Merge pull request #3055 from yazeed/verify_date_on_new_candle_on_get_signal

Verify date on last candle before producing signal

freqtrade/freqtradebot.py

@@ -433,7 +433,9 @@ class FreqtradeBot:
         """
         logger.debug(f"create_trade for pair {pair}")
 
-        if self.strategy.is_pair_locked(pair):
+        analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
+        if self.strategy.is_pair_locked(
+                pair, analyzed_df.iloc[-1]['date'] if len(analyzed_df) > 0 else None):
             logger.info(f"Pair {pair} is currently locked.")
             return False
 
@@ -444,7 +446,6 @@ class FreqtradeBot:
             return False
 
         # running get_signal on historical data fetched
-        analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
         (buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df)
 
         if buy and not sell:

freqtrade/strategy/interface.py

@@ -14,8 +14,9 @@ from pandas import DataFrame
 
 from freqtrade.constants import ListPairsWithTimeframes
 from freqtrade.data.dataprovider import DataProvider
-from freqtrade.exceptions import StrategyError, OperationalException
+from freqtrade.exceptions import OperationalException, StrategyError
 from freqtrade.exchange import timeframe_to_minutes
+from freqtrade.exchange.exchange import timeframe_to_next_date
 from freqtrade.persistence import Trade
 from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
 from freqtrade.wallets import Wallets
@@ -297,13 +298,25 @@ class IStrategy(ABC):
         if pair in self._pair_locked_until:
             del self._pair_locked_until[pair]
 
-    def is_pair_locked(self, pair: str) -> bool:
+    def is_pair_locked(self, pair: str, candle_date: datetime = None) -> bool:
         """
         Checks if a pair is currently locked
+        The 2nd, optional parameter ensures that locks are applied until the new candle arrives,
+        and not stop at 14:00:00 - while the next candle arrives at 14:00:02 leaving a gap
+        of 2 seconds for a buy to happen on an old signal.
+        :param: pair: "Pair to check"
+        :param candle_date: Date of the last candle. Optional, defaults to current date
+        :returns: locking state of the pair in question.
         """
         if pair not in self._pair_locked_until:
             return False
-        return self._pair_locked_until[pair] >= datetime.now(timezone.utc)
+        if not candle_date:
+            return self._pair_locked_until[pair] >= datetime.now(timezone.utc)
+        else:
+            # Locking should happen until a new candle arrives
+            lock_time = timeframe_to_next_date(self.timeframe, candle_date)
+            # lock_time = candle_date + timedelta(minutes=timeframe_to_minutes(self.timeframe))
+            return self._pair_locked_until[pair] > lock_time
 
     def analyze_ticker(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         """
@@ -434,7 +447,7 @@ class IStrategy(ABC):
         if latest_date < (arrow.utcnow().shift(minutes=-(timeframe_minutes * 2 + offset))):
             logger.warning(
                 'Outdated history for pair %s. Last tick is %s minutes old',
-                pair, (arrow.utcnow() - latest_date).seconds // 60
+                pair, int((arrow.utcnow() - latest_date).total_seconds() // 60)
             )
             return False, False
 

tests/strategy/test_interface.py

@@ -1,6 +1,7 @@
 # pragma pylint: disable=missing-docstring, C0103
 
 import logging
+from datetime import datetime, timedelta, timezone
 from unittest.mock import MagicMock
 
 import arrow
@@ -8,12 +9,12 @@ import pytest
 from pandas import DataFrame
 
 from freqtrade.configuration import TimeRange
+from freqtrade.data.dataprovider import DataProvider
 from freqtrade.data.history import load_data
 from freqtrade.exceptions import StrategyError
 from freqtrade.persistence import Trade
 from freqtrade.resolvers import StrategyResolver
 from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
-from freqtrade.data.dataprovider import DataProvider
 from tests.conftest import log_has, log_has_re
 
 from .strats.default_strategy import DefaultStrategy
@@ -261,14 +262,14 @@ def test_min_roi_reached3(default_conf, fee) -> None:
     strategy = StrategyResolver.load_strategy(default_conf)
     strategy.minimal_roi = min_roi
     trade = Trade(
-            pair='ETH/BTC',
-            stake_amount=0.001,
-            amount=5,
-            open_date=arrow.utcnow().shift(hours=-1).datetime,
-            fee_open=fee.return_value,
-            fee_close=fee.return_value,
-            exchange='bittrex',
-            open_rate=1,
+        pair='ETH/BTC',
+        stake_amount=0.001,
+        amount=5,
+        open_date=arrow.utcnow().shift(hours=-1).datetime,
+        fee_open=fee.return_value,
+        fee_close=fee.return_value,
+        exchange='bittrex',
+        open_rate=1,
     )
 
     assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
@@ -387,6 +388,31 @@ def test_is_pair_locked(default_conf):
     strategy.unlock_pair(pair)
     assert not strategy.is_pair_locked(pair)
 
+    pair = 'BTC/USDT'
+    # Lock until 14:30
+    lock_time = datetime(2020, 5, 1, 14, 30, 0, tzinfo=timezone.utc)
+    strategy.lock_pair(pair, lock_time)
+    # Lock is in the past ...
+    assert not strategy.is_pair_locked(pair)
+    # latest candle is from 14:20, lock goes to 14:30
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-10))
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-50))
+
+    # latest candle is from 14:25 (lock should be lifted)
+    # Since this is the "new candle" available at 14:30
+    assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-4))
+
+    # Should not be locked after time expired
+    assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=10))
+
+    # Change timeframe to 15m
+    strategy.timeframe = '15m'
+    # Candle from 14:14 - lock goes until 14:30
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-16))
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15, seconds=-2))
+    # Candle from 14:15 - lock goes until 14:30
+    assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15))
+
 
 def test_is_informative_pairs_callback(default_conf):
     default_conf.update({'strategy': 'TestStrategyLegacy'})