit_buy_order_old_partial['amount'] + + open_trade.fee_open = fee() + open_trade.fee_close = fee() + Trade.session.add(open_trade) + # cancelling a half-filled order should update the amount to the bought amount + # and apply fees if necessary. + freqtrade.check_handle_timedout() + + assert log_has_re(r"Could not update trade amount: .*", caplog) + + assert cancel_order_mock.call_count == 1 + assert rpc_mock.call_count == 1 + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() + assert len(trades) == 1 + # Verify that tradehas been updated + + assert trades[0].amount == (limit_buy_order_old_partial['amount'] - + limit_buy_order_old_partial['remaining']) + assert trades[0].open_order_id is None + assert trades[0].fee_open == fee() + + def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) From 00a95945e198919e102113754861ae9b66af0729 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 10:00:43 +0200 Subject: [PATCH 66/82] Improve assumptions --- docs/backtesting.md | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/docs/backtesting.md b/docs/backtesting.md index d8d4cf00d..6db573224 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -195,6 +195,7 @@ Hence, keep in mind that your performance is an integral mix of all different el Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: - Buys happen at open-price +- Sell signal sells happen at open-price of the following candle - Low happens before high for stoploss, protecting capital first. - ROI sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%) - Stoploss sells happen exactly at stoploss price, even if low was lower @@ -203,6 +204,9 @@ Since backtesting lacks some detailed information about what happens within a ca - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used) +Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode. +Also, keep in mind that past results don't guarantee future success. + ### Further backtest-result analysis To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file). From ed8d8057974ef897a32bb40bbb6d57f22d48bb91 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 11:31:43 +0200 Subject: [PATCH 67/82] Make paths os independent to have tests pass on windows --- tests/test_configuration.py | 9 +++++---- tests/test_plotting.py | 5 +++-- 2 files changed, 8 insertions(+), 6 deletions(-) diff --git a/tests/test_configuration.py b/tests/test_configuration.py index b133c3609..2aa805fe6 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -399,7 +399,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non assert 'pair_whitelist' in config['exchange'] assert 'datadir' in config assert log_has('Using data directory: {} ...'.format("/foo/bar"), caplog) - assert log_has('Using user-data directory: {} ...'.format("/tmp/freqtrade"), caplog) + assert log_has('Using user-data directory: {} ...'.format(Path("/tmp/freqtrade")), caplog) assert 'user_data_dir' in config assert 'ticker_interval' in config @@ -652,9 +652,9 @@ def test_create_userdata_dir(mocker, default_conf, caplog) -> None: x = create_userdata_dir('/tmp/bar', create_dir=True) assert md.call_count == 7 assert md.call_args[1]['parents'] is False - assert log_has('Created user-data directory: /tmp/bar', caplog) + assert log_has(f'Created user-data directory: {Path("/tmp/bar")}', caplog) assert isinstance(x, Path) - assert str(x) == "/tmp/bar" + assert str(x) == str(Path("/tmp/bar")) def test_create_userdata_dir_exists(mocker, default_conf, caplog) -> None: @@ -669,7 +669,8 @@ def test_create_userdata_dir_exists_exception(mocker, default_conf, caplog) -> N mocker.patch.object(Path, "is_dir", MagicMock(return_value=False)) md = mocker.patch.object(Path, 'mkdir', MagicMock()) - with pytest.raises(OperationalException, match=r'Directory `/tmp/bar` does not exist.*'): + with pytest.raises(OperationalException, + match=r'Directory `.{1,2}tmp.{1,2}bar` does not exist.*'): create_userdata_dir('/tmp/bar', create_dir=False) assert md.call_count == 0 diff --git a/tests/test_plotting.py b/tests/test_plotting.py index 86f5610da..a39b2b76e 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -214,11 +214,12 @@ def test_generate_plot_file(mocker, caplog): store_plot_file(fig, filename="freqtrade-plot-UNITTEST_BTC-5m.html", directory=Path("user_data/plots")) + expected_fn = str(Path("user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html")) assert plot_mock.call_count == 1 assert plot_mock.call_args[0][0] == fig assert (plot_mock.call_args_list[0][1]['filename'] - == "user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html") - assert log_has("Stored plot as user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html", + == expected_fn) + assert log_has(f"Stored plot as {expected_fn}", caplog) From e55b2a1a1cfca5b53a0888cea65719ad74a69ca1 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 12:21:05 +0200 Subject: [PATCH 68/82] Allow test to pass on fast computers by setting the offset to -1 --- tests/test_freqtradebot.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 7fb84f078..d4a1d990a 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1449,8 +1449,8 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, # setting stoploss freqtrade.strategy.stoploss = -0.02 - # setting stoploss_on_exchange_interval to 0 second - freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0 + # setting stoploss_on_exchange_interval to -1 second since this test runs fast + freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = -1 patch_get_signal(freqtrade) From 3208f30c308a200d5a9c2a37c15efcf17624e567 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 12:48:12 +0200 Subject: [PATCH 69/82] Fix base64 test on windows --- tests/strategy/test_strategy.py | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/tests/strategy/test_strategy.py b/tests/strategy/test_strategy.py index 52216e0ef..12770f2c7 100644 --- a/tests/strategy/test_strategy.py +++ b/tests/strategy/test_strategy.py @@ -1,6 +1,5 @@ # pragma pylint: disable=missing-docstring, protected-access, C0103 import logging -import tempfile import warnings from base64 import urlsafe_b64encode from os import path @@ -51,7 +50,7 @@ def test_load_strategy_base64(result, caplog, default_conf): assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) # Make sure strategy was loaded from base64 (using temp directory)!! assert log_has_re(r"Using resolved strategy SampleStrategy from '" - + tempfile.gettempdir() + r"/.*/SampleStrategy\.py'\.\.\.", caplog) + r".*(/|\\).*(/|\\)SampleStrategy\.py'\.\.\.", caplog) def test_load_strategy_invalid_directory(result, caplog, default_conf): From c649f9844e8bbff07b01a831fc80927a368523e0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 19:36:04 +0200 Subject: [PATCH 70/82] Compare >= instead of = --- freqtrade/freqtradebot.py | 2 +- tests/test_freqtradebot.py | 4 ++-- 2 files changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d62c6a912..e2d4454ef 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -705,7 +705,7 @@ class FreqtradeBot: if trade.stop_loss > float(order['info']['stopPrice']): # we check if the update is neccesary update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60) - if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() > update_beat: + if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat: # cancelling the current stoploss on exchange first logger.info('Trailing stoploss: cancelling current stoploss on exchange (id:{%s})' 'in order to add another one ...', order['id']) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index d4a1d990a..b2268acc5 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1449,8 +1449,8 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, # setting stoploss freqtrade.strategy.stoploss = -0.02 - # setting stoploss_on_exchange_interval to -1 second since this test runs fast - freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = -1 + # setting stoploss_on_exchange_interval to 0 seconds + freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0 patch_get_signal(freqtrade) From 4ec83a2c24f23d0fe852c01d39289bf22c25600f Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 18 Oct 2019 23:29:19 +0300 Subject: [PATCH 71/82] DefaultHyperOpts --> DefaultHyperOpt; hyperopts --> hyperopt where it's not correct --- docs/bot-usage.md | 4 ++-- docs/faq.md | 4 ++-- docs/hyperopt.md | 12 ++++++------ freqtrade/constants.py | 2 +- freqtrade/optimize/default_hyperopt.py | 2 +- freqtrade/resolvers/pairlist_resolver.py | 4 ++-- tests/optimize/test_hyperopt.py | 10 +++++----- 7 files changed, 19 insertions(+), 19 deletions(-) diff --git a/docs/bot-usage.md b/docs/bot-usage.md index 7da0d029b..a0437976f 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -106,7 +106,7 @@ user_data/ ├── backtest_results ├── data ├── hyperopts -├── hyperopts_results +├── hyperopt_results ├── plot └── strategies ``` @@ -256,7 +256,7 @@ optional arguments: entry and exit). --customhyperopt NAME Specify hyperopt class name (default: - `DefaultHyperOpts`). + `DefaultHyperOpt`). --hyperopt-path PATH Specify additional lookup path for Hyperopts and Hyperopt Loss functions. --eps, --enable-position-stacking diff --git a/docs/faq.md b/docs/faq.md index a441ffacd..dd92d310e 100644 --- a/docs/faq.md +++ b/docs/faq.md @@ -38,7 +38,7 @@ like pauses. You can stop your bot, adjust settings and start it again. ### I want to improve the bot with a new strategy -That's great. We have a nice backtesting and hyperoptimizing setup. See +That's great. We have a nice backtesting and hyperoptimization setup. See the tutorial [here|Testing-new-strategies-with-Hyperopt](bot-usage.md#hyperopt-commands). ### Is there a setting to only SELL the coins being held and not perform anymore BUYS? @@ -59,7 +59,7 @@ If you're a US customer, the bot will fail to create orders for these pairs, and ### How many epoch do I need to get a good Hyperopt result? -Per default Hyperopts without `-e` or `--epochs` parameter will only +Per default Hyperopt called without the `-e`/`--epochs` command line option will only run 100 epochs, means 100 evals of your triggers, guards, ... Too few to find a great result (unless if you are very lucky), so you probably have to run it for 10.000 or more. But it will take an eternity to diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 1ca371e3d..99331707f 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -10,12 +10,12 @@ Hyperopt requires historic data to be available, just as backtesting does. To learn how to get data for the pairs and exchange you're interrested in, head over to the [Data Downloading](data-download.md) section of the documentation. !!! Bug - Hyperopt will crash when used with only 1 CPU Core as found out in [Issue #1133](https://github.com/freqtrade/freqtrade/issues/1133) + Hyperopt can crash when used with only 1 CPU Core as found out in [Issue #1133](https://github.com/freqtrade/freqtrade/issues/1133) ## Prepare Hyperopting Before we start digging into Hyperopt, we recommend you to take a look at -an example hyperopt file located into [user_data/hyperopts/](https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt.py) +the sample hyperopt file located in [user_data/hyperopts/](https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt.py). Configuring hyperopt is similar to writing your own strategy, and many tasks will be similar and a lot of code can be copied across from the strategy. @@ -64,9 +64,9 @@ multiple guards. The constructed strategy will be something like "*buy exactly when close price touches lower bollinger band, BUT only if ADX > 10*". -If you have updated the buy strategy, ie. changed the contents of -`populate_buy_trend()` method you have to update the `guards` and -`triggers` hyperopts must use. +If you have updated the buy strategy, i.e. changed the contents of +`populate_buy_trend()` method, you have to update the `guards` and +`triggers` your hyperopt must use correspondingly. #### Sell optimization @@ -82,7 +82,7 @@ To avoid naming collisions in the search-space, please prefix all sell-spaces wi #### Using ticker-interval as part of the Strategy The Strategy exposes the ticker-interval as `self.ticker_interval`. The same value is available as class-attribute `HyperoptName.ticker_interval`. -In the case of the linked sample-value this would be `SampleHyperOpts.ticker_interval`. +In the case of the linked sample-value this would be `SampleHyperOpt.ticker_interval`. ## Solving a Mystery diff --git a/freqtrade/constants.py b/freqtrade/constants.py index a310b4896..e8f3f5783 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -10,7 +10,7 @@ DEFAULT_TICKER_INTERVAL = 5 # min HYPEROPT_EPOCH = 100 # epochs RETRY_TIMEOUT = 30 # sec DEFAULT_STRATEGY = 'DefaultStrategy' -DEFAULT_HYPEROPT = 'DefaultHyperOpts' +DEFAULT_HYPEROPT = 'DefaultHyperOpt' DEFAULT_HYPEROPT_LOSS = 'DefaultHyperOptLoss' DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite' DEFAULT_DB_DRYRUN_URL = 'sqlite://' diff --git a/freqtrade/optimize/default_hyperopt.py b/freqtrade/optimize/default_hyperopt.py index 2554982ad..2e2bca3d0 100644 --- a/freqtrade/optimize/default_hyperopt.py +++ b/freqtrade/optimize/default_hyperopt.py @@ -11,7 +11,7 @@ import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.optimize.hyperopt_interface import IHyperOpt -class DefaultHyperOpts(IHyperOpt): +class DefaultHyperOpt(IHyperOpt): """ Default hyperopt provided by the Freqtrade bot. You can override it with your own Hyperopt diff --git a/freqtrade/resolvers/pairlist_resolver.py b/freqtrade/resolvers/pairlist_resolver.py index 2ddf5de2f..c2782a219 100644 --- a/freqtrade/resolvers/pairlist_resolver.py +++ b/freqtrade/resolvers/pairlist_resolver.py @@ -1,7 +1,7 @@ # pragma pylint: disable=attribute-defined-outside-init """ -This module load custom hyperopts +This module load custom pairlists """ import logging from pathlib import Path @@ -15,7 +15,7 @@ logger = logging.getLogger(__name__) class PairListResolver(IResolver): """ - This class contains all the logic to load custom hyperopt class + This class contains all the logic to load custom PairList class """ __slots__ = ['pairlist'] diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index c9a112422..052c3ba77 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -12,7 +12,7 @@ from freqtrade import OperationalException from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.data.history import load_tickerdata_file from freqtrade.optimize import setup_configuration, start_hyperopt -from freqtrade.optimize.default_hyperopt import DefaultHyperOpts +from freqtrade.optimize.default_hyperopt import DefaultHyperOpt from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss from freqtrade.optimize.hyperopt import Hyperopt from freqtrade.resolvers.hyperopt_resolver import (HyperOptLossResolver, @@ -148,12 +148,12 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo def test_hyperoptresolver(mocker, default_conf, caplog) -> None: patched_configuration_load_config_file(mocker, default_conf) - hyperopts = DefaultHyperOpts - delattr(hyperopts, 'populate_buy_trend') - delattr(hyperopts, 'populate_sell_trend') + hyperopt = DefaultHyperOpt + delattr(hyperopt, 'populate_buy_trend') + delattr(hyperopt, 'populate_sell_trend') mocker.patch( 'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver._load_hyperopt', - MagicMock(return_value=hyperopts(default_conf)) + MagicMock(return_value=hyperopt(default_conf)) ) x = HyperOptResolver(default_conf, ).hyperopt assert not hasattr(x, 'populate_buy_trend') From 30eb23e1aaa7b2d9dd365e55bd7d9d40a29277b5 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 18 Oct 2019 23:41:07 +0300 Subject: [PATCH 72/82] Minor freqtrade cleanup --- freqtrade/freqtradebot.py | 13 ++++++------- 1 file changed, 6 insertions(+), 7 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 8a282baa1..ed5116b08 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -748,8 +748,8 @@ class FreqtradeBot: """ buy_timeout = self.config['unfilledtimeout']['buy'] sell_timeout = self.config['unfilledtimeout']['sell'] - buy_timeoutthreashold = arrow.utcnow().shift(minutes=-buy_timeout).datetime - sell_timeoutthreashold = arrow.utcnow().shift(minutes=-sell_timeout).datetime + buy_timeout_threshold = arrow.utcnow().shift(minutes=-buy_timeout).datetime + sell_timeout_threshold = arrow.utcnow().shift(minutes=-sell_timeout).datetime for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all(): try: @@ -773,17 +773,16 @@ class FreqtradeBot: self.wallets.update() continue - if (order['side'] == 'buy' - and order['status'] == 'canceled' + if ((order['side'] == 'buy' and order['status'] == 'canceled') or (order['status'] == 'open' - and order['side'] == 'buy' and ordertime < buy_timeoutthreashold)): + and order['side'] == 'buy' and ordertime < buy_timeout_threshold)): self.handle_timedout_limit_buy(trade, order) self.wallets.update() - elif (order['side'] == 'sell' and order['status'] == 'canceled' + elif ((order['side'] == 'sell' and order['status'] == 'canceled') or (order['status'] == 'open' - and order['side'] == 'sell' and ordertime < sell_timeoutthreashold)): + and order['side'] == 'sell' and ordertime < sell_timeout_threshold)): self.handle_timedout_limit_sell(trade, order) self.wallets.update() From fd22c87295c6f059220bbed5a06271ec2096f4b2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 10:05:30 +0200 Subject: [PATCH 73/82] Some minor cleanups to trades download methods and docs --- docs/data-download.md | 10 +++++----- freqtrade/configuration/cli_options.py | 3 ++- freqtrade/exchange/exchange.py | 11 +++++------ 3 files changed, 12 insertions(+), 12 deletions(-) diff --git a/docs/data-download.md b/docs/data-download.md index 83f5cd568..bf4792ea3 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -59,12 +59,12 @@ This will download ticker data for all the currency pairs you defined in `pairs. ### Trades (tick) data -By default, download-data downloads Candles (OHLCV) data. Some exchanges also provide historic trade-data via their API. +By default, `download-data` subcommand downloads Candles (OHLCV) data. Some exchanges also provide historic trade-data via their API. This data can be useful if you need many different timeframes, since it is only downloaded once, and then resampled locally to the desired timeframes. -Since this data is large by default, the files use gzip by default. They are stored in your data-directory with the naming convention of `-trades.json.gz` (`ETH_BTC_trades.json.gz`). Incremental mode is supported, so downloading the data once per week with `--days 8` will create an incremental data-repository. +Since this data is large by default, the files use gzip by default. They are stored in your data-directory with the naming convention of `-trades.json.gz` (`ETH_BTC-trades.json.gz`). Incremental mode is also supported, as for historic OHLCV data, so downloading the data once per week with `--days 8` will create an incremental data-repository. -To use this mode, simply add `--dl-trades` to your call. This will swap the download-method to trades, and resamples the data locally. +To use this mode, simply add `--dl-trades` to your call. This will swap the download method to download trades, and resamples the data locally. Example call: @@ -76,11 +76,11 @@ freqtrade download-data --exchange binance --pairs XRP/ETH ETH/BTC --days 20 --d While this method uses async calls, it will be slow, since it requires the result of the previous call to generate the next request to the exchange. !!! Warning - This datatype is not available during trading. It probably will never be since all exchanges tested don't provide this data in real time, but with a delay of a few 100 candles. + The historic trades are not available during Freqtrade dry-run and live trade modes because all exchanges tested provide this data with a delay of few 100 candles, so it's not suitable for real-time trading. ### Historic Kraken data -The Kraken API does only provide 720 historic candles, which is sufficient for regular trading operations, but is a problem for backtesting. +The Kraken API does only provide 720 historic candles, which is sufficient for FreqTrade dry-run and live trade modes, but is a problem for backtesting. To download data for the Kraken exchange, using `--dl-trades` is mandatory, otherwise the bot will download the same 720 candles over and over, and you'll not have enough backtest data. ## Next step diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 9868ab874..650123127 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -275,7 +275,8 @@ AVAILABLE_CLI_OPTIONS = { ), "download_trades": Arg( '--dl-trades', - help='Download trades instead of OHLCV data.', + help='Download trades instead of OHLCV data. The bot will resample trades to the ' + 'desired timeframe as specified as --timeframes/-t.', action='store_true', ), "exchange": Arg( diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 86078ae05..f8d3d840a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -754,7 +754,7 @@ class Exchange: Handles exchange errors, does one call to the exchange. :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds - returns tuple: (pair, ticker_interval, ohlcv_list) + returns: List of dicts containing trades """ try: # fetch trades asynchronously @@ -790,7 +790,7 @@ class Exchange: :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds :param from_id: Download data starting with ID (if id is known). Ignores "since" if set. - returns tuple: (pair, ticker_interval, ohlcv_list) + returns tuple: (pair, trades-list) """ trades: List[Dict] = [] @@ -831,7 +831,7 @@ class Exchange: :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds - returns tuple: (pair, ticker_interval, ohlcv_list) + returns tuple: (pair, trades-list) """ trades: List[Dict] = [] @@ -857,9 +857,6 @@ class Exchange: """ Async wrapper handling downloading trades using either time or id based methods. """ - if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") if self._trades_pagination == 'time': return await self._async_get_trade_history_time( @@ -889,6 +886,8 @@ class Exchange: :param from_id: Download data starting with ID (if id is known) :returns List of tickers """ + if not self.exchange_has("fetchTrades"): + raise OperationalException("This exchange does not suport downloading Trades.") return asyncio.get_event_loop().run_until_complete( self._async_get_trade_history(pair=pair, since=since, From b152585d9b9ad3e832734f91286bcb6690139b42 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 11:13:10 +0200 Subject: [PATCH 74/82] exportfilename should respect configured user_data_dir --- freqtrade/configuration/cli_options.py | 3 --- freqtrade/configuration/configuration.py | 10 +++++++--- 2 files changed, 7 insertions(+), 6 deletions(-) diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 7e6a956ce..b5f534a12 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -2,7 +2,6 @@ Definition of cli arguments used in arguments.py """ import argparse -import os from freqtrade import __version__, constants @@ -141,8 +140,6 @@ AVAILABLE_CLI_OPTIONS = { 'Requires `--export` to be set as well. ' 'Example: `--export-filename=user_data/backtest_results/backtest_today.json`', metavar='PATH', - default=os.path.join('user_data', 'backtest_results', - 'backtest-result.json'), ), "fee": Arg( '--fee', diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 665999efb..967f8b5b5 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -192,6 +192,13 @@ class Configuration: config.update({'datadir': create_datadir(config, self.args.get("datadir", None))}) logger.info('Using data directory: %s ...', config.get('datadir')) + if self.args.get('exportfilename'): + self._args_to_config(config, argname='exportfilename', + logstring='Storing backtest results to {} ...') + else: + config['exportfilename'] = (config['user_data_dir'] + / 'backtest_results/backtest-result.json') + def _process_optimize_options(self, config: Dict[str, Any]) -> None: # This will override the strategy configuration @@ -235,9 +242,6 @@ class Configuration: self._args_to_config(config, argname='export', logstring='Parameter --export detected: {} ...') - self._args_to_config(config, argname='exportfilename', - logstring='Storing backtest results to {} ...') - # Edge section: if 'stoploss_range' in self.args and self.args["stoploss_range"]: txt_range = eval(self.args["stoploss_range"]) From f41c659cb2a2e97e572b1e4703b11c1e2d9258cb Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 13:18:52 +0200 Subject: [PATCH 75/82] Plotting trades from database should show correct duration --- freqtrade/data/btanalysis.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index b03bdb74d..17abae3b6 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -93,7 +93,7 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: t.close_date.replace(tzinfo=pytz.UTC) if t.close_date else None, t.calc_profit(), t.calc_profit_percent(), t.open_rate, t.close_rate, t.amount, - (t.close_date.timestamp() - t.open_date.timestamp() + (round((t.close_date.timestamp() - t.open_date.timestamp()) / 60, 2) if t.close_date else None), t.sell_reason, t.fee_open, t.fee_close, From 0adcee92334a46935c6a3b6b57278f0babc74a9c Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 14:34:55 +0200 Subject: [PATCH 76/82] Fix backtesting format since sublist does not render correctly --- docs/backtesting.md | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 6db573224..7bfc2dab5 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -199,9 +199,8 @@ Since backtesting lacks some detailed information about what happens within a ca - Low happens before high for stoploss, protecting capital first. - ROI sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%) - Stoploss sells happen exactly at stoploss price, even if low was lower -- Trailing stoploss - - High happens first - adjusting stoploss - - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) +- Trailing stoploss: High happens first - adjusting stoploss +- Trailing stoploss: Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used) Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode. From 16e10d99b98f1dee27c0176017a179e108a69fff Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 14:53:56 +0200 Subject: [PATCH 77/82] Remove timeframe logic for non-date entries --- docs/backtesting.md | 6 ------ docs/edge.md | 5 +---- freqtrade/configuration/timerange.py | 9 ++++++--- freqtrade/data/history.py | 12 ++---------- tests/data/test_btanalysis.py | 4 ++-- 5 files changed, 11 insertions(+), 25 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 6db573224..837fcfa3b 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -103,12 +103,6 @@ The full timerange specification: - Use tickframes since 2018/01/31 till 2018/03/01 : `--timerange=20180131-20180301` - Use tickframes between POSIX timestamps 1527595200 1527618600: `--timerange=1527595200-1527618600` -- Use last 123 tickframes of data: `--timerange=-123` -- Use first 123 tickframes of data: `--timerange=123-` -- Use tickframes from line 123 through 456: `--timerange=123-456` - -!!! warning - Be carefull when using non-date functions - these do not allow you to specify precise dates, so if you updated the test-data it will probably use a different dataset. ## Understand the backtesting result diff --git a/docs/edge.md b/docs/edge.md index d91522770..6374da9e6 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -249,13 +249,10 @@ freqtrade edge --stoplosses=-0.01,-0.1,-0.001 #min,max,step freqtrade edge --timerange=20181110-20181113 ``` -Doing `--timerange=-200` will get the last 200 timeframes from your inputdata. You can also specify specific dates, or a range span indexed by start and stop. +Doing `--timerange=-20190901` will get all available data until September 1st (excluding September 1st 2019). The full timerange specification: -* Use last 123 tickframes of data: `--timerange=-123` -* Use first 123 tickframes of data: `--timerange=123-` -* Use tickframes from line 123 through 456: `--timerange=123-456` * Use tickframes till 2018/01/31: `--timerange=-20180131` * Use tickframes since 2018/01/31: `--timerange=20180131-` * Use tickframes since 2018/01/31 till 2018/03/01 : `--timerange=20180131-20180301` diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index ec6eb75e6..2e92c9d85 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -42,9 +42,8 @@ class TimeRange: (r'^-(\d{10})$', (None, 'date')), (r'^(\d{10})-$', ('date', None)), (r'^(\d{10})-(\d{10})$', ('date', 'date')), - (r'^(-\d+)$', (None, 'line')), - (r'^(\d+)-$', ('line', None)), - (r'^(\d+)-(\d+)$', ('index', 'index'))] + (r'^(\d{13})-(\d{13})$', ('date', 'date')), + ] for rex, stype in syntax: # Apply the regular expression to text match = re.match(rex, text) @@ -57,6 +56,8 @@ class TimeRange: starts = rvals[index] if stype[0] == 'date' and len(starts) == 8: start = arrow.get(starts, 'YYYYMMDD').timestamp + elif len(starts) == 13: + start = int(starts) // 1000 else: start = int(starts) index += 1 @@ -64,6 +65,8 @@ class TimeRange: stops = rvals[index] if stype[1] == 'date' and len(stops) == 8: stop = arrow.get(stops, 'YYYYMMDD').timestamp + elif len(stops) == 13: + stop = int(stops) // 1000 else: stop = int(stops) return TimeRange(stype[0], stype[1], start, stop) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 991a639ca..3bebcf44f 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -33,20 +33,12 @@ def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]: start_index = 0 stop_index = len(tickerlist) - if timerange.starttype == 'line': - stop_index = timerange.startts - if timerange.starttype == 'index': - start_index = timerange.startts - elif timerange.starttype == 'date': + if timerange.starttype == 'date': while (start_index < len(tickerlist) and tickerlist[start_index][0] < timerange.startts * 1000): start_index += 1 - if timerange.stoptype == 'line': - start_index = max(len(tickerlist) + timerange.stopts, 0) - if timerange.stoptype == 'index': - stop_index = timerange.stopts - elif timerange.stoptype == 'date': + if timerange.stoptype == 'date': while (stop_index > 0 and tickerlist[stop_index-1][0] > timerange.stopts * 1000): stop_index -= 1 diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 27a8ee02e..4068e00e4 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -53,12 +53,12 @@ def test_load_trades_db(default_conf, fee, mocker): def test_extract_trades_of_period(testdatadir): pair = "UNITTEST/BTC" - timerange = TimeRange(None, 'line', 0, -1000) + # 2018-11-14 06:07:00 + timerange = TimeRange('date', None, 1510639620, 0) data = load_pair_history(pair=pair, ticker_interval='1m', datadir=testdatadir, timerange=timerange) - # timerange = 2017-11-14 06:07 - 2017-11-14 22:58:00 trades = DataFrame( {'pair': [pair, pair, pair, pair], 'profit_percent': [0.0, 0.1, -0.2, -0.5], From c48876b19660ff5416dce5915916885ad5dd4780 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 15:21:47 +0200 Subject: [PATCH 78/82] Trades should use timestamps or dates, not indexes --- tests/data/test_history.py | 38 ------------------------------ tests/optimize/test_backtesting.py | 19 ++++++++------- tests/strategy/test_interface.py | 2 +- tests/test_timerange.py | 6 +---- 4 files changed, 12 insertions(+), 53 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 96bc0da56..2d292c7cd 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -364,37 +364,6 @@ def test_trim_tickerlist(testdatadir) -> None: ticker_list = json.load(data_file) ticker_list_len = len(ticker_list) - # Test the pattern ^(-\d+)$ - # This pattern uses the latest N elements - timerange = TimeRange(None, 'line', 0, -5) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is not ticker[0] # The first element should be different - assert ticker_list[-1] is ticker[-1] # The last element must be the same - - # Test the pattern ^(\d+)-$ - # This pattern keep X element from the end - timerange = TimeRange('line', None, 5, 0) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is ticker[0] # The first element must be the same - assert ticker_list[-1] is not ticker[-1] # The last element should be different - - # Test the pattern ^(\d+)-(\d+)$ - # This pattern extract a window - timerange = TimeRange('index', 'index', 5, 10) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is not ticker[0] # The first element should be different - assert ticker_list[5] is ticker[0] # The list starts at the index 5 - assert ticker_list[9] is ticker[-1] # The list ends at the index 9 (5 elements) - # Test the pattern ^(\d{8})-(\d{8})$ # This pattern extract a window between the dates timerange = TimeRange('date', 'date', ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1) @@ -434,13 +403,6 @@ def test_trim_tickerlist(testdatadir) -> None: assert ticker_list_len == ticker_len - # Test invalid timerange (start after stop) - timerange = TimeRange('index', 'index', 10, 5) - with pytest.raises(ValueError, match=r'The timerange .* is incorrect'): - trim_tickerlist(ticker_list, timerange) - - assert ticker_list_len == ticker_len - # passing empty list timerange = TimeRange(None, None, None, 5) ticker = trim_tickerlist([], timerange) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 2b6f63516..998edda8a 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -49,7 +49,7 @@ def trim_dictlist(dict_list, num): def load_data_test(what, testdatadir): - timerange = TimeRange(None, 'line', 0, -101) + timerange = TimeRange.parse_timerange('1510694220-1510700340') pair = history.load_tickerdata_file(testdatadir, ticker_interval='1m', pair='UNITTEST/BTC', timerange=timerange) datalen = len(pair) @@ -342,7 +342,8 @@ def test_tickerdata_with_fee(default_conf, mocker, testdatadir) -> None: def test_tickerdata_to_dataframe_bt(default_conf, mocker, testdatadir) -> None: patch_exchange(mocker) - timerange = TimeRange(None, 'line', 0, -100) + # timerange = TimeRange(None, 'line', 0, -100) + timerange = TimeRange.parse_timerange('1510694220-1510700340') tick = history.load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange) tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} @@ -474,7 +475,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: default_conf['ticker_interval'] = '1m' default_conf['datadir'] = testdatadir default_conf['export'] = None - default_conf['timerange'] = '-100' + default_conf['timerange'] = '-1510694220' backtesting = Backtesting(default_conf) backtesting.start() @@ -522,7 +523,7 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: patch_exchange(mocker) backtesting = Backtesting(default_conf) pair = 'UNITTEST/BTC' - timerange = TimeRange(None, 'line', 0, -201) + timerange = TimeRange('date', None, 1517227800, 0) data = history.load_data(datadir=testdatadir, ticker_interval='5m', pairs=['UNITTEST/BTC'], timerange=timerange) data_processed = backtesting.strategy.tickerdata_to_dataframe(data) @@ -578,7 +579,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker, testdatadir) - backtesting = Backtesting(default_conf) # Run a backtesting for an exiting 1min ticker_interval - timerange = TimeRange(None, 'line', 0, -200) + timerange = TimeRange.parse_timerange('1510688220-1510700340') data = history.load_data(datadir=testdatadir, ticker_interval='1m', pairs=['UNITTEST/BTC'], timerange=timerange) processed = backtesting.strategy.tickerdata_to_dataframe(data) @@ -823,7 +824,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): '--datadir', str(testdatadir), 'backtesting', '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions' ] @@ -833,7 +834,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): exists = [ 'Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', - 'Parameter --timerange detected: -100 ...', + 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', @@ -869,7 +870,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): '--datadir', str(testdatadir), 'backtesting', '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions', '--strategy-list', @@ -887,7 +888,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): exists = [ 'Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', - 'Parameter --timerange detected: -100 ...', + 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 094cd41a1..5519b1a34 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -106,7 +106,7 @@ def test_get_signal_handles_exceptions(mocker, default_conf): def test_tickerdata_to_dataframe(default_conf, testdatadir) -> None: strategy = DefaultStrategy(default_conf) - timerange = TimeRange(None, 'line', 0, -100) + timerange = TimeRange.parse_timerange('1510694220-1510700340') tick = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange) tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} diff --git a/tests/test_timerange.py b/tests/test_timerange.py index 6599472fb..2f4b00e70 100644 --- a/tests/test_timerange.py +++ b/tests/test_timerange.py @@ -5,9 +5,6 @@ from freqtrade.configuration import TimeRange def test_parse_timerange_incorrect() -> None: - assert TimeRange(None, 'line', 0, -200) == TimeRange.parse_timerange('-200') - assert TimeRange('line', None, 200, 0) == TimeRange.parse_timerange('200-') - assert TimeRange('index', 'index', 200, 500) == TimeRange.parse_timerange('200-500') assert TimeRange('date', None, 1274486400, 0) == TimeRange.parse_timerange('20100522-') assert TimeRange(None, 'date', 0, 1274486400) == TimeRange.parse_timerange('-20100522') @@ -20,9 +17,8 @@ def test_parse_timerange_incorrect() -> None: timerange = TimeRange.parse_timerange('1231006505-1233360000') assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange - # TODO: Find solution for the following case (passing timestamp in ms) timerange = TimeRange.parse_timerange('1231006505000-1233360000000') - assert TimeRange('date', 'date', 1231006505, 1233360000) != timerange + assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange with pytest.raises(Exception, match=r'Incorrect syntax.*'): TimeRange.parse_timerange('-') From d8630ef8472e575f64e600fcf0252c72d5afb91b Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 19:38:16 +0200 Subject: [PATCH 79/82] Add one-sided ms timerange --- freqtrade/configuration/timerange.py | 2 ++ tests/test_timerange.py | 6 ++++++ 2 files changed, 8 insertions(+) diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index 2e92c9d85..fc759ab6e 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -42,6 +42,8 @@ class TimeRange: (r'^-(\d{10})$', (None, 'date')), (r'^(\d{10})-$', ('date', None)), (r'^(\d{10})-(\d{10})$', ('date', 'date')), + (r'^-(\d{13})$', (None, 'date')), + (r'^(\d{13})-$', ('date', None)), (r'^(\d{13})-(\d{13})$', ('date', 'date')), ] for rex, stype in syntax: diff --git a/tests/test_timerange.py b/tests/test_timerange.py index 2f4b00e70..4851cbebd 100644 --- a/tests/test_timerange.py +++ b/tests/test_timerange.py @@ -20,5 +20,11 @@ def test_parse_timerange_incorrect() -> None: timerange = TimeRange.parse_timerange('1231006505000-1233360000000') assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange + timerange = TimeRange.parse_timerange('1231006505000-') + assert TimeRange('date', None, 1231006505, 0) == timerange + + timerange = TimeRange.parse_timerange('-1231006505000') + assert TimeRange(None, 'date', 0, 1231006505) == timerange + with pytest.raises(Exception, match=r'Incorrect syntax.*'): TimeRange.parse_timerange('-') From b805e4e1501e9a52b22768b749cd59e918ab1ba5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 20 Oct 2019 10:34:04 +0200 Subject: [PATCH 80/82] Try list extension --- docs/backtesting.md | 5 +++-- mkdocs.yml | 1 + 2 files changed, 4 insertions(+), 2 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 7bfc2dab5..6db573224 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -199,8 +199,9 @@ Since backtesting lacks some detailed information about what happens within a ca - Low happens before high for stoploss, protecting capital first. - ROI sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%) - Stoploss sells happen exactly at stoploss price, even if low was lower -- Trailing stoploss: High happens first - adjusting stoploss -- Trailing stoploss: Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) +- Trailing stoploss + - High happens first - adjusting stoploss + - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used) Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode. diff --git a/mkdocs.yml b/mkdocs.yml index 197df7dc8..863731873 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -52,3 +52,4 @@ markdown_extensions: - pymdownx.tasklist: custom_checkbox: true - pymdownx.tilde + - mdx_truly_sane_lists From 78cd75dfef16a52eeb9646be34b230ddbae7ed5d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 20 Oct 2019 10:35:36 +0200 Subject: [PATCH 81/82] Add requirement --- docs/requirements-docs.txt | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index 0be47081c..5e7fe7084 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1 +1,2 @@ -mkdocs-material==4.4.3 \ No newline at end of file +mkdocs-material==4.4.3 +mdx_truly_sane_lists==1.2 From 8a31b4c646e1a4f1a529caa283dce1a98f94775b Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 20 Oct 2019 10:47:04 +0200 Subject: [PATCH 82/82] Update python base to 3.7.5 and install hyperopt dependencies --- Dockerfile | 6 +++--- requirements-hyperopt.txt | 2 +- 2 files changed, 4 insertions(+), 4 deletions(-) diff --git a/Dockerfile b/Dockerfile index 8677b54de..21432f89f 100644 --- a/Dockerfile +++ b/Dockerfile @@ -1,4 +1,4 @@ -FROM python:3.7.4-slim-stretch +FROM python:3.7.5-slim-stretch RUN apt-get update \ && apt-get -y install curl build-essential libssl-dev \ @@ -16,9 +16,9 @@ RUN cd /tmp && /tmp/install_ta-lib.sh && rm -r /tmp/*ta-lib* ENV LD_LIBRARY_PATH /usr/local/lib # Install dependencies -COPY requirements.txt requirements-common.txt /freqtrade/ +COPY requirements.txt requirements-common.txt requirements-hyperopt.txt /freqtrade/ RUN pip install numpy --no-cache-dir \ - && pip install -r requirements.txt --no-cache-dir + && pip install -r requirements-hyperopt.txt --no-cache-dir # Install and execute COPY . /freqtrade/ diff --git a/requirements-hyperopt.txt b/requirements-hyperopt.txt index 709c43d92..f5dae7332 100644 --- a/requirements-hyperopt.txt +++ b/requirements-hyperopt.txt @@ -1,5 +1,5 @@ # Include all requirements to run the bot. -# -r requirements.txt +-r requirements.txt # Required for hyperopt scipy==1.3.1