merge develop into track-current-candle

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.
 

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(
+    def check_if_backtest_prediction_is_valid(
-        self
+        self,
+        length_backtesting_dataframe: int
     ) -> bool:
         """
-        Check if a backtesting prediction already exists
+        Check if a backtesting prediction already exists and if the predictions
-        :param dk: FreqaiDataKitchen
+        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:
         """

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)

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

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

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)

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):
         """

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_nowait(data)
-                self.queue.put(data),
+        except asyncio.QueueFull:
-                timeout=self.drain_timeout
-            )
-            return True
-        except asyncio.TimeoutError:
             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)

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.info(f"Connection to {channel} still alive, latency: {latency}ms")
-                    logger.debug(f"Connection to {channel} still alive...")
 
                     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)
 

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']
+    seconds, milliseconds = divmod(delta, 1000)
-    return ", ".join([
+    minutes, seconds = divmod(seconds, 60)
-        '%d %s' % (getattr(delta, attr), attr if getattr(delta, attr) > 0 else attr[:-1])
+
-        for attr in attrs if getattr(delta, attr)
+    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
+        self._LAST_RECEIVED_AT = time.time() * 1e3
-        time_delta = relativedelta(microseconds=(self._LAST_RECEIVED_AT - old_last_received_at))
+        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()
+                            pong = await ws.ping()
-                            await asyncio.wait_for(
+                            latency = (await asyncio.wait_for(pong, timeout=ping_timeout) * 1000)
-                                pong,
+
-                                timeout=ping_timeout
+                            logger.info(f"Connection still alive, latency: {latency}ms")
-                            )
-                            logger.info("Connection still alive...")
 
                             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)
 

tests/freqai/test_freqai_interface.py

@@ -27,13 +27,13 @@ def is_mac() -> bool:
     return "Darwin" in machine
 
 
-@pytest.mark.parametrize('model', [
+@pytest.mark.parametrize('model, pca, dbscan', [
-    'LightGBMRegressor',
+    ('LightGBMRegressor', True, False),
-    'XGBoostRegressor',
+    ('XGBoostRegressor', False, True),
-    'XGBoostRFRegressor',
+    ('XGBoostRFRegressor', False, False),
-    'CatboostRegressor',
+    ('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)

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)
+    plm = PairListManager(exchange, whitelist_conf)
-    assert log_has("Backtesting mode detected, applying seed value: 42", caplog)
+    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)