Merge pull request #8272 from paranoidandy/bot-loop-start-every-candle-bt

Make strategy.bot_loop_start run once per candle in backtest
This commit is contained in:
Matthias 2023-03-26 13:21:08 +02:00 committed by GitHub
commit 31a396bc25
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
10 changed files with 27 additions and 13 deletions

View File

@ -60,10 +60,10 @@ This loop will be repeated again and again until the bot is stopped.
* Load historic data for configured pairlist.
* Calls `bot_start()` once.
* Calls `bot_loop_start()` once.
* Calculate indicators (calls `populate_indicators()` once per pair).
* Calculate entry / exit signals (calls `populate_entry_trend()` and `populate_exit_trend()` once per pair).
* Loops per candle simulating entry and exit points.
* Calls `bot_loop_start()` strategy callback.
* Check for Order timeouts, either via the `unfilledtimeout` configuration, or via `check_entry_timeout()` / `check_exit_timeout()` strategy callbacks.
* Calls `adjust_entry_price()` strategy callback for open entry orders.
* Check for trade entry signals (`enter_long` / `enter_short` columns).

View File

@ -51,7 +51,8 @@ During hyperopt, this runs only once at startup.
## Bot loop start
A simple callback which is called once at the start of every bot throttling iteration (roughly every 5 seconds, unless configured differently).
A simple callback which is called once at the start of every bot throttling iteration in dry/live mode (roughly every 5
seconds, unless configured differently) or once per candle in backtest/hyperopt mode.
This can be used to perform calculations which are pair independent (apply to all pairs), loading of external data, etc.
``` python
@ -61,11 +62,12 @@ class AwesomeStrategy(IStrategy):
# ... populate_* methods
def bot_loop_start(self, **kwargs) -> None:
def bot_loop_start(self, current_time: datetime, **kwargs) -> None:
"""
Called at the start of the bot iteration (one loop).
Might be used to perform pair-independent tasks
(e.g. gather some remote resource for comparison)
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
"""
if self.config['runmode'].value in ('live', 'dry_run'):

View File

@ -212,7 +212,8 @@ class FreqtradeBot(LoggingMixin):
self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist),
self.strategy.gather_informative_pairs())
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
current_time=datetime.now(timezone.utc))
self.strategy.analyze(self.active_pair_whitelist)

View File

@ -205,7 +205,6 @@ class Backtesting:
self.strategy.order_types['stoploss_on_exchange'] = False
self.strategy.ft_bot_start()
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)()
def _load_protections(self, strategy: IStrategy):
if self.config.get('enable_protections', False):
@ -1155,6 +1154,8 @@ class Backtesting:
while current_time <= end_date:
open_trade_count_start = LocalTrade.bt_open_open_trade_count
self.check_abort()
strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)(
current_time=current_time)
for i, pair in enumerate(data):
row_index = indexes[pair]
row = self.validate_row(data, pair, row_index, current_time)

View File

@ -1,4 +1,5 @@
import logging
from datetime import datetime, timezone
from pathlib import Path
from typing import Dict, List, Optional
@ -635,7 +636,7 @@ def load_and_plot_trades(config: Config):
exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config)
IStrategy.dp = DataProvider(config, exchange)
strategy.ft_bot_start()
strategy.bot_loop_start()
strategy.bot_loop_start(datetime.now(timezone.utc))
plot_elements = init_plotscript(config, list(exchange.markets), strategy.startup_candle_count)
timerange = plot_elements['timerange']
trades = plot_elements['trades']

View File

@ -251,11 +251,12 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
pass
def bot_loop_start(self, **kwargs) -> None:
def bot_loop_start(self, current_time: datetime, **kwargs) -> None:
"""
Called at the start of the bot iteration (one loop).
Might be used to perform pair-independent tasks
(e.g. gather some remote resource for comparison)
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
"""
pass

View File

@ -1,5 +1,5 @@
def bot_loop_start(self, **kwargs) -> None:
def bot_loop_start(self, current_time: datetime, **kwargs) -> None:
"""
Called at the start of the bot iteration (one loop).
Might be used to perform pair-independent tasks
@ -8,6 +8,7 @@ def bot_loop_start(self, **kwargs) -> None:
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, this simply does nothing.
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
"""
pass

View File

@ -344,7 +344,7 @@ def test_backtest_abort(default_conf, mocker, testdatadir) -> None:
assert backtesting.progress.progress == 0
def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
def test_backtesting_start(default_conf, mocker, caplog) -> None:
def get_timerange(input1):
return Arrow(2017, 11, 14, 21, 17), Arrow(2017, 11, 14, 22, 59)
@ -367,6 +367,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.bot_loop_start = MagicMock()
backtesting.strategy.bot_start = MagicMock()
backtesting.start()
# check the logs, that will contain the backtest result
exists = [
@ -376,7 +377,8 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
for line in exists:
assert log_has(line, caplog)
assert backtesting.strategy.dp._pairlists is not None
assert backtesting.strategy.bot_loop_start.call_count == 1
assert backtesting.strategy.bot_start.call_count == 1
assert backtesting.strategy.bot_loop_start.call_count == 0
assert sbs.call_count == 1
assert sbc.call_count == 1

View File

@ -872,7 +872,8 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
hyperopt.backtesting.exchange.get_max_leverage = MagicMock(return_value=1.0)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.bot_loop_started is True
assert hyperopt.backtesting.strategy.bot_started is True
assert hyperopt.backtesting.strategy.bot_loop_started is False
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
@ -922,7 +923,8 @@ def test_in_strategy_auto_hyperopt_with_parallel(mocker, hyperopt_conf, tmpdir,
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.bot_loop_started is True
assert hyperopt.backtesting.strategy.bot_started is True
assert hyperopt.backtesting.strategy.bot_loop_started is False
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
@ -959,7 +961,8 @@ def test_in_strategy_auto_hyperopt_per_epoch(mocker, hyperopt_conf, tmpdir, fee)
hyperopt.backtesting.exchange.get_max_leverage = MagicMock(return_value=1.0)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.bot_loop_started is True
assert hyperopt.backtesting.strategy.bot_loop_started is False
assert hyperopt.backtesting.strategy.bot_started is True
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35

View File

@ -50,6 +50,7 @@ class HyperoptableStrategy(StrategyTestV3):
return prot
bot_loop_started = False
bot_started = False
def bot_loop_start(self):
self.bot_loop_started = True
@ -58,6 +59,7 @@ class HyperoptableStrategy(StrategyTestV3):
"""
Parameters can also be defined here ...
"""
self.bot_started = True
self.buy_rsi = IntParameter([0, 50], default=30, space='buy')
def informative_pairs(self):