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added some more testing as well as cron expression is now scheduling larger intervals

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This commit is contained in:
Gert Wohlgemuth 2018-06-05 16:04:43 -07:00
parent 19a525265f
commit 473339f740
5 changed files with 209 additions and 95 deletions
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61
freqtrade/aws/backtesting_lambda.py
View File

@ -72,7 +72,7 @@ def backtest(event, context):
refresh = True
if 'refresh' in event['body']:
refresh = event['body']
refresh = event['body']['refresh']
print("time range between dates is: {} days".format(timerange))
@ -96,15 +96,13 @@ def backtest(event, context):
if "local" in event['body'] and event['body']['local']:
print("running in local mode")
run_backtest(configuration, name, user, ticker, timerange)
return {
"statusCode": 200
}
else:
print("running in remote mode")
return {
"statusCode": 200,
"body": json.dumps(_submit_job(configuration, user, ticker, timerange))
}
json.dumps(_submit_job(configuration, user, ticker, timerange))
return {
"statusCode": 200
}
else:
return {
"statusCode": 404,
@ -340,34 +338,31 @@ def cron(event, context):
for i in response['Items']:
# fire a message to our queue
message = {
"user": i['user'],
"name": i['name'],
"assets": i['assets'],
"stake_currency": i['stake_currency']
}
# we want to evaluate several time spans for the strategy
for day in [1, 7, 30, 90]:
# triggered over html, let's provide
# a date range for the backtesting
if 'pathParameters' in event:
if 'from' in event['pathParameters']:
message['from'] = event['pathParameters']['from']
else:
message['from'] = datetime.datetime.today().strftime('%Y%m%d')
if 'till' in event['pathParameters']:
message['till'] = event['pathParameters']['till']
else:
message['till'] = (datetime.datetime.today() - datetime.timedelta(days=1)).strftime('%Y%m%d')
# we want to evaluate several time intervals for each strategy
for interval in ['5m', '15m', '30m', '1h']:
message = {
"user": i['user'],
"name": i['name'],
"assets": i['assets'],
"stake_currency": i['stake_currency'],
"local": False,
"refresh": True,
"ticker": interval,
"days": day
}
serialized = json.dumps(message, use_decimal=True)
# submit item to queue for routing to the correct persistence
serialized = json.dumps(message, use_decimal=True)
# submit item to queue for routing to the correct persistence
result = client.publish(
TopicArn=topic_arn,
Message=json.dumps({'default': serialized}),
Subject="schedule",
MessageStructure='json'
)
result = client.publish(
TopicArn=topic_arn,
Message=json.dumps({'default': serialized}),
Subject="schedule",
MessageStructure='json'
)
if 'LastEvaluatedKey' in response:
return table.scan(

53
freqtrade/aws/strategy.py
View File

@ -278,56 +278,3 @@ def submit_github(event, context):
"statusCode": 404,
"body": json.dumps({"error": result})
}
def get_trades(event, context):
"""
this function retuns all the knowns trades for a user, strategy and pair
:param event:
:param context:
:return:
"""
assert 'pathParameters' in event
assert 'user' in event['pathParameters']
assert 'name' in event['pathParameters']
assert 'stake' in event['pathParameters']
assert 'asset' in event['pathParameters']
table = get_trade_table()
response = table.query(
KeyConditionExpression=Key('id').eq(
"{}.{}:{}/{}".format(
event['pathParameters']['user'],
event['pathParameters']['name'],
event['pathParameters']['asset'].upper(),
event['pathParameters']['stake'].upper()
)
)
)
if "Items" in response and len(response['Items']) > 0:
# preparation for pagination
# TODO include in parameters an optional
# start key ExclusiveStartKey=response['LastEvaluatedKey']
data = {
"result": response['Items'],
"paginationKey": response.get('LastEvaluatedKey')
}
return {
"statusCode": response['ResponseMetadata']['HTTPStatusCode'],
"body": json.dumps(data)
}
else:
return {
"statusCode": 404,
"body": json.dumps({
"error": "sorry this query did not produce any results",
"event": event
})
}

68
freqtrade/aws/trade.py
View File

@ -2,6 +2,7 @@ import boto3
import simplejson as json
import os
from freqtrade.aws.tables import get_trade_table
from boto3.dynamodb.conditions import Key, Attr
def store(event, context):
@ -41,3 +42,70 @@ def submit(event, context):
"statusCode": 200,
"body": json.dumps(result)
}
def get_aggregated_trades(event, context):
"""
returns the aggregated trades for the given key combination
:param event:
:param context:
:return:
"""
assert 'pathParameters' in event
assert 'user' in event['pathParameters']
assert 'name' in event['pathParameters']
assert 'ticker' in event['pathParameters']
assert 'days' in event['pathParameters']
def get_trades(event, context):
"""
this function returns all the known trades for a user, strategy and pair
:param event:
:param context:
:return:
"""
assert 'pathParameters' in event
assert 'user' in event['pathParameters']
assert 'name' in event['pathParameters']
assert 'stake' in event['pathParameters']
assert 'asset' in event['pathParameters']
table = get_trade_table()
response = table.query(
KeyConditionExpression=Key('id').eq(
"{}.{}:{}/{}".format(
event['pathParameters']['user'],
event['pathParameters']['name'],
event['pathParameters']['asset'].upper(),
event['pathParameters']['stake'].upper()
)
)
)
if "Items" in response and len(response['Items']) > 0:
# preparation for pagination
# TODO include in parameters an optional
# start key ExclusiveStartKey=response['LastEvaluatedKey']
data = {
"result": response['Items'],
"paginationKey": response.get('LastEvaluatedKey')
}
return {
"statusCode": response['ResponseMetadata']['HTTPStatusCode'],
"body": json.dumps(data)
}
else:
return {
"statusCode": 404,
"body": json.dumps({
"error": "sorry this query did not produce any results",
"event": event
})
}

96
freqtrade/tests/aws/test_backtest.py
View File

@ -1,13 +1,92 @@
import os
from base64 import urlsafe_b64encode
import boto3
import pytest
import simplejson as json
from mock import Mock
from freqtrade.aws.backtesting_lambda import backtest, cron
from freqtrade.aws.strategy import submit, get_trades
from freqtrade.aws.strategy import submit
@pytest.mark.skip(reason="no way of currently testing this")
def test_backtest_remote(lambda_context):
content = """# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from typing import Dict, List
from hyperopt import hp
from functools import reduce
from pandas import DataFrame
# --------------------------------
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
class MyFancyTestStrategy(IStrategy):
minimal_roi = {
"0": 0.5
}
stoploss = -0.2
ticker_interval = '5m'
def populate_indicators(self, dataframe: DataFrame) -> DataFrame:
macd = ta.MACD(dataframe)
dataframe['maShort'] = ta.EMA(dataframe, timeperiod=8)
dataframe['maMedium'] = ta.EMA(dataframe, timeperiod=21)
return dataframe
def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame:
dataframe.loc[
(
qtpylib.crossed_above(dataframe['maShort'], dataframe['maMedium'])
),
'buy'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame) -> DataFrame:
dataframe.loc[
(
qtpylib.crossed_above(dataframe['maMedium'], dataframe['maShort'])
),
'sell'] = 1
return dataframe
"""
request = {
"user": "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
"description": "simple test strategy",
"name": "MyFancyTestStrategy",
"content": urlsafe_b64encode(content.encode('utf-8')),
"public": False
}
# now we add an entry
submit({
"body": json.dumps(request)
}, {})
# build sns request
request = {
"user": "GCU4LW2XXZW3A3FM2XZJTEJHNWHTWDKY2DIJLCZJ5ULVZ4K7LZ7D23TG",
"name": "MyFancyTestStrategy",
"from": "20180401",
"till": "20180501",
"stake_currency": "usdt",
"assets": ["ltc"],
"local": False
}
assert backtest({
"Records": [
{
"Sns": {
"Subject": "backtesting",
"Message": json.dumps(request)
}
}]
}, {})['statusCode'] == 200
def test_backtest_time_frame(lambda_context):
@ -60,10 +139,7 @@ class MyFancyTestStrategy(IStrategy):
"description": "simple test strategy",
"name": "MyFancyTestStrategy",
"content": urlsafe_b64encode(content.encode('utf-8')),
"public": False,
"days": 1,
"local": True
"public": False
}
# now we add an entry
@ -78,7 +154,8 @@ class MyFancyTestStrategy(IStrategy):
"from": "20180401",
"till": "20180501",
"stake_currency": "usdt",
"assets": ["ltc"]
"assets": ["ltc"],
"local": True
}
@ -159,6 +236,7 @@ class MyFancyTestStrategy(IStrategy):
"stake_currency": "usdt",
"assets": ["ltc"],
"days": 2,
"ticker": '15m',
"local": True
}

26
freqtrade/tests/conftest.py
View File

@ -627,6 +627,31 @@ def lambda_context():
lamb = moto.mock_lambda()
lamb.start()
ecs = moto.mock_ecs()
ecs.start()
cluster = boto3.client('ecs')
cluster.create_cluster(clusterName='fargate')
cluster.register_task_definition(
containerDefinitions=[
{
'name': 'freqtrade-backtesting',
'command': [
'sleep',
'360',
],
'cpu': 10,
'essential': True,
'image': 'busybox',
'memory': 10,
},
],
family='sleep360',
taskRoleArn='',
volumes=[
],
)
session = boto3.session.Session()
os.environ["strategyTable"] = "StrategyTable"
os.environ["tradeTable"] = "TradeTable"
@ -649,3 +674,4 @@ def lambda_context():
sns.stop()
dynamo.stop()
lamb.stop()
ecs.stop()