diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index 7dff75a02..dd3149e98 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -286,6 +286,18 @@ Min price precision for SHITCOIN/BTC is 8 decimals. If its price is 0.00000011 - Shuffles (randomizes) pairs in the pairlist. It can be used for preventing the bot from trading some of the pairs more frequently then others when you want all pairs be treated with the same priority. +By default, ShuffleFilter will shuffle pairs once per candle. +To shuffle on every iteration, set `"shuffle_frequency"` to `"iteration"` instead of the default of `"candle"`. + +``` json + { + "method": "ShuffleFilter", + "shuffle_frequency": "candle", + "seed": 42 + } + +``` + !!! Tip You may set the `seed` value for this Pairlist to obtain reproducible results, which can be useful for repeated backtesting sessions. If `seed` is not set, the pairs are shuffled in the non-repeatable random order. ShuffleFilter will automatically detect runmodes and apply the `seed` only for backtesting modes - if a `seed` value is set. diff --git a/freqtrade/freqai/data_kitchen.py b/freqtrade/freqai/data_kitchen.py index 6acd916d5..eff40dbf3 100644 --- a/freqtrade/freqai/data_kitchen.py +++ b/freqtrade/freqai/data_kitchen.py @@ -1316,14 +1316,16 @@ class FreqaiDataKitchen: append_df = pd.read_hdf(self.backtesting_results_path) return append_df - def check_if_backtest_prediction_exists( - self + def check_if_backtest_prediction_is_valid( + self, + length_backtesting_dataframe: int ) -> bool: """ - Check if a backtesting prediction already exists - :param dk: FreqaiDataKitchen + Check if a backtesting prediction already exists and if the predictions + to append has the same size of backtesting dataframe slice + :param length_backtesting_dataframe: Length of backtesting dataframe slice :return: - :boolean: whether the prediction file exists or not. + :boolean: whether the prediction file is valid. """ path_to_predictionfile = Path(self.full_path / self.backtest_predictions_folder / @@ -1331,13 +1333,21 @@ class FreqaiDataKitchen: self.backtesting_results_path = path_to_predictionfile file_exists = path_to_predictionfile.is_file() + if file_exists: - logger.info(f"Found backtesting prediction file at {path_to_predictionfile}") + append_df = self.get_backtesting_prediction() + if len(append_df) == length_backtesting_dataframe: + logger.info(f"Found backtesting prediction file at {path_to_predictionfile}") + return True + else: + logger.info("A new backtesting prediction file is required. " + "(Number of predictions is different from dataframe length).") + return False else: logger.info( f"Could not find backtesting prediction file at {path_to_predictionfile}" ) - return file_exists + return False def remove_special_chars_from_feature_names(self, dataframe: pd.DataFrame) -> pd.DataFrame: """ diff --git a/freqtrade/freqai/freqai_interface.py b/freqtrade/freqai/freqai_interface.py index 1420ce5c7..3b03c988b 100644 --- a/freqtrade/freqai/freqai_interface.py +++ b/freqtrade/freqai/freqai_interface.py @@ -277,7 +277,7 @@ class IFreqaiModel(ABC): dk.set_new_model_names(pair, trained_timestamp) - if dk.check_if_backtest_prediction_exists(): + if dk.check_if_backtest_prediction_is_valid(len(dataframe_backtest)): self.dd.load_metadata(dk) dk.find_features(dataframe_train) self.check_if_feature_list_matches_strategy(dk) diff --git a/freqtrade/plugins/pairlist/IPairList.py b/freqtrade/plugins/pairlist/IPairList.py index 660d6228c..d0382c778 100644 --- a/freqtrade/plugins/pairlist/IPairList.py +++ b/freqtrade/plugins/pairlist/IPairList.py @@ -36,7 +36,6 @@ class IPairList(LoggingMixin, ABC): self._pairlistconfig = pairlistconfig self._pairlist_pos = pairlist_pos self.refresh_period = self._pairlistconfig.get('refresh_period', 1800) - self._last_refresh = 0 LoggingMixin.__init__(self, logger, self.refresh_period) @property diff --git a/freqtrade/plugins/pairlist/ShuffleFilter.py b/freqtrade/plugins/pairlist/ShuffleFilter.py index 1bc114d4e..76d7600d2 100644 --- a/freqtrade/plugins/pairlist/ShuffleFilter.py +++ b/freqtrade/plugins/pairlist/ShuffleFilter.py @@ -3,16 +3,20 @@ Shuffle pair list filter """ import logging import random -from typing import Any, Dict, List +from typing import Any, Dict, List, Literal from freqtrade.constants import Config from freqtrade.enums import RunMode +from freqtrade.exchange import timeframe_to_seconds from freqtrade.exchange.types import Tickers from freqtrade.plugins.pairlist.IPairList import IPairList +from freqtrade.util.periodic_cache import PeriodicCache logger = logging.getLogger(__name__) +ShuffleValues = Literal['candle', 'iteration'] + class ShuffleFilter(IPairList): @@ -31,6 +35,9 @@ class ShuffleFilter(IPairList): logger.info(f"Backtesting mode detected, applying seed value: {self._seed}") self._random = random.Random(self._seed) + self._shuffle_freq: ShuffleValues = pairlistconfig.get('shuffle_frequency', 'candle') + self.__pairlist_cache = PeriodicCache( + maxsize=1000, ttl=timeframe_to_seconds(self._config['timeframe'])) @property def needstickers(self) -> bool: @@ -45,7 +52,7 @@ class ShuffleFilter(IPairList): """ Short whitelist method description - used for startup-messages """ - return (f"{self.name} - Shuffling pairs" + + return (f"{self.name} - Shuffling pairs every {self._shuffle_freq}" + (f", seed = {self._seed}." if self._seed is not None else ".")) def filter_pairlist(self, pairlist: List[str], tickers: Tickers) -> List[str]: @@ -56,7 +63,13 @@ class ShuffleFilter(IPairList): :param tickers: Tickers (from exchange.get_tickers). May be cached. :return: new whitelist """ + pairlist_bef = tuple(pairlist) + pairlist_new = self.__pairlist_cache.get(pairlist_bef) + if pairlist_new and self._shuffle_freq == 'candle': + # Use cached pairlist. + return pairlist_new # Shuffle is done inplace self._random.shuffle(pairlist) + self.__pairlist_cache[pairlist_bef] = pairlist return pairlist diff --git a/freqtrade/rpc/api_server/api_ws.py b/freqtrade/rpc/api_server/api_ws.py index b230cbe2b..118d70d78 100644 --- a/freqtrade/rpc/api_server/api_ws.py +++ b/freqtrade/rpc/api_server/api_ws.py @@ -127,13 +127,6 @@ async def message_endpoint( except Exception as e: logger.info(f"Consumer connection failed - {channel}: {e}") logger.debug(e, exc_info=e) - finally: - await channel_manager.on_disconnect(ws) - - else: - if channel: - await channel_manager.on_disconnect(ws) - await ws.close() except RuntimeError: # WebSocket was closed @@ -144,4 +137,5 @@ async def message_endpoint( # Log tracebacks to keep track of what errors are happening logger.exception(e) finally: - await channel_manager.on_disconnect(ws) + if channel: + await channel_manager.on_disconnect(ws) diff --git a/freqtrade/rpc/api_server/webserver.py b/freqtrade/rpc/api_server/webserver.py index 1d0192a89..e9a12e4df 100644 --- a/freqtrade/rpc/api_server/webserver.py +++ b/freqtrade/rpc/api_server/webserver.py @@ -197,6 +197,7 @@ class ApiServer(RPCHandler): # Get data from queue message: WSMessageSchemaType = await async_queue.get() logger.debug(f"Found message of type: {message.get('type')}") + async_queue.task_done() # Broadcast it await self._ws_channel_manager.broadcast(message) except asyncio.CancelledError: @@ -210,6 +211,9 @@ class ApiServer(RPCHandler): # Disconnect channels and stop the loop on cancel await self._ws_channel_manager.disconnect_all() self._ws_loop.stop() + # Avoid adding more items to the queue if they aren't + # going to get broadcasted. + self._ws_queue = None def start_api(self): """ diff --git a/freqtrade/rpc/api_server/ws/channel.py b/freqtrade/rpc/api_server/ws/channel.py index 34f03f0c4..3c97d05b1 100644 --- a/freqtrade/rpc/api_server/ws/channel.py +++ b/freqtrade/rpc/api_server/ws/channel.py @@ -1,5 +1,6 @@ import asyncio import logging +import time from threading import RLock from typing import Any, Dict, List, Optional, Type, Union from uuid import uuid4 @@ -46,7 +47,7 @@ class WebSocketChannel: self._relay_task = asyncio.create_task(self.relay()) # Internal event to signify a closed websocket - self._closed = False + self._closed = asyncio.Event() # Wrap the WebSocket in the Serializing class self._wrapped_ws = self._serializer_cls(self._websocket) @@ -73,15 +74,26 @@ class WebSocketChannel: Add the data to the queue to be sent. :returns: True if data added to queue, False otherwise """ + + # This block only runs if the queue is full, it will wait + # until self.drain_timeout for the relay to drain the outgoing queue + # We can't use asyncio.wait_for here because the queue may have been created with a + # different eventloop + start = time.time() + while self.queue.full(): + await asyncio.sleep(1) + if (time.time() - start) > self.drain_timeout: + return False + + # If for some reason the queue is still full, just return False try: - await asyncio.wait_for( - self.queue.put(data), - timeout=self.drain_timeout - ) - return True - except asyncio.TimeoutError: + self.queue.put_nowait(data) + except asyncio.QueueFull: return False + # If we got here everything is ok + return True + async def recv(self): """ Receive data on the wrapped websocket @@ -99,14 +111,19 @@ class WebSocketChannel: Close the WebSocketChannel """ - self._closed = True + try: + await self.raw_websocket.close() + except Exception: + pass + + self._closed.set() self._relay_task.cancel() def is_closed(self) -> bool: """ Closed flag """ - return self._closed + return self._closed.is_set() def set_subscriptions(self, subscriptions: List[str] = []) -> None: """ @@ -129,7 +146,7 @@ class WebSocketChannel: Relay messages from the channel's queue and send them out. This is started as a task. """ - while True: + while not self._closed.is_set(): message = await self.queue.get() try: await self._send(message) diff --git a/freqtrade/rpc/external_message_consumer.py b/freqtrade/rpc/external_message_consumer.py index e86f44c17..b978407e4 100644 --- a/freqtrade/rpc/external_message_consumer.py +++ b/freqtrade/rpc/external_message_consumer.py @@ -264,10 +264,10 @@ class ExternalMessageConsumer: # We haven't received data yet. Check the connection and continue. try: # ping - ping = await channel.ping() + pong = await channel.ping() + latency = (await asyncio.wait_for(pong, timeout=self.ping_timeout) * 1000) - await asyncio.wait_for(ping, timeout=self.ping_timeout) - logger.debug(f"Connection to {channel} still alive...") + logger.info(f"Connection to {channel} still alive, latency: {latency}ms") continue except (websockets.exceptions.ConnectionClosed): @@ -276,7 +276,7 @@ class ExternalMessageConsumer: await asyncio.sleep(self.sleep_time) break except Exception as e: - logger.warning(f"Ping error {channel} - retrying in {self.sleep_time}s") + logger.warning(f"Ping error {channel} - {e} - retrying in {self.sleep_time}s") logger.debug(e, exc_info=e) await asyncio.sleep(self.sleep_time) diff --git a/scripts/ws_client.py b/scripts/ws_client.py index 23ad9296d..090039cde 100644 --- a/scripts/ws_client.py +++ b/scripts/ws_client.py @@ -18,7 +18,6 @@ import orjson import pandas import rapidjson import websockets -from dateutil.relativedelta import relativedelta logger = logging.getLogger("WebSocketClient") @@ -28,7 +27,7 @@ logger = logging.getLogger("WebSocketClient") def setup_logging(filename: str): logging.basicConfig( - level=logging.INFO, + level=logging.DEBUG, format='%(asctime)s - %(name)s - %(levelname)s - %(message)s', handlers=[ logging.FileHandler(filename), @@ -75,16 +74,15 @@ def load_config(configfile): def readable_timedelta(delta): """ - Convert a dateutil.relativedelta to a readable format + Convert a millisecond delta to a readable format - :param delta: A dateutil.relativedelta + :param delta: A delta between two timestamps in milliseconds :returns: The readable time difference string """ - attrs = ['years', 'months', 'days', 'hours', 'minutes', 'seconds', 'microseconds'] - return ", ".join([ - '%d %s' % (getattr(delta, attr), attr if getattr(delta, attr) > 0 else attr[:-1]) - for attr in attrs if getattr(delta, attr) - ]) + seconds, milliseconds = divmod(delta, 1000) + minutes, seconds = divmod(seconds, 60) + + return f"{int(minutes)}:{int(seconds)}.{int(milliseconds)}" # ---------------------------------------------------------------------------- @@ -170,8 +168,8 @@ class ClientProtocol: def _calculate_time_difference(self): old_last_received_at = self._LAST_RECEIVED_AT - self._LAST_RECEIVED_AT = time.time() * 1e6 - time_delta = relativedelta(microseconds=(self._LAST_RECEIVED_AT - old_last_received_at)) + self._LAST_RECEIVED_AT = time.time() * 1e3 + time_delta = self._LAST_RECEIVED_AT - old_last_received_at return readable_timedelta(time_delta) @@ -242,12 +240,10 @@ async def create_client( ): # Try pinging try: - pong = ws.ping() - await asyncio.wait_for( - pong, - timeout=ping_timeout - ) - logger.info("Connection still alive...") + pong = await ws.ping() + latency = (await asyncio.wait_for(pong, timeout=ping_timeout) * 1000) + + logger.info(f"Connection still alive, latency: {latency}ms") continue @@ -272,6 +268,7 @@ async def create_client( websockets.exceptions.ConnectionClosedError, websockets.exceptions.ConnectionClosedOK ): + logger.info("Connection was closed") # Just keep trying to connect again indefinitely await asyncio.sleep(sleep_time) diff --git a/tests/freqai/test_freqai_interface.py b/tests/freqai/test_freqai_interface.py index c66c9c3b3..e00718486 100644 --- a/tests/freqai/test_freqai_interface.py +++ b/tests/freqai/test_freqai_interface.py @@ -27,13 +27,13 @@ def is_mac() -> bool: return "Darwin" in machine -@pytest.mark.parametrize('model', [ - 'LightGBMRegressor', - 'XGBoostRegressor', - 'XGBoostRFRegressor', - 'CatboostRegressor', +@pytest.mark.parametrize('model, pca, dbscan', [ + ('LightGBMRegressor', True, False), + ('XGBoostRegressor', False, True), + ('XGBoostRFRegressor', False, False), + ('CatboostRegressor', False, False), ]) -def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model): +def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model, pca, dbscan): if is_arm() and model == 'CatboostRegressor': pytest.skip("CatBoost is not supported on ARM") @@ -41,6 +41,8 @@ def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model): freqai_conf.update({"freqaimodel": model}) freqai_conf.update({"timerange": "20180110-20180130"}) freqai_conf.update({"strategy": "freqai_test_strat"}) + freqai_conf['freqai']['feature_parameters'].update({"principal_component_analysis": pca}) + freqai_conf['freqai']['feature_parameters'].update({"use_DBSCAN_to_remove_outliers": dbscan}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py index f0b983063..359291476 100644 --- a/tests/plugins/test_pairlist.py +++ b/tests/plugins/test_pairlist.py @@ -2,6 +2,8 @@ import logging import time +from copy import deepcopy +from datetime import timedelta from unittest.mock import MagicMock, PropertyMock import pandas as pd @@ -719,15 +721,26 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None: def test_ShuffleFilter_init(mocker, whitelist_conf, caplog) -> None: whitelist_conf['pairlists'] = [ {"method": "StaticPairList"}, - {"method": "ShuffleFilter", "seed": 42} + {"method": "ShuffleFilter", "seed": 43} ] exchange = get_patched_exchange(mocker, whitelist_conf) - PairListManager(exchange, whitelist_conf) - assert log_has("Backtesting mode detected, applying seed value: 42", caplog) + plm = PairListManager(exchange, whitelist_conf) + assert log_has("Backtesting mode detected, applying seed value: 43", caplog) + + with time_machine.travel("2021-09-01 05:01:00 +00:00") as t: + plm.refresh_pairlist() + pl1 = deepcopy(plm.whitelist) + plm.refresh_pairlist() + assert plm.whitelist == pl1 + + t.shift(timedelta(minutes=10)) + plm.refresh_pairlist() + assert plm.whitelist != pl1 + caplog.clear() whitelist_conf['runmode'] = RunMode.DRY_RUN - PairListManager(exchange, whitelist_conf) + plm = PairListManager(exchange, whitelist_conf) assert not log_has("Backtesting mode detected, applying seed value: 42", caplog) assert log_has("Live mode detected, not applying seed.", caplog)