adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'develop' into feat/backtest_speedup_serialize

Browse Source
This commit is contained in:
Matthias
2020-10-18 16:19:04 +02:00
parent 2591a34db4 f64ed6b878
commit 380e6628e0
43 changed files with 423 additions and 271 deletions
Download Patch File Download Diff File Expand all files Collapse all files

4
freqtrade/commands/cli_options.py
View File

@@ -257,8 +257,8 @@ AVAILABLE_CLI_OPTIONS = {
help='Specify the class name of the hyperopt loss function class (IHyperOptLoss). '
'Different functions can generate completely different results, '
'since the target for optimization is different. Built-in Hyperopt-loss-functions are: '
'DefaultHyperOptLoss, OnlyProfitHyperOptLoss, SharpeHyperOptLoss, SharpeHyperOptLossDaily, '
'SortinoHyperOptLoss, SortinoHyperOptLossDaily.',
'ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss, SharpeHyperOptLoss, '
'SharpeHyperOptLossDaily, SortinoHyperOptLoss, SortinoHyperOptLossDaily.',
metavar='NAME',
),
"hyperoptexportfilename": Arg(

4
freqtrade/commands/list_commands.py
View File

@@ -205,14 +205,14 @@ def start_show_trades(args: Dict[str, Any]) -> None:
"""
import json
from freqtrade.persistence import Trade, init
from freqtrade.persistence import Trade, init_db
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
if 'db_url' not in config:
raise OperationalException("--db-url is required for this command.")
logger.info(f'Using DB: "{config["db_url"]}"')
init(config['db_url'], clean_open_orders=False)
init_db(config['db_url'], clean_open_orders=False)
tfilter = []
if config.get('trade_ids'):

5
freqtrade/data/btanalysis.py
View File

@@ -9,10 +9,9 @@ from typing import Any, Dict, Optional, Tuple, Union
import numpy as np
import pandas as pd
from freqtrade import persistence
from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.misc import json_load
from freqtrade.persistence import Trade
from freqtrade.persistence import Trade, init_db
logger = logging.getLogger(__name__)
@@ -218,7 +217,7 @@ def load_trades_from_db(db_url: str, strategy: Optional[str] = None) -> pd.DataF
Can also serve as protection to load the correct result.
:return: Dataframe containing Trades
"""
persistence.init(db_url, clean_open_orders=False)
init_db(db_url, clean_open_orders=False)
columns = ["pair", "open_date", "close_date", "profit", "profit_percent",
"open_rate", "close_rate", "amount", "trade_duration", "sell_reason",

6
freqtrade/edge/edge_positioning.py
View File

@@ -310,8 +310,10 @@ class Edge:
# Calculating number of losing trades, average win and average loss
df['nb_loss_trades'] = df['nb_trades'] - df['nb_win_trades']
df['average_win'] = df['profit_sum'] / df['nb_win_trades']
df['average_loss'] = df['loss_sum'] / df['nb_loss_trades']
df['average_win'] = np.where(df['nb_win_trades'] == 0, 0.0,
df['profit_sum'] / df['nb_win_trades'])
df['average_loss'] = np.where(df['nb_loss_trades'] == 0, 0.0,
df['loss_sum'] / df['nb_loss_trades'])
# Win rate = number of profitable trades / number of trades
df['winrate'] = df['nb_win_trades'] / df['nb_trades']

1
freqtrade/exchange/__init__.py
View File

@@ -5,6 +5,7 @@ from freqtrade.exchange.exchange import Exchange
# isort: on
from freqtrade.exchange.bibox import Bibox
from freqtrade.exchange.binance import Binance
from freqtrade.exchange.bittrex import Bittrex
from freqtrade.exchange.exchange import (available_exchanges, ccxt_exchanges,
get_exchange_bad_reason, is_exchange_bad,
is_exchange_known_ccxt, is_exchange_officially_supported,

13
freqtrade/exchange/binance.py
View File

@@ -20,20 +20,9 @@ class Binance(Exchange):
"order_time_in_force": ['gtc', 'fok', 'ioc'],
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
}
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""
get order book level 2 from exchange
20180619: binance support limits but only on specific range
"""
limit_range = [5, 10, 20, 50, 100, 500, 1000]
# get next-higher step in the limit_range list
limit = min(list(filter(lambda x: limit <= x, limit_range)))
return super().fetch_l2_order_book(pair, limit)
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)

23
freqtrade/exchange/bittrex.py Normal file
View File

@@ -0,0 +1,23 @@
""" Bittrex exchange subclass """
import logging
from typing import Dict
from freqtrade.exchange import Exchange
logger = logging.getLogger(__name__)
class Bittrex(Exchange):
"""
Bittrex exchange class. Contains adjustments needed for Freqtrade to work
with this exchange.
Please note that this exchange is not included in the list of exchanges
officially supported by the Freqtrade development team. So some features
may still not work as expected.
"""
_ft_has: Dict = {
"l2_limit_range": [1, 25, 500],
}

15
freqtrade/exchange/exchange.py
View File

@@ -53,7 +53,7 @@ class Exchange:
"ohlcv_partial_candle": True,
"trades_pagination": "time", # Possible are "time" or "id"
"trades_pagination_arg": "since",
"l2_limit_range": None,
}
_ft_has: Dict = {}
@@ -1069,6 +1069,16 @@ class Exchange:
return self.fetch_stoploss_order(order_id, pair)
return self.fetch_order(order_id, pair)
@staticmethod
def get_next_limit_in_list(limit: int, limit_range: Optional[List[int]]):
"""
Get next greater value in the list.
Used by fetch_l2_order_book if the api only supports a limited range
"""
if not limit_range:
return limit
return min([x for x in limit_range if limit <= x] + [max(limit_range)])
@retrier
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""
@@ -1077,9 +1087,10 @@ class Exchange:
Returns a dict in the format
{'asks': [price, volume], 'bids': [price, volume]}
"""
limit1 = self.get_next_limit_in_list(limit, self._ft_has['l2_limit_range'])
try:
return self._api.fetch_l2_order_book(pair, limit)
return self._api.fetch_l2_order_book(pair, limit1)
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching order book.'

12
freqtrade/freqtradebot.py
View File

@@ -12,7 +12,7 @@ from typing import Any, Dict, List, Optional
import arrow
from cachetools import TTLCache
from freqtrade import __version__, constants, persistence
from freqtrade import __version__, constants
from freqtrade.configuration import validate_config_consistency
from freqtrade.data.converter import order_book_to_dataframe
from freqtrade.data.dataprovider import DataProvider
@@ -22,7 +22,7 @@ from freqtrade.exceptions import (DependencyException, ExchangeError, Insufficie
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date
from freqtrade.misc import safe_value_fallback, safe_value_fallback2
from freqtrade.pairlist.pairlistmanager import PairListManager
from freqtrade.persistence import Order, Trade
from freqtrade.persistence import Order, Trade, cleanup_db, init_db
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.rpc import RPCManager, RPCMessageType
from freqtrade.state import State
@@ -58,8 +58,8 @@ class FreqtradeBot:
# Cache values for 1800 to avoid frequent polling of the exchange for prices
# Caching only applies to RPC methods, so prices for open trades are still
# refreshed once every iteration.
self._sell_rate_cache = TTLCache(maxsize=100, ttl=1800)
self._buy_rate_cache = TTLCache(maxsize=100, ttl=1800)
self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
@@ -68,7 +68,7 @@ class FreqtradeBot:
self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
persistence.init(self.config.get('db_url', None), clean_open_orders=self.config['dry_run'])
init_db(self.config.get('db_url', None), clean_open_orders=self.config['dry_run'])
self.wallets = Wallets(self.config, self.exchange)
@@ -123,7 +123,7 @@ class FreqtradeBot:
self.check_for_open_trades()
self.rpc.cleanup()
persistence.cleanup()
cleanup_db()
def startup(self) -> None:
"""

4
freqtrade/misc.py
View File

@@ -56,8 +56,8 @@ def file_dump_json(filename: Path, data: Any, is_zip: bool = False, log: bool =
if log:
logger.info(f'dumping json to "{filename}"')
with gzip.open(filename, 'w') as fp:
rapidjson.dump(data, fp, default=str, number_mode=rapidjson.NM_NATIVE)
with gzip.open(filename, 'w') as fpz:
rapidjson.dump(data, fpz, default=str, number_mode=rapidjson.NM_NATIVE)
else:
if log:
logger.info(f'dumping json to "{filename}"')

8
freqtrade/optimize/default_hyperopt_loss.py
View File

@@ -1,5 +1,5 @@
"""
DefaultHyperOptLoss
ShortTradeDurHyperOptLoss
This module defines the default HyperoptLoss class which is being used for
Hyperoptimization.
"""
@@ -26,7 +26,7 @@ EXPECTED_MAX_PROFIT = 3.0
MAX_ACCEPTED_TRADE_DURATION = 300
class DefaultHyperOptLoss(IHyperOptLoss):
class ShortTradeDurHyperOptLoss(IHyperOptLoss):
"""
Defines the default loss function for hyperopt
"""
@@ -50,3 +50,7 @@ class DefaultHyperOptLoss(IHyperOptLoss):
duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
result = trade_loss + profit_loss + duration_loss
return result
# Create an alias for This to allow the legacy Method to work as well.
DefaultHyperOptLoss = ShortTradeDurHyperOptLoss

2
freqtrade/pairlist/IPairList.py
View File

@@ -36,7 +36,7 @@ class IPairList(ABC):
self._pairlist_pos = pairlist_pos
self.refresh_period = self._pairlistconfig.get('refresh_period', 1800)
self._last_refresh = 0
self._log_cache = TTLCache(maxsize=1024, ttl=self.refresh_period)
self._log_cache: TTLCache = TTLCache(maxsize=1024, ttl=self.refresh_period)
@property
def name(self) -> str:

2
freqtrade/persistence/__init__.py
View File

@@ -1,3 +1,3 @@
# flake8: noqa: F401
from freqtrade.persistence.models import Order, Trade, clean_dry_run_db, cleanup, init
from freqtrade.persistence.models import Order, Trade, clean_dry_run_db, cleanup_db, init_db

6
freqtrade/persistence/models.py
View File

@@ -29,7 +29,7 @@ _DECL_BASE: Any = declarative_base()
_SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database-urls'
def init(db_url: str, clean_open_orders: bool = False) -> None:
def init_db(db_url: str, clean_open_orders: bool = False) -> None:
"""
Initializes this module with the given config,
registers all known command handlers
@@ -72,7 +72,7 @@ def init(db_url: str, clean_open_orders: bool = False) -> None:
clean_dry_run_db()
def cleanup() -> None:
def cleanup_db() -> None:
"""
Flushes all pending operations to disk.
:return: None
@@ -399,7 +399,7 @@ class Trade(_DECL_BASE):
self.close(order['average'])
else:
raise ValueError(f'Unknown order type: {order_type}')
cleanup()
cleanup_db()
def close(self, rate: float) -> None:
"""

2
freqtrade/rpc/api_server.py
View File

@@ -563,7 +563,7 @@ class ApiServer(RPC):
config.update({
'strategy': strategy,
})
results = self._rpc_analysed_history_full(config, pair, timeframe, timerange)
results = RPC._rpc_analysed_history_full(config, pair, timeframe, timerange)
return jsonify(results)
@require_login

12
freqtrade/rpc/rpc.py
View File

@@ -656,8 +656,9 @@ class RPC:
raise RPCException('Edge is not enabled.')
return self._freqtrade.edge.accepted_pairs()
def _convert_dataframe_to_dict(self, strategy: str, pair: str, timeframe: str,
dataframe: DataFrame, last_analyzed: datetime) -> Dict[str, Any]:
@staticmethod
def _convert_dataframe_to_dict(strategy: str, pair: str, timeframe: str, dataframe: DataFrame,
last_analyzed: datetime) -> Dict[str, Any]:
has_content = len(dataframe) != 0
buy_signals = 0
sell_signals = 0
@@ -711,7 +712,8 @@ class RPC:
return self._convert_dataframe_to_dict(self._freqtrade.config['strategy'],
pair, timeframe, _data, last_analyzed)
def _rpc_analysed_history_full(self, config, pair: str, timeframe: str,
@staticmethod
def _rpc_analysed_history_full(config, pair: str, timeframe: str,
timerange: str) -> Dict[str, Any]:
timerange_parsed = TimeRange.parse_timerange(timerange)
@@ -726,8 +728,8 @@ class RPC:
strategy = StrategyResolver.load_strategy(config)
df_analyzed = strategy.analyze_ticker(_data[pair], {'pair': pair})
return self._convert_dataframe_to_dict(strategy.get_strategy_name(), pair, timeframe,
df_analyzed, arrow.Arrow.utcnow().datetime)
return RPC._convert_dataframe_to_dict(strategy.get_strategy_name(), pair, timeframe,
df_analyzed, arrow.Arrow.utcnow().datetime)
def _rpc_plot_config(self) -> Dict[str, Any]: