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Merge branch 'freqtrade:develop' into health

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Reigo Reinmets 2022-01-24 13:52:53 +02:00 committed by GitHub
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8 changed files with 96 additions and 21 deletions
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9
docs/strategy-callbacks.md
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@ -362,8 +362,8 @@ class AwesomeStrategy(IStrategy):
# ... populate_* methods
def custom_entry_price(self, pair: str, current_time: datetime,
proposed_rate, **kwargs) -> float:
def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float,
entry_tag: Optional[str], **kwargs) -> float:
dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair,
timeframe=self.timeframe)
@ -502,7 +502,8 @@ class AwesomeStrategy(IStrategy):
# ... populate_* methods
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
time_in_force: str, current_time: datetime, **kwargs) -> bool:
time_in_force: str, current_time: datetime, entry_tag: Optional[str],
**kwargs) -> bool:
"""
Called right before placing a buy order.
Timing for this function is critical, so avoid doing heavy computations or
@ -620,7 +621,7 @@ class DigDeeperStrategy(IStrategy):
# This is called when placing the initial order (opening trade)
def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
**kwargs) -> float:
entry_tag: Optional[str], **kwargs) -> float:
# We need to leave most of the funds for possible further DCA orders
# This also applies to fixed stakes

10
freqtrade/freqtradebot.py
View File

@ -534,7 +534,7 @@ class FreqtradeBot(LoggingMixin):
pos_adjust = trade is not None
enter_limit_requested, stake_amount = self.get_valid_enter_price_and_stake(
pair, price, stake_amount, trade)
pair, price, stake_amount, buy_tag, trade)
if not stake_amount:
return False
@ -553,7 +553,8 @@ class FreqtradeBot(LoggingMixin):
if not pos_adjust and not strategy_safe_wrapper(
self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=amount, rate=enter_limit_requested,
time_in_force=time_in_force, current_time=datetime.now(timezone.utc)):
time_in_force=time_in_force, current_time=datetime.now(timezone.utc),
entry_tag=buy_tag):
logger.info(f"User requested abortion of buying {pair}")
return False
amount = self.exchange.amount_to_precision(pair, amount)
@ -663,6 +664,7 @@ class FreqtradeBot(LoggingMixin):
def get_valid_enter_price_and_stake(
self, pair: str, price: Optional[float], stake_amount: float,
entry_tag: Optional[str],
trade: Optional[Trade]) -> Tuple[float, float]:
if price:
enter_limit_requested = price
@ -672,7 +674,7 @@ class FreqtradeBot(LoggingMixin):
custom_entry_price = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=proposed_enter_rate)(
pair=pair, current_time=datetime.now(timezone.utc),
proposed_rate=proposed_enter_rate)
proposed_rate=proposed_enter_rate, entry_tag=entry_tag)
enter_limit_requested = self.get_valid_price(custom_entry_price, proposed_enter_rate)
if not enter_limit_requested:
@ -685,7 +687,7 @@ class FreqtradeBot(LoggingMixin):
default_retval=stake_amount)(
pair=pair, current_time=datetime.now(timezone.utc),
current_rate=enter_limit_requested, proposed_stake=stake_amount,
min_stake=min_stake_amount, max_stake=max_stake_amount)
min_stake=min_stake_amount, max_stake=max_stake_amount, entry_tag=entry_tag)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
return enter_limit_requested, stake_amount

13
freqtrade/optimize/backtesting.py
View File

@ -462,12 +462,14 @@ class Backtesting:
def _enter_trade(self, pair: str, row: Tuple, stake_amount: Optional[float] = None,
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
current_time = row[DATE_IDX].to_pydatetime()
entry_tag = row[BUY_TAG_IDX] if len(row) >= BUY_TAG_IDX + 1 else None
# let's call the custom entry price, using the open price as default price
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=row[OPEN_IDX])(
pair=pair, current_time=current_time,
proposed_rate=row[OPEN_IDX]) # default value is the open rate
proposed_rate=row[OPEN_IDX], entry_tag=entry_tag) # default value is the open rate
# Move rate to within the candle's low/high rate
propose_rate = min(max(propose_rate, row[LOW_IDX]), row[HIGH_IDX])
@ -485,7 +487,8 @@ class Backtesting:
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=current_time, current_rate=propose_rate,
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount)
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount,
entry_tag=entry_tag)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
@ -500,14 +503,14 @@ class Backtesting:
if not pos_adjust:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
time_in_force=time_in_force, current_time=current_time):
time_in_force=time_in_force, current_time=current_time,
entry_tag=entry_tag):
return None
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
amount = round(stake_amount / propose_rate, 8)
if trade is None:
# Enter trade
has_buy_tag = len(row) >= BUY_TAG_IDX + 1
trade = LocalTrade(
pair=pair,
open_rate=propose_rate,
@ -517,7 +520,7 @@ class Backtesting:
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
buy_tag=row[BUY_TAG_IDX] if has_buy_tag else None,
buy_tag=entry_tag,
exchange='backtesting',
orders=[]
)

11
freqtrade/strategy/interface.py
View File

@ -238,7 +238,8 @@ class IStrategy(ABC, HyperStrategyMixin):
return False
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
time_in_force: str, current_time: datetime, **kwargs) -> bool:
time_in_force: str, current_time: datetime, entry_tag: Optional[str],
**kwargs) -> bool:
"""
Called right before placing a buy order.
Timing for this function is critical, so avoid doing heavy computations or
@ -254,6 +255,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param rate: Rate that's going to be used when using limit orders
:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
:param current_time: datetime object, containing the current datetime
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the buy-order is placed on the exchange.
False aborts the process
@ -311,7 +313,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return self.stoploss
def custom_entry_price(self, pair: str, current_time: datetime, proposed_rate: float,
**kwargs) -> float:
entry_tag: Optional[str], **kwargs) -> float:
"""
Custom entry price logic, returning the new entry price.
@ -322,6 +324,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param pair: Pair that's currently analyzed
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in ask_strategy.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New entry price value if provided
"""
@ -373,7 +376,7 @@ class IStrategy(ABC, HyperStrategyMixin):
def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
**kwargs) -> float:
entry_tag: Optional[str], **kwargs) -> float:
"""
Customize stake size for each new trade. This method is not called when edge module is
enabled.
@ -384,6 +387,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param proposed_stake: A stake amount proposed by the bot.
:param min_stake: Minimal stake size allowed by exchange.
:param max_stake: Balance available for trading.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:return: A stake size, which is between min_stake and max_stake.
"""
return proposed_stake
@ -394,6 +398,7 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
Custom trade adjustment logic, returning the stake amount that a trade should be increased.
This means extra buy orders with additional fees.
Only called when `position_adjustment_enable` is set to True.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/

68
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@ -12,9 +12,47 @@ def bot_loop_start(self, **kwargs) -> None:
"""
pass
def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate: float,
entry_tag: 'Optional[str]', **kwargs) -> float:
"""
Custom entry price logic, returning the new entry price.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, returns None, orderbook is used to set entry price
:param pair: Pair that's currently analyzed
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in ask_strategy.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New entry price value if provided
"""
return proposed_rate
def custom_exit_price(self, pair: str, trade: 'Trade',
current_time: 'datetime', proposed_rate: float,
current_profit: float, **kwargs) -> float:
"""
Custom exit price logic, returning the new exit price.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, returns None, orderbook is used to set exit price
:param pair: Pair that's currently analyzed
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in ask_strategy.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New exit price value if provided
"""
return proposed_rate
def custom_stake_amount(self, pair: str, current_time: 'datetime', current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
**kwargs) -> float:
entry_tag: 'Optional[str]', **kwargs) -> float:
"""
Customize stake size for each new trade. This method is not called when edge module is
enabled.
@ -25,6 +63,7 @@ def custom_stake_amount(self, pair: str, current_time: 'datetime', current_rate:
:param proposed_stake: A stake amount proposed by the bot.
:param min_stake: Minimal stake size allowed by exchange.
:param max_stake: Balance available for trading.
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:return: A stake size, which is between min_stake and max_stake.
"""
return proposed_stake
@ -78,7 +117,8 @@ def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', curre
return None
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
time_in_force: str, current_time: 'datetime', **kwargs) -> bool:
time_in_force: str, current_time: 'datetime', entry_tag: 'Optional[str]',
**kwargs) -> bool:
"""
Called right before placing a buy order.
Timing for this function is critical, so avoid doing heavy computations or
@ -94,6 +134,7 @@ def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: f
:param rate: Rate that's going to be used when using limit orders
:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
:param current_time: datetime object, containing the current datetime
:param entry_tag: Optional entry_tag (buy_tag) if provided with the buy signal.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the buy-order is placed on the exchange.
False aborts the process
@ -167,3 +208,26 @@ def check_sell_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -
:return bool: When True is returned, then the sell-order is cancelled.
"""
return False
def adjust_trade_position(self, trade: 'Trade', current_time: 'datetime',
current_rate: float, current_profit: float, min_stake: float,
max_stake: float, **kwargs) -> 'Optional[float]':
"""
Custom trade adjustment logic, returning the stake amount that a trade should be increased.
This means extra buy orders with additional fees.
Only called when `position_adjustment_enable` is set to True.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, returns None
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Current buy rate.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param min_stake: Minimal stake size allowed by exchange.
:param max_stake: Balance available for trading.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: Stake amount to adjust your trade
"""
return None

2
requirements-dev.txt
View File

@ -8,7 +8,7 @@ flake8==4.0.1
flake8-tidy-imports==4.6.0
mypy==0.931
pytest==6.2.5
pytest-asyncio==0.17.1
pytest-asyncio==0.17.2
pytest-cov==3.0.0
pytest-mock==3.6.1
pytest-random-order==1.0.4

2
requirements.txt
View File

@ -7,7 +7,7 @@ ccxt==1.68.20
# Pin cryptography for now due to rust build errors with piwheels
cryptography==36.0.1
aiohttp==3.8.1
SQLAlchemy==1.4.29
SQLAlchemy==1.4.31
python-telegram-bot==13.10
arrow==1.2.1
cachetools==4.2.2

2
tests/strategy/test_default_strategy.py
View File

@ -37,7 +37,7 @@ def test_strategy_test_v2(result, fee):
assert strategy.confirm_trade_entry(pair='ETH/BTC', order_type='limit', amount=0.1,
rate=20000, time_in_force='gtc',
current_time=datetime.utcnow()) is True
current_time=datetime.utcnow(), entry_tag=None) is True
assert strategy.confirm_trade_exit(pair='ETH/BTC', trade=trade, order_type='limit', amount=0.1,
rate=20000, time_in_force='gtc', sell_reason='roi',
current_time=datetime.utcnow()) is True