diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 2fcb9f3f9..eee60cc22 100644 --- a/freqtrade/freqtradebot.py +++ b/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: diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 474c973b7..92d9f6c48 100644 --- a/freqtrade/strategy/interface.py +++ b/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 diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 381454622..f1b5d0244 100644 --- a/tests/strategy/test_interface.py +++ b/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'})