Merge branch 'freqtrade:develop' into feat_bt_cancel_entry_reporting
This commit is contained in:
eSeR1805
GitHub
commit
34684ec86a
@ -40,7 +40,7 @@ class HDF5DataHandler(IDataHandler):
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return [
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(
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cls.rebuild_pair_from_filename(match[1]),
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match[2],
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cls.rebuild_timeframe_from_filename(match[2]),
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CandleType.from_string(match[3])
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) for match in _tmp if match and len(match.groups()) > 1]
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@ -108,6 +108,10 @@ class HDF5DataHandler(IDataHandler):
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candle_type=candle_type
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)
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if not filename.exists():
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# Fallback mode for 1M files
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filename = self._pair_data_filename(
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self._datadir, pair, timeframe, candle_type=candle_type, no_timeframe_modify=True)
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if not filename.exists():
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return pd.DataFrame(columns=self._columns)
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where = []
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@ -26,7 +26,7 @@ logger = logging.getLogger(__name__)
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class IDataHandler(ABC):
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_OHLCV_REGEX = r'^([a-zA-Z_-]+)\-(\d+\S)\-?([a-zA-Z_]*)?(?=\.)'
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_OHLCV_REGEX = r'^([a-zA-Z_-]+)\-(\d+[a-zA-Z]{1,2})\-?([a-zA-Z_]*)?(?=\.)'
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def __init__(self, datadir: Path) -> None:
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self._datadir = datadir
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@ -193,10 +193,14 @@ class IDataHandler(ABC):
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datadir: Path,
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pair: str,
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timeframe: str,
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candle_type: CandleType
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candle_type: CandleType,
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no_timeframe_modify: bool = False
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) -> Path:
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pair_s = misc.pair_to_filename(pair)
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candle = ""
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if not no_timeframe_modify:
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timeframe = cls.timeframe_to_file(timeframe)
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if candle_type != CandleType.SPOT:
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datadir = datadir.joinpath('futures')
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candle = f"-{candle_type}"
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@ -210,6 +214,18 @@ class IDataHandler(ABC):
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filename = datadir.joinpath(f'{pair_s}-trades.{cls._get_file_extension()}')
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return filename
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@staticmethod
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def timeframe_to_file(timeframe: str):
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return timeframe.replace('M', 'Mo')
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@staticmethod
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def rebuild_timeframe_from_filename(timeframe: str) -> str:
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"""
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converts timeframe from disk to file
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Replaces mo with M (to avoid problems on case-insensitive filesystems)
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"""
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return re.sub('1mo', '1M', timeframe, flags=re.IGNORECASE)
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@staticmethod
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def rebuild_pair_from_filename(pair: str) -> str:
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"""
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@ -41,7 +41,7 @@ class JsonDataHandler(IDataHandler):
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return [
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(
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cls.rebuild_pair_from_filename(match[1]),
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match[2],
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cls.rebuild_timeframe_from_filename(match[2]),
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CandleType.from_string(match[3])
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) for match in _tmp if match and len(match.groups()) > 1]
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@ -103,7 +103,12 @@ class JsonDataHandler(IDataHandler):
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: DataFrame with ohlcv data, or empty DataFrame
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"""
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filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type=candle_type)
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filename = self._pair_data_filename(
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self._datadir, pair, timeframe, candle_type=candle_type)
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if not filename.exists():
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# Fallback mode for 1M files
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filename = self._pair_data_filename(
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self._datadir, pair, timeframe, candle_type=candle_type, no_timeframe_modify=True)
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if not filename.exists():
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return DataFrame(columns=self._columns)
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try:
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@ -16,8 +16,7 @@ import arrow
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import ccxt
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import ccxt.async_support as ccxt_async
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from cachetools import TTLCache
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from ccxt.base.decimal_to_precision import (ROUND_DOWN, ROUND_UP, TICK_SIZE, TRUNCATE,
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decimal_to_precision)
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from ccxt import ROUND_DOWN, ROUND_UP, TICK_SIZE, TRUNCATE, Precise, decimal_to_precision
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from pandas import DataFrame
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from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, BuySell,
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@ -704,10 +703,11 @@ class Exchange:
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# counting_mode=self.precisionMode,
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# ))
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if self.precisionMode == TICK_SIZE:
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precision = self.markets[pair]['precision']['price']
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missing = price % precision
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if missing != 0:
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price = round(price - missing + precision, 10)
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precision = Precise(str(self.markets[pair]['precision']['price']))
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price_str = Precise(str(price))
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missing = price_str % precision
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if not missing == Precise("0"):
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price = round(float(str(price_str - missing + precision)), 14)
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else:
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symbol_prec = self.markets[pair]['precision']['price']
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big_price = price * pow(10, symbol_prec)
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@ -1457,6 +1457,23 @@ class Exchange:
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except ccxt.BaseError as e:
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raise OperationalException(e) from e
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def _get_price_side(self, side: str, is_short: bool, conf_strategy: Dict) -> str:
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price_side = conf_strategy['price_side']
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if price_side in ('same', 'other'):
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price_map = {
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('entry', 'long', 'same'): 'bid',
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('entry', 'long', 'other'): 'ask',
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('entry', 'short', 'same'): 'ask',
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('entry', 'short', 'other'): 'bid',
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('exit', 'long', 'same'): 'ask',
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('exit', 'long', 'other'): 'bid',
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('exit', 'short', 'same'): 'bid',
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('exit', 'short', 'other'): 'ask',
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}
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price_side = price_map[(side, 'short' if is_short else 'long', price_side)]
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return price_side
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def get_rate(self, pair: str, refresh: bool,
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side: EntryExit, is_short: bool) -> float:
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"""
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@ -1483,20 +1500,7 @@ class Exchange:
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conf_strategy = self._config.get(strat_name, {})
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price_side = conf_strategy['price_side']
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if price_side in ('same', 'other'):
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price_map = {
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('entry', 'long', 'same'): 'bid',
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('entry', 'long', 'other'): 'ask',
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('entry', 'short', 'same'): 'ask',
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('entry', 'short', 'other'): 'bid',
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('exit', 'long', 'same'): 'ask',
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('exit', 'long', 'other'): 'bid',
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('exit', 'short', 'same'): 'bid',
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('exit', 'short', 'other'): 'ask',
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}
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price_side = price_map[(side, 'short' if is_short else 'long', price_side)]
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price_side = self._get_price_side(side, is_short, conf_strategy)
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price_side_word = price_side.capitalize()
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@ -542,11 +542,11 @@ class Backtesting:
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trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
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try:
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closerate = self._get_close_rate(row, trade, exit_, trade_dur)
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close_rate = self._get_close_rate(row, trade, exit_, trade_dur)
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except ValueError:
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return None
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# call the custom exit price,with default value as previous closerate
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current_profit = trade.calc_profit_ratio(closerate)
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# call the custom exit price,with default value as previous close_rate
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current_profit = trade.calc_profit_ratio(close_rate)
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order_type = self.strategy.order_types['exit']
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if exit_.exit_type in (ExitType.EXIT_SIGNAL, ExitType.CUSTOM_EXIT):
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# Checks and adds an exit tag, after checking that the length of the
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@ -560,24 +560,24 @@ class Backtesting:
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exit_reason = row[EXIT_TAG_IDX]
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# Custom exit pricing only for exit-signals
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if order_type == 'limit':
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closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
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default_retval=closerate)(
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close_rate = strategy_safe_wrapper(self.strategy.custom_exit_price,
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default_retval=close_rate)(
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pair=trade.pair, trade=trade,
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current_time=exit_candle_time,
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proposed_rate=closerate, current_profit=current_profit,
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proposed_rate=close_rate, current_profit=current_profit,
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exit_tag=exit_reason)
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# We can't place orders lower than current low.
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# freqtrade does not support this in live, and the order would fill immediately
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if trade.is_short:
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closerate = min(closerate, row[HIGH_IDX])
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close_rate = min(close_rate, row[HIGH_IDX])
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else:
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closerate = max(closerate, row[LOW_IDX])
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close_rate = max(close_rate, row[LOW_IDX])
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# Confirm trade exit:
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time_in_force = self.strategy.order_time_in_force['exit']
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if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)(
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pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount,
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rate=closerate,
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rate=close_rate,
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time_in_force=time_in_force,
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sell_reason=exit_reason, # deprecated
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exit_reason=exit_reason,
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@ -600,12 +600,12 @@ class Backtesting:
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side=trade.exit_side,
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order_type=order_type,
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status="open",
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price=closerate,
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average=closerate,
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price=close_rate,
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average=close_rate,
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amount=trade.amount,
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filled=0,
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remaining=trade.amount,
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cost=trade.amount * closerate,
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cost=trade.amount * close_rate,
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)
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trade.orders.append(order)
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return trade
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@ -1410,14 +1410,14 @@ class Telegram(RPCHandler):
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"Optionally takes a rate at which to sell "
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"(only applies to limit orders).` \n")
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message = (
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"_BotControl_\n"
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"_Bot Control_\n"
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"------------\n"
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"*/start:* `Starts the trader`\n"
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"*/stop:* Stops the trader\n"
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"*/stopbuy:* `Stops buying, but handles open trades gracefully` \n"
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"*/forceexit <trade_id>|all:* `Instantly exits the given trade or all trades, "
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"regardless of profit`\n"
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"*/fe <trade_id>|all:* `Alias to /forceexit`"
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"*/fe <trade_id>|all:* `Alias to /forceexit`\n"
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f"{force_enter_text if self._config.get('force_entry_enable', False) else ''}"
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"*/delete <trade_id>:* `Instantly delete the given trade in the database`\n"
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"*/whitelist:* `Show current whitelist` \n"
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@ -1,4 +1,4 @@
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# Include all requirements to run the bot.
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-r requirements.txt
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plotly==5.7.0
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plotly==5.8.0
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2
setup.py
2
setup.py
@ -42,7 +42,7 @@ setup(
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],
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install_requires=[
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# from requirements.txt
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'ccxt>=1.79.69',
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'ccxt>=1.80.67',
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'SQLAlchemy',
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'python-telegram-bot>=13.4',
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'arrow>=0.17.0',
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@ -158,21 +158,22 @@ def test_testdata_path(testdatadir) -> None:
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assert str(Path('tests') / 'testdata') in str(testdatadir)
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@pytest.mark.parametrize("pair,expected_result,candle_type", [
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("ETH/BTC", 'freqtrade/hello/world/ETH_BTC-5m.json', ""),
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("Fabric Token/ETH", 'freqtrade/hello/world/Fabric_Token_ETH-5m.json', ""),
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("ETHH20", 'freqtrade/hello/world/ETHH20-5m.json', ""),
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(".XBTBON2H", 'freqtrade/hello/world/_XBTBON2H-5m.json', ""),
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("ETHUSD.d", 'freqtrade/hello/world/ETHUSD_d-5m.json', ""),
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("ACC_OLD/BTC", 'freqtrade/hello/world/ACC_OLD_BTC-5m.json', ""),
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("ETH/BTC", 'freqtrade/hello/world/futures/ETH_BTC-5m-mark.json', "mark"),
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("ACC_OLD/BTC", 'freqtrade/hello/world/futures/ACC_OLD_BTC-5m-index.json', "index"),
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@pytest.mark.parametrize("pair,timeframe,expected_result,candle_type", [
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("ETH/BTC", "5m", "freqtrade/hello/world/ETH_BTC-5m.json", ""),
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("ETH/USDT", "1M", "freqtrade/hello/world/ETH_USDT-1Mo.json", ""),
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("Fabric Token/ETH", "5m", "freqtrade/hello/world/Fabric_Token_ETH-5m.json", ""),
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("ETHH20", "5m", "freqtrade/hello/world/ETHH20-5m.json", ""),
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(".XBTBON2H", "5m", "freqtrade/hello/world/_XBTBON2H-5m.json", ""),
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("ETHUSD.d", "5m", "freqtrade/hello/world/ETHUSD_d-5m.json", ""),
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("ACC_OLD/BTC", "5m", "freqtrade/hello/world/ACC_OLD_BTC-5m.json", ""),
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("ETH/BTC", "5m", "freqtrade/hello/world/futures/ETH_BTC-5m-mark.json", "mark"),
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("ACC_OLD/BTC", "5m", "freqtrade/hello/world/futures/ACC_OLD_BTC-5m-index.json", "index"),
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])
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def test_json_pair_data_filename(pair, expected_result, candle_type):
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def test_json_pair_data_filename(pair, timeframe, expected_result, candle_type):
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fn = JsonDataHandler._pair_data_filename(
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Path('freqtrade/hello/world'),
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pair,
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'5m',
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timeframe,
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CandleType.from_string(candle_type)
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)
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assert isinstance(fn, Path)
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@ -180,7 +181,7 @@ def test_json_pair_data_filename(pair, expected_result, candle_type):
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fn = JsonGzDataHandler._pair_data_filename(
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Path('freqtrade/hello/world'),
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pair,
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'5m',
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timeframe,
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candle_type=CandleType.from_string(candle_type)
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)
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assert isinstance(fn, Path)
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75
tests/exchange/test_ccxt_precise.py
Normal file
75
tests/exchange/test_ccxt_precise.py
Normal file
@ -0,0 +1,75 @@
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from ccxt import Precise
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ws = Precise('-1.123e-6')
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ws = Precise('-1.123e-6')
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xs = Precise('0.00000002')
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ys = Precise('69696900000')
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zs = Precise('0')
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def test_precise():
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assert ys * xs == '1393.938'
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assert xs * ys == '1393.938'
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assert ys + xs == '69696900000.00000002'
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assert xs + ys == '69696900000.00000002'
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assert xs - ys == '-69696899999.99999998'
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assert ys - xs == '69696899999.99999998'
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assert xs / ys == '0'
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assert ys / xs == '3484845000000000000'
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assert ws * xs == '-0.00000000000002246'
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assert xs * ws == '-0.00000000000002246'
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assert ws + xs == '-0.000001103'
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assert xs + ws == '-0.000001103'
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assert xs - ws == '0.000001143'
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assert ws - xs == '-0.000001143'
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assert xs / ws == '-0.017809439002671415'
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assert ws / xs == '-56.15'
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assert zs * ws == '0'
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assert zs * xs == '0'
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assert zs * ys == '0'
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assert ws * zs == '0'
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assert xs * zs == '0'
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assert ys * zs == '0'
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assert zs + ws == '-0.000001123'
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assert zs + xs == '0.00000002'
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assert zs + ys == '69696900000'
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assert ws + zs == '-0.000001123'
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assert xs + zs == '0.00000002'
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assert ys + zs == '69696900000'
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assert abs(Precise('-500.1')) == '500.1'
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assert abs(Precise('213')) == '213'
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assert abs(Precise('-500.1')) == '500.1'
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assert -Precise('213') == '-213'
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assert Precise('10.1') % Precise('0.5') == '0.1'
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assert Precise('5550') % Precise('120') == '30'
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assert Precise('-0.0') == Precise('0')
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assert Precise('5.534000') == Precise('5.5340')
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assert min(Precise('-3.1415'), Precise('-2')) == '-3.1415'
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assert max(Precise('3.1415'), Precise('-2')) == '3.1415'
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assert Precise('2') > Precise('1.2345')
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assert not Precise('-3.1415') > Precise('-2')
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assert not Precise('3.1415') > Precise('3.1415')
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assert Precise.string_gt('3.14150000000000000000001', '3.1415')
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assert Precise('3.1415') >= Precise('3.1415')
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assert Precise('3.14150000000000000000001') >= Precise('3.1415')
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assert not Precise('3.1415') < Precise('3.1415')
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assert Precise('3.1415') <= Precise('3.1415')
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assert Precise('3.1415') <= Precise('3.14150000000000000000001')
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@ -305,6 +305,7 @@ def test_amount_to_precision(
|
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(234.53, 4, 0.5, 235.0),
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(0.891534, 4, 0.0001, 0.8916),
|
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(64968.89, 4, 0.01, 64968.89),
|
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(0.000000003483, 4, 1e-12, 0.000000003483),
|
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|
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])
|
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def test_price_to_precision(default_conf, mocker, price, precision_mode, precision, expected):
|
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|
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