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Add a decorator which can be used to declare populate_indicators() functions for informative pairs.

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This commit is contained in:
Rokas Kupstys
2021-07-17 19:19:49 +03:00
parent d84ef34740
commit 1fdb656334
11 changed files with 414 additions and 16 deletions
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148
freqtrade/strategy/strategy_helper.py
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@@ -1,10 +1,24 @@
import pandas as pd
from typing import Any, Callable, NamedTuple, Optional, Union
import pandas as pd
from mypy_extensions import KwArg
from pandas import DataFrame
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
class InformativeData(NamedTuple):
asset: Optional[str]
timeframe: str
fmt: Union[str, Callable[[KwArg(str)], str], None]
ffill: bool
def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
timeframe: str, timeframe_inf: str, ffill: bool = True) -> pd.DataFrame:
timeframe: str, timeframe_inf: str, ffill: bool = True,
append_timeframe: bool = True,
date_column: str = 'date') -> pd.DataFrame:
"""
Correctly merge informative samples to the original dataframe, avoiding lookahead bias.
@@ -24,6 +38,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
:param timeframe: Timeframe of the original pair sample.
:param timeframe_inf: Timeframe of the informative pair sample.
:param ffill: Forwardfill missing values - optional but usually required
:param append_timeframe: Rename columns by appending timeframe.
:param date_column: A custom date column name.
:return: Merged dataframe
:raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe
"""
@@ -32,25 +48,29 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
minutes = timeframe_to_minutes(timeframe)
if minutes == minutes_inf:
# No need to forwardshift if the timeframes are identical
informative['date_merge'] = informative["date"]
informative['date_merge'] = informative[date_column]
elif minutes < minutes_inf:
# Subtract "small" timeframe so merging is not delayed by 1 small candle
# Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073
informative['date_merge'] = (
informative["date"] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm')
informative[date_column] + pd.to_timedelta(minutes_inf, 'm') -
pd.to_timedelta(minutes, 'm')
)
else:
raise ValueError("Tried to merge a faster timeframe to a slower timeframe."
"This would create new rows, and can throw off your regular indicators.")
# Rename columns to be unique
informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns]
date_merge = 'date_merge'
if append_timeframe:
date_merge = f'date_merge_{timeframe_inf}'
informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns]
# Combine the 2 dataframes
# all indicators on the informative sample MUST be calculated before this point
dataframe = pd.merge(dataframe, informative, left_on='date',
right_on=f'date_merge_{timeframe_inf}', how='left')
dataframe = dataframe.drop(f'date_merge_{timeframe_inf}', axis=1)
right_on=date_merge, how='left')
dataframe = dataframe.drop(date_merge, axis=1)
if ffill:
dataframe = dataframe.ffill()
@@ -94,3 +114,117 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float:
:return: Positive stop loss value relative to current price
"""
return 1 - (stop_rate / current_rate)
def informative(timeframe: str, asset: str = '',
fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None,
ffill: bool = True) -> Callable[[Callable[[Any, DataFrame, dict], DataFrame]],
Callable[[Any, DataFrame, dict], DataFrame]]:
"""
A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to
define informative indicators.
Example usage:
@informative('1h')
def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
return dataframe
:param timeframe: Informative timeframe. Must always be higher than strategy timeframe.
:param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use
current pair.
:param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not
specified, defaults to {asset}_{name}_{timeframe} if asset is specified, or {name}_{timeframe}
otherwise.
* {asset}: name of informative asset, provided in lower-case, with / replaced with _. Stake
currency is not included in this string.
* {name}: user-specified dataframe column name.
* {timeframe}: informative timeframe.
:param ffill: ffill dataframe after mering informative pair.
"""
_asset = asset
_timeframe = timeframe
_fmt = fmt
_ffill = ffill
def decorator(fn: Callable[[Any, DataFrame, dict], DataFrame]):
informative_pairs = getattr(fn, '_ft_informative', [])
informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill))
setattr(fn, '_ft_informative', informative_pairs)
return fn
return decorator
def _format_pair_name(config, pair: str) -> str:
return pair.format(stake_currency=config['stake_currency'],
stake=config['stake_currency']).upper()
def _create_and_merge_informative_pair(strategy, dataframe: DataFrame,
metadata: dict, informative_data: InformativeData,
populate_indicators: Callable[[Any, DataFrame, dict],
DataFrame]):
asset = informative_data.asset or ''
timeframe = informative_data.timeframe
fmt = informative_data.fmt
ffill = informative_data.ffill
config = strategy.config
dp = strategy.dp
if asset:
# Insert stake currency if needed.
asset = _format_pair_name(config, asset)
else:
# Not specifying an asset will define informative dataframe for current pair.
asset = metadata['pair']
if '/' in asset:
base, quote = asset.split('/')
else:
# When futures are supported this may need reevaluation.
# base, quote = asset, None
raise OperationalException('Not implemented.')
# Default format. This optimizes for the common case: informative pairs using same stake
# currency. When quote currency matches stake currency, column name will omit base currency.
# This allows easily reconfiguring strategy to use different base currency. In a rare case
# where it is desired to keep quote currency in column name at all times user should specify
# fmt='{base}_{quote}_{column}_{timeframe}' format or similar.
if not fmt:
fmt = '{column}_{timeframe}' # Informatives of current pair
if asset != metadata['pair']:
if quote == config['stake_currency']:
fmt = '{base}_' + fmt # Informatives of other pair
else:
fmt = '{base}_{quote}_' + fmt # Informatives of different quote currency
inf_metadata = {'pair': asset, 'timeframe': timeframe}
inf_dataframe = dp.get_pair_dataframe(asset, timeframe)
inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata)
formatter: Any = None
if callable(fmt):
formatter = fmt # A custom user-specified formatter function.
else:
formatter = fmt.format # A default string formatter.
fmt_args = {
'BASE': base.upper(),
'QUOTE': quote.upper(),
'base': base.lower(),
'quote': quote.lower(),
'asset': asset,
'timeframe': timeframe,
}
inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args),
inplace=True)
date_column = formatter(column='date', **fmt_args)
if date_column in dataframe.columns:
raise OperationalException(f'Duplicate column name {date_column} exists in '
f'dataframe! Ensure column names are unique!')
dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe,
ffill=ffill, append_timeframe=False,
date_column=date_column)
return dataframe