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Merge pull request #3055 from yazeed/verify_date_on_new_candle_on_get_signal

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Verify date on last candle before producing signal
This commit is contained in:
Matthias
2020-08-25 20:22:48 +02:00
committed by GitHub
parent 605ed90567 3bb69bc1bd
commit 21f4aba4e3
3 changed files with 55 additions and 15 deletions
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5
freqtrade/freqtradebot.py
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@@ -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:

21
freqtrade/strategy/interface.py
View File

@@ -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