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Merge branch 'develop' into bot-start

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This commit is contained in:
Sam Germain
2022-04-29 22:23:42 -06:00
parent 23431a7106 9029833c8c
commit 4a6f1e90c3
25 changed files with 187 additions and 116 deletions
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3
freqtrade/data/btanalysis.py
View File

@@ -12,7 +12,8 @@ import pandas as pd
from freqtrade.constants import LAST_BT_RESULT_FN
from freqtrade.exceptions import OperationalException
from freqtrade.misc import get_backtest_metadata_filename, json_load
from freqtrade.misc import json_load
from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
from freqtrade.persistence import LocalTrade, Trade, init_db

22
freqtrade/exchange/exchange.py
View File

@@ -9,6 +9,7 @@ import logging
from copy import deepcopy
from datetime import datetime, timedelta, timezone
from math import ceil
from threading import Lock
from typing import Any, Coroutine, Dict, List, Literal, Optional, Tuple, Union
import arrow
@@ -96,6 +97,9 @@ class Exchange:
self._markets: Dict = {}
self._trading_fees: Dict[str, Any] = {}
self._leverage_tiers: Dict[str, List[Dict]] = {}
# Lock event loop. This is necessary to avoid race-conditions when using force* commands
# Due to funding fee fetching.
self._loop_lock = Lock()
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
self._config: Dict = {}
@@ -167,7 +171,7 @@ class Exchange:
self._api_async = self._init_ccxt(
exchange_config, ccxt_async, ccxt_kwargs=ccxt_async_config)
logger.info('Using Exchange "%s"', self.name)
logger.info(f'Using Exchange "{self.name}"')
if validate:
# Check if timeframe is available
@@ -555,7 +559,7 @@ class Exchange:
# Therefore we also show that.
raise OperationalException(
f"The ccxt library does not provide the list of timeframes "
f"for the exchange \"{self.name}\" and this exchange "
f"for the exchange {self.name} and this exchange "
f"is therefore not supported. ccxt fetchOHLCV: {self.exchange_has('fetchOHLCV')}")
if timeframe and (timeframe not in self.timeframes):
@@ -785,7 +789,9 @@ class Exchange:
rate: float, leverage: float, params: Dict = {},
stop_loss: bool = False) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
_amount = self.amount_to_precision(pair, amount)
# Rounding here must respect to contract sizes
_amount = self._contracts_to_amount(
pair, self.amount_to_precision(pair, self._amount_to_contracts(pair, amount)))
dry_order: Dict[str, Any] = {
'id': order_id,
'symbol': pair,
@@ -1775,7 +1781,8 @@ class Exchange:
async def gather_stuff():
return await asyncio.gather(*input_coro, return_exceptions=True)
results = self.loop.run_until_complete(gather_stuff())
with self._loop_lock:
results = self.loop.run_until_complete(gather_stuff())
for res in results:
if isinstance(res, Exception):
@@ -2032,9 +2039,10 @@ class Exchange:
if not self.exchange_has("fetchTrades"):
raise OperationalException("This exchange does not support downloading Trades.")
return self.loop.run_until_complete(
self._async_get_trade_history(pair=pair, since=since,
until=until, from_id=from_id))
with self._loop_lock:
return self.loop.run_until_complete(
self._async_get_trade_history(pair=pair, since=since,
until=until, from_id=from_id))
@retrier
def _get_funding_fees_from_exchange(self, pair: str, since: Union[datetime, int]) -> float:

16
freqtrade/freqtradebot.py
View File

@@ -587,7 +587,6 @@ class FreqtradeBot(LoggingMixin):
Executes a limit buy for the given pair
:param pair: pair for which we want to create a LIMIT_BUY
:param stake_amount: amount of stake-currency for the pair
:param leverage: amount of leverage applied to this trade
:return: True if a buy order is created, false if it fails.
"""
time_in_force = self.strategy.order_time_in_force['entry']
@@ -666,16 +665,6 @@ class FreqtradeBot(LoggingMixin):
amount = safe_value_fallback(order, 'filled', 'amount')
enter_limit_filled_price = safe_value_fallback(order, 'average', 'price')
# TODO: this might be unnecessary, as we're calling it in update_trade_state.
isolated_liq = self.exchange.get_liquidation_price(
leverage=leverage,
pair=pair,
amount=amount,
open_rate=enter_limit_filled_price,
is_short=is_short
)
interest_rate = self.exchange.get_interest_rate()
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
base_currency = self.exchange.get_pair_base_currency(pair)
@@ -704,8 +693,6 @@ class FreqtradeBot(LoggingMixin):
timeframe=timeframe_to_minutes(self.config['timeframe']),
leverage=leverage,
is_short=is_short,
interest_rate=interest_rate,
liquidation_price=isolated_liq,
trading_mode=self.trading_mode,
funding_fees=funding_fees
)
@@ -1375,7 +1362,8 @@ class FreqtradeBot(LoggingMixin):
default_retval=proposed_limit_rate)(
pair=trade.pair, trade=trade,
current_time=datetime.now(timezone.utc),
proposed_rate=proposed_limit_rate, current_profit=current_profit)
proposed_rate=proposed_limit_rate, current_profit=current_profit,
exit_tag=exit_check.exit_reason)
limit = self.get_valid_price(custom_exit_price, proposed_limit_rate)

35
freqtrade/misc.py
View File

@@ -2,13 +2,11 @@
Various tool function for Freqtrade and scripts
"""
import gzip
import hashlib
import logging
import re
from copy import deepcopy
from datetime import datetime
from pathlib import Path
from typing import Any, Iterator, List, Union
from typing import Any, Iterator, List
from typing.io import IO
from urllib.parse import urlparse
@@ -251,34 +249,3 @@ def parse_db_uri_for_logging(uri: str):
return uri
pwd = parsed_db_uri.netloc.split(':')[1].split('@')[0]
return parsed_db_uri.geturl().replace(f':{pwd}@', ':*****@')
def get_strategy_run_id(strategy) -> str:
"""
Generate unique identification hash for a backtest run. Identical config and strategy file will
always return an identical hash.
:param strategy: strategy object.
:return: hex string id.
"""
digest = hashlib.sha1()
config = deepcopy(strategy.config)
# Options that have no impact on results of individual backtest.
not_important_keys = ('strategy_list', 'original_config', 'telegram', 'api_server')
for k in not_important_keys:
if k in config:
del config[k]
# Explicitly allow NaN values (e.g. max_open_trades).
# as it does not matter for getting the hash.
digest.update(rapidjson.dumps(config, default=str,
number_mode=rapidjson.NM_NAN).encode('utf-8'))
with open(strategy.__file__, 'rb') as fp:
digest.update(fp.read())
return digest.hexdigest().lower()
def get_backtest_metadata_filename(filename: Union[Path, str]) -> Path:
"""Return metadata filename for specified backtest results file."""
filename = Path(filename)
return filename.parent / Path(f'{filename.stem}.meta{filename.suffix}')

40
freqtrade/optimize/backtest_caching.py Normal file
View File

@@ -0,0 +1,40 @@
import hashlib
from copy import deepcopy
from pathlib import Path
from typing import Union
import rapidjson
def get_strategy_run_id(strategy) -> str:
"""
Generate unique identification hash for a backtest run. Identical config and strategy file will
always return an identical hash.
:param strategy: strategy object.
:return: hex string id.
"""
digest = hashlib.sha1()
config = deepcopy(strategy.config)
# Options that have no impact on results of individual backtest.
not_important_keys = ('strategy_list', 'original_config', 'telegram', 'api_server')
for k in not_important_keys:
if k in config:
del config[k]
# Explicitly allow NaN values (e.g. max_open_trades).
# as it does not matter for getting the hash.
digest.update(rapidjson.dumps(config, default=str,
number_mode=rapidjson.NM_NAN).encode('utf-8'))
# Include _ft_params_from_file - so changing parameter files cause cache eviction
digest.update(rapidjson.dumps(
strategy._ft_params_from_file, default=str, number_mode=rapidjson.NM_NAN).encode('utf-8'))
with open(strategy.__file__, 'rb') as fp:
digest.update(fp.read())
return digest.hexdigest().lower()
def get_backtest_metadata_filename(filename: Union[Path, str]) -> Path:
"""Return metadata filename for specified backtest results file."""
filename = Path(filename)
return filename.parent / Path(f'{filename.stem}.meta{filename.suffix}')

38
freqtrade/optimize/backtesting.py
View File

@@ -24,8 +24,8 @@ from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType
TradingMode)
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.misc import get_strategy_run_id
from freqtrade.mixins import LoggingMixin
from freqtrade.optimize.backtest_caching import get_strategy_run_id
from freqtrade.optimize.bt_progress import BTProgress
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, show_backtest_results,
store_backtest_signal_candles,
@@ -54,6 +54,11 @@ ESHORT_IDX = 8 # Exit short
ENTER_TAG_IDX = 9
EXIT_TAG_IDX = 10
# Every change to this headers list must evaluate further usages of the resulting tuple
# and eventually change the constants for indexes at the top
HEADERS = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
class Backtesting:
"""
@@ -265,10 +270,18 @@ class Backtesting:
candle_type=CandleType.from_string(self.exchange._ft_has["mark_ohlcv_price"])
)
# Combine data to avoid combining the data per trade.
unavailable_pairs = []
for pair in self.pairlists.whitelist:
if pair not in self.exchange._leverage_tiers:
unavailable_pairs.append(pair)
continue
self.futures_data[pair] = funding_rates_dict[pair].merge(
mark_rates_dict[pair], on='date', how="inner", suffixes=["_fund", "_mark"])
if unavailable_pairs:
raise OperationalException(
f"Pairs {', '.join(unavailable_pairs)} got no leverage tiers available. "
"It is therefore impossible to backtest with this pair at the moment.")
else:
self.futures_data = {}
@@ -306,10 +319,7 @@ class Backtesting:
:param processed: a processed dictionary with format {pair, data}, which gets cleared to
optimize memory usage!
"""
# Every change to this headers list must evaluate further usages of the resulting tuple
# and eventually change the constants for indexes at the top
headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
data: Dict = {}
self.progress.init_step(BacktestState.CONVERT, len(processed))
@@ -321,7 +331,7 @@ class Backtesting:
if not pair_data.empty:
# Cleanup from prior runs
pair_data.drop(headers[5:] + ['buy', 'sell'], axis=1, errors='ignore')
pair_data.drop(HEADERS[5:] + ['buy', 'sell'], axis=1, errors='ignore')
df_analyzed = self.strategy.advise_exit(
self.strategy.advise_entry(pair_data, {'pair': pair}),
@@ -340,7 +350,7 @@ class Backtesting:
# To avoid using data from future, we use entry/exit signals shifted
# from the previous candle
for col in headers[5:]:
for col in HEADERS[5:]:
tag_col = col in ('enter_tag', 'exit_tag')
if col in df_analyzed.columns:
df_analyzed.loc[:, col] = df_analyzed.loc[:, col].replace(
@@ -352,7 +362,7 @@ class Backtesting:
# Convert from Pandas to list for performance reasons
# (Looping Pandas is slow.)
data[pair] = df_analyzed[headers].values.tolist() if not df_analyzed.empty else []
data[pair] = df_analyzed[HEADERS].values.tolist() if not df_analyzed.empty else []
return data
def _get_close_rate(self, row: Tuple, trade: LocalTrade, exit: ExitCheckTuple,
@@ -516,10 +526,10 @@ class Backtesting:
exit_candle_time: datetime = row[DATE_IDX].to_pydatetime()
enter = row[SHORT_IDX] if trade.is_short else row[LONG_IDX]
exit_ = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exit_sig = row[ESHORT_IDX] if trade.is_short else row[ELONG_IDX]
exit_ = self.strategy.should_exit(
trade, row[OPEN_IDX], exit_candle_time, # type: ignore
enter=enter, exit_=exit_,
enter=enter, exit_=exit_sig,
low=row[LOW_IDX], high=row[HIGH_IDX]
)
@@ -541,7 +551,8 @@ class Backtesting:
default_retval=closerate)(
pair=trade.pair, trade=trade,
current_time=exit_candle_time,
proposed_rate=closerate, current_profit=current_profit)
proposed_rate=closerate, current_profit=current_profit,
exit_tag=exit_.exit_reason)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
if trade.is_short:
@@ -568,6 +579,7 @@ class Backtesting:
len(row) > EXIT_TAG_IDX
and row[EXIT_TAG_IDX] is not None
and len(row[EXIT_TAG_IDX]) > 0
and exit_.exit_type in (ExitType.EXIT_SIGNAL,)
):
trade.exit_reason = row[EXIT_TAG_IDX]
@@ -626,9 +638,7 @@ class Backtesting:
detail_data.loc[:, 'exit_short'] = row[ESHORT_IDX]
detail_data.loc[:, 'enter_tag'] = row[ENTER_TAG_IDX]
detail_data.loc[:, 'exit_tag'] = row[EXIT_TAG_IDX]
headers = ['date', 'open', 'high', 'low', 'close', 'enter_long', 'exit_long',
'enter_short', 'exit_short', 'enter_tag', 'exit_tag']
for det_row in detail_data[headers].values.tolist():
for det_row in detail_data[HEADERS].values.tolist():
res = self._get_exit_trade_entry_for_candle(trade, det_row)
if res:
return res

1
freqtrade/optimize/hyperopt.py
View File

@@ -468,6 +468,7 @@ class Hyperopt:
self.backtesting.exchange._api = None
self.backtesting.exchange._api_async = None
self.backtesting.exchange.loop = None # type: ignore
self.backtesting.exchange._loop_lock = None # type: ignore
# self.backtesting.exchange = None # type: ignore
self.backtesting.pairlists = None # type: ignore

4
freqtrade/optimize/optimize_reports.py
View File

@@ -11,8 +11,8 @@ from tabulate import tabulate
from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
from freqtrade.data.btanalysis import (calculate_cagr, calculate_csum, calculate_market_change,
calculate_max_drawdown)
from freqtrade.misc import (decimals_per_coin, file_dump_joblib, file_dump_json,
get_backtest_metadata_filename, round_coin_value)
from freqtrade.misc import decimals_per_coin, file_dump_joblib, file_dump_json, round_coin_value
from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename
logger = logging.getLogger(__name__)

4
freqtrade/persistence/models.py
View File

@@ -429,12 +429,10 @@ class LocalTrade():
def __repr__(self):
open_since = self.open_date.strftime(DATETIME_PRINT_FORMAT) if self.is_open else 'closed'
leverage = self.leverage or 1.0
is_short = self.is_short or False
return (
f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
f'is_short={is_short}, leverage={leverage}, '
f'is_short={self.is_short or False}, leverage={self.leverage or 1.0}, '
f'open_rate={self.open_rate:.8f}, open_since={open_since})'
)

4
freqtrade/rpc/api_server/webserver.py
View File

@@ -2,7 +2,7 @@ import logging
from ipaddress import IPv4Address
from typing import Any, Dict
import rapidjson
import orjson
import uvicorn
from fastapi import Depends, FastAPI
from fastapi.middleware.cors import CORSMiddleware
@@ -24,7 +24,7 @@ class FTJSONResponse(JSONResponse):
Use rapidjson for responses
Handles NaN and Inf / -Inf in a javascript way by default.
"""
return rapidjson.dumps(content).encode("utf-8")
return orjson.dumps(content, option=orjson.OPT_SERIALIZE_NUMPY)
class ApiServer(RPCHandler):

2
freqtrade/rpc/telegram.py
View File

@@ -943,7 +943,7 @@ class Telegram(RPCHandler):
else:
fiat_currency = self._config.get('fiat_display_currency', '')
try:
statlist, head, fiat_profit_sum = self._rpc._rpc_status_table(
statlist, _, _ = self._rpc._rpc_status_table(
self._config['stake_currency'], fiat_currency)
except RPCException:
self._send_msg(msg='No open trade found.')

3
freqtrade/strategy/interface.py
View File

@@ -362,7 +362,7 @@ class IStrategy(ABC, HyperStrategyMixin):
def custom_exit_price(self, pair: str, trade: Trade,
current_time: datetime, proposed_rate: float,
current_profit: float, **kwargs) -> float:
current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
"""
Custom exit price logic, returning the new exit price.
@@ -375,6 +375,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param exit_tag: Exit reason.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New exit price value if provided
"""

3
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@@ -32,7 +32,7 @@ def custom_entry_price(self, pair: str, current_time: 'datetime', proposed_rate:
def custom_exit_price(self, pair: str, trade: 'Trade',
current_time: 'datetime', proposed_rate: float,
current_profit: float, **kwargs) -> float:
current_profit: float, exit_tag: Optional[str], **kwargs) -> float:
"""
Custom exit price logic, returning the new exit price.
@@ -45,6 +45,7 @@ def custom_exit_price(self, pair: str, trade: 'Trade',
:param current_time: datetime object, containing the current datetime
:param proposed_rate: Rate, calculated based on pricing settings in exit_pricing.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param exit_tag: Exit reason.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New exit price value if provided
"""