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merge develop into RL

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This commit is contained in:
robcaulk
2022-11-17 21:59:07 +01:00
parent 60fcd8dce2 436b314c80
commit 387c905a86
52 changed files with 332 additions and 874 deletions
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22
freqtrade/freqai/data_kitchen.py
View File

@@ -20,6 +20,7 @@ from sklearn.neighbors import NearestNeighbors
from freqtrade.configuration import TimeRange
from freqtrade.constants import Config
from freqtrade.data.converter import reduce_dataframe_footprint
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_seconds
from freqtrade.strategy.interface import IStrategy
@@ -436,9 +437,7 @@ class FreqaiDataKitchen:
timerange_train.stopts = timerange_train.startts + train_period_days
first = False
start = datetime.fromtimestamp(timerange_train.startts, tz=timezone.utc)
stop = datetime.fromtimestamp(timerange_train.stopts, tz=timezone.utc)
tr_training_list.append(start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d"))
tr_training_list.append(timerange_train.timerange_str)
tr_training_list_timerange.append(copy.deepcopy(timerange_train))
# associated backtest period
@@ -450,9 +449,7 @@ class FreqaiDataKitchen:
if timerange_backtest.stopts > config_timerange.stopts:
timerange_backtest.stopts = config_timerange.stopts
start = datetime.fromtimestamp(timerange_backtest.startts, tz=timezone.utc)
stop = datetime.fromtimestamp(timerange_backtest.stopts, tz=timezone.utc)
tr_backtesting_list.append(start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d"))
tr_backtesting_list.append(timerange_backtest.timerange_str)
tr_backtesting_list_timerange.append(copy.deepcopy(timerange_backtest))
# ensure we are predicting on exactly same amount of data as requested by user defined
@@ -494,11 +491,9 @@ class FreqaiDataKitchen:
it is sliced down to just the present training period.
"""
start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc)
stop = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc)
df = df.loc[df["date"] >= start, :]
df = df.loc[df["date"] >= timerange.startdt, :]
if not self.live:
df = df.loc[df["date"] < stop, :]
df = df.loc[df["date"] < timerange.stopdt, :]
return df
@@ -1061,9 +1056,7 @@ class FreqaiDataKitchen:
backtest_timerange.startts = (
backtest_timerange.startts - backtest_period_days * SECONDS_IN_DAY
)
start = datetime.fromtimestamp(backtest_timerange.startts, tz=timezone.utc)
stop = datetime.fromtimestamp(backtest_timerange.stopts, tz=timezone.utc)
full_timerange = start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d")
full_timerange = backtest_timerange.timerange_str
config_path = Path(self.config["config_files"][0])
if not self.full_path.is_dir():
@@ -1279,6 +1272,9 @@ class FreqaiDataKitchen:
dataframe = self.remove_special_chars_from_feature_names(dataframe)
if self.config.get('reduce_df_footprint', False):
dataframe = reduce_dataframe_footprint(dataframe)
return dataframe
def fit_labels(self) -> None:

23
freqtrade/freqai/freqai_interface.py
View File

@@ -14,7 +14,7 @@ from numpy.typing import NDArray
from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.constants import DATETIME_PRINT_FORMAT, Config
from freqtrade.constants import Config
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
@@ -803,14 +803,8 @@ class IFreqaiModel(ABC):
:return: if the data exists or not
"""
if self.config.get("freqai_backtest_live_models", False) and len(dataframe_backtest) == 0:
tr_backtest_startts_str = datetime.fromtimestamp(
tr_backtest.startts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
tr_backtest_stopts_str = datetime.fromtimestamp(
tr_backtest.stopts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
logger.info(f"No data found for pair {pair} from {tr_backtest_startts_str} "
f" from {tr_backtest_startts_str} to {tr_backtest_stopts_str}. "
logger.info(f"No data found for pair {pair} from "
f"from { tr_backtest.start_fmt} to {tr_backtest.stop_fmt}. "
"Probably more than one training within the same candle period.")
return False
return True
@@ -825,18 +819,11 @@ class IFreqaiModel(ABC):
:param pair: the current pair
:param total_trains: total trains (total number of slides for the sliding window)
"""
tr_train_startts_str = datetime.fromtimestamp(
tr_train.startts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
tr_train_stopts_str = datetime.fromtimestamp(
tr_train.stopts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
if not self.config.get("freqai_backtest_live_models", False):
logger.info(
f"Training {pair}, {self.pair_it}/{self.total_pairs} pairs"
f" from {tr_train_startts_str} "
f"to {tr_train_stopts_str}, {train_it}/{total_trains} "
f" from {tr_train.start_fmt} "
f"to {tr_train.stop_fmt}, {train_it}/{total_trains} "
"trains"
)
# Following methods which are overridden by user made prediction models.

5
freqtrade/freqai/utils.py
View File

@@ -230,7 +230,4 @@ def get_timerange_backtest_live_models(config: Config) -> str:
dk = FreqaiDataKitchen(config)
models_path = dk.get_full_models_path(config)
timerange, _ = dk.get_timerange_and_assets_end_dates_from_ready_models(models_path)
start_date = datetime.fromtimestamp(timerange.startts, tz=timezone.utc)
end_date = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc)
tr = f"{start_date.strftime('%Y%m%d')}-{end_date.strftime('%Y%m%d')}"
return tr
return timerange.timerange_str