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Merge branch 'develop' into feat/short

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This commit is contained in:
Sam Germain
2021-09-13 14:02:23 -06:00
parent a18bca640e e8e8ef4872
commit 5225bd4a5b
23 changed files with 180 additions and 69 deletions
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2
freqtrade/configuration/__init__.py
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@@ -1,6 +1,6 @@
# flake8: noqa: F401
from freqtrade.configuration.check_exchange import check_exchange, remove_credentials
from freqtrade.configuration.check_exchange import check_exchange
from freqtrade.configuration.config_setup import setup_utils_configuration
from freqtrade.configuration.config_validation import validate_config_consistency
from freqtrade.configuration.configuration import Configuration

13
freqtrade/configuration/check_exchange.py
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@@ -10,19 +10,6 @@ from freqtrade.exchange import (available_exchanges, is_exchange_known_ccxt,
logger = logging.getLogger(__name__)
def remove_credentials(config: Dict[str, Any]) -> None:
"""
Removes exchange keys from the configuration and specifies dry-run
Used for backtesting / hyperopt / edge and utils.
Modifies the input dict!
"""
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
config['exchange']['password'] = ''
config['exchange']['uid'] = ''
config['dry_run'] = True
def check_exchange(config: Dict[str, Any], check_for_bad: bool = True) -> bool:
"""
Check if the exchange name in the config file is supported by Freqtrade

5
freqtrade/configuration/config_setup.py
View File

@@ -3,7 +3,6 @@ from typing import Any, Dict
from freqtrade.enums import RunMode
from .check_exchange import remove_credentials
from .config_validation import validate_config_consistency
from .configuration import Configuration
@@ -21,8 +20,8 @@ def setup_utils_configuration(args: Dict[str, Any], method: RunMode) -> Dict[str
configuration = Configuration(args, method)
config = configuration.get_config()
# Ensure we do not use Exchange credentials
remove_credentials(config)
# Ensure these modes are using Dry-run
config['dry_run'] = True
validate_config_consistency(config)
return config

3
freqtrade/data/history/history_utils.py
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@@ -197,7 +197,8 @@ def _download_pair_history(pair: str, *,
timeframe=timeframe,
since_ms=since_ms if since_ms else
arrow.utcnow().shift(
days=-new_pairs_days).int_timestamp * 1000
days=-new_pairs_days).int_timestamp * 1000,
is_new_pair=data.empty
)
# TODO: Maybe move parsing to exchange class (?)
new_dataframe = ohlcv_to_dataframe(new_data, timeframe, pair,

2
freqtrade/exchange/__init__.py
View File

@@ -1,6 +1,6 @@
# flake8: noqa: F401
# isort: off
from freqtrade.exchange.common import MAP_EXCHANGE_CHILDCLASS
from freqtrade.exchange.common import remove_credentials, MAP_EXCHANGE_CHILDCLASS
from freqtrade.exchange.exchange import Exchange
# isort: on
from freqtrade.exchange.bibox import Bibox

20
freqtrade/exchange/binance.py
View File

@@ -1,7 +1,8 @@
""" Binance exchange subclass """
import logging
from typing import Dict
from typing import Dict, List
import arrow
import ccxt
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
@@ -90,3 +91,20 @@ class Binance(Exchange):
f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
) -> List:
"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
Does not work for other exchanges, which don't return the earliest data when called with "0"
"""
if is_new_pair:
x = await self._async_get_candle_history(pair, timeframe, 0)
if x and x[2] and x[2][0] and x[2][0][0] > since_ms:
# Set starting date to first available candle.
since_ms = x[2][0][0]
logger.info(f"Candle-data for {pair} available starting with "
f"{arrow.get(since_ms // 1000).isoformat()}.")
return await super()._async_get_historic_ohlcv(
pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair)

13
freqtrade/exchange/common.py
View File

@@ -51,6 +51,19 @@ EXCHANGE_HAS_OPTIONAL = [
]
def remove_credentials(config) -> None:
"""
Removes exchange keys from the configuration and specifies dry-run
Used for backtesting / hyperopt / edge and utils.
Modifies the input dict!
"""
if config.get('dry_run', False):
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
config['exchange']['password'] = ''
config['exchange']['uid'] = ''
def calculate_backoff(retrycount, max_retries):
"""
Calculate backoff

43
freqtrade/exchange/exchange.py
View File

@@ -26,9 +26,9 @@ from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFun
InvalidOrderException, OperationalException, PricingError,
RetryableOrderError, TemporaryError)
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES,
EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier,
retrier_async)
from freqtrade.misc import deep_merge_dicts, safe_value_fallback2
EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED,
remove_credentials, retrier, retrier_async)
from freqtrade.misc import chunks, deep_merge_dicts, safe_value_fallback2
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
@@ -104,6 +104,7 @@ class Exchange:
# Holds all open sell orders for dry_run
self._dry_run_open_orders: Dict[str, Any] = {}
remove_credentials(config)
if config['dry_run']:
logger.info('Instance is running with dry_run enabled')
@@ -1194,7 +1195,7 @@ class Exchange:
# Historic data
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int) -> List:
since_ms: int, is_new_pair: bool = False) -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@@ -1206,7 +1207,7 @@ class Exchange:
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms))
since_ms=since_ms, is_new_pair=is_new_pair))
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int) -> DataFrame:
@@ -1221,11 +1222,12 @@ class Exchange:
return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
async def _async_get_historic_ohlcv(self, pair: str,
timeframe: str,
since_ms: int) -> List:
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
) -> List:
"""
Download historic ohlcv
:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
"""
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@@ -1238,21 +1240,22 @@ class Exchange:
pair, timeframe, since) for since in
range(since_ms, arrow.utcnow().int_timestamp * 1000, one_call)]
results = await asyncio.gather(*input_coroutines, return_exceptions=True)
# Combine gathered results
data: List = []
for res in results:
if isinstance(res, Exception):
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
continue
# Deconstruct tuple if it's not an exception
p, _, new_data = res
if p == pair:
data.extend(new_data)
# Chunk requests into batches of 100 to avoid overwelming ccxt Throttling
for input_coro in chunks(input_coroutines, 100):
results = await asyncio.gather(*input_coro, return_exceptions=True)
for res in results:
if isinstance(res, Exception):
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
continue
# Deconstruct tuple if it's not an exception
p, _, new_data = res
if p == pair:
data.extend(new_data)
# Sort data again after extending the result - above calls return in "async order"
data = sorted(data, key=lambda x: x[0])
logger.info("Downloaded data for %s with length %s.", pair, len(data))
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
return data
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,

2
freqtrade/exchange/gateio.py
View File

@@ -21,3 +21,5 @@ class Gateio(Exchange):
_ft_has: Dict = {
"ohlcv_candle_limit": 1000,
}
_headers = {'X-Gate-Channel-Id': 'freqtrade'}

5
freqtrade/optimize/backtesting.py
View File

@@ -11,7 +11,7 @@ from typing import Any, Dict, List, Optional, Tuple
from pandas import DataFrame
from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency
from freqtrade.configuration import TimeRange, validate_config_consistency
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.data import history
from freqtrade.data.btanalysis import trade_list_to_dataframe
@@ -61,8 +61,7 @@ class Backtesting:
self.config = config
self.results: Optional[Dict[str, Any]] = None
# Reset keys for backtesting
remove_credentials(self.config)
config['dry_run'] = True
self.strategylist: List[IStrategy] = []
self.all_results: Dict[str, Dict] = {}

6
freqtrade/optimize/edge_cli.py
View File

@@ -7,7 +7,7 @@ import logging
from typing import Any, Dict
from freqtrade import constants
from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency
from freqtrade.configuration import TimeRange, validate_config_consistency
from freqtrade.edge import Edge
from freqtrade.optimize.optimize_reports import generate_edge_table
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
@@ -28,8 +28,8 @@ class EdgeCli:
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
# Reset keys for edge
remove_credentials(self.config)
# Ensure using dry-run
self.config['dry_run'] = True
self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
self.strategy = StrategyResolver.load_strategy(self.config)

2
freqtrade/plugins/pairlist/VolumePairList.py
View File

@@ -123,7 +123,7 @@ class VolumePairList(IPairList):
filtered_tickers = [
v for k, v in tickers.items()
if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
and v[self._sort_key] is not None)]
and (self._use_range or v[self._sort_key] is not None))]
pairlist = [s['symbol'] for s in filtered_tickers]
pairlist = self.filter_pairlist(pairlist, tickers)