From 273aaaff12e273c58adf2ba05170b189e5b24125 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 13 Jun 2020 18:06:52 +0200 Subject: [PATCH] Introduce .analyze() function for Strategy Fixing a few tests along the way --- freqtrade/freqtradebot.py | 10 +++--- freqtrade/strategy/interface.py | 59 +++++++++++++++++++++++---------- tests/conftest.py | 2 +- tests/test_freqtradebot.py | 1 + 4 files changed, 47 insertions(+), 25 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 289850709..3ad0d061a 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -151,6 +151,8 @@ class FreqtradeBot: self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist), self.strategy.informative_pairs()) + self.strategy.analyze(self.active_pair_whitelist) + with self._sell_lock: # Check and handle any timed out open orders self.check_handle_timedout() @@ -420,9 +422,7 @@ class FreqtradeBot: return False # running get_signal on historical data fetched - (buy, sell) = self.strategy.get_signal( - pair, self.strategy.timeframe, - self.dataprovider.ohlcv(pair, self.strategy.timeframe)) + (buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe) if buy and not sell: stake_amount = self.get_trade_stake_amount(pair) @@ -697,9 +697,7 @@ class FreqtradeBot: if (config_ask_strategy.get('use_sell_signal', True) or config_ask_strategy.get('ignore_roi_if_buy_signal', False)): - (buy, sell) = self.strategy.get_signal( - trade.pair, self.strategy.timeframe, - self.dataprovider.ohlcv(trade.pair, self.strategy.timeframe)) + (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe) if config_ask_strategy.get('use_order_book', False): order_book_min = config_ask_strategy.get('order_book_min', 1) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 0ef92b315..9dcc2d613 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -7,20 +7,19 @@ import warnings from abc import ABC, abstractmethod from datetime import datetime, timezone from enum import Enum -from typing import Dict, NamedTuple, Optional, Tuple +from typing import Dict, List, NamedTuple, Optional, Tuple import arrow from pandas import DataFrame +from freqtrade.constants import ListPairsWithTimeframes from freqtrade.data.dataprovider import DataProvider from freqtrade.exceptions import StrategyError from freqtrade.exchange import timeframe_to_minutes from freqtrade.persistence import Trade from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper -from freqtrade.constants import ListPairsWithTimeframes from freqtrade.wallets import Wallets - logger = logging.getLogger(__name__) @@ -289,6 +288,38 @@ class IStrategy(ABC): return dataframe + def analyze_pair(self, pair: str): + """ + Fetch data for this pair from dataprovider and analyze. + Stores the dataframe into the dataprovider. + The analyzed dataframe is then accessible via `dp.get_analyzed_dataframe()`. + :param pair: Pair to analyze. + """ + dataframe = self.dp.ohlcv(pair, self.timeframe) + if not isinstance(dataframe, DataFrame) or dataframe.empty: + logger.warning('Empty candle (OHLCV) data for pair %s', pair) + return + + try: + df_len, df_close, df_date = self.preserve_df(dataframe) + + dataframe = strategy_safe_wrapper( + self._analyze_ticker_internal, message="" + )(dataframe, {'pair': pair}) + + self.assert_df(dataframe, df_len, df_close, df_date) + except StrategyError as error: + logger.warning(f"Unable to analyze candle (OHLCV) data for pair {pair}: {error}") + return + + if dataframe.empty: + logger.warning('Empty dataframe for pair %s', pair) + return + + def analyze(self, pairs: List[str]): + for pair in pairs: + self.analyze_pair(pair) + @staticmethod def preserve_df(dataframe: DataFrame) -> Tuple[int, float, datetime]: """ keep some data for dataframes """ @@ -309,30 +340,22 @@ class IStrategy(ABC): else: raise StrategyError(f"Dataframe returned from strategy has mismatching {message}.") - def get_signal(self, pair: str, interval: str, dataframe: DataFrame) -> Tuple[bool, bool]: + def get_signal(self, pair: str, timeframe: str) -> Tuple[bool, bool]: """ Calculates current signal based several technical analysis indicators Used by Bot to get the latest signal :param pair: pair in format ANT/BTC - :param interval: Interval to use (in min) + :param timeframe: timeframe to use :param dataframe: Dataframe to analyze :return: (Buy, Sell) A bool-tuple indicating buy/sell signal """ + + dataframe, _ = self.dp.get_analyzed_dataframe(pair, timeframe) + if not isinstance(dataframe, DataFrame) or dataframe.empty: logger.warning('Empty candle (OHLCV) data for pair %s', pair) return False, False - try: - df_len, df_close, df_date = self.preserve_df(dataframe) - dataframe = strategy_safe_wrapper( - self._analyze_ticker_internal, message="" - )(dataframe, {'pair': pair}) - self.assert_df(dataframe, df_len, df_close, df_date) - except StrategyError as error: - logger.warning(f"Unable to analyze candle (OHLCV) data for pair {pair}: {error}") - - return False, False - if dataframe.empty: logger.warning('Empty dataframe for pair %s', pair) return False, False @@ -343,9 +366,9 @@ class IStrategy(ABC): latest_date = arrow.get(latest_date) # Check if dataframe is out of date - interval_minutes = timeframe_to_minutes(interval) + timeframe_minutes = timeframe_to_minutes(timeframe) offset = self.config.get('exchange', {}).get('outdated_offset', 5) - if latest_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + offset))): + 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, diff --git a/tests/conftest.py b/tests/conftest.py index a4106c767..3be7bbd22 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -163,7 +163,7 @@ def patch_get_signal(freqtrade: FreqtradeBot, value=(True, False)) -> None: :param value: which value IStrategy.get_signal() must return :return: None """ - freqtrade.strategy.get_signal = lambda e, s, t: value + freqtrade.strategy.get_signal = lambda e, s: value freqtrade.exchange.refresh_latest_ohlcv = lambda p: None diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 5d83c893e..e83ac2038 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -912,6 +912,7 @@ def test_process_informative_pairs_added(default_conf, ticker, mocker) -> None: refresh_latest_ohlcv=refresh_mock, ) inf_pairs = MagicMock(return_value=[("BTC/ETH", '1m'), ("ETH/USDT", "1h")]) + mocker.patch('freqtrade.strategy.interface.IStrategy.get_signal', return_value=(False, False)) mocker.patch('time.sleep', return_value=None) freqtrade = FreqtradeBot(default_conf)