Merge pull request #2131 from freqtrade/lock_pairs

Lock pairs

freqtrade/exchange/__init__.py

@@ -6,6 +6,8 @@ from freqtrade.exchange.exchange import (get_exchange_bad_reason,  # noqa: F401
                                          available_exchanges)
 from freqtrade.exchange.exchange import (timeframe_to_seconds,  # noqa: F401
                                          timeframe_to_minutes,
-                                         timeframe_to_msecs)
+                                         timeframe_to_msecs,
+                                         timeframe_to_next_date,
+                                         timeframe_to_prev_date)
 from freqtrade.exchange.kraken import Kraken  # noqa: F401
 from freqtrade.exchange.binance import Binance  # noqa: F401

freqtrade/exchange/exchange.py

@@ -6,7 +6,7 @@ import asyncio
 import inspect
 import logging
 from copy import deepcopy
-from datetime import datetime
+from datetime import datetime, timezone
 from math import ceil, floor
 from random import randint
 from typing import Any, Dict, List, Optional, Tuple
@@ -790,13 +790,45 @@ def timeframe_to_seconds(ticker_interval: str) -> int:
 
 def timeframe_to_minutes(ticker_interval: str) -> int:
     """
-    Same as above, but returns minutes.
+    Same as timeframe_to_seconds, but returns minutes.
     """
     return ccxt.Exchange.parse_timeframe(ticker_interval) // 60
 
 
 def timeframe_to_msecs(ticker_interval: str) -> int:
     """
-    Same as above, but returns milliseconds.
+    Same as timeframe_to_seconds, but returns milliseconds.
     """
     return ccxt.Exchange.parse_timeframe(ticker_interval) * 1000
+
+
+def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
+    """
+    Use Timeframe and determine last possible candle.
+    :param timeframe: timeframe in string format (e.g. "5m")
+    :param date: date to use. Defaults to utcnow()
+    :returns: date of previous candle (with utc timezone)
+    """
+    if not date:
+        date = datetime.now(timezone.utc)
+    timeframe_secs = timeframe_to_seconds(timeframe)
+    # Get offset based on timerame_secs
+    offset = date.timestamp() % timeframe_secs
+    # Subtract seconds passed since last offset
+    new_timestamp = date.timestamp() - offset
+    return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
+
+
+def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
+    """
+    Use Timeframe and determine next candle.
+    :param timeframe: timeframe in string format (e.g. "5m")
+    :param date: date to use. Defaults to utcnow()
+    :returns: date of next candle (with utc timezone)
+    """
+    prevdate = timeframe_to_prev_date(timeframe, date)
+    timeframe_secs = timeframe_to_seconds(timeframe)
+
+    # Add one interval to previous candle
+    new_timestamp = prevdate.timestamp() + timeframe_secs
+    return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)

freqtrade/freqtradebot.py

@@ -16,7 +16,7 @@ from freqtrade import (DependencyException, OperationalException, InvalidOrderEx
 from freqtrade.data.converter import order_book_to_dataframe
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.edge import Edge
-from freqtrade.exchange import timeframe_to_minutes
+from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date
 from freqtrade.persistence import Trade
 from freqtrade.rpc import RPCManager, RPCMessageType
 from freqtrade.resolvers import ExchangeResolver, StrategyResolver, PairListResolver
@@ -283,6 +283,9 @@ class FreqtradeBot(object):
         buycount = 0
         # running get_signal on historical data fetched
         for _pair in whitelist:
+            if self.strategy.is_pair_locked(_pair):
+                logger.info(f"Pair {_pair} is currently locked.")
+                continue
             (buy, sell) = self.strategy.get_signal(
                 _pair, interval, self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval))
 
@@ -674,6 +677,9 @@ class FreqtradeBot(object):
         if stoploss_order and stoploss_order['status'] == 'closed':
             trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
             trade.update(stoploss_order)
+            # Lock pair for one candle to prevent immediate rebuys
+            self.strategy.lock_pair(trade.pair,
+                                    timeframe_to_next_date(self.config['ticker_interval']))
             self._notify_sell(trade)
             return True
 
@@ -884,6 +890,10 @@ class FreqtradeBot(object):
         if order.get('status', 'unknown') == 'closed':
             trade.update(order)
         Trade.session.flush()
+
+        # Lock pair for one candle to prevent immediate rebuys
+        self.strategy.lock_pair(trade.pair, timeframe_to_next_date(self.config['ticker_interval']))
+
         self._notify_sell(trade)
 
     def _notify_sell(self, trade: Trade):

freqtrade/strategy/interface.py

@@ -4,7 +4,7 @@ This module defines the interface to apply for strategies
 """
 import logging
 from abc import ABC, abstractmethod
-from datetime import datetime
+from datetime import datetime, timezone
 from enum import Enum
 from typing import Dict, List, NamedTuple, Optional, Tuple
 import warnings
@@ -107,6 +107,7 @@ class IStrategy(ABC):
         self.config = config
         # Dict to determine if analysis is necessary
         self._last_candle_seen_per_pair: Dict[str, datetime] = {}
+        self._pair_locked_until: Dict[str, datetime] = {}
 
     @abstractmethod
     def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
@@ -154,6 +155,24 @@ class IStrategy(ABC):
         """
         return self.__class__.__name__
 
+    def lock_pair(self, pair: str, until: datetime) -> None:
+        """
+        Locks pair until a given timestamp happens.
+        Locked pairs are not analyzed, and are prevented from opening new trades.
+        :param pair: Pair to lock
+        :param until: datetime in UTC until the pair should be blocked from opening new trades.
+                Needs to be timezone aware `datetime.now(timezone.utc)`
+        """
+        self._pair_locked_until[pair] = until
+
+    def is_pair_locked(self, pair: str) -> bool:
+        """
+        Checks if a pair is currently locked
+        """
+        if pair not in self._pair_locked_until:
+            return False
+        return self._pair_locked_until[pair] >= datetime.now(timezone.utc)
+
     def analyze_ticker(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         """
         Parses the given ticker history and returns a populated DataFrame
@@ -260,8 +279,8 @@ class IStrategy(ABC):
                     sell: bool, low: float = None, high: float = None,
                     force_stoploss: float = 0) -> SellCheckTuple:
         """
-        This function evaluate if on the condition required to trigger a sell has been reached
-        if the threshold is reached and updates the trade record.
+        This function evaluates if one of the conditions required to trigger a sell
+        has been reached, which can either be a stop-loss, ROI or sell-signal.
         :param low: Only used during backtesting to simulate stoploss
         :param high: Only used during backtesting, to simulate ROI
         :param force_stoploss: Externally provided stoploss

freqtrade/tests/exchange/test_exchange.py

@@ -14,7 +14,11 @@ from pandas import DataFrame
 from freqtrade import (DependencyException, InvalidOrderException,
                        OperationalException, TemporaryError)
 from freqtrade.exchange import Binance, Exchange, Kraken
-from freqtrade.exchange.exchange import API_RETRY_COUNT
+from freqtrade.exchange.exchange import (API_RETRY_COUNT, timeframe_to_minutes,
+                                         timeframe_to_msecs,
+                                         timeframe_to_next_date,
+                                         timeframe_to_prev_date,
+                                         timeframe_to_seconds)
 from freqtrade.resolvers.exchange_resolver import ExchangeResolver
 from freqtrade.tests.conftest import get_patched_exchange, log_has, log_has_re
 
@@ -1540,3 +1544,74 @@ def test_get_valid_pair_combination(default_conf, mocker, markets):
     assert ex.get_valid_pair_combination("BTC", "ETH") == "ETH/BTC"
     with pytest.raises(DependencyException, match=r"Could not combine.* to get a valid pair."):
         ex.get_valid_pair_combination("NOPAIR", "ETH")
+
+
+def test_timeframe_to_minutes():
+    assert timeframe_to_minutes("5m") == 5
+    assert timeframe_to_minutes("10m") == 10
+    assert timeframe_to_minutes("1h") == 60
+    assert timeframe_to_minutes("1d") == 1440
+
+
+def test_timeframe_to_seconds():
+    assert timeframe_to_seconds("5m") == 300
+    assert timeframe_to_seconds("10m") == 600
+    assert timeframe_to_seconds("1h") == 3600
+    assert timeframe_to_seconds("1d") == 86400
+
+
+def test_timeframe_to_msecs():
+    assert timeframe_to_msecs("5m") == 300000
+    assert timeframe_to_msecs("10m") == 600000
+    assert timeframe_to_msecs("1h") == 3600000
+    assert timeframe_to_msecs("1d") == 86400000
+
+
+def test_timeframe_to_prev_date():
+    # 2019-08-12 13:22:08
+    date = datetime.fromtimestamp(1565616128, tz=timezone.utc)
+
+    tf_list = [
+        # 5m -> 2019-08-12 13:20:00
+        ("5m", datetime(2019, 8, 12, 13, 20, 0, tzinfo=timezone.utc)),
+        # 10m -> 2019-08-12 13:20:00
+        ("10m", datetime(2019, 8, 12, 13, 20, 0, tzinfo=timezone.utc)),
+        # 1h -> 2019-08-12 13:00:00
+        ("1h", datetime(2019, 8, 12, 13, 00, 0, tzinfo=timezone.utc)),
+        # 2h -> 2019-08-12 12:00:00
+        ("2h", datetime(2019, 8, 12, 12, 00, 0, tzinfo=timezone.utc)),
+        # 4h -> 2019-08-12 12:00:00
+        ("4h", datetime(2019, 8, 12, 12, 00, 0, tzinfo=timezone.utc)),
+        # 1d -> 2019-08-12 00:00:00
+        ("1d", datetime(2019, 8, 12, 00, 00, 0, tzinfo=timezone.utc)),
+    ]
+    for interval, result in tf_list:
+        assert timeframe_to_prev_date(interval, date) == result
+
+    date = datetime.now(tz=timezone.utc)
+    assert timeframe_to_prev_date("5m", date) < date
+
+
+def test_timeframe_to_next_date():
+    # 2019-08-12 13:22:08
+    date = datetime.fromtimestamp(1565616128, tz=timezone.utc)
+    tf_list = [
+        # 5m -> 2019-08-12 13:25:00
+        ("5m", datetime(2019, 8, 12, 13, 25, 0, tzinfo=timezone.utc)),
+        # 10m -> 2019-08-12 13:30:00
+        ("10m", datetime(2019, 8, 12, 13, 30, 0, tzinfo=timezone.utc)),
+        # 1h -> 2019-08-12 14:00:00
+        ("1h", datetime(2019, 8, 12, 14, 00, 0, tzinfo=timezone.utc)),
+        # 2h -> 2019-08-12 14:00:00
+        ("2h", datetime(2019, 8, 12, 14, 00, 0, tzinfo=timezone.utc)),
+        # 4h -> 2019-08-12 14:00:00
+        ("4h", datetime(2019, 8, 12, 16, 00, 0, tzinfo=timezone.utc)),
+        # 1d -> 2019-08-13 00:00:00
+        ("1d", datetime(2019, 8, 13, 0, 0, 0, tzinfo=timezone.utc)),
+    ]
+
+    for interval, result in tf_list:
+        assert timeframe_to_next_date(interval, date) == result
+
+    date = datetime.now(tz=timezone.utc)
+    assert timeframe_to_next_date("5m", date) > date

freqtrade/tests/strategy/test_interface.py

@@ -286,3 +286,19 @@ def test__analyze_ticker_internal_skip_analyze(ticker_history, mocker, caplog) -
     assert ret['sell'].sum() == 0
     assert not log_has('TA Analysis Launched', caplog)
     assert log_has('Skipping TA Analysis for already analyzed candle', caplog)
+
+
+def test_is_pair_locked(default_conf):
+    strategy = DefaultStrategy(default_conf)
+    # dict should be empty
+    assert not strategy._pair_locked_until
+
+    pair = 'ETH/BTC'
+    assert not strategy.is_pair_locked(pair)
+    strategy.lock_pair(pair, arrow.utcnow().shift(minutes=4).datetime)
+    # ETH/BTC locked for 4 minutes
+    assert strategy.is_pair_locked(pair)
+
+    # XRP/BTC should not be locked now
+    pair = 'XRP/BTC'
+    assert not strategy.is_pair_locked(pair)

freqtrade/tests/test_freqtradebot.py

@@ -2598,6 +2598,43 @@ def test_sell_profit_only_disable_loss(default_conf, limit_buy_order, fee, marke
     assert trade.sell_reason == SellType.SELL_SIGNAL.value
 
 
+def test_locked_pairs(default_conf, ticker, fee, ticker_sell_down, markets, mocker, caplog) -> None:
+    patch_RPCManager(mocker)
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        _load_markets=MagicMock(return_value={}),
+        get_ticker=ticker,
+        get_fee=fee,
+        markets=PropertyMock(return_value=markets)
+    )
+    freqtrade = FreqtradeBot(default_conf)
+    patch_get_signal(freqtrade)
+
+    # Create some test data
+    freqtrade.create_trades()
+
+    trade = Trade.query.first()
+    assert trade
+
+    # Decrease the price and sell it
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        get_ticker=ticker_sell_down
+    )
+
+    freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'],
+                           sell_reason=SellType.STOP_LOSS)
+    trade.close(ticker_sell_down()['bid'])
+    assert trade.pair in freqtrade.strategy._pair_locked_until
+    assert freqtrade.strategy.is_pair_locked(trade.pair)
+
+    # reinit - should buy other pair.
+    caplog.clear()
+    freqtrade.create_trades()
+
+    assert log_has(f"Pair {trade.pair} is currently locked.", caplog)
+
+
 def test_ignore_roi_if_buy_signal(default_conf, limit_buy_order, fee, markets, mocker) -> None:
     patch_RPCManager(mocker)
     patch_exchange(mocker)