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

Merge branch 'develop' into ta_on_candle

Browse Source
This commit is contained in:
Matthias 2018-09-01 20:01:18 +02:00
commit 3fd00c9a9c
30 changed files with 856 additions and 235 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

3
Dockerfile
View File

@ -1,10 +1,11 @@
FROM python:3.6.6-slim-stretch FROM python:3.7.0-slim-stretch
# Install TA-lib # Install TA-lib
RUN apt-get update && apt-get -y install curl build-essential && apt-get clean RUN apt-get update && apt-get -y install curl build-essential && apt-get clean
RUN curl -L http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz | \ RUN curl -L http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz | \
tar xzvf - && \ tar xzvf - && \
cd ta-lib && \ cd ta-lib && \
sed -i "s|0.00000001|0.000000000000000001 |g" src/ta_func/ta_utility.h && \
./configure && make && make install && \ ./configure && make && make install && \
cd .. && rm -rf ta-lib cd .. && rm -rf ta-lib
ENV LD_LIBRARY_PATH /usr/local/lib ENV LD_LIBRARY_PATH /usr/local/lib

13
config.json.example
View File

@ -11,7 +11,18 @@
"sell": 30 "sell": 30
}, },
"bid_strategy": { "bid_strategy": {
"ask_last_balance": 0.0 "ask_last_balance": 0.0,
"use_order_book": false,
"order_book_top": 1,
"check_depth_of_market": {
"enabled": false,
"bids_to_ask_delta": 1
}
},
"ask_strategy":{
"use_order_book": false,
"order_book_min": 1,
"order_book_max": 9
}, },
"exchange": { "exchange": {
"name": "bittrex", "name": "bittrex",

16
config_full.json.example
View File

@ -20,7 +20,18 @@
"sell": 30 "sell": 30
}, },
"bid_strategy": { "bid_strategy": {
"ask_last_balance": 0.0 "ask_last_balance": 0.0,
"use_order_book": false,
"order_book_top": 1,
"check_depth_of_market": {
"enabled": false,
"bids_to_ask_delta": 1
}
},
"ask_strategy":{
"use_order_book": false,
"order_book_min": 1,
"order_book_max": 9
}, },
"exchange": { "exchange": {
"name": "bittrex", "name": "bittrex",
@ -41,7 +52,8 @@
], ],
"pair_blacklist": [ "pair_blacklist": [
"DOGE/BTC" "DOGE/BTC"
] ],
"outdated_offset": 5
}, },
"experimental": { "experimental": {
"use_sell_signal": false, "use_sell_signal": false,

13
docs/configuration.md
View File

@ -26,12 +26,19 @@ The table below will list all configuration parameters.
| `process_only_new_candles` | false | No | If set to true indicators are processed only once a new candle arrives. If false each loop populates the indicators, this will mean the same candle is processed many times creating system load but can be useful of your strategy depends on tick data not only candle. Can be set either in Configuration or in the strategy. | `process_only_new_candles` | false | No | If set to true indicators are processed only once a new candle arrives. If false each loop populates the indicators, this will mean the same candle is processed many times creating system load but can be useful of your strategy depends on tick data not only candle. Can be set either in Configuration or in the strategy.
| `minimal_roi` | See below | No | Set the threshold in percent the bot will use to sell a trade. More information below. If set, this parameter will override `minimal_roi` from your strategy file. | `minimal_roi` | See below | No | Set the threshold in percent the bot will use to sell a trade. More information below. If set, this parameter will override `minimal_roi` from your strategy file.
| `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. If set, this parameter will override `stoploss` from your strategy file. | `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. If set, this parameter will override `stoploss` from your strategy file.
| `trailing_stoploss` | false | No | Enables trailing stop-loss (based on `stoploss` in either configuration or strategy file). | `trailing_stop` | false | No | Enables trailing stop-loss (based on `stoploss` in either configuration or strategy file).
| `trailing_stoploss_positve` | 0 | No | Changes stop-loss once profit has been reached. | `trailing_stop_positve` | 0 | No | Changes stop-loss once profit has been reached.
| `trailing_stoploss_positve_offset` | 0 | No | Offset on when to apply `trailing_stoploss_positive`. Percentage value which should be positive. | `trailing_stop_positve_offset` | 0 | No | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive.
| `unfilledtimeout.buy` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled. | `unfilledtimeout.buy` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled.
| `unfilledtimeout.sell` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled. | `unfilledtimeout.sell` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled.
| `bid_strategy.ask_last_balance` | 0.0 | Yes | Set the bidding price. More information below. | `bid_strategy.ask_last_balance` | 0.0 | Yes | Set the bidding price. More information below.
| `bid_strategy.use_order_book` | false | No | Allows buying of pair using the rates in Order Book Bids.
| `bid_strategy.order_book_top` | 0 | No | Bot will use the top N rate in Order Book Bids. Ie. a value of 2 will allow the bot to pick the 2nd bid rate in Order Book Bids.
| `bid_strategy.check_depth_of_market.enabled` | false | No | Does not buy if the % difference of buy orders and sell orders is met in Order Book.
| `bid_strategy.check_depth_of_market.bids_to_ask_delta` | 0 | No | The % difference of buy orders and sell orders found in Order Book. A value lesser than 1 means sell orders is greater, while value greater than 1 means buy orders is higher.
| `ask_strategy.use_order_book` | false | No | Allows selling of open traded pair using the rates in Order Book Asks.
| `ask_strategy.order_book_min` | 0 | No | Bot will scan from the top min to max Order Book Asks searching for a profitable rate.
| `ask_strategy.order_book_max` | 0 | No | Bot will scan from the top min to max Order Book Asks searching for a profitable rate.
| `exchange.name` | bittrex | Yes | Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename). | `exchange.name` | bittrex | Yes | Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename).
| `exchange.key` | key | No | API key to use for the exchange. Only required when you are in production mode. | `exchange.key` | key | No | API key to use for the exchange. Only required when you are in production mode.
| `exchange.secret` | secret | No | API secret to use for the exchange. Only required when you are in production mode. | `exchange.secret` | secret | No | API secret to use for the exchange. Only required when you are in production mode.

183
docs/installation.md
View File

@ -8,7 +8,6 @@ To understand how to set up the bot please read the [Bot Configuration](https://
* [Table of Contents](#table-of-contents) * [Table of Contents](#table-of-contents)
* [Easy Installation - Linux Script](#easy-installation---linux-script) * [Easy Installation - Linux Script](#easy-installation---linux-script)
* [Manual installation](#manual-installation)
* [Automatic Installation - Docker](#automatic-installation---docker) * [Automatic Installation - Docker](#automatic-installation---docker)
* [Custom Linux MacOS Installation](#custom-installation) * [Custom Linux MacOS Installation](#custom-installation)
- [Requirements](#requirements) - [Requirements](#requirements)
@ -56,34 +55,6 @@ Reset parameter will hard reset your branch (only if you are on `master` or `dev
Config parameter is a `config.json` configurator. This script will ask you questions to setup your bot and create your `config.json`. Config parameter is a `config.json` configurator. This script will ask you questions to setup your bot and create your `config.json`.
## Manual installation - Linux/MacOS
The following steps are made for Linux/MacOS environment
### 1. Clone the repo
```bash
git clone git@github.com:freqtrade/freqtrade.git
git checkout develop
cd freqtrade
```
### 2. Create the config file
Switch `"dry_run": true,`
```bash
cp config.json.example config.json
vi config.json
```
### 3. Build your docker image and run it
```bash
docker build -t freqtrade .
docker run --rm -v /etc/localtime:/etc/localtime:ro -v `pwd`/config.json:/freqtrade/config.json -it freqtrade
```
------ ------
## Automatic Installation - Docker ## Automatic Installation - Docker
@ -196,7 +167,7 @@ docker run -d \
freqtrade --db-url sqlite:///tradesv3.sqlite freqtrade --db-url sqlite:///tradesv3.sqlite
``` ```
NOTE: db-url defaults to `sqlite:///tradesv3.sqlite` but it defaults to `sqlite://` if `dry_run=True` is being used. *Note*: db-url defaults to `sqlite:///tradesv3.sqlite` but it defaults to `sqlite://` if `dry_run=True` is being used.
To override this behaviour use a custom db-url value: i.e.: `--db-url sqlite:///tradesv3.dryrun.sqlite` To override this behaviour use a custom db-url value: i.e.: `--db-url sqlite:///tradesv3.dryrun.sqlite`
### 6. Monitor your Docker instance ### 6. Monitor your Docker instance
@ -211,14 +182,15 @@ docker stop freqtrade
docker start freqtrade docker start freqtrade
``` ```
You do not need to rebuild the image for configuration changes, it will suffice to edit `config.json` and restart the container. For more information on how to operate Docker, please refer to the [official Docker documentation](https://docs.docker.com/).
*Note*: You do not need to rebuild the image for configuration changes, it will suffice to edit `config.json` and restart the container.
### 7. Backtest with docker ### 7. Backtest with docker
The following assumes that the above steps (1-4) have been completed successfully. The following assumes that the above steps (1-4) have been completed successfully.
Also, backtest-data should be available at `~/.freqtrade/user_data/`. Also, backtest-data should be available at `~/.freqtrade/user_data/`.
``` bash ``` bash
docker run -d \ docker run -d \
--name freqtrade \ --name freqtrade \
@ -238,12 +210,13 @@ Head over to the [Backtesting Documentation](https://github.com/freqtrade/freqtr
## Custom Installation ## Custom Installation
We've included/collected install instructions for Ubuntu 16.04, MacOS, and Windows. These are guidelines and your success may vary with other distros. We've included/collected install instructions for Ubuntu 16.04, MacOS, and Windows. These are guidelines and your success may vary with other distros.
OS Specific steps are listed first, the [common](#common) section below is necessary for all systems.
### Requirements ### Requirements
Click each one for install guide: Click each one for install guide:
* [Python 3.6.x](http://docs.python-guide.org/en/latest/starting/installation/), note the bot was not tested on Python >= 3.7.x * [Python >= 3.6.x](http://docs.python-guide.org/en/latest/starting/installation/)
* [pip](https://pip.pypa.io/en/stable/installing/) * [pip](https://pip.pypa.io/en/stable/installing/)
* [git](https://git-scm.com/book/en/v2/Getting-Started-Installing-Git) * [git](https://git-scm.com/book/en/v2/Getting-Started-Installing-Git)
* [virtualenv](https://virtualenv.pypa.io/en/stable/installation/) (Recommended) * [virtualenv](https://virtualenv.pypa.io/en/stable/installation/) (Recommended)
@ -251,7 +224,7 @@ Click each one for install guide:
### Linux - Ubuntu 16.04 ### Linux - Ubuntu 16.04
#### 1. Install Python 3.6, Git, and wget #### Install Python 3.6, Git, and wget
```bash ```bash
sudo add-apt-repository ppa:jonathonf/python-3.6 sudo add-apt-repository ppa:jonathonf/python-3.6
@ -259,7 +232,34 @@ sudo apt-get update
sudo apt-get install python3.6 python3.6-venv python3.6-dev build-essential autoconf libtool pkg-config make wget git sudo apt-get install python3.6 python3.6-venv python3.6-dev build-essential autoconf libtool pkg-config make wget git
``` ```
#### 2. Install TA-Lib #### Raspberry Pi / Raspbian
Before installing FreqTrade on a Raspberry Pi running the official Raspbian Image, make sure you have at least Python 3.6 installed. The default image only provides Python 3.5. Probably the easiest way to get a recent version of python is [miniconda](https://repo.continuum.io/miniconda/).
The following assumes that miniconda3 is installed and available in your environment, and is installed.
It's recommended to use (mini)conda for this as installation/compilation of `scipy` and `pandas` takes a long time.
``` bash
conda config --add channels rpi
conda install python=3.6
conda create -n freqtrade python=3.6
conda install scipy pandas
pip install -r requirements.txt
pip install -e .
```
### MacOS
#### Install Python 3.6, git, wget and ta-lib
```bash
brew install python3 git wget
```
### common
#### 1. Install TA-Lib
Official webpage: https://mrjbq7.github.io/ta-lib/install.html Official webpage: https://mrjbq7.github.io/ta-lib/install.html
@ -267,6 +267,7 @@ Official webpage: https://mrjbq7.github.io/ta-lib/install.html
wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz wget http://prdownloads.sourceforge.net/ta-lib/ta-lib-0.4.0-src.tar.gz
tar xvzf ta-lib-0.4.0-src.tar.gz tar xvzf ta-lib-0.4.0-src.tar.gz
cd ta-lib cd ta-lib
sed -i "s|0.00000001|0.000000000000000001 |g" src/ta_func/ta_utility.h
./configure --prefix=/usr ./configure --prefix=/usr
make make
make install make install
@ -274,15 +275,60 @@ cd ..
rm -rf ./ta-lib* rm -rf ./ta-lib*
``` ```
*Note*: An already downloaded version of ta-lib is included in the repository, as the sourceforge.net source seems to have problems frequently.
#### 2. Setup your Python virtual environment (virtualenv)
*Note*: This step is optional but strongly recommended to keep your system organized
```bash
python3 -m venv .env
source .env/bin/activate
```
#### 3. Install FreqTrade #### 3. Install FreqTrade
Clone the git repository: Clone the git repository:
```bash ```bash
git clone https://github.com/freqtrade/freqtrade.git git clone https://github.com/freqtrade/freqtrade.git
``` ```
#### 4. Configure `freqtrade` as a `systemd` service Optionally checkout the stable/master branch:
```bash
git checkout master
```
#### 4. Initialize the configuration
```bash
cd freqtrade
cp config.json.example config.json
```
> *To edit the config please refer to [Bot Configuration](https://github.com/freqtrade/freqtrade/blob/develop/docs/configuration.md).*
#### 5. Install python dependencies
``` bash
pip3 install --upgrade pip
pip3 install -r requirements.txt
pip3 install -e .
```
#### 6. Run the Bot
If this is the first time you run the bot, ensure you are running it in Dry-run `"dry_run": true,` otherwise it will start to buy and sell coins.
```bash
python3.6 ./freqtrade/main.py -c config.json
```
*Note*: If you run the bot on a server, you should consider using [Docker](#automatic-installation---docker) a terminal multiplexer like `screen` or [`tmux`](https://en.wikipedia.org/wiki/Tmux) to avoid that the bot is stopped on logout.
#### 7. [Optional] Configure `freqtrade` as a `systemd` service
From the freqtrade repo... copy `freqtrade.service` to your systemd user directory (usually `~/.config/systemd/user`) and update `WorkingDirectory` and `ExecStart` to match your setup. From the freqtrade repo... copy `freqtrade.service` to your systemd user directory (usually `~/.config/systemd/user`) and update `WorkingDirectory` and `ExecStart` to match your setup.
@ -298,57 +344,6 @@ For this to be persistent (run when user is logged out) you'll need to enable `l
sudo loginctl enable-linger "$USER" sudo loginctl enable-linger "$USER"
``` ```
### MacOS
#### 1. Install Python 3.6, git, wget and ta-lib
```bash
brew install python3 git wget ta-lib
```
#### 2. Install FreqTrade
Clone the git repository:
```bash
git clone https://github.com/freqtrade/freqtrade.git
```
Optionally checkout the develop branch:
```bash
git checkout develop
```
### Setup Config and virtual env
#### 1. Initialize the configuration
```bash
cd freqtrade
cp config.json.example config.json
```
> *To edit the config please refer to [Bot Configuration](https://github.com/freqtrade/freqtrade/blob/develop/docs/configuration.md).*
#### 2. Setup your Python virtual environment (virtualenv)
```bash
python3.6 -m venv .env
source .env/bin/activate
pip3.6 install --upgrade pip
pip3.6 install -r requirements.txt
pip3.6 install -e .
```
#### 3. Run the Bot
If this is the first time you run the bot, ensure you are running it in Dry-run `"dry_run": true,` otherwise it will start to buy and sell coins.
```bash
python3.6 ./freqtrade/main.py -c config.json
```
------ ------
## Windows ## Windows
@ -368,7 +363,7 @@ git clone https://github.com/freqtrade/freqtrade.git
copy paste `config.json` to ``\path\freqtrade-develop\freqtrade` copy paste `config.json` to ``\path\freqtrade-develop\freqtrade`
#### install ta-lib #### Install ta-lib
Install ta-lib according to the [ta-lib documentation](https://github.com/mrjbq7/ta-lib#windows). Install ta-lib according to the [ta-lib documentation](https://github.com/mrjbq7/ta-lib#windows).
@ -389,5 +384,17 @@ REM >pip install TA_Lib‑0.4.17‑cp36‑cp36m‑win32.whl
> Thanks [Owdr](https://github.com/Owdr) for the commands. Source: [Issue #222](https://github.com/freqtrade/freqtrade/issues/222) > Thanks [Owdr](https://github.com/Owdr) for the commands. Source: [Issue #222](https://github.com/freqtrade/freqtrade/issues/222)
#### Error during installation under Windows
``` bash
error: Microsoft Visual C++ 14.0 is required. Get it with "Microsoft Visual C++ Build Tools": http://landinghub.visualstudio.com/visual-cpp-build-tools
```
Unfortunately, many packages requiring compilation don't provide a pre-build wheel. It is therefore mandatory to have a C/C++ compiler installed and available for your python environment to use.
The easiest way is to download install Microsoft Visual Studio Community [here](https://visualstudio.microsoft.com/downloads/) and make sure to install "Common Tools for Visual C++" to enable building c code on Windows. Unfortunately, this is a heavy download / dependency (~4Gb) so you might want to consider WSL or docker first.
---
Now you have an environment ready, the next step is Now you have an environment ready, the next step is
[Bot Configuration](https://github.com/freqtrade/freqtrade/blob/develop/docs/configuration.md)... [Bot Configuration](https://github.com/freqtrade/freqtrade/blob/develop/docs/configuration.md)...

120
docs/sandbox-testing.md
View File

@ -1,4 +1,5 @@
# Sandbox API testing # Sandbox API testing
Where an exchange provides a sandbox for risk-free integration, or end-to-end, testing CCXT provides access to these. Where an exchange provides a sandbox for risk-free integration, or end-to-end, testing CCXT provides access to these.
This document is a *light overview of configuring Freqtrade and GDAX sandbox. This document is a *light overview of configuring Freqtrade and GDAX sandbox.
@ -11,8 +12,11 @@ https://public.sandbox.gdax.com
https://api-public.sandbox.gdax.com https://api-public.sandbox.gdax.com
--- ---
# Configure a Sandbox account on Gdax # Configure a Sandbox account on Gdax
Aim of this document section Aim of this document section
- An sanbox account - An sanbox account
- create 2FA (needed to create an API) - create 2FA (needed to create an API)
- Add test 50BTC to account - Add test 50BTC to account
@ -30,122 +34,108 @@ After registration and Email confimation you wil be redirected into your sanbox
> https://public.sandbox.pro.coinbase.com/ > https://public.sandbox.pro.coinbase.com/
## Enable 2Fa (a prerequisite to creating sandbox API Keys) ## Enable 2Fa (a prerequisite to creating sandbox API Keys)
From within sand box site select your profile, top right. From within sand box site select your profile, top right.
>Or as a direct link: https://public.sandbox.pro.coinbase.com/profile >Or as a direct link: https://public.sandbox.pro.coinbase.com/profile
From the menu panel to the left of the screen select From the menu panel to the left of the screen select
> Security: "*View or Update*" > Security: "*View or Update*"
In the new site select "enable authenticator" as typical google Authenticator. In the new site select "enable authenticator" as typical google Authenticator.
- open Google Authenticator on your phone
- scan barcode - open Google Authenticator on your phone
- enter your generated 2fa - scan barcode
- enter your generated 2fa
## Enable API Access
## Enable API Access
From within sandbox select profile>api>create api-keys From within sandbox select profile>api>create api-keys
>or as a direct link: https://public.sandbox.pro.coinbase.com/profile/api >or as a direct link: https://public.sandbox.pro.coinbase.com/profile/api
Click on "create one" and ensure **view** and **trade** are "checked" and sumbit your 2Fa Click on "create one" and ensure **view** and **trade** are "checked" and sumbit your 2FA
- **Copy and paste the Passphase** into a notepade this will be needed later - **Copy and paste the Passphase** into a notepade this will be needed later
- **Copy and paste the API Secret** popup into a notepad this will needed later - **Copy and paste the API Secret** popup into a notepad this will needed later
- **Copy and paste the API Key** into a notepad this will needed later - **Copy and paste the API Key** into a notepad this will needed later
## Add 50 BTC test funds ## Add 50 BTC test funds
To add funds, use the web interface deposit and withdraw buttons.
To add funds, use the web interface deposit and withdraw buttons.
To begin select 'Wallets' from the top menu. To begin select 'Wallets' from the top menu.
> Or as a direct link: https://public.sandbox.pro.coinbase.com/wallets > Or as a direct link: https://public.sandbox.pro.coinbase.com/wallets
- Deposits (bottom left of screen) - Deposits (bottom left of screen)
- - Deposit Funds Bitcoin - - Deposit Funds Bitcoin
- - - Coinbase BTC Wallet - - - Coinbase BTC Wallet
- - - - Max (50 BTC) - - - - Max (50 BTC)
- - - - - Deposit - - - - - Deposit
*This process may be repeated for other currencies, ETH as example* *This process may be repeated for other currencies, ETH as example*
--- ---
# Configure Freqtrade to use Gax Sandbox # Configure Freqtrade to use Gax Sandbox
The aim of this document section The aim of this document section
- Enable sandbox URLs in Freqtrade
- Configure API - Enable sandbox URLs in Freqtrade
- - secret - Configure API
- - key - - secret
- - passphrase - - key
- - passphrase
## Sandbox URLs ## Sandbox URLs
Freqtrade makes use of CCXT which in turn provides a list of URLs to Freqtrade.
These include `['test']` and `['api']`. Freqtrade makes use of CCXT which in turn provides a list of URLs to Freqtrade.
These include `['test']` and `['api']`.
- `[Test]` if available will point to an Exchanges sandbox. - `[Test]` if available will point to an Exchanges sandbox.
- `[Api]` normally used, and resolves to live API target on the exchange - `[Api]` normally used, and resolves to live API target on the exchange
To make use of sandbox / test add "sandbox": true, to your config.json To make use of sandbox / test add "sandbox": true, to your config.json
```
```json
"exchange": { "exchange": {
"name": "gdax", "name": "gdax",
"sandbox": true, "sandbox": true,
"key": "5wowfxemogxeowo;heiohgmd", "key": "5wowfxemogxeowo;heiohgmd",
"secret": "/ZMH1P62rCVmwefewrgcewX8nh4gob+lywxfwfxwwfxwfNsH1ySgvWCUR/w==", "secret": "/ZMH1P62rCVmwefewrgcewX8nh4gob+lywxfwfxwwfxwfNsH1ySgvWCUR/w==",
"password": "1bkjfkhfhfu6sr", "password": "1bkjfkhfhfu6sr",
"outdated_offset": 5
"pair_whitelist": [ "pair_whitelist": [
"BTC/USD" "BTC/USD"
``` ```
Also insert your Also insert your
- api-key (noted earlier) - api-key (noted earlier)
- api-secret (noted earlier) - api-secret (noted earlier)
- password (the passphrase - noted earlier) - password (the passphrase - noted earlier)
--- ---
## You should now be ready to test your sandbox!
## You should now be ready to test your sandbox
Ensure Freqtrade logs show the sandbox URL, and trades made are shown in sandbox. Ensure Freqtrade logs show the sandbox URL, and trades made are shown in sandbox.
** Typically the BTC/USD has the most activity in sandbox to test against. ** Typically the BTC/USD has the most activity in sandbox to test against.
## GDAX - Old Candles problem ## GDAX - Old Candles problem
It is my experience that GDAX sandbox candles may be 20+- minutes out of date. This can cause trades to fail as one of Freqtrades safety checks
To disable this check, edit: It is my experience that GDAX sandbox candles may be 20+- minutes out of date. This can cause trades to fail as one of Freqtrades safety checks.
>strategy/interface.py
Look for the following section:
```
# Check if dataframe is out of date
signal_date = arrow.get(latest['date'])
interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5))):
logger.warning(
'Outdated history for pair %s. Last tick is %s minutes old',
pair,
(arrow.utcnow() - signal_date).seconds // 60
)
return False, False
```
You could Hash out the entire check as follows: To disable this check, add / change the `"outdated_offset"` parameter in the exchange section of your configuration to adjust for this delay.
Example based on the above configuration:
```json
"exchange": {
"name": "gdax",
"sandbox": true,
"key": "5wowfxemogxeowo;heiohgmd",
"secret": "/ZMH1P62rCVmwefewrgcewX8nh4gob+lywxfwfxwwfxwfNsH1ySgvWCUR/w==",
"password": "1bkjfkhfhfu6sr",
"outdated_offset": 30
"pair_whitelist": [
"BTC/USD"
``` ```
# # Check if dataframe is out of date
# signal_date = arrow.get(latest['date'])
# interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
# if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5))):
# logger.warning(
# 'Outdated history for pair %s. Last tick is %s minutes old',
# pair,
# (arrow.utcnow() - signal_date).seconds // 60
# )
# return False, False
```
Or inrease the timeout to offer a level of protection/alignment of this test to freqtrade in live.
As example, to allow an additional 30 minutes. "(interval_minutes * 2 + 5 + 30)"
```
# Check if dataframe is out of date
signal_date = arrow.get(latest['date'])
interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5 + 30))):
logger.warning(
'Outdated history for pair %s. Last tick is %s minutes old',
pair,
(arrow.utcnow() - signal_date).seconds // 60
)
return False, False
```

2
freqtrade/__init__.py
View File

@ -1,5 +1,5 @@
""" FreqTrade bot """ """ FreqTrade bot """
__version__ = '0.17.1' __version__ = '0.17.2'
class DependencyException(BaseException): class DependencyException(BaseException):

28
freqtrade/constants.py
View File

@ -36,7 +36,7 @@ SUPPORTED_FIAT = [
"EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY", "EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY",
"KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN", "KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN",
"RUB", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR", "USD", "RUB", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR", "USD",
"BTC", "ETH", "XRP", "LTC", "BCH", "USDT" "BTC", "XBT", "ETH", "XRP", "LTC", "BCH", "USDT"
] ]
# Required json-schema for user specified config # Required json-schema for user specified config
@ -45,7 +45,7 @@ CONF_SCHEMA = {
'properties': { 'properties': {
'max_open_trades': {'type': 'integer', 'minimum': 0}, 'max_open_trades': {'type': 'integer', 'minimum': 0},
'ticker_interval': {'type': 'string', 'enum': list(TICKER_INTERVAL_MINUTES.keys())}, 'ticker_interval': {'type': 'string', 'enum': list(TICKER_INTERVAL_MINUTES.keys())},
'stake_currency': {'type': 'string', 'enum': ['BTC', 'ETH', 'USDT', 'EUR', 'USD']}, 'stake_currency': {'type': 'string', 'enum': ['BTC', 'XBT', 'ETH', 'USDT', 'EUR', 'USD']},
'stake_amount': { 'stake_amount': {
"type": ["number", "string"], "type": ["number", "string"],
"minimum": 0.0005, "minimum": 0.0005,
@ -79,18 +79,35 @@ CONF_SCHEMA = {
'type': 'number', 'type': 'number',
'minimum': 0, 'minimum': 0,
'maximum': 1, 'maximum': 1,
'exclusiveMaximum': False 'exclusiveMaximum': False,
'use_order_book': {'type': 'boolean'},
'order_book_top': {'type': 'number', 'maximum': 20, 'minimum': 1},
'check_depth_of_market': {
'type': 'object',
'properties': {
'enabled': {'type': 'boolean'},
'bids_to_ask_delta': {'type': 'number', 'minimum': 0},
}
},
}, },
}, },
'required': ['ask_last_balance'] 'required': ['ask_last_balance']
}, },
'ask_strategy': {
'type': 'object',
'properties': {
'use_order_book': {'type': 'boolean'},
'order_book_min': {'type': 'number', 'minimum': 1},
'order_book_max': {'type': 'number', 'minimum': 1, 'maximum': 50}
}
},
'exchange': {'$ref': '#/definitions/exchange'}, 'exchange': {'$ref': '#/definitions/exchange'},
'experimental': { 'experimental': {
'type': 'object', 'type': 'object',
'properties': { 'properties': {
'use_sell_signal': {'type': 'boolean'}, 'use_sell_signal': {'type': 'boolean'},
'sell_profit_only': {'type': 'boolean'}, 'sell_profit_only': {'type': 'boolean'},
"ignore_roi_if_buy_signal_true": {'type': 'boolean'} 'ignore_roi_if_buy_signal_true': {'type': 'boolean'}
} }
}, },
'telegram': { 'telegram': {
@ -146,7 +163,8 @@ CONF_SCHEMA = {
'pattern': '^[0-9A-Z]+/[0-9A-Z]+$' 'pattern': '^[0-9A-Z]+/[0-9A-Z]+$'
}, },
'uniqueItems': True 'uniqueItems': True
} },
'outdated_offset': {'type': 'integer', 'minimum': 1}
}, },
'required': ['name', 'key', 'secret', 'pair_whitelist'] 'required': ['name', 'key', 'secret', 'pair_whitelist']
} }

44
freqtrade/exchange/__init__.py
View File

@ -116,7 +116,7 @@ class Exchange(object):
api.urls['api'] = api.urls['test'] api.urls['api'] = api.urls['test']
logger.info("Enabled Sandbox API on %s", name) logger.info("Enabled Sandbox API on %s", name)
else: else:
logger.warning(self, "No Sandbox URL in CCXT, exiting. " logger.warning(name, "No Sandbox URL in CCXT, exiting. "
"Please check your config.json") "Please check your config.json")
raise OperationalException(f'Exchange {name} does not provide a sandbox api') raise OperationalException(f'Exchange {name} does not provide a sandbox api')
@ -322,7 +322,7 @@ class Exchange(object):
return data return data
except (ccxt.NetworkError, ccxt.ExchangeError) as e: except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError( raise TemporaryError(
f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}') f'Could not load ticker due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e: except ccxt.BaseError as e:
raise OperationalException(e) raise OperationalException(e)
else: else:
@ -409,6 +409,37 @@ class Exchange(object):
except ccxt.BaseError as e: except ccxt.BaseError as e:
raise OperationalException(e) raise OperationalException(e)
@retrier
def get_order_book(self, pair: str, limit: int = 100) -> dict:
"""
get order book level 2 from exchange
Notes:
20180619: bittrex doesnt support limits -.-
20180619: binance support limits but only on specific range
"""
try:
if self._api.name == 'Binance':
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)))
# above script works like loop below (but with slightly better performance):
# for limitx in limit_range:
# if limit <= limitx:
# limit = limitx
# break
return self._api.fetch_l2_order_book(pair, limit)
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching order book.'
f'Message: {e}')
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order book due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e:
raise OperationalException(e)
@retrier @retrier
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List: def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
if self._conf['dry_run']: if self._conf['dry_run']:
@ -462,12 +493,3 @@ class Exchange(object):
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') f'Could not get fee info due to {e.__class__.__name__}. Message: {e}')
except ccxt.BaseError as e: except ccxt.BaseError as e:
raise OperationalException(e) raise OperationalException(e)
def get_amount_lots(self, pair: str, amount: float) -> float:
"""
get buyable amount rounding, ..
"""
# validate that markets are loaded before trying to get fee
if not self._api.markets:
self._api.load_markets()
return self._api.amount_to_lots(pair, amount)

25
freqtrade/exchange/exchange_helpers.py
View File

@ -2,6 +2,7 @@
Functions to analyze ticker data with indicators and produce buy and sell signals Functions to analyze ticker data with indicators and produce buy and sell signals
""" """
import logging import logging
import pandas as pd
from pandas import DataFrame, to_datetime from pandas import DataFrame, to_datetime
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -31,3 +32,27 @@ def parse_ticker_dataframe(ticker: list) -> DataFrame:
}) })
frame.drop(frame.tail(1).index, inplace=True) # eliminate partial candle frame.drop(frame.tail(1).index, inplace=True) # eliminate partial candle
return frame return frame
def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
"""
Gets order book list, returns dataframe with below format per suggested by creslin
-------------------------------------------------------------------
b_sum b_size bids asks a_size a_sum
-------------------------------------------------------------------
"""
cols = ['bids', 'b_size']
bids_frame = DataFrame(bids, columns=cols)
# add cumulative sum column
bids_frame['b_sum'] = bids_frame['b_size'].cumsum()
cols2 = ['asks', 'a_size']
asks_frame = DataFrame(asks, columns=cols2)
# add cumulative sum column
asks_frame['a_sum'] = asks_frame['a_size'].cumsum()
frame = pd.concat([bids_frame['b_sum'], bids_frame['b_size'], bids_frame['bids'],
asks_frame['asks'], asks_frame['a_size'], asks_frame['a_sum']], axis=1,
keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum'])
# logger.info('order book %s', frame )
return frame

134
freqtrade/freqtradebot.py
View File

@ -21,6 +21,7 @@ from freqtrade.rpc import RPCManager, RPCMessageType
from freqtrade.state import State from freqtrade.state import State
from freqtrade.strategy.interface import SellType from freqtrade.strategy.interface import SellType
from freqtrade.strategy.resolver import IStrategy, StrategyResolver from freqtrade.strategy.resolver import IStrategy, StrategyResolver
from freqtrade.exchange.exchange_helpers import order_book_to_dataframe
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -94,6 +95,8 @@ class FreqtradeBot(object):
'status': f'{state.name.lower()}' 'status': f'{state.name.lower()}'
}) })
logger.info('Changing state to: %s', state.name) logger.info('Changing state to: %s', state.name)
if state == State.RUNNING:
self._startup_messages()
if state == State.STOPPED: if state == State.STOPPED:
time.sleep(1) time.sleep(1)
@ -110,6 +113,38 @@ class FreqtradeBot(object):
nb_assets=nb_assets) nb_assets=nb_assets)
return state return state
def _startup_messages(self) -> None:
if self.config.get('dry_run', False):
self.rpc.send_msg({
'type': RPCMessageType.WARNING_NOTIFICATION,
'status': 'Dry run is enabled. All trades are simulated.'
})
stake_currency = self.config['stake_currency']
stake_amount = self.config['stake_amount']
minimal_roi = self.config['minimal_roi']
ticker_interval = self.config['ticker_interval']
exchange_name = self.config['exchange']['name']
strategy_name = self.config.get('strategy', '')
self.rpc.send_msg({
'type': RPCMessageType.CUSTOM_NOTIFICATION,
'status': f'*Exchange:* `{exchange_name}`\n'
f'*Stake per trade:* `{stake_amount} {stake_currency}`\n'
f'*Minimum ROI:* `{minimal_roi}`\n'
f'*Ticker Interval:* `{ticker_interval}`\n'
f'*Strategy:* `{strategy_name}`'
})
if self.config.get('dynamic_whitelist', False):
top_pairs = 'top ' + str(self.config.get('dynamic_whitelist', 20))
specific_pairs = ''
else:
top_pairs = 'whitelisted'
specific_pairs = '\n' + ', '.join(self.config['exchange'].get('pair_whitelist', ''))
self.rpc.send_msg({
'type': RPCMessageType.STATUS_NOTIFICATION,
'status': f'Searching for {top_pairs} {stake_currency} pairs to buy and sell...'
f'{specific_pairs}'
})
def _throttle(self, func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any: def _throttle(self, func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any:
""" """
Throttles the given callable that it Throttles the given callable that it
@ -233,16 +268,40 @@ class FreqtradeBot(object):
return final_list return final_list
def get_target_bid(self, ticker: Dict[str, float]) -> float: def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float:
""" """
Calculates bid target between current ask price and last price Calculates bid target between current ask price and last price
:param ticker: Ticker to use for getting Ask and Last Price :param ticker: Ticker to use for getting Ask and Last Price
:return: float: Price :return: float: Price
""" """
if ticker['ask'] < ticker['last']: if ticker['ask'] < ticker['last']:
return ticker['ask'] ticker_rate = ticker['ask']
balance = self.config['bid_strategy']['ask_last_balance'] else:
return ticker['ask'] + balance * (ticker['last'] - ticker['ask']) balance = self.config['bid_strategy']['ask_last_balance']
ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
used_rate = ticker_rate
config_bid_strategy = self.config.get('bid_strategy', {})
if 'use_order_book' in config_bid_strategy and\
config_bid_strategy.get('use_order_book', False):
logger.info('Getting price from order book')
order_book_top = config_bid_strategy.get('order_book_top', 1)
order_book = self.exchange.get_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
order_book_rate = order_book['bids'][order_book_top - 1][0]
# if ticker has lower rate, then use ticker ( usefull if down trending )
logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
if ticker_rate < order_book_rate:
logger.info('...using ticker rate instead %0.8f', ticker_rate)
used_rate = ticker_rate
else:
used_rate = order_book_rate
else:
logger.info('Using Last Ask / Last Price')
used_rate = ticker_rate
return used_rate
def _get_trade_stake_amount(self) -> Optional[float]: def _get_trade_stake_amount(self) -> Optional[float]:
""" """
@ -334,9 +393,34 @@ class FreqtradeBot(object):
(buy, sell) = self.strategy.get_signal(_pair, interval, thistory) (buy, sell) = self.strategy.get_signal(_pair, interval, thistory)
if buy and not sell: if buy and not sell:
bidstrat_check_depth_of_market = self.config.get('bid_strategy', {}).\
get('check_depth_of_market', {})
if (bidstrat_check_depth_of_market.get('enabled', False)) and\
(bidstrat_check_depth_of_market.get('bids_to_ask_delta', 0) > 0):
if self._check_depth_of_market_buy(_pair, bidstrat_check_depth_of_market):
return self.execute_buy(_pair, stake_amount)
else:
return False
return self.execute_buy(_pair, stake_amount) return self.execute_buy(_pair, stake_amount)
return False return False
def _check_depth_of_market_buy(self, pair: str, conf: Dict) -> bool:
"""
Checks depth of market before executing a buy
"""
conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
logger.info('checking depth of market for %s', pair)
order_book = self.exchange.get_order_book(pair, 1000)
order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
order_book_bids = order_book_data_frame['b_size'].sum()
order_book_asks = order_book_data_frame['a_size'].sum()
bids_ask_delta = order_book_bids / order_book_asks
logger.info('bids: %s, asks: %s, delta: %s', order_book_bids,
order_book_asks, bids_ask_delta)
if bids_ask_delta >= conf_bids_to_ask_delta:
return True
return False
def execute_buy(self, pair: str, stake_amount: float) -> bool: def execute_buy(self, pair: str, stake_amount: float) -> bool:
""" """
Executes a limit buy for the given pair Executes a limit buy for the given pair
@ -349,7 +433,7 @@ class FreqtradeBot(object):
fiat_currency = self.config.get('fiat_display_currency', None) fiat_currency = self.config.get('fiat_display_currency', None)
# Calculate amount # Calculate amount
buy_limit = self.get_target_bid(self.exchange.get_ticker(pair)) buy_limit = self.get_target_bid(pair, self.exchange.get_ticker(pair))
min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit) min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit)
if min_stake_amount is not None and min_stake_amount > stake_amount: if min_stake_amount is not None and min_stake_amount > stake_amount:
@ -492,7 +576,7 @@ class FreqtradeBot(object):
raise ValueError(f'attempt to handle closed trade: {trade}') raise ValueError(f'attempt to handle closed trade: {trade}')
logger.debug('Handling %s ...', trade) logger.debug('Handling %s ...', trade)
current_rate = self.exchange.get_ticker(trade.pair)['bid'] sell_rate = self.exchange.get_ticker(trade.pair)['bid']
(buy, sell) = (False, False) (buy, sell) = (False, False)
experimental = self.config.get('experimental', {}) experimental = self.config.get('experimental', {})
@ -501,13 +585,43 @@ class FreqtradeBot(object):
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval, (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval,
ticker) ticker)
should_sell = self.strategy.should_sell(trade, current_rate, datetime.utcnow(), buy, sell) config_ask_strategy = self.config.get('ask_strategy', {})
if should_sell.sell_flag: if config_ask_strategy.get('use_order_book', False):
self.execute_sell(trade, current_rate, should_sell.sell_type) logger.info('Using order book for selling...')
return True # logger.debug('Order book %s',orderBook)
order_book_min = config_ask_strategy.get('order_book_min', 1)
order_book_max = config_ask_strategy.get('order_book_max', 1)
order_book = self.exchange.get_order_book(trade.pair, order_book_max)
for i in range(order_book_min, order_book_max + 1):
order_book_rate = order_book['asks'][i - 1][0]
# if orderbook has higher rate (high profit),
# use orderbook, otherwise just use bids rate
logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
if sell_rate < order_book_rate:
sell_rate = order_book_rate
if self.check_sell(trade, sell_rate, buy, sell):
return True
break
else:
logger.info('checking sell')
if self.check_sell(trade, sell_rate, buy, sell):
return True
logger.info('Found no sell signals for whitelisted currencies. Trying again..') logger.info('Found no sell signals for whitelisted currencies. Trying again..')
return False return False
def check_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool:
should_sell = self.strategy.should_sell(trade, sell_rate, datetime.utcnow(), buy, sell)
if should_sell.sell_flag:
self.execute_sell(trade, sell_rate, should_sell.sell_type)
logger.info('excuted sell')
return True
return False
def check_handle_timedout(self) -> None: def check_handle_timedout(self) -> None:
""" """
Check if any orders are timed out and cancel if neccessary Check if any orders are timed out and cancel if neccessary

18
freqtrade/optimize/__init__.py
View File

@ -1,7 +1,13 @@
# pragma pylint: disable=missing-docstring # pragma pylint: disable=missing-docstring
import gzip import gzip
import json try:
import ujson as json
_UJSON = True
except ImportError:
# see mypy/issues/1153
import json # type: ignore
_UJSON = False
import logging import logging
import os import os
from typing import Optional, List, Dict, Tuple, Any from typing import Optional, List, Dict, Tuple, Any
@ -14,6 +20,14 @@ from freqtrade.arguments import TimeRange
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
def json_load(data):
"""Try to load data with ujson"""
if _UJSON:
return json.load(data, precise_float=True)
else:
return json.load(data)
def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]: def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]:
if not tickerlist: if not tickerlist:
return tickerlist return tickerlist
@ -163,7 +177,7 @@ def load_cached_data_for_updating(filename: str,
# read the cached file # read the cached file
if os.path.isfile(filename): if os.path.isfile(filename):
with open(filename, "rt") as file: with open(filename, "rt") as file:
data = json.load(file) data = json_load(file)
# remove the last item, because we are not sure if it is correct # remove the last item, because we are not sure if it is correct
# it could be fetched when the candle was incompleted # it could be fetched when the candle was incompleted
if data: if data:

10
freqtrade/persistence.py
View File

@ -79,10 +79,12 @@ def check_migrate(engine) -> None:
table_back_name = 'trades_bak' table_back_name = 'trades_bak'
for i, table_back_name in enumerate(tabs): for i, table_back_name in enumerate(tabs):
table_back_name = f'trades_bak{i}' table_back_name = f'trades_bak{i}'
logger.info(f'trying {table_back_name}') logger.debug(f'trying {table_back_name}')
# Check for latest column # Check for latest column
if not has_column(cols, 'max_rate'): if not has_column(cols, 'ticker_interval'):
logger.info(f'Running database migration - backup available as {table_back_name}')
fee_open = get_column_def(cols, 'fee_open', 'fee') fee_open = get_column_def(cols, 'fee_open', 'fee')
fee_close = get_column_def(cols, 'fee_close', 'fee') fee_close = get_column_def(cols, 'fee_close', 'fee')
open_rate_requested = get_column_def(cols, 'open_rate_requested', 'null') open_rate_requested = get_column_def(cols, 'open_rate_requested', 'null')
@ -157,8 +159,8 @@ class Trade(_DECL_BASE):
id = Column(Integer, primary_key=True) id = Column(Integer, primary_key=True)
exchange = Column(String, nullable=False) exchange = Column(String, nullable=False)
pair = Column(String, nullable=False) pair = Column(String, nullable=False, index=True)
is_open = Column(Boolean, nullable=False, default=True) is_open = Column(Boolean, nullable=False, default=True, index=True)
fee_open = Column(Float, nullable=False, default=0.0) fee_open = Column(Float, nullable=False, default=0.0)
fee_close = Column(Float, nullable=False, default=0.0) fee_close = Column(Float, nullable=False, default=0.0)
open_rate = Column(Float) open_rate = Column(Float)

14
freqtrade/rpc/rpc.py
View File

@ -13,6 +13,7 @@ import sqlalchemy as sql
from numpy import mean, nan_to_num from numpy import mean, nan_to_num
from pandas import DataFrame from pandas import DataFrame
from freqtrade import TemporaryError
from freqtrade.fiat_convert import CryptoToFiatConverter from freqtrade.fiat_convert import CryptoToFiatConverter
from freqtrade.misc import shorten_date from freqtrade.misc import shorten_date
from freqtrade.persistence import Trade from freqtrade.persistence import Trade
@ -24,6 +25,8 @@ logger = logging.getLogger(__name__)
class RPCMessageType(Enum): class RPCMessageType(Enum):
STATUS_NOTIFICATION = 'status' STATUS_NOTIFICATION = 'status'
WARNING_NOTIFICATION = 'warning'
CUSTOM_NOTIFICATION = 'custom'
BUY_NOTIFICATION = 'buy' BUY_NOTIFICATION = 'buy'
SELL_NOTIFICATION = 'sell' SELL_NOTIFICATION = 'sell'
@ -271,10 +274,13 @@ class RPC(object):
if coin == 'BTC': if coin == 'BTC':
rate = 1.0 rate = 1.0
else: else:
if coin == 'USDT': try:
rate = 1.0 / self._freqtrade.exchange.get_ticker('BTC/USDT', False)['bid'] if coin == 'USDT':
else: rate = 1.0 / self._freqtrade.exchange.get_ticker('BTC/USDT', False)['bid']
rate = self._freqtrade.exchange.get_ticker(coin + '/BTC', False)['bid'] else:
rate = self._freqtrade.exchange.get_ticker(coin + '/BTC', False)['bid']
except TemporaryError:
continue
est_btc: float = rate * balance['total'] est_btc: float = rate * balance['total']
total = total + est_btc total = total + est_btc
output.append({ output.append({

6
freqtrade/rpc/telegram.py
View File

@ -154,6 +154,12 @@ class Telegram(RPC):
elif msg['type'] == RPCMessageType.STATUS_NOTIFICATION: elif msg['type'] == RPCMessageType.STATUS_NOTIFICATION:
message = '*Status:* `{status}`'.format(**msg) message = '*Status:* `{status}`'.format(**msg)
elif msg['type'] == RPCMessageType.WARNING_NOTIFICATION:
message = '*Warning:* `{status}`'.format(**msg)
elif msg['type'] == RPCMessageType.CUSTOM_NOTIFICATION:
message = '{status}'.format(**msg)
else: else:
raise NotImplementedError('Unknown message type: {}'.format(msg['type'])) raise NotImplementedError('Unknown message type: {}'.format(msg['type']))

13
freqtrade/strategy/__init__.py
View File

@ -1,4 +1,5 @@
import logging import logging
import sys
from copy import deepcopy from copy import deepcopy
from freqtrade.strategy.interface import IStrategy from freqtrade.strategy.interface import IStrategy
@ -12,8 +13,18 @@ def import_strategy(strategy: IStrategy, config: dict) -> IStrategy:
Imports given Strategy instance to global scope Imports given Strategy instance to global scope
of freqtrade.strategy and returns an instance of it of freqtrade.strategy and returns an instance of it
""" """
# Copy all attributes from base class and class # Copy all attributes from base class and class
attr = deepcopy({**strategy.__class__.__dict__, **strategy.__dict__})
comb = {**strategy.__class__.__dict__, **strategy.__dict__}
# Delete '_abc_impl' from dict as deepcopy fails on 3.7 with
# `TypeError: can't pickle _abc_data objects``
# This will only apply to python 3.7
if sys.version_info.major == 3 and sys.version_info.minor == 7 and '_abc_impl' in comb:
del comb['_abc_impl']
attr = deepcopy(comb)
# Adjust module name # Adjust module name
attr['__module__'] = 'freqtrade.strategy' attr['__module__'] = 'freqtrade.strategy'

3
freqtrade/strategy/interface.py
View File

@ -182,7 +182,8 @@ class IStrategy(ABC):
# Check if dataframe is out of date # Check if dataframe is out of date
signal_date = arrow.get(latest['date']) signal_date = arrow.get(latest['date'])
interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval] interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5))): offset = self.config.get('exchange', {}).get('outdated_offset', 5)
if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + offset))):
logger.warning( logger.warning(
'Outdated history for pair %s. Last tick is %s minutes old', 'Outdated history for pair %s. Last tick is %s minutes old',
pair, pair,

3
freqtrade/strategy/resolver.py
View File

@ -44,7 +44,8 @@ class StrategyResolver(object):
# Check if we need to override configuration # Check if we need to override configuration
if 'minimal_roi' in config: if 'minimal_roi' in config:
self.strategy.minimal_roi = config['minimal_roi'] self.strategy.minimal_roi = config['minimal_roi']
logger.info("Override strategy 'minimal_roi' with value in config file.") logger.info("Override strategy 'minimal_roi' with value in config file: %s.",
config['minimal_roi'])
else: else:
config['minimal_roi'] = self.strategy.minimal_roi config['minimal_roi'] = self.strategy.minimal_roi

46
freqtrade/tests/conftest.py
View File

@ -102,7 +102,18 @@ def default_conf():
"sell": 30 "sell": 30
}, },
"bid_strategy": { "bid_strategy": {
"ask_last_balance": 0.0 "ask_last_balance": 0.0,
"use_order_book": False,
"order_book_top": 1,
"check_depth_of_market": {
"enabled": False,
"bids_to_ask_delta": 1
}
},
"ask_strategy": {
"use_order_book": False,
"order_book_min": 1,
"order_book_max": 1
}, },
"exchange": { "exchange": {
"name": "bittrex", "name": "bittrex",
@ -403,6 +414,39 @@ def limit_sell_order():
} }
@pytest.fixture
def order_book_l2():
return MagicMock(return_value={
'bids': [
[0.043936, 10.442],
[0.043935, 31.865],
[0.043933, 11.212],
[0.043928, 0.088],
[0.043925, 10.0],
[0.043921, 10.0],
[0.04392, 37.64],
[0.043899, 0.066],
[0.043885, 0.676],
[0.04387, 22.758]
],
'asks': [
[0.043949, 0.346],
[0.04395, 0.608],
[0.043951, 3.948],
[0.043954, 0.288],
[0.043958, 9.277],
[0.043995, 1.566],
[0.044, 0.588],
[0.044002, 0.992],
[0.044003, 0.095],
[0.04402, 37.64]
],
'timestamp': None,
'datetime': None,
'nonce': 288004540
})
@pytest.fixture @pytest.fixture
def ticker_history(): def ticker_history():
return [ return [

41
freqtrade/tests/exchange/test_exchange.py
View File

@ -515,6 +515,35 @@ def test_get_ticker(default_conf, mocker):
exchange.get_ticker(pair='ETH/BTC', refresh=True) exchange.get_ticker(pair='ETH/BTC', refresh=True)
def test_get_order_book(default_conf, mocker, order_book_l2):
default_conf['exchange']['name'] = 'binance'
api_mock = MagicMock()
api_mock.fetch_l2_order_book = order_book_l2
exchange = get_patched_exchange(mocker, default_conf, api_mock)
order_book = exchange.get_order_book(pair='ETH/BTC', limit=10)
assert 'bids' in order_book
assert 'asks' in order_book
assert len(order_book['bids']) == 10
assert len(order_book['asks']) == 10
def test_get_order_book_exception(default_conf, mocker):
api_mock = MagicMock()
with pytest.raises(OperationalException):
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NotSupported)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.get_order_book(pair='ETH/BTC', limit=50)
with pytest.raises(TemporaryError):
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.NetworkError)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.get_order_book(pair='ETH/BTC', limit=50)
with pytest.raises(OperationalException):
api_mock.fetch_l2_order_book = MagicMock(side_effect=ccxt.BaseError)
exchange = get_patched_exchange(mocker, default_conf, api_mock)
exchange.get_order_book(pair='ETH/BTC', limit=50)
def make_fetch_ohlcv_mock(data): def make_fetch_ohlcv_mock(data):
def fetch_ohlcv_mock(pair, timeframe, since): def fetch_ohlcv_mock(pair, timeframe, since):
if since: if since:
@ -823,15 +852,3 @@ def test_get_fee(default_conf, mocker):
ccxt_exceptionhandlers(mocker, default_conf, api_mock, ccxt_exceptionhandlers(mocker, default_conf, api_mock,
'get_fee', 'calculate_fee') 'get_fee', 'calculate_fee')
def test_get_amount_lots(default_conf, mocker):
api_mock = MagicMock()
api_mock.amount_to_lots = MagicMock(return_value=1.0)
api_mock.markets = None
marketmock = MagicMock()
api_mock.load_markets = marketmock
exchange = get_patched_exchange(mocker, default_conf, api_mock)
assert exchange.get_amount_lots('LTC/BTC', 1.54) == 1
assert marketmock.call_count == 1

12
freqtrade/tests/rpc/test_rpc.py
View File

@ -6,6 +6,7 @@ from unittest.mock import MagicMock, ANY
import pytest import pytest
from freqtrade import TemporaryError
from freqtrade.fiat_convert import CryptoToFiatConverter from freqtrade.fiat_convert import CryptoToFiatConverter
from freqtrade.freqtradebot import FreqtradeBot from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import Trade from freqtrade.persistence import Trade
@ -285,11 +286,12 @@ def test_rpc_balance_handle(default_conf, mocker):
'used': 2.0, 'used': 2.0,
}, },
'ETH': { 'ETH': {
'free': 0.0, 'free': 1.0,
'total': 0.0, 'total': 5.0,
'used': 0.0, 'used': 4.0,
} }
} }
# ETH will be skipped due to mocked Error below
mocker.patch.multiple( mocker.patch.multiple(
'freqtrade.fiat_convert.Market', 'freqtrade.fiat_convert.Market',
@ -301,7 +303,8 @@ def test_rpc_balance_handle(default_conf, mocker):
mocker.patch.multiple( mocker.patch.multiple(
'freqtrade.exchange.Exchange', 'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(), validate_pairs=MagicMock(),
get_balances=MagicMock(return_value=mock_balance) get_balances=MagicMock(return_value=mock_balance),
get_ticker=MagicMock(side_effect=TemporaryError('Could not load ticker due to xxx'))
) )
freqtradebot = FreqtradeBot(default_conf) freqtradebot = FreqtradeBot(default_conf)
@ -320,6 +323,7 @@ def test_rpc_balance_handle(default_conf, mocker):
'pending': 2.0, 'pending': 2.0,
'est_btc': 12.0, 'est_btc': 12.0,
}] }]
assert result['total'] == 12.0
def test_rpc_start(mocker, default_conf) -> None: def test_rpc_start(mocker, default_conf) -> None:

32
freqtrade/tests/rpc/test_rpc_telegram.py
View File

@ -1095,6 +1095,38 @@ def test_send_msg_status_notification(default_conf, mocker) -> None:
assert msg_mock.call_args[0][0] == '*Status:* `running`' assert msg_mock.call_args[0][0] == '*Status:* `running`'
def test_warning_notification(default_conf, mocker) -> None:
msg_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.rpc.telegram.Telegram',
_init=MagicMock(),
_send_msg=msg_mock
)
freqtradebot = get_patched_freqtradebot(mocker, default_conf)
telegram = Telegram(freqtradebot)
telegram.send_msg({
'type': RPCMessageType.WARNING_NOTIFICATION,
'status': 'message'
})
assert msg_mock.call_args[0][0] == '*Warning:* `message`'
def test_custom_notification(default_conf, mocker) -> None:
msg_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.rpc.telegram.Telegram',
_init=MagicMock(),
_send_msg=msg_mock
)
freqtradebot = get_patched_freqtradebot(mocker, default_conf)
telegram = Telegram(freqtradebot)
telegram.send_msg({
'type': RPCMessageType.CUSTOM_NOTIFICATION,
'status': '*Custom:* `Hello World`'
})
assert msg_mock.call_args[0][0] == '*Custom:* `Hello World`'
def test_send_msg_unknown_type(default_conf, mocker) -> None: def test_send_msg_unknown_type(default_conf, mocker) -> None:
msg_mock = MagicMock() msg_mock = MagicMock()
mocker.patch.multiple( mocker.patch.multiple(

24
freqtrade/tests/strategy/test_interface.py
View File

@ -8,6 +8,7 @@ from pandas import DataFrame
from freqtrade.arguments import TimeRange from freqtrade.arguments import TimeRange
from freqtrade.optimize.__init__ import load_tickerdata_file from freqtrade.optimize.__init__ import load_tickerdata_file
from freqtrade.persistence import Trade
from freqtrade.tests.conftest import get_patched_exchange, log_has from freqtrade.tests.conftest import get_patched_exchange, log_has
from freqtrade.strategy.default_strategy import DefaultStrategy from freqtrade.strategy.default_strategy import DefaultStrategy
@ -107,6 +108,29 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed
def test_min_roi_reached(default_conf, fee) -> None:
strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = {0: 0.1, 20: 0.05, 55: 0.01}
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.01, arrow.utcnow().shift(minutes=-55).datetime)
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-55).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, -0.01, arrow.utcnow().shift(minutes=-1).datetime)
assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
def test_analyze_ticker_default(ticker_history, mocker, caplog) -> None: def test_analyze_ticker_default(ticker_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG) caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x) ind_mock = MagicMock(side_effect=lambda x, meta: x)

2
freqtrade/tests/strategy/test_strategy.py
View File

@ -130,7 +130,7 @@ def test_strategy_override_minimal_roi(caplog):
assert resolver.strategy.minimal_roi[0] == 0.5 assert resolver.strategy.minimal_roi[0] == 0.5
assert ('freqtrade.strategy.resolver', assert ('freqtrade.strategy.resolver',
logging.INFO, logging.INFO,
"Override strategy 'minimal_roi' with value in config file." "Override strategy 'minimal_roi' with value in config file: {'0': 0.5}."
) in caplog.record_tuples ) in caplog.record_tuples

206
freqtrade/tests/test_freqtradebot.py
View File

@ -159,6 +159,15 @@ def test_gen_pair_whitelist(mocker, default_conf, tickers) -> None:
assert whitelist == [] assert whitelist == []
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=False))
with pytest.raises(OperationalException):
freqtrade._gen_pair_whitelist(base_currency='BTC')
@pytest.mark.skip(reason="Test not implemented") @pytest.mark.skip(reason="Test not implemented")
def test_refresh_whitelist() -> None: def test_refresh_whitelist() -> None:
pass pass
@ -664,21 +673,21 @@ def test_balance_fully_ask_side(mocker, default_conf) -> None:
default_conf['bid_strategy']['ask_last_balance'] = 0.0 default_conf['bid_strategy']['ask_last_balance'] = 0.0
freqtrade = get_patched_freqtradebot(mocker, default_conf) freqtrade = get_patched_freqtradebot(mocker, default_conf)
assert freqtrade.get_target_bid({'ask': 20, 'last': 10}) == 20 assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 20
def test_balance_fully_last_side(mocker, default_conf) -> None: def test_balance_fully_last_side(mocker, default_conf) -> None:
default_conf['bid_strategy']['ask_last_balance'] = 1.0 default_conf['bid_strategy']['ask_last_balance'] = 1.0
freqtrade = get_patched_freqtradebot(mocker, default_conf) freqtrade = get_patched_freqtradebot(mocker, default_conf)
assert freqtrade.get_target_bid({'ask': 20, 'last': 10}) == 10 assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 10
def test_balance_bigger_last_ask(mocker, default_conf) -> None: def test_balance_bigger_last_ask(mocker, default_conf) -> None:
default_conf['bid_strategy']['ask_last_balance'] = 1.0 default_conf['bid_strategy']['ask_last_balance'] = 1.0
freqtrade = get_patched_freqtradebot(mocker, default_conf) freqtrade = get_patched_freqtradebot(mocker, default_conf)
assert freqtrade.get_target_bid({'ask': 5, 'last': 10}) == 5 assert freqtrade.get_target_bid('ETH/BTC', {'ask': 5, 'last': 10}) == 5
def test_process_maybe_execute_buy(mocker, default_conf) -> None: def test_process_maybe_execute_buy(mocker, default_conf) -> None:
@ -1876,3 +1885,194 @@ def test_get_real_amount_open_trade(default_conf, mocker):
freqtrade = FreqtradeBot(default_conf) freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade) patch_get_signal(freqtrade)
assert freqtrade.get_real_amount(trade, order) == amount assert freqtrade.get_real_amount(trade, order) == amount
def test_order_book_depth_of_market(default_conf, ticker, limit_buy_order, fee, markets, mocker,
order_book_l2):
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 0.1
patch_RPCManager(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
get_fee=fee,
get_markets=markets
)
# Save state of current whitelist
whitelist = deepcopy(default_conf['exchange']['pair_whitelist'])
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.create_trade()
trade = Trade.query.first()
assert trade is not None
assert trade.stake_amount == 0.001
assert trade.is_open
assert trade.open_date is not None
assert trade.exchange == 'bittrex'
# Simulate fulfilled LIMIT_BUY order for trade
trade.update(limit_buy_order)
assert trade.open_rate == 0.00001099
assert whitelist == default_conf['exchange']['pair_whitelist']
def test_order_book_depth_of_market_high_delta(default_conf, ticker, limit_buy_order,
fee, markets, mocker, order_book_l2):
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
# delta is 100 which is impossible to reach. hence check_depth_of_market will return false
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
patch_RPCManager(mocker)
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
get_fee=fee,
get_markets=markets
)
# Save state of current whitelist
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.create_trade()
trade = Trade.query.first()
assert trade is None
def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets) -> None:
"""
test if function get_target_bid will return the order book price
instead of the ask rate
"""
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
get_markets=markets,
get_order_book=order_book_l2
)
default_conf['exchange']['name'] = 'binance'
default_conf['bid_strategy']['use_order_book'] = True
default_conf['bid_strategy']['order_book_top'] = 2
default_conf['bid_strategy']['ask_last_balance'] = 0
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.045, 'last': 0.046}) == 0.043935
def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets) -> None:
"""
test if function get_target_bid will return the ask rate (since its value is lower)
instead of the order book rate (even if enabled)
"""
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
get_markets=markets,
get_order_book=order_book_l2
)
default_conf['exchange']['name'] = 'binance'
default_conf['bid_strategy']['use_order_book'] = True
default_conf['bid_strategy']['order_book_top'] = 2
default_conf['bid_strategy']['ask_last_balance'] = 0
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.042, 'last': 0.046}) == 0.042
def test_order_book_bid_strategy3(default_conf, mocker, order_book_l2, markets) -> None:
"""
test if function get_target_bid will return ask rate instead
of the order book rate
"""
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
get_markets=markets,
get_order_book=order_book_l2
)
default_conf['exchange']['name'] = 'binance'
default_conf['bid_strategy']['use_order_book'] = True
default_conf['bid_strategy']['order_book_top'] = 1
default_conf['bid_strategy']['ask_last_balance'] = 0
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.03, 'last': 0.029}) == 0.03
def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2, markets) -> None:
"""
test check depth of market
"""
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
get_markets=markets,
get_order_book=order_book_l2
)
default_conf['telegram']['enabled'] = False
default_conf['exchange']['name'] = 'binance'
default_conf['bid_strategy']['check_depth_of_market']['enabled'] = True
# delta is 100 which is impossible to reach. hence function will return false
default_conf['bid_strategy']['check_depth_of_market']['bids_to_ask_delta'] = 100
freqtrade = FreqtradeBot(default_conf)
conf = default_conf['bid_strategy']['check_depth_of_market']
assert freqtrade._check_depth_of_market_buy('ETH/BTC', conf) is False
def test_order_book_ask_strategy(default_conf, limit_buy_order, limit_sell_order,
fee, markets, mocker, order_book_l2) -> None:
"""
test order book ask strategy
"""
mocker.patch('freqtrade.exchange.Exchange.get_order_book', order_book_l2)
default_conf['exchange']['name'] = 'binance'
default_conf['ask_strategy']['use_order_book'] = True
default_conf['ask_strategy']['order_book_min'] = 1
default_conf['ask_strategy']['order_book_max'] = 2
default_conf['telegram']['enabled'] = False
patch_RPCManager(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
validate_pairs=MagicMock(),
get_ticker=MagicMock(return_value={
'bid': 0.00001172,
'ask': 0.00001173,
'last': 0.00001172
}),
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
sell=MagicMock(return_value={'id': limit_sell_order['id']}),
get_fee=fee,
get_markets=markets
)
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.create_trade()
trade = Trade.query.first()
assert trade
time.sleep(0.01) # Race condition fix
trade.update(limit_buy_order)
assert trade.is_open is True
patch_get_signal(freqtrade, value=(False, True))
assert freqtrade.handle_trade(trade) is True
def test_startup_messages(default_conf, mocker):
default_conf['dynamic_whitelist'] = 20
freqtrade = get_patched_freqtradebot(mocker, default_conf)
assert freqtrade.state is State.RUNNING

19
freqtrade/tests/test_persistence.py
View File

@ -1,5 +1,6 @@
# pragma pylint: disable=missing-docstring, C0103 # pragma pylint: disable=missing-docstring, C0103
from unittest.mock import MagicMock from unittest.mock import MagicMock
import logging
import pytest import pytest
from sqlalchemy import create_engine from sqlalchemy import create_engine
@ -403,7 +404,9 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
""" """
Test Database migration (starting with new pairformat) Test Database migration (starting with new pairformat)
""" """
caplog.set_level(logging.DEBUG)
amount = 103.223 amount = 103.223
# Always create all columns apart from the last!
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" ( create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
id INTEGER NOT NULL, id INTEGER NOT NULL,
exchange VARCHAR NOT NULL, exchange VARCHAR NOT NULL,
@ -418,14 +421,21 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
open_date DATETIME NOT NULL, open_date DATETIME NOT NULL,
close_date DATETIME, close_date DATETIME,
open_order_id VARCHAR, open_order_id VARCHAR,
stop_loss FLOAT,
initial_stop_loss FLOAT,
max_rate FLOAT,
sell_reason VARCHAR,
strategy VARCHAR,
PRIMARY KEY (id), PRIMARY KEY (id),
CHECK (is_open IN (0, 1)) CHECK (is_open IN (0, 1))
);""" );"""
insert_table_old = """INSERT INTO trades (exchange, pair, is_open, fee, insert_table_old = """INSERT INTO trades (exchange, pair, is_open, fee,
open_rate, stake_amount, amount, open_date) open_rate, stake_amount, amount, open_date,
stop_loss, initial_stop_loss, max_rate)
VALUES ('binance', 'ETC/BTC', 1, {fee}, VALUES ('binance', 'ETC/BTC', 1, {fee},
0.00258580, {stake}, {amount}, 0.00258580, {stake}, {amount},
'2019-11-28 12:44:24.000000') '2019-11-28 12:44:24.000000',
0.0, 0.0, 0.0)
""".format(fee=fee.return_value, """.format(fee=fee.return_value,
stake=default_conf.get("stake_amount"), stake=default_conf.get("stake_amount"),
amount=amount amount=amount
@ -463,12 +473,15 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
assert trade.ticker_interval is None assert trade.ticker_interval is None
assert log_has("trying trades_bak1", caplog.record_tuples) assert log_has("trying trades_bak1", caplog.record_tuples)
assert log_has("trying trades_bak2", caplog.record_tuples) assert log_has("trying trades_bak2", caplog.record_tuples)
assert log_has("Running database migration - backup available as trades_bak2",
caplog.record_tuples)
def test_migrate_mid_state(mocker, default_conf, fee, caplog): def test_migrate_mid_state(mocker, default_conf, fee, caplog):
""" """
Test Database migration (starting with new pairformat) Test Database migration (starting with new pairformat)
""" """
caplog.set_level(logging.DEBUG)
amount = 103.223 amount = 103.223
create_table_old = """CREATE TABLE IF NOT EXISTS "trades" ( create_table_old = """CREATE TABLE IF NOT EXISTS "trades" (
id INTEGER NOT NULL, id INTEGER NOT NULL,
@ -522,6 +535,8 @@ def test_migrate_mid_state(mocker, default_conf, fee, caplog):
assert trade.stop_loss == 0.0 assert trade.stop_loss == 0.0
assert trade.initial_stop_loss == 0.0 assert trade.initial_stop_loss == 0.0
assert log_has("trying trades_bak0", caplog.record_tuples) assert log_has("trying trades_bak0", caplog.record_tuples)
assert log_has("Running database migration - backup available as trades_bak0",
caplog.record_tuples)
def test_adjust_stop_loss(limit_buy_order, limit_sell_order, fee): def test_adjust_stop_loss(limit_buy_order, limit_sell_order, fee):

16
freqtrade/tests/test_talib.py Normal file
View File

@ -0,0 +1,16 @@
import talib.abstract as ta
import pandas as pd
def test_talib_bollingerbands_near_zero_values():
inputs = pd.DataFrame([
{'close': 0.00000010},
{'close': 0.00000011},
{'close': 0.00000012},
{'close': 0.00000013},
{'close': 0.00000014}
])
bollinger = ta.BBANDS(inputs, matype=0, timeperiod=2)
assert (bollinger['upperband'][3] != bollinger['middleband'][3])

2
install_ta-lib.sh
View File

@ -1,6 +1,6 @@
if [ ! -f "ta-lib/CHANGELOG.TXT" ]; then if [ ! -f "ta-lib/CHANGELOG.TXT" ]; then
tar zxvf ta-lib-0.4.0-src.tar.gz tar zxvf ta-lib-0.4.0-src.tar.gz
cd ta-lib && ./configure && make && sudo make install && cd .. cd ta-lib && sed -i "s|0.00000001|0.000000000000000001 |g" src/ta_func/ta_utility.h && ./configure && make && sudo make install && cd ..
else else
echo "TA-lib already installed, skipping download and build." echo "TA-lib already installed, skipping download and build."
cd ta-lib && sudo make install && cd .. cd ta-lib && sudo make install && cd ..

14
requirements.txt
View File

@ -1,18 +1,18 @@
ccxt==1.17.60 ccxt==1.17.216
SQLAlchemy==1.2.10 SQLAlchemy==1.2.11
python-telegram-bot==10.1.0 python-telegram-bot==11.0.0
arrow==0.12.1 arrow==0.12.1
cachetools==2.1.0 cachetools==2.1.0
requests==2.19.1 requests==2.19.1
urllib3==1.22 urllib3==1.22
wrapt==1.10.11 wrapt==1.10.11
pandas==0.23.3 pandas==0.23.4
scikit-learn==0.19.2 scikit-learn==0.19.2
scipy==1.1.0 scipy==1.1.0
jsonschema==2.6.0 jsonschema==2.6.0
numpy==1.15.0 numpy==1.15.1
TA-Lib==0.4.17 TA-Lib==0.4.17
pytest==3.7.0 pytest==3.7.4
pytest-mock==1.10.0 pytest-mock==1.10.0
pytest-cov==2.5.1 pytest-cov==2.5.1
tabulate==0.8.2 tabulate==0.8.2
@ -22,4 +22,4 @@ coinmarketcap==5.0.3
scikit-optimize==0.5.2 scikit-optimize==0.5.2
# Required for plotting data # Required for plotting data
#plotly==3.0.0 #plotly==3.1.1

29
setup.sh
View File

@ -1,13 +1,31 @@
#!/usr/bin/env bash #!/usr/bin/env bash
#encoding=utf8 #encoding=utf8
# Check which python version is installed
function check_installed_python() {
which python3.7
if [ $? -eq 0 ]; then
echo "using Python 3.7"
PYTHON=python3.7
return
fi
which python3.6
if [ $? -eq 0 ]; then
echo "using Python 3.6"
PYTHON=python3.6
return
fi
}
function updateenv () { function updateenv () {
echo "-------------------------" echo "-------------------------"
echo "Update your virtual env" echo "Update your virtual env"
echo "-------------------------" echo "-------------------------"
source .env/bin/activate source .env/bin/activate
echo "pip3 install in-progress. Please wait..." echo "pip3 install in-progress. Please wait..."
pip3.6 install --quiet --upgrade pip pip3 install --quiet --upgrade pip
pip3 install --quiet -r requirements.txt --upgrade pip3 install --quiet -r requirements.txt --upgrade
pip3 install --quiet -r requirements.txt pip3 install --quiet -r requirements.txt
pip3 install --quiet -e . pip3 install --quiet -e .
@ -79,7 +97,7 @@ function reset () {
fi fi
echo echo
python3.6 -m venv .env ${PYTHON} -m venv .env
updateenv updateenv
} }
@ -183,7 +201,7 @@ function install () {
install_debian install_debian
else else
echo "This script does not support your OS." echo "This script does not support your OS."
echo "If you have Python3.6, pip, virtualenv, ta-lib you can continue." echo "If you have Python3.6 or Python3.7, pip, virtualenv, ta-lib you can continue."
echo "Wait 10 seconds to continue the next install steps or use ctrl+c to interrupt this shell." echo "Wait 10 seconds to continue the next install steps or use ctrl+c to interrupt this shell."
sleep 10 sleep 10
fi fi
@ -193,7 +211,7 @@ function install () {
echo "-------------------------" echo "-------------------------"
echo "Run the bot" echo "Run the bot"
echo "-------------------------" echo "-------------------------"
echo "You can now use the bot by executing 'source .env/bin/activate; python3.6 freqtrade/main.py'." echo "You can now use the bot by executing 'source .env/bin/activate; python freqtrade/main.py'."
} }
function plot () { function plot () {
@ -214,6 +232,9 @@ function help () {
echo " -p,--plot Install dependencies for Plotting scripts." echo " -p,--plot Install dependencies for Plotting scripts."
} }
# Verify if 3.6 or 3.7 is installed
check_installed_python
case $* in case $* in
--install|-i) --install|-i)
install install