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Merge branch 'freqtrade:develop' into develop

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This commit is contained in:
lolong
2023-01-28 16:53:16 +01:00
committed by GitHub
parent 93cb1ccdcf 020dc3c6e1
commit 47764d52e5
95 changed files with 7436 additions and 6232 deletions
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8
freqtrade/commands/cli_options.py
View File

@@ -251,7 +251,8 @@ AVAILABLE_CLI_OPTIONS = {
"spaces": Arg(
'--spaces',
help='Specify which parameters to hyperopt. Space-separated list.',
choices=['all', 'buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection', 'default'],
choices=['all', 'buy', 'sell', 'roi', 'stoploss',
'trailing', 'protection', 'trades', 'default'],
nargs='+',
default='default',
),
@@ -632,10 +633,11 @@ AVAILABLE_CLI_OPTIONS = {
"1: by enter_tag, "
"2: by enter_tag and exit_tag, "
"3: by pair and enter_tag, "
"4: by pair, enter_ and exit_tag (this can get quite large)"),
"4: by pair, enter_ and exit_tag (this can get quite large), "
"5: by exit_tag"),
nargs='+',
default=['0', '1', '2'],
choices=['0', '1', '2', '3', '4'],
choices=['0', '1', '2', '3', '4', '5'],
),
"enter_reason_list": Arg(
"--enter-reason-list",

3
freqtrade/commands/data_commands.py
View File

@@ -14,6 +14,7 @@ from freqtrade.exceptions import OperationalException
from freqtrade.exchange import market_is_active, timeframe_to_minutes
from freqtrade.plugins.pairlist.pairlist_helpers import dynamic_expand_pairlist, expand_pairlist
from freqtrade.resolvers import ExchangeResolver
from freqtrade.util.binance_mig import migrate_binance_futures_data
logger = logging.getLogger(__name__)
@@ -86,6 +87,7 @@ def start_download_data(args: Dict[str, Any]) -> None:
"Please use `--dl-trades` instead for this exchange "
"(will unfortunately take a long time)."
)
migrate_binance_futures_data(config)
pairs_not_available = refresh_backtest_ohlcv_data(
exchange, pairs=expanded_pairs, timeframes=config['timeframes'],
datadir=config['datadir'], timerange=timerange,
@@ -145,6 +147,7 @@ def start_convert_data(args: Dict[str, Any], ohlcv: bool = True) -> None:
"""
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
if ohlcv:
migrate_binance_futures_data(config)
candle_types = [CandleType.from_string(ct) for ct in config.get('candle_types', ['spot'])]
for candle_type in candle_types:
convert_ohlcv_format(config,

2
freqtrade/configuration/configuration.py
View File

@@ -28,7 +28,7 @@ class Configuration:
Reuse this class for the bot, backtesting, hyperopt and every script that required configuration
"""
def __init__(self, args: Dict[str, Any], runmode: RunMode = None) -> None:
def __init__(self, args: Dict[str, Any], runmode: Optional[RunMode] = None) -> None:
self.args = args
self.config: Optional[Config] = None
self.runmode = runmode

5
freqtrade/configuration/load_config.py
View File

@@ -6,7 +6,7 @@ import re
import sys
from copy import deepcopy
from pathlib import Path
from typing import Any, Dict, List
from typing import Any, Dict, List, Optional
import rapidjson
@@ -75,7 +75,8 @@ def load_config_file(path: str) -> Dict[str, Any]:
return config
def load_from_files(files: List[str], base_path: Path = None, level: int = 0) -> Dict[str, Any]:
def load_from_files(
files: List[str], base_path: Optional[Path] = None, level: int = 0) -> Dict[str, Any]:
"""
Recursively load configuration files if specified.
Sub-files are assumed to be relative to the initial config.

3
freqtrade/constants.py
View File

@@ -636,7 +636,6 @@ SCHEMA_TRADE_REQUIRED = [
SCHEMA_BACKTEST_REQUIRED = [
'exchange',
'max_open_trades',
'stake_currency',
'stake_amount',
'dry_run_wallet',
@@ -646,6 +645,7 @@ SCHEMA_BACKTEST_REQUIRED = [
SCHEMA_BACKTEST_REQUIRED_FINAL = SCHEMA_BACKTEST_REQUIRED + [
'stoploss',
'minimal_roi',
'max_open_trades'
]
SCHEMA_MINIMAL_REQUIRED = [
@@ -681,3 +681,4 @@ MakerTaker = Literal['maker', 'taker']
BidAsk = Literal['bid', 'ask']
Config = Dict[str, Any]
IntOrInf = float

9
freqtrade/data/btanalysis.py
View File

@@ -10,7 +10,7 @@ from typing import Any, Dict, List, Optional, Union
import numpy as np
import pandas as pd
from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.constants import LAST_BT_RESULT_FN, IntOrInf
from freqtrade.exceptions import OperationalException
from freqtrade.misc import json_load
from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
@@ -90,7 +90,8 @@ def get_latest_hyperopt_filename(directory: Union[Path, str]) -> str:
return 'hyperopt_results.pickle'
def get_latest_hyperopt_file(directory: Union[Path, str], predef_filename: str = None) -> Path:
def get_latest_hyperopt_file(
directory: Union[Path, str], predef_filename: Optional[str] = None) -> Path:
"""
Get latest hyperopt export based on '.last_result.json'.
:param directory: Directory to search for last result
@@ -193,7 +194,7 @@ def get_backtest_resultlist(dirname: Path):
def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, str],
min_backtest_date: datetime = None) -> Dict[str, Any]:
min_backtest_date: Optional[datetime] = None) -> Dict[str, Any]:
"""
Find existing backtest stats that match specified run IDs and load them.
:param dirname: pathlib.Path object, or string pointing to the file.
@@ -332,7 +333,7 @@ def analyze_trade_parallelism(results: pd.DataFrame, timeframe: str) -> pd.DataF
def evaluate_result_multi(results: pd.DataFrame, timeframe: str,
max_open_trades: int) -> pd.DataFrame:
max_open_trades: IntOrInf) -> pd.DataFrame:
"""
Find overlapping trades by expanding each trade once per period it was open
and then counting overlaps

8
freqtrade/data/dataprovider.py
View File

@@ -281,7 +281,7 @@ class DataProvider:
def historic_ohlcv(
self,
pair: str,
timeframe: str = None,
timeframe: Optional[str] = None,
candle_type: str = ''
) -> DataFrame:
"""
@@ -333,7 +333,7 @@ class DataProvider:
def get_pair_dataframe(
self,
pair: str,
timeframe: str = None,
timeframe: Optional[str] = None,
candle_type: str = ''
) -> DataFrame:
"""
@@ -415,7 +415,7 @@ class DataProvider:
def refresh(self,
pairlist: ListPairsWithTimeframes,
helping_pairs: ListPairsWithTimeframes = None) -> None:
helping_pairs: Optional[ListPairsWithTimeframes] = None) -> None:
"""
Refresh data, called with each cycle
"""
@@ -439,7 +439,7 @@ class DataProvider:
def ohlcv(
self,
pair: str,
timeframe: str = None,
timeframe: Optional[str] = None,
copy: bool = True,
candle_type: str = ''
) -> DataFrame:

6
freqtrade/data/entryexitanalysis.py
View File

@@ -141,6 +141,12 @@ def _do_group_table_output(bigdf, glist):
# 4: profit summaries grouped by pair, enter_ and exit_tag (this can get quite large)
if g == "4":
group_mask = ['pair', 'enter_reason', 'exit_reason']
# 5: profit summaries grouped by exit_tag
if g == "5":
group_mask = ['exit_reason']
sortcols = ['exit_reason']
if group_mask:
new = bigdf.groupby(group_mask).agg(agg_mask).reset_index()
new.columns = group_mask + agg_cols

12
freqtrade/data/history/history_utils.py
View File

@@ -28,8 +28,8 @@ def load_pair_history(pair: str,
fill_up_missing: bool = True,
drop_incomplete: bool = False,
startup_candles: int = 0,
data_format: str = None,
data_handler: IDataHandler = None,
data_format: Optional[str] = None,
data_handler: Optional[IDataHandler] = None,
candle_type: CandleType = CandleType.SPOT
) -> DataFrame:
"""
@@ -69,7 +69,7 @@ def load_data(datadir: Path,
fail_without_data: bool = False,
data_format: str = 'json',
candle_type: CandleType = CandleType.SPOT,
user_futures_funding_rate: int = None,
user_futures_funding_rate: Optional[int] = None,
) -> Dict[str, DataFrame]:
"""
Load ohlcv history data for a list of pairs.
@@ -116,7 +116,7 @@ def refresh_data(*, datadir: Path,
timeframe: str,
pairs: List[str],
exchange: Exchange,
data_format: str = None,
data_format: Optional[str] = None,
timerange: Optional[TimeRange] = None,
candle_type: CandleType,
) -> None:
@@ -189,7 +189,7 @@ def _download_pair_history(pair: str, *,
timeframe: str = '5m',
process: str = '',
new_pairs_days: int = 30,
data_handler: IDataHandler = None,
data_handler: Optional[IDataHandler] = None,
timerange: Optional[TimeRange] = None,
candle_type: CandleType,
erase: bool = False,
@@ -272,7 +272,7 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
datadir: Path, trading_mode: str,
timerange: Optional[TimeRange] = None,
new_pairs_days: int = 30, erase: bool = False,
data_format: str = None,
data_format: Optional[str] = None,
prepend: bool = False,
) -> List[str]:
"""

19
freqtrade/data/history/idatahandler.py
View File

@@ -374,6 +374,21 @@ class IDataHandler(ABC):
logger.warning(f"{pair}, {candle_type}, {timeframe}, "
f"data ends at {pairdata.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}")
def rename_futures_data(
self, pair: str, new_pair: str, timeframe: str, candle_type: CandleType):
"""
Temporary method to migrate data from old naming to new naming (BTC/USDT -> BTC/USDT:USDT)
Only used for binance to support the binance futures naming unification.
"""
file_old = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
file_new = self._pair_data_filename(self._datadir, new_pair, timeframe, candle_type)
# print(file_old, file_new)
if file_new.exists():
logger.warning(f"{file_new} exists already, can't migrate {pair}.")
return
file_old.rename(file_new)
def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
"""
@@ -403,8 +418,8 @@ def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
raise ValueError(f"No datahandler for datatype {datatype} available.")
def get_datahandler(datadir: Path, data_format: str = None,
data_handler: IDataHandler = None) -> IDataHandler:
def get_datahandler(datadir: Path, data_format: Optional[str] = None,
data_handler: Optional[IDataHandler] = None) -> IDataHandler:
"""
:param datadir: Folder to save data
:param data_format: dataformat to use

2
freqtrade/exchange/binance.py
View File

@@ -28,7 +28,7 @@ class Binance(Exchange):
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
"ccxt_futures_name": "future"
"ccxt_futures_name": "swap"
}
_ft_has_futures: Dict = {
"stoploss_order_types": {"limit": "stop", "market": "stop_market"},

12130
freqtrade/exchange/binance_leverage_tiers.json
View File

File diff suppressed because it is too large Load Diff

15
freqtrade/exchange/exchange.py
View File

@@ -3,7 +3,6 @@
Cryptocurrency Exchanges support
"""
import asyncio
import http
import inspect
import logging
from copy import deepcopy
@@ -45,12 +44,6 @@ from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
logger = logging.getLogger(__name__)
# Workaround for adding samesite support to pre 3.8 python
# Only applies to python3.7, and only on certain exchanges (kraken)
# Replicates the fix from starlette (which is actually causing this problem)
http.cookies.Morsel._reserved["samesite"] = "SameSite" # type: ignore
class Exchange:
# Parameters to add directly to buy/sell calls (like agreeing to trading agreement)
@@ -682,7 +675,7 @@ class Exchange:
f"Freqtrade does not support {mm_value} {trading_mode.value} on {self.name}"
)
def get_option(self, param: str, default: Any = None) -> Any:
def get_option(self, param: str, default: Optional[Any] = None) -> Any:
"""
Get parameter value from _ft_has
"""
@@ -1357,7 +1350,7 @@ class Exchange:
raise OperationalException(e) from e
@retrier
def fetch_positions(self, pair: str = None) -> List[Dict]:
def fetch_positions(self, pair: Optional[str] = None) -> List[Dict]:
"""
Fetch positions from the exchange.
If no pair is given, all positions are returned.
@@ -1801,7 +1794,7 @@ class Exchange:
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False,
until_ms: int = None) -> List:
until_ms: Optional[int] = None) -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@@ -2674,7 +2667,7 @@ class Exchange:
:param amount: Trade amount
:param open_date: Open date of the trade
:return: funding fee since open_date
:raies: ExchangeError if something goes wrong.
:raises: ExchangeError if something goes wrong.
"""
if self.trading_mode == TradingMode.FUTURES:
if self._config['dry_run']:

11
freqtrade/exchange/exchange_utils.py
View File

@@ -15,18 +15,19 @@ from freqtrade.util import FtPrecise
CcxtModuleType = Any
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
def is_exchange_known_ccxt(
exchange_name: str, ccxt_module: Optional[CcxtModuleType] = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)
def ccxt_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
def ccxt_exchanges(ccxt_module: Optional[CcxtModuleType] = None) -> List[str]:
"""
Return the list of all exchanges known to ccxt
"""
return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges
def available_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
def available_exchanges(ccxt_module: Optional[CcxtModuleType] = None) -> List[str]:
"""
Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
"""
@@ -86,7 +87,7 @@ def timeframe_to_msecs(timeframe: str) -> int:
return ccxt.Exchange.parse_timeframe(timeframe) * 1000
def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
def timeframe_to_prev_date(timeframe: str, date: Optional[datetime] = None) -> datetime:
"""
Use Timeframe and determine the candle start date for this date.
Does not round when given a candle start date.
@@ -102,7 +103,7 @@ def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
def timeframe_to_next_date(timeframe: str, date: Optional[datetime] = None) -> datetime:
"""
Use Timeframe and determine next candle.
:param timeframe: timeframe in string format (e.g. "5m")

4
freqtrade/freqai/data_kitchen.py
View File

@@ -5,7 +5,7 @@ import shutil
from datetime import datetime, timezone
from math import cos, sin
from pathlib import Path
from typing import Any, Dict, List, Tuple
from typing import Any, Dict, List, Optional, Tuple
import numpy as np
import numpy.typing as npt
@@ -112,7 +112,7 @@ class FreqaiDataKitchen:
def set_paths(
self,
pair: str,
trained_timestamp: int = None,
trained_timestamp: Optional[int] = None,
) -> None:
"""
Set the paths to the data for the present coin/botloop

12
freqtrade/freqtradebot.py
View File

@@ -33,6 +33,7 @@ from freqtrade.rpc.external_message_consumer import ExternalMessageConsumer
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.util import FtPrecise
from freqtrade.util.binance_mig import migrate_binance_futures_names
from freqtrade.wallets import Wallets
@@ -177,6 +178,8 @@ class FreqtradeBot(LoggingMixin):
Called on startup and after reloading the bot - triggers notifications and
performs startup tasks
"""
migrate_binance_futures_names(self.config)
self.rpc.startup_messages(self.config, self.pairlists, self.protections)
# Update older trades with precision and precision mode
self.startup_backpopulate_precision()
@@ -1519,7 +1522,7 @@ class FreqtradeBot(LoggingMixin):
*,
exit_tag: Optional[str] = None,
ordertype: Optional[str] = None,
sub_trade_amt: float = None,
sub_trade_amt: Optional[float] = None,
) -> bool:
"""
Executes a trade exit for the given trade and limit
@@ -1613,7 +1616,7 @@ class FreqtradeBot(LoggingMixin):
return True
def _notify_exit(self, trade: Trade, order_type: str, fill: bool = False,
sub_trade: bool = False, order: Order = None) -> None:
sub_trade: bool = False, order: Optional[Order] = None) -> None:
"""
Sends rpc notification when a sell occurred.
"""
@@ -1726,8 +1729,9 @@ class FreqtradeBot(LoggingMixin):
# Common update trade state methods
#
def update_trade_state(self, trade: Trade, order_id: str, action_order: Dict[str, Any] = None,
stoploss_order: bool = False, send_msg: bool = True) -> bool:
def update_trade_state(
self, trade: Trade, order_id: str, action_order: Optional[Dict[str, Any]] = None,
stoploss_order: bool = False, send_msg: bool = True) -> bool:
"""
Checks trades with open orders and updates the amount if necessary
Handles closing both buy and sell orders.

4
freqtrade/main.py
View File

@@ -5,7 +5,7 @@ Read the documentation to know what cli arguments you need.
"""
import logging
import sys
from typing import Any, List
from typing import Any, List, Optional
from freqtrade.util.gc_setup import gc_set_threshold
@@ -23,7 +23,7 @@ from freqtrade.loggers import setup_logging_pre
logger = logging.getLogger('freqtrade')
def main(sysargv: List[str] = None) -> None:
def main(sysargv: Optional[List[str]] = None) -> None:
"""
This function will initiate the bot and start the trading loop.
:return: None

4
freqtrade/misc.py
View File

@@ -6,7 +6,7 @@ import logging
import re
from datetime import datetime
from pathlib import Path
from typing import Any, Dict, Iterator, List, Mapping, Union
from typing import Any, Dict, Iterator, List, Mapping, Optional, Union
from typing.io import IO
from urllib.parse import urlparse
@@ -205,7 +205,7 @@ def safe_value_fallback2(dict1: dictMap, dict2: dictMap, key1: str, key2: str, d
return default_value
def plural(num: float, singular: str, plural: str = None) -> str:
def plural(num: float, singular: str, plural: Optional[str] = None) -> str:
return singular if (num == 1 or num == -1) else plural or singular + 's'

76
freqtrade/optimize/backtesting.py
View File

@@ -15,7 +15,7 @@ from pandas import DataFrame
from freqtrade import constants
from freqtrade.configuration import TimeRange, validate_config_consistency
from freqtrade.constants import DATETIME_PRINT_FORMAT, Config, LongShort
from freqtrade.constants import DATETIME_PRINT_FORMAT, Config, IntOrInf, LongShort
from freqtrade.data import history
from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframe, trim_dataframes
@@ -37,6 +37,7 @@ from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.util.binance_mig import migrate_binance_futures_data
from freqtrade.wallets import Wallets
@@ -157,6 +158,7 @@ class Backtesting:
self._can_short = self.trading_mode != TradingMode.SPOT
self._position_stacking: bool = self.config.get('position_stacking', False)
self.enable_protections: bool = self.config.get('enable_protections', False)
migrate_binance_futures_data(config)
self.init_backtest()
@@ -573,26 +575,6 @@ class Backtesting:
""" Rate is within candle, therefore filled"""
return row[LOW_IDX] <= rate <= row[HIGH_IDX]
def _get_exit_trade_entry_for_candle(self, trade: LocalTrade,
row: Tuple) -> Optional[LocalTrade]:
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exits = self.strategy.should_exit(
trade, row[OPEN_IDX], row[DATE_IDX].to_pydatetime(), # type: ignore
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
for exit_ in exits:
t = self._get_exit_for_signal(trade, row, exit_)
if t:
return t
return None
def _get_exit_for_signal(
self, trade: LocalTrade, row: Tuple, exit_: ExitCheckTuple,
amount: Optional[float] = None) -> Optional[LocalTrade]:
@@ -662,7 +644,7 @@ class Backtesting:
return None
def _exit_trade(self, trade: LocalTrade, sell_row: Tuple,
close_rate: float, amount: float = None) -> Optional[LocalTrade]:
close_rate: float, amount: Optional[float] = None) -> Optional[LocalTrade]:
self.order_id_counter += 1
exit_candle_time = sell_row[DATE_IDX].to_pydatetime()
order_type = self.strategy.order_types['exit']
@@ -692,11 +674,10 @@ class Backtesting:
trade.orders.append(order)
return trade
def _get_exit_trade_entry(
self, trade: LocalTrade, row: Tuple, is_first: bool) -> Optional[LocalTrade]:
def _check_trade_exit(self, trade: LocalTrade, row: Tuple) -> Optional[LocalTrade]:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
if is_first and self.trading_mode == TradingMode.FUTURES:
if self.trading_mode == TradingMode.FUTURES:
trade.funding_fees = self.exchange.calculate_funding_fees(
self.futures_data[trade.pair],
amount=trade.amount,
@@ -705,7 +686,22 @@ class Backtesting:
close_date=exit_candle_time,
)
return self._get_exit_trade_entry_for_candle(trade, row)
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, row)
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exits = self.strategy.should_exit(
trade, row[OPEN_IDX], row[DATE_IDX].to_pydatetime(), # type: ignore
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
for exit_ in exits:
t = self._get_exit_for_signal(trade, row, exit_)
if t:
return t
return None
def get_valid_price_and_stake(
self, pair: str, row: Tuple, propose_rate: float, stake_amount: float,
@@ -920,8 +916,9 @@ class Backtesting:
trade.close(exit_row[OPEN_IDX], show_msg=False)
LocalTrade.close_bt_trade(trade)
def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
def trade_slot_available(self, open_trade_count: int) -> bool:
# Always allow trades when max_open_trades is enabled.
max_open_trades: IntOrInf = self.config['max_open_trades']
if max_open_trades <= 0 or open_trade_count < max_open_trades:
return True
# Rejected trade
@@ -1051,7 +1048,7 @@ class Backtesting:
def backtest_loop(
self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
max_open_trades: int, open_trade_count_start: int, trade_dir: Optional[LongShort],
open_trade_count_start: int, trade_dir: Optional[LongShort],
is_first: bool = True) -> int:
"""
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@@ -1074,7 +1071,7 @@ class Backtesting:
if (
(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
and is_first
and self.trade_slot_available(max_open_trades, open_trade_count_start)
and self.trade_slot_available(open_trade_count_start)
and current_time != end_date
and trade_dir is not None
and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir)
@@ -1099,7 +1096,7 @@ class Backtesting:
# 4. Create exit orders (if any)
if not trade.open_order_id:
self._get_exit_trade_entry(trade, row, is_first) # Place exit order if necessary
self._check_trade_exit(trade, row) # Place exit order if necessary
# 5. Process exit orders.
order = trade.select_order(trade.exit_side, is_open=True)
@@ -1121,8 +1118,7 @@ class Backtesting:
return open_trade_count_start
def backtest(self, processed: Dict,
start_date: datetime, end_date: datetime,
max_open_trades: int = 0) -> Dict[str, Any]:
start_date: datetime, end_date: datetime) -> Dict[str, Any]:
"""
Implement backtesting functionality
@@ -1134,7 +1130,6 @@ class Backtesting:
optimize memory usage!
:param start_date: backtesting timerange start datetime
:param end_date: backtesting timerange end datetime
:param max_open_trades: maximum number of concurrent trades, <= 0 means unlimited
:return: DataFrame with trades (results of backtesting)
"""
self.prepare_backtest(self.enable_protections)
@@ -1183,7 +1178,7 @@ class Backtesting:
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades,
row, pair, current_time, end_date,
open_trade_count_start, trade_dir)
continue
detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
@@ -1196,13 +1191,13 @@ class Backtesting:
current_time_det = current_time
for det_row in detail_data[HEADERS].values.tolist():
open_trade_count_start = self.backtest_loop(
det_row, pair, current_time_det, end_date, max_open_trades,
det_row, pair, current_time_det, end_date,
open_trade_count_start, trade_dir, is_first)
current_time_det += timedelta(minutes=self.timeframe_detail_min)
is_first = False
else:
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades,
row, pair, current_time, end_date,
open_trade_count_start, trade_dir)
# Move time one configured time_interval ahead.
@@ -1235,13 +1230,11 @@ class Backtesting:
self._set_strategy(strat)
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
# Must come from strategy config, as the strategy may modify this setting.
max_open_trades = self.strategy.config['max_open_trades']
else:
if not self.config.get('use_max_market_positions', True):
logger.info(
'Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
self.strategy.max_open_trades = float('inf')
self.config.update({'max_open_trades': self.strategy.max_open_trades})
# need to reprocess data every time to populate signals
preprocessed = self.strategy.advise_all_indicators(data)
@@ -1264,7 +1257,6 @@ class Backtesting:
processed=preprocessed,
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
)
backtest_end_time = datetime.now(timezone.utc)
results.update({

38
freqtrade/optimize/hyperopt.py
View File

@@ -74,6 +74,7 @@ class Hyperopt:
self.roi_space: List[Dimension] = []
self.stoploss_space: List[Dimension] = []
self.trailing_space: List[Dimension] = []
self.max_open_trades_space: List[Dimension] = []
self.dimensions: List[Dimension] = []
self.config = config
@@ -117,11 +118,10 @@ class Hyperopt:
self.current_best_epoch: Optional[Dict[str, Any]] = None
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
self.max_open_trades = self.config['max_open_trades']
else:
if not self.config.get('use_max_market_positions', True):
logger.debug('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
self.max_open_trades = 0
self.backtesting.strategy.max_open_trades = float('inf')
config.update({'max_open_trades': self.backtesting.strategy.max_open_trades})
if HyperoptTools.has_space(self.config, 'sell'):
# Make sure use_exit_signal is enabled
@@ -209,6 +209,10 @@ class Hyperopt:
result['stoploss'] = {p.name: params.get(p.name) for p in self.stoploss_space}
if HyperoptTools.has_space(self.config, 'trailing'):
result['trailing'] = self.custom_hyperopt.generate_trailing_params(params)
if HyperoptTools.has_space(self.config, 'trades'):
result['max_open_trades'] = {
'max_open_trades': self.backtesting.strategy.max_open_trades
if self.backtesting.strategy.max_open_trades != float('inf') else -1}
return result
@@ -229,6 +233,8 @@ class Hyperopt:
'trailing_stop_positive_offset': strategy.trailing_stop_positive_offset,
'trailing_only_offset_is_reached': strategy.trailing_only_offset_is_reached,
}
if not HyperoptTools.has_space(self.config, 'trades'):
result['max_open_trades'] = {'max_open_trades': strategy.max_open_trades}
return result
def print_results(self, results) -> None:
@@ -280,8 +286,13 @@ class Hyperopt:
logger.debug("Hyperopt has 'trailing' space")
self.trailing_space = self.custom_hyperopt.trailing_space()
if HyperoptTools.has_space(self.config, 'trades'):
logger.debug("Hyperopt has 'trades' space")
self.max_open_trades_space = self.custom_hyperopt.max_open_trades_space()
self.dimensions = (self.buy_space + self.sell_space + self.protection_space
+ self.roi_space + self.stoploss_space + self.trailing_space)
+ self.roi_space + self.stoploss_space + self.trailing_space
+ self.max_open_trades_space)
def assign_params(self, params_dict: Dict, category: str) -> None:
"""
@@ -328,6 +339,20 @@ class Hyperopt:
self.backtesting.strategy.trailing_only_offset_is_reached = \
d['trailing_only_offset_is_reached']
if HyperoptTools.has_space(self.config, 'trades'):
if self.config["stake_amount"] == "unlimited" and \
(params_dict['max_open_trades'] == -1 or params_dict['max_open_trades'] == 0):
# Ignore unlimited max open trades if stake amount is unlimited
params_dict.update({'max_open_trades': self.config['max_open_trades']})
updated_max_open_trades = int(params_dict['max_open_trades']) \
if (params_dict['max_open_trades'] != -1
and params_dict['max_open_trades'] != 0) else float('inf')
self.config.update({'max_open_trades': updated_max_open_trades})
self.backtesting.strategy.max_open_trades = updated_max_open_trades
with self.data_pickle_file.open('rb') as f:
processed = load(f, mmap_mode='r')
if self.analyze_per_epoch:
@@ -337,8 +362,7 @@ class Hyperopt:
bt_results = self.backtesting.backtest(
processed=processed,
start_date=self.min_date,
end_date=self.max_date,
max_open_trades=self.max_open_trades,
end_date=self.max_date
)
backtest_end_time = datetime.now(timezone.utc)
bt_results.update({

3
freqtrade/optimize/hyperopt_auto.py
View File

@@ -91,5 +91,8 @@ class HyperOptAuto(IHyperOpt):
def trailing_space(self) -> List['Dimension']:
return self._get_func('trailing_space')()
def max_open_trades_space(self) -> List['Dimension']:
return self._get_func('max_open_trades_space')()
def generate_estimator(self, dimensions: List['Dimension'], **kwargs) -> EstimatorType:
return self._get_func('generate_estimator')(dimensions=dimensions, **kwargs)

10
freqtrade/optimize/hyperopt_interface.py
View File

@@ -191,6 +191,16 @@ class IHyperOpt(ABC):
Categorical([True, False], name='trailing_only_offset_is_reached'),
]
def max_open_trades_space(self) -> List[Dimension]:
"""
Create a max open trades space.
You may override it in your custom Hyperopt class.
"""
return [
Integer(-1, 10, name='max_open_trades'),
]
# This is needed for proper unpickling the class attribute timeframe
# which is set to the actual value by the resolver.
# Why do I still need such shamanic mantras in modern python?

15
freqtrade/optimize/hyperopt_tools.py
View File

@@ -96,7 +96,7 @@ class HyperoptTools():
Tell if the space value is contained in the configuration
"""
# 'trailing' and 'protection spaces are not included in the 'default' set of spaces
if space in ('trailing', 'protection'):
if space in ('trailing', 'protection', 'trades'):
return any(s in config['spaces'] for s in [space, 'all'])
else:
return any(s in config['spaces'] for s in [space, 'all', 'default'])
@@ -170,7 +170,7 @@ class HyperoptTools():
@staticmethod
def show_epoch_details(results, total_epochs: int, print_json: bool,
no_header: bool = False, header_str: str = None) -> None:
no_header: bool = False, header_str: Optional[str] = None) -> None:
"""
Display details of the hyperopt result
"""
@@ -187,7 +187,8 @@ class HyperoptTools():
if print_json:
result_dict: Dict = {}
for s in ['buy', 'sell', 'protection', 'roi', 'stoploss', 'trailing']:
for s in ['buy', 'sell', 'protection',
'roi', 'stoploss', 'trailing', 'max_open_trades']:
HyperoptTools._params_update_for_json(result_dict, params, non_optimized, s)
print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
@@ -201,6 +202,8 @@ class HyperoptTools():
HyperoptTools._params_pretty_print(params, 'roi', "ROI table:", non_optimized)
HyperoptTools._params_pretty_print(params, 'stoploss', "Stoploss:", non_optimized)
HyperoptTools._params_pretty_print(params, 'trailing', "Trailing stop:", non_optimized)
HyperoptTools._params_pretty_print(
params, 'max_open_trades', "Max Open Trades:", non_optimized)
@staticmethod
def _params_update_for_json(result_dict, params, non_optimized, space: str) -> None:
@@ -239,7 +242,9 @@ class HyperoptTools():
if space == "stoploss":
stoploss = safe_value_fallback2(space_params, no_params, space, space)
result += (f"stoploss = {stoploss}{appendix}")
elif space == "max_open_trades":
max_open_trades = safe_value_fallback2(space_params, no_params, space, space)
result += (f"max_open_trades = {max_open_trades}{appendix}")
elif space == "roi":
result = result[:-1] + f'{appendix}\n'
minimal_roi_result = rapidjson.dumps({
@@ -259,7 +264,7 @@ class HyperoptTools():
print(result)
@staticmethod
def _space_params(params, space: str, r: int = None) -> Dict:
def _space_params(params, space: str, r: Optional[int] = None) -> Dict:
d = params.get(space)
if d:
# Round floats to `r` digits after the decimal point if requested

4
freqtrade/optimize/optimize_reports.py
View File

@@ -8,7 +8,7 @@ from pandas import DataFrame, to_datetime
from tabulate import tabulate
from freqtrade.constants import (DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT,
Config)
Config, IntOrInf)
from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum,
calculate_expectancy, calculate_market_change,
calculate_max_drawdown, calculate_sharpe, calculate_sortino)
@@ -191,7 +191,7 @@ def generate_tag_metrics(tag_type: str,
return []
def generate_exit_reason_stats(max_open_trades: int, results: DataFrame) -> List[Dict]:
def generate_exit_reason_stats(max_open_trades: IntOrInf, results: DataFrame) -> List[Dict]:
"""
Generate small table outlining Backtest results
:param max_open_trades: Max_open_trades parameter

4
freqtrade/persistence/pairlock_middleware.py
View File

@@ -30,8 +30,8 @@ class PairLocks():
PairLocks.locks = []
@staticmethod
def lock_pair(pair: str, until: datetime, reason: str = None, *,
now: datetime = None, side: str = '*') -> PairLock:
def lock_pair(pair: str, until: datetime, reason: Optional[str] = None, *,
now: Optional[datetime] = None, side: str = '*') -> PairLock:
"""
Create PairLock from now to "until".
Uses database by default, unless PairLocks.use_db is set to False,

20
freqtrade/persistence/trade_model.py
View File

@@ -146,7 +146,7 @@ class Order(_DECL_BASE):
# Assign funding fee up to this point
# (represents the funding fee since the last order)
self.funding_fee = self.trade.funding_fees
if (order.get('filled', 0.0) or 0.0) > 0:
if (order.get('filled', 0.0) or 0.0) > 0 and not self.order_filled_date:
self.order_filled_date = datetime.now(timezone.utc)
self.order_update_date = datetime.now(timezone.utc)
@@ -799,7 +799,7 @@ class LocalTrade():
else:
return close_trade - fees
def calc_close_trade_value(self, rate: float, amount: float = None) -> float:
def calc_close_trade_value(self, rate: float, amount: Optional[float] = None) -> float:
"""
Calculate the Trade's close value including fees
:param rate: rate to compare with.
@@ -837,7 +837,8 @@ class LocalTrade():
raise OperationalException(
f"{self.trading_mode.value} trading is not yet available using freqtrade")
def calc_profit(self, rate: float, amount: float = None, open_rate: float = None) -> float:
def calc_profit(self, rate: float, amount: Optional[float] = None,
open_rate: Optional[float] = None) -> float:
"""
Calculate the absolute profit in stake currency between Close and Open trade
:param rate: close rate to compare with.
@@ -858,7 +859,8 @@ class LocalTrade():
return float(f"{profit:.8f}")
def calc_profit_ratio(
self, rate: float, amount: float = None, open_rate: float = None) -> float:
self, rate: float, amount: Optional[float] = None,
open_rate: Optional[float] = None) -> float:
"""
Calculates the profit as ratio (including fee).
:param rate: rate to compare with.
@@ -1059,8 +1061,9 @@ class LocalTrade():
return self.exit_reason
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
def get_trades_proxy(*, pair: Optional[str] = None, is_open: Optional[bool] = None,
open_date: Optional[datetime] = None,
close_date: Optional[datetime] = None,
) -> List['LocalTrade']:
"""
Helper function to query Trades.
@@ -1257,8 +1260,9 @@ class Trade(_DECL_BASE, LocalTrade):
Trade.query.session.rollback()
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
def get_trades_proxy(*, pair: Optional[str] = None, is_open: Optional[bool] = None,
open_date: Optional[datetime] = None,
close_date: Optional[datetime] = None,
) -> List['LocalTrade']:
"""
Helper function to query Trades.j

10
freqtrade/plot/plotting.py
View File

@@ -436,11 +436,11 @@ def create_scatter(
return None
def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFrame = None, *,
indicators1: List[str] = [],
indicators2: List[str] = [],
plot_config: Dict[str, Dict] = {},
) -> go.Figure:
def generate_candlestick_graph(
pair: str, data: pd.DataFrame, trades: Optional[pd.DataFrame] = None, *,
indicators1: List[str] = [], indicators2: List[str] = [],
plot_config: Dict[str, Dict] = {},
) -> go.Figure:
"""
Generate the graph from the data generated by Backtesting or from DB
Volume will always be ploted in row2, so Row 1 and 3 are to our disposal for custom indicators

6
freqtrade/plugins/pairlistmanager.py
View File

@@ -23,7 +23,8 @@ logger = logging.getLogger(__name__)
class PairListManager(LoggingMixin):
def __init__(self, exchange, config: Config, dataprovider: DataProvider = None) -> None:
def __init__(
self, exchange, config: Config, dataprovider: Optional[DataProvider] = None) -> None:
self._exchange = exchange
self._config = config
self._whitelist = self._config['exchange'].get('pair_whitelist')
@@ -153,7 +154,8 @@ class PairListManager(LoggingMixin):
return []
return whitelist
def create_pair_list(self, pairs: List[str], timeframe: str = None) -> ListPairsWithTimeframes:
def create_pair_list(
self, pairs: List[str], timeframe: Optional[str] = None) -> ListPairsWithTimeframes:
"""
Create list of pair tuples with (pair, timeframe)
"""

3
freqtrade/resolvers/iresolver.py
View File

@@ -89,7 +89,8 @@ class IResolver:
module = importlib.util.module_from_spec(spec)
try:
spec.loader.exec_module(module) # type: ignore # importlib does not use typehints
except (ModuleNotFoundError, SyntaxError, ImportError, NameError) as err:
except (AttributeError, ModuleNotFoundError, SyntaxError,
ImportError, NameError) as err:
# Catch errors in case a specific module is not installed
logger.warning(f"Could not import {module_path} due to '{err}'")
if enum_failed:

11
freqtrade/resolvers/strategy_resolver.py
View File

@@ -33,7 +33,7 @@ class StrategyResolver(IResolver):
extra_path = "strategy_path"
@staticmethod
def load_strategy(config: Config = None) -> IStrategy:
def load_strategy(config: Optional[Config] = None) -> IStrategy:
"""
Load the custom class from config parameter
:param config: configuration dictionary or None
@@ -76,6 +76,7 @@ class StrategyResolver(IResolver):
("ignore_buying_expired_candle_after", 0),
("position_adjustment_enable", False),
("max_entry_position_adjustment", -1),
("max_open_trades", -1)
]
for attribute, default in attributes:
StrategyResolver._override_attribute_helper(strategy, config,
@@ -110,7 +111,11 @@ class StrategyResolver(IResolver):
val = getattr(strategy, attribute)
# None's cannot exist in the config, so do not copy them
if val is not None:
config[attribute] = val
# max_open_trades set to -1 in the strategy will be copied as infinity in the config
if attribute == 'max_open_trades' and val == -1:
config[attribute] = float('inf')
else:
config[attribute] = val
# Explicitly check for None here as other "falsy" values are possible
elif default is not None:
setattr(strategy, attribute, default)
@@ -128,6 +133,8 @@ class StrategyResolver(IResolver):
key=lambda t: t[0]))
if hasattr(strategy, 'stoploss'):
strategy.stoploss = float(strategy.stoploss)
if hasattr(strategy, 'max_open_trades') and strategy.max_open_trades < 0:
strategy.max_open_trades = float('inf')
return strategy
@staticmethod

6
freqtrade/rpc/api_server/api_schemas.py
View File

@@ -3,7 +3,7 @@ from typing import Any, Dict, List, Optional, Union
from pydantic import BaseModel
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.constants import DATETIME_PRINT_FORMAT, IntOrInf
from freqtrade.enums import OrderTypeValues, SignalDirection, TradingMode
@@ -165,7 +165,7 @@ class ShowConfig(BaseModel):
stake_amount: str
available_capital: Optional[float]
stake_currency_decimals: int
max_open_trades: int
max_open_trades: IntOrInf
minimal_roi: Dict[str, Any]
stoploss: Optional[float]
trailing_stop: Optional[bool]
@@ -422,7 +422,7 @@ class BacktestRequest(BaseModel):
timeframe: Optional[str]
timeframe_detail: Optional[str]
timerange: Optional[str]
max_open_trades: Optional[int]
max_open_trades: Optional[IntOrInf]
stake_amount: Optional[str]
enable_protections: bool
dry_run_wallet: Optional[float]

17
freqtrade/rpc/api_server/api_v1.py
View File

@@ -40,7 +40,8 @@ logger = logging.getLogger(__name__)
# 2.20: Add websocket endpoints
# 2.21: Add new_candle messagetype
# 2.22: Add FreqAI to backtesting
API_VERSION = 2.22
# 2.23: Allow plot config request in webserver mode
API_VERSION = 2.23
# Public API, requires no auth.
router_public = APIRouter()
@@ -248,8 +249,18 @@ def pair_history(pair: str, timeframe: str, timerange: str, strategy: str,
@router.get('/plot_config', response_model=PlotConfig, tags=['candle data'])
def plot_config(rpc: RPC = Depends(get_rpc)):
return PlotConfig.parse_obj(rpc._rpc_plot_config())
def plot_config(strategy: Optional[str] = None, config=Depends(get_config),
rpc: Optional[RPC] = Depends(get_rpc_optional)):
if not strategy:
if not rpc:
raise RPCException("Strategy is mandatory in webserver mode.")
return PlotConfig.parse_obj(rpc._rpc_plot_config())
else:
config1 = deepcopy(config)
config1.update({
'strategy': strategy
})
return PlotConfig.parse_obj(RPC._rpc_plot_config_with_strategy(config1))
@router.get('/strategies', response_model=StrategyListResponse, tags=['strategy'])

17
freqtrade/rpc/rpc.py
View File

@@ -673,6 +673,7 @@ class RPC:
if self._freqtrade.state == State.RUNNING:
# Set 'max_open_trades' to 0
self._freqtrade.config['max_open_trades'] = 0
self._freqtrade.strategy.max_open_trades = 0
return {'status': 'No more entries will occur from now. Run /reload_config to reset.'}
@@ -944,7 +945,7 @@ class RPC:
resp['errors'] = errors
return resp
def _rpc_blacklist(self, add: List[str] = None) -> Dict:
def _rpc_blacklist(self, add: Optional[List[str]] = None) -> Dict:
""" Returns the currently active blacklist"""
errors = {}
if add:
@@ -1126,12 +1127,12 @@ class RPC:
return self._freqtrade.active_pair_whitelist
@staticmethod
def _rpc_analysed_history_full(config, pair: str, timeframe: str,
def _rpc_analysed_history_full(config: Config, pair: str, timeframe: str,
timerange: str, exchange) -> Dict[str, Any]:
timerange_parsed = TimeRange.parse_timerange(timerange)
_data = load_data(
datadir=config.get("datadir"),
datadir=config["datadir"],
pairs=[pair],
timeframe=timeframe,
timerange=timerange_parsed,
@@ -1156,6 +1157,16 @@ class RPC:
self._freqtrade.strategy.plot_config['subplots'] = {}
return self._freqtrade.strategy.plot_config
@staticmethod
def _rpc_plot_config_with_strategy(config: Config) -> Dict[str, Any]:
from freqtrade.resolvers.strategy_resolver import StrategyResolver
strategy = StrategyResolver.load_strategy(config)
if (strategy.plot_config and 'subplots' not in strategy.plot_config):
strategy.plot_config['subplots'] = {}
return strategy.plot_config
@staticmethod
def _rpc_sysinfo() -> Dict[str, Any]:
return {

2
freqtrade/rpc/telegram.py
View File

@@ -1605,7 +1605,7 @@ class Telegram(RPCHandler):
def _send_msg(self, msg: str, parse_mode: str = ParseMode.MARKDOWN,
disable_notification: bool = False,
keyboard: List[List[InlineKeyboardButton]] = None,
keyboard: Optional[List[List[InlineKeyboardButton]]] = None,
callback_path: str = "",
reload_able: bool = False,
query: Optional[CallbackQuery] = None) -> None:

7
freqtrade/strategy/hyper.py
View File

@@ -4,7 +4,7 @@ This module defines a base class for auto-hyperoptable strategies.
"""
import logging
from pathlib import Path
from typing import Any, Dict, Iterator, List, Tuple, Type, Union
from typing import Any, Dict, Iterator, List, Optional, Tuple, Type, Union
from freqtrade.constants import Config
from freqtrade.exceptions import OperationalException
@@ -36,7 +36,8 @@ class HyperStrategyMixin:
self._ft_params_from_file = params
# Init/loading of parameters is done as part of ft_bot_start().
def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]:
def enumerate_parameters(
self, category: Optional[str] = None) -> Iterator[Tuple[str, BaseParameter]]:
"""
Find all optimizable parameters and return (name, attr) iterator.
:param category:
@@ -80,6 +81,8 @@ class HyperStrategyMixin:
self.stoploss = params.get('stoploss', {}).get(
'stoploss', getattr(self, 'stoploss', -0.1))
self.max_open_trades = params.get('max_open_trades', {}).get(
'max_open_trades', getattr(self, 'max_open_trades', -1))
trailing = params.get('trailing', {})
self.trailing_stop = trailing.get(
'trailing_stop', getattr(self, 'trailing_stop', False))

21
freqtrade/strategy/interface.py
View File

@@ -10,7 +10,7 @@ from typing import Dict, List, Optional, Tuple, Union
import arrow
from pandas import DataFrame
from freqtrade.constants import Config, ListPairsWithTimeframes
from freqtrade.constants import Config, IntOrInf, ListPairsWithTimeframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import (CandleType, ExitCheckTuple, ExitType, RunMode, SignalDirection,
SignalTagType, SignalType, TradingMode)
@@ -54,6 +54,9 @@ class IStrategy(ABC, HyperStrategyMixin):
# associated stoploss
stoploss: float
# max open trades for the strategy
max_open_trades: IntOrInf
# trailing stoploss
trailing_stop: bool = False
trailing_stop_positive: Optional[float] = None
@@ -595,7 +598,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return None
def populate_any_indicators(self, pair: str, df: DataFrame, tf: str,
informative: DataFrame = None,
informative: Optional[DataFrame] = None,
set_generalized_indicators: bool = False) -> DataFrame:
"""
DEPRECATED - USE FEATURE ENGINEERING FUNCTIONS INSTEAD
@@ -756,7 +759,8 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
return self.__class__.__name__
def lock_pair(self, pair: str, until: datetime, reason: str = None, side: str = '*') -> None:
def lock_pair(self, pair: str, until: datetime,
reason: Optional[str] = None, side: str = '*') -> None:
"""
Locks pair until a given timestamp happens.
Locked pairs are not analyzed, and are prevented from opening new trades.
@@ -788,7 +792,8 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
PairLocks.unlock_reason(reason, datetime.now(timezone.utc))
def is_pair_locked(self, pair: str, *, candle_date: datetime = None, side: str = '*') -> bool:
def is_pair_locked(self, pair: str, *, candle_date: Optional[datetime] = None,
side: str = '*') -> bool:
"""
Checks if a pair is currently locked
The 2nd, optional parameter ensures that locks are applied until the new candle arrives,
@@ -959,7 +964,7 @@ class IStrategy(ABC, HyperStrategyMixin):
pair: str,
timeframe: str,
dataframe: DataFrame,
is_short: bool = None
is_short: Optional[bool] = None
) -> Tuple[bool, bool, Optional[str]]:
"""
Calculates current exit signal based based on the dataframe
@@ -1058,7 +1063,7 @@ class IStrategy(ABC, HyperStrategyMixin):
def should_exit(self, trade: Trade, rate: float, current_time: datetime, *,
enter: bool, exit_: bool,
low: float = None, high: float = None,
low: Optional[float] = None, high: Optional[float] = None,
force_stoploss: float = 0) -> List[ExitCheckTuple]:
"""
This function evaluates if one of the conditions required to trigger an exit order
@@ -1146,8 +1151,8 @@ class IStrategy(ABC, HyperStrategyMixin):
def stop_loss_reached(self, current_rate: float, trade: Trade,
current_time: datetime, current_profit: float,
force_stoploss: float, low: float = None,
high: float = None) -> ExitCheckTuple:
force_stoploss: float, low: Optional[float] = None,
high: Optional[float] = None) -> ExitCheckTuple:
"""
Based on current profit of the trade and configured (trailing) stoploss,
decides to exit or not

14
freqtrade/templates/base_config.json.j2
View File

@@ -41,20 +41,6 @@
"pairlists": [
{{ '{"method": "StaticPairList"}' if exchange_name == 'bittrex' else volume_pairlist }}
],
"edge": {
"enabled": false,
"process_throttle_secs": 3600,
"calculate_since_number_of_days": 7,
"allowed_risk": 0.01,
"stoploss_range_min": -0.01,
"stoploss_range_max": -0.1,
"stoploss_range_step": -0.01,
"minimum_winrate": 0.60,
"minimum_expectancy": 0.20,
"min_trade_number": 10,
"max_trade_duration_minute": 1440,
"remove_pumps": false
},
"telegram": {
"enabled": {{ telegram | lower }},
"token": "{{ telegram_token }}",

78
freqtrade/util/binance_mig.py Normal file
View File

@@ -0,0 +1,78 @@
import logging
from packaging import version
from freqtrade.constants import Config
from freqtrade.enums.tradingmode import TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.persistence.pairlock import PairLock
from freqtrade.persistence.trade_model import Trade
logger = logging.getLogger(__name__)
def migrate_binance_futures_names(config: Config):
if (
not (config.get('trading_mode', TradingMode.SPOT) == TradingMode.FUTURES
and config['exchange']['name'] == 'binance')
):
# only act on new futures
return
import ccxt
if version.parse("2.6.26") > version.parse(ccxt.__version__):
raise OperationalException(
"Please follow the update instructions in the docs "
"(https://www.freqtrade.io/en/latest/updating/) to install a compatible ccxt version.")
_migrate_binance_futures_db(config)
migrate_binance_futures_data(config)
def _migrate_binance_futures_db(config: Config):
logger.warning('Migrating binance futures pairs in database.')
trades = Trade.get_trades([Trade.exchange == 'binance', Trade.trading_mode == 'FUTURES']).all()
for trade in trades:
if ':' in trade.pair:
# already migrated
continue
new_pair = f"{trade.pair}:{trade.stake_currency}"
trade.pair = new_pair
for order in trade.orders:
order.ft_pair = new_pair
# Should symbol be migrated too?
# order.symbol = new_pair
Trade.commit()
pls = PairLock.query.filter(PairLock.pair.notlike('%:%'))
for pl in pls:
pl.pair = f"{pl.pair}:{config['stake_currency']}"
# print(pls)
# pls.update({'pair': concat(PairLock.pair,':USDT')})
Trade.commit()
logger.warning('Done migrating binance futures pairs in database.')
def migrate_binance_futures_data(config: Config):
if (
not (config.get('trading_mode', TradingMode.SPOT) == TradingMode.FUTURES
and config['exchange']['name'] == 'binance')
):
# only act on new futures
return
from freqtrade.data.history.idatahandler import get_datahandler
dhc = get_datahandler(config['datadir'], config.get('dataformat_ohlcv', 'json'))
paircombs = dhc.ohlcv_get_available_data(
config['datadir'],
config.get('trading_mode', TradingMode.SPOT)
)
for pair, timeframe, candle_type in paircombs:
if ':' in pair:
# already migrated
continue
new_pair = f"{pair}:{config['stake_currency']}"
dhc.rename_futures_data(pair, new_pair, timeframe, candle_type)

14
freqtrade/wallets.py
View File

@@ -297,16 +297,16 @@ class Wallets:
logger.debug(f"Stake amount is {stake_amount}, ignoring possible trade for {pair}.")
return 0
max_stake_amount = min(max_stake_amount, self.get_available_stake_amount())
max_allowed_stake = min(max_stake_amount, self.get_available_stake_amount())
if trade_amount:
# if in a trade, then the resulting trade size cannot go beyond the max stake
# Otherwise we could no longer exit.
max_stake_amount = min(max_stake_amount, max_stake_amount - trade_amount)
max_allowed_stake = min(max_allowed_stake, max_stake_amount - trade_amount)
if min_stake_amount is not None and min_stake_amount > max_stake_amount:
if min_stake_amount is not None and min_stake_amount > max_allowed_stake:
if self._log:
logger.warning("Minimum stake amount > available balance. "
f"{min_stake_amount} > {max_stake_amount}")
f"{min_stake_amount} > {max_allowed_stake}")
return 0
if min_stake_amount is not None and stake_amount < min_stake_amount:
if self._log:
@@ -325,11 +325,11 @@ class Wallets:
return 0
stake_amount = min_stake_amount
if stake_amount > max_stake_amount:
if stake_amount > max_allowed_stake:
if self._log:
logger.info(
f"Stake amount for pair {pair} is too big "
f"({stake_amount} > {max_stake_amount}), adjusting to {max_stake_amount}."
f"({stake_amount} > {max_allowed_stake}), adjusting to {max_allowed_stake}."
)
stake_amount = max_stake_amount
stake_amount = max_allowed_stake
return stake_amount

2
freqtrade/worker.py
View File

@@ -26,7 +26,7 @@ class Worker:
Freqtradebot worker class
"""
def __init__(self, args: Dict[str, Any], config: Config = None) -> None:
def __init__(self, args: Dict[str, Any], config: Optional[Config] = None) -> None:
"""
Init all variables and objects the bot needs to work
"""