Merge pull request #8272 from paranoidandy/bot-loop-start-every-candle-bt
Make strategy.bot_loop_start run once per candle in backtest
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commit
31a396bc25
@ -60,10 +60,10 @@ This loop will be repeated again and again until the bot is stopped.
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* Load historic data for configured pairlist.
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* Calls `bot_start()` once.
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* Calls `bot_loop_start()` once.
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* Calculate indicators (calls `populate_indicators()` once per pair).
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* Calculate entry / exit signals (calls `populate_entry_trend()` and `populate_exit_trend()` once per pair).
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* Loops per candle simulating entry and exit points.
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* Calls `bot_loop_start()` strategy callback.
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* Check for Order timeouts, either via the `unfilledtimeout` configuration, or via `check_entry_timeout()` / `check_exit_timeout()` strategy callbacks.
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* Calls `adjust_entry_price()` strategy callback for open entry orders.
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* Check for trade entry signals (`enter_long` / `enter_short` columns).
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@ -51,7 +51,8 @@ During hyperopt, this runs only once at startup.
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## Bot loop start
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A simple callback which is called once at the start of every bot throttling iteration (roughly every 5 seconds, unless configured differently).
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A simple callback which is called once at the start of every bot throttling iteration in dry/live mode (roughly every 5
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seconds, unless configured differently) or once per candle in backtest/hyperopt mode.
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This can be used to perform calculations which are pair independent (apply to all pairs), loading of external data, etc.
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``` python
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@ -61,11 +62,12 @@ class AwesomeStrategy(IStrategy):
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# ... populate_* methods
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def bot_loop_start(self, **kwargs) -> None:
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def bot_loop_start(self, current_time: datetime, **kwargs) -> None:
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"""
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Called at the start of the bot iteration (one loop).
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Might be used to perform pair-independent tasks
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(e.g. gather some remote resource for comparison)
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:param current_time: datetime object, containing the current datetime
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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"""
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if self.config['runmode'].value in ('live', 'dry_run'):
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@ -212,7 +212,8 @@ class FreqtradeBot(LoggingMixin):
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self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist),
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self.strategy.gather_informative_pairs())
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
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current_time=datetime.now(timezone.utc))
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self.strategy.analyze(self.active_pair_whitelist)
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@ -205,7 +205,6 @@ class Backtesting:
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self.strategy.order_types['stoploss_on_exchange'] = False
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self.strategy.ft_bot_start()
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()
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def _load_protections(self, strategy: IStrategy):
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if self.config.get('enable_protections', False):
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@ -1155,6 +1154,8 @@ class Backtesting:
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while current_time <= end_date:
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open_trade_count_start = LocalTrade.bt_open_open_trade_count
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self.check_abort()
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strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
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current_time=current_time)
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for i, pair in enumerate(data):
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row_index = indexes[pair]
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row = self.validate_row(data, pair, row_index, current_time)
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@ -1,4 +1,5 @@
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import logging
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from datetime import datetime, timezone
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from pathlib import Path
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from typing import Dict, List, Optional
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@ -635,7 +636,7 @@ def load_and_plot_trades(config: Config):
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exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config)
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IStrategy.dp = DataProvider(config, exchange)
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strategy.ft_bot_start()
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strategy.bot_loop_start()
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strategy.bot_loop_start(datetime.now(timezone.utc))
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plot_elements = init_plotscript(config, list(exchange.markets), strategy.startup_candle_count)
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timerange = plot_elements['timerange']
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trades = plot_elements['trades']
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@ -251,11 +251,12 @@ class IStrategy(ABC, HyperStrategyMixin):
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"""
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pass
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def bot_loop_start(self, **kwargs) -> None:
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def bot_loop_start(self, current_time: datetime, **kwargs) -> None:
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"""
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Called at the start of the bot iteration (one loop).
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Might be used to perform pair-independent tasks
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(e.g. gather some remote resource for comparison)
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:param current_time: datetime object, containing the current datetime
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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"""
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pass
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@ -1,5 +1,5 @@
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def bot_loop_start(self, **kwargs) -> None:
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def bot_loop_start(self, current_time: datetime, **kwargs) -> None:
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"""
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Called at the start of the bot iteration (one loop).
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Might be used to perform pair-independent tasks
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@ -8,6 +8,7 @@ def bot_loop_start(self, **kwargs) -> None:
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For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
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When not implemented by a strategy, this simply does nothing.
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:param current_time: datetime object, containing the current datetime
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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"""
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pass
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@ -344,7 +344,7 @@ def test_backtest_abort(default_conf, mocker, testdatadir) -> None:
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assert backtesting.progress.progress == 0
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def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
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def test_backtesting_start(default_conf, mocker, caplog) -> None:
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def get_timerange(input1):
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return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
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@ -367,6 +367,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
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backtesting = Backtesting(default_conf)
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backtesting._set_strategy(backtesting.strategylist[0])
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backtesting.strategy.bot_loop_start = MagicMock()
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backtesting.strategy.bot_start = MagicMock()
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backtesting.start()
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# check the logs, that will contain the backtest result
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exists = [
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@ -376,7 +377,8 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
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for line in exists:
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assert log_has(line, caplog)
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assert backtesting.strategy.dp._pairlists is not None
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assert backtesting.strategy.bot_loop_start.call_count == 1
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assert backtesting.strategy.bot_start.call_count == 1
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assert backtesting.strategy.bot_loop_start.call_count == 0
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assert sbs.call_count == 1
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assert sbc.call_count == 1
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@ -872,7 +872,8 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
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hyperopt.backtesting.exchange.get_max_leverage = MagicMock(return_value=1.0)
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assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
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assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
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assert hyperopt.backtesting.strategy.bot_loop_started is True
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assert hyperopt.backtesting.strategy.bot_started is True
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assert hyperopt.backtesting.strategy.bot_loop_started is False
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assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
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assert hyperopt.backtesting.strategy.buy_rsi.value == 35
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@ -922,7 +923,8 @@ def test_in_strategy_auto_hyperopt_with_parallel(mocker, hyperopt_conf, tmpdir,
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assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
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assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
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assert hyperopt.backtesting.strategy.bot_loop_started is True
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assert hyperopt.backtesting.strategy.bot_started is True
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assert hyperopt.backtesting.strategy.bot_loop_started is False
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assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
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assert hyperopt.backtesting.strategy.buy_rsi.value == 35
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@ -959,7 +961,8 @@ def test_in_strategy_auto_hyperopt_per_epoch(mocker, hyperopt_conf, tmpdir, fee)
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hyperopt.backtesting.exchange.get_max_leverage = MagicMock(return_value=1.0)
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assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
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assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
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assert hyperopt.backtesting.strategy.bot_loop_started is True
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assert hyperopt.backtesting.strategy.bot_loop_started is False
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assert hyperopt.backtesting.strategy.bot_started is True
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assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
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assert hyperopt.backtesting.strategy.buy_rsi.value == 35
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@ -50,6 +50,7 @@ class HyperoptableStrategy(StrategyTestV3):
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return prot
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bot_loop_started = False
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bot_started = False
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def bot_loop_start(self):
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self.bot_loop_started = True
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@ -58,6 +59,7 @@ class HyperoptableStrategy(StrategyTestV3):
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"""
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Parameters can also be defined here ...
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"""
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self.bot_started = True
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self.buy_rsi = IntParameter([0, 50], default=30, space='buy')
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def informative_pairs(self):
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