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Merge branch 'develop' into freqtrade-development

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This commit is contained in:
theluxaz
2021-10-19 00:00:15 +03:00
parent 69a59cdf37 0da5ef16e6
commit 5ecdd1d112
29 changed files with 273 additions and 135 deletions
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9
freqtrade/commands/arguments.py
View File

@@ -31,7 +31,8 @@ ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"epochs", "spaces", "print_all",
"print_colorized", "print_json", "hyperopt_jobs",
"hyperopt_random_state", "hyperopt_min_trades",
"hyperopt_loss", "disableparamexport"]
"hyperopt_loss", "disableparamexport",
"hyperopt_ignore_missing_space"]
ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]
@@ -62,9 +63,9 @@ ARGS_CONVERT_TRADES = ["pairs", "timeframes", "exchange", "dataformat_ohlcv", "d
ARGS_LIST_DATA = ["exchange", "dataformat_ohlcv", "pairs"]
ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "timerange",
"download_trades", "exchange", "timeframes", "erase", "dataformat_ohlcv",
"dataformat_trades"]
ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "include_inactive",
"timerange", "download_trades", "exchange", "timeframes",
"erase", "dataformat_ohlcv", "dataformat_trades"]
ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit",
"db_url", "trade_source", "export", "exportfilename",

11
freqtrade/commands/cli_options.py
View File

@@ -355,6 +355,11 @@ AVAILABLE_CLI_OPTIONS = {
type=check_int_positive,
metavar='INT',
),
"include_inactive": Arg(
'--include-inactive-pairs',
help='Also download data from inactive pairs.',
action='store_true',
),
"new_pairs_days": Arg(
'--new-pairs-days',
help='Download data of new pairs for given number of days. Default: `%(default)s`.',
@@ -558,4 +563,10 @@ AVAILABLE_CLI_OPTIONS = {
help='Do not print epoch details header.',
action='store_true',
),
"hyperopt_ignore_missing_space": Arg(
"--ignore-missing-spaces", "--ignore-unparameterized-spaces",
help=("Suppress errors for any requested Hyperopt spaces "
"that do not contain any parameters."),
action="store_true",
),
}

9
freqtrade/commands/data_commands.py
View File

@@ -11,6 +11,7 @@ from freqtrade.data.history import (convert_trades_to_ohlcv, refresh_backtest_oh
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.exchange.exchange import market_is_active
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
from freqtrade.resolvers import ExchangeResolver
@@ -47,11 +48,13 @@ def start_download_data(args: Dict[str, Any]) -> None:
# Init exchange
exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config, validate=False)
markets = [p for p, m in exchange.markets.items() if market_is_active(m)
or config.get('include_inactive')]
expanded_pairs = expand_pairlist(config['pairs'], markets)
# Manual validations of relevant settings
if not config['exchange'].get('skip_pair_validation', False):
exchange.validate_pairs(config['pairs'])
expanded_pairs = expand_pairlist(config['pairs'], list(exchange.markets))
exchange.validate_pairs(expanded_pairs)
logger.info(f"About to download pairs: {expanded_pairs}, "
f"intervals: {config['timeframes']} to {config['datadir']}")

6
freqtrade/configuration/configuration.py
View File

@@ -369,6 +369,9 @@ class Configuration:
self._args_to_config(config, argname='hyperopt_show_no_header',
logstring='Parameter --no-header detected: {}')
self._args_to_config(config, argname="hyperopt_ignore_missing_space",
logstring="Paramter --ignore-missing-space detected: {}")
def _process_plot_options(self, config: Dict[str, Any]) -> None:
self._args_to_config(config, argname='pairs',
@@ -404,6 +407,9 @@ class Configuration:
self._args_to_config(config, argname='days',
logstring='Detected --days: {}')
self._args_to_config(config, argname='include_inactive',
logstring='Detected --include-inactive-pairs: {}')
self._args_to_config(config, argname='download_trades',
logstring='Detected --dl-trades: {}')

1
freqtrade/optimize/hyperopt.py
View File

@@ -258,6 +258,7 @@ class Hyperopt:
if HyperoptTools.has_space(self.config, 'trailing'):
logger.debug("Hyperopt has 'trailing' space")
self.trailing_space = self.custom_hyperopt.trailing_space()
self.dimensions = (self.buy_space + self.sell_space + self.protection_space
+ self.roi_space + self.stoploss_space + self.trailing_space)

27
freqtrade/optimize/hyperopt_auto.py
View File

@@ -3,6 +3,7 @@ HyperOptAuto class.
This module implements a convenience auto-hyperopt class, which can be used together with strategies
that implement IHyperStrategy interface.
"""
import logging
from contextlib import suppress
from typing import Callable, Dict, List
@@ -15,12 +16,19 @@ with suppress(ImportError):
from freqtrade.optimize.hyperopt_interface import EstimatorType, IHyperOpt
def _format_exception_message(space: str) -> str:
raise OperationalException(
f"The '{space}' space is included into the hyperoptimization "
f"but no parameter for this space was not found in your Strategy. "
f"Please make sure to have parameters for this space enabled for optimization "
f"or remove the '{space}' space from hyperoptimization.")
logger = logging.getLogger(__name__)
def _format_exception_message(space: str, ignore_missing_space: bool) -> None:
msg = (f"The '{space}' space is included into the hyperoptimization "
f"but no parameter for this space was not found in your Strategy. "
)
if ignore_missing_space:
logger.warning(msg + "This space will be ignored.")
else:
raise OperationalException(
msg + f"Please make sure to have parameters for this space enabled for optimization "
f"or remove the '{space}' space from hyperoptimization.")
class HyperOptAuto(IHyperOpt):
@@ -48,13 +56,16 @@ class HyperOptAuto(IHyperOpt):
if attr.optimize:
yield attr.get_space(attr_name)
def _get_indicator_space(self, category):
def _get_indicator_space(self, category) -> List:
# TODO: is this necessary, or can we call "generate_space" directly?
indicator_space = list(self._generate_indicator_space(category))
if len(indicator_space) > 0:
return indicator_space
else:
_format_exception_message(category)
_format_exception_message(
category,
self.config.get("hyperopt_ignore_missing_space", False))
return []
def buy_indicator_space(self) -> List['Dimension']:
return self._get_indicator_space('buy')

9
freqtrade/plugins/pairlist/PerformanceFilter.py
View File

@@ -21,6 +21,7 @@ class PerformanceFilter(IPairList):
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._minutes = pairlistconfig.get('minutes', 0)
self._min_profit = pairlistconfig.get('min_profit', None)
@property
def needstickers(self) -> bool:
@@ -68,6 +69,14 @@ class PerformanceFilter(IPairList):
sorted_df = list_df.merge(performance, on='pair', how='left')\
.fillna(0).sort_values(by=['count', 'pair'], ascending=True)\
.sort_values(by=['profit'], ascending=False)
if self._min_profit is not None:
removed = sorted_df[sorted_df['profit'] < self._min_profit]
for _, row in removed.iterrows():
self.log_once(
f"Removing pair {row['pair']} since {row['profit']} is "
f"below {self._min_profit}", logger.info)
sorted_df = sorted_df[sorted_df['profit'] >= self._min_profit]
pairlist = sorted_df['pair'].tolist()
return pairlist

9
freqtrade/rpc/api_server/deps.py
View File

@@ -1,5 +1,6 @@
from typing import Any, Dict, Optional
from typing import Any, Dict, Iterator, Optional
from freqtrade.persistence import Trade
from freqtrade.rpc.rpc import RPC, RPCException
from .webserver import ApiServer
@@ -11,10 +12,12 @@ def get_rpc_optional() -> Optional[RPC]:
return None
def get_rpc() -> Optional[RPC]:
def get_rpc() -> Optional[Iterator[RPC]]:
_rpc = get_rpc_optional()
if _rpc:
return _rpc
Trade.query.session.rollback()
yield _rpc
Trade.query.session.rollback()
else:
raise RPCException('Bot is not in the correct state')

4
freqtrade/rpc/telegram.py
View File

@@ -25,6 +25,7 @@ from freqtrade.constants import DUST_PER_COIN
from freqtrade.enums import RPCMessageType
from freqtrade.exceptions import OperationalException
from freqtrade.misc import chunks, plural, round_coin_value
from freqtrade.persistence import Trade
from freqtrade.rpc import RPC, RPCException, RPCHandler
@@ -59,7 +60,8 @@ def authorized_only(command_handler: Callable[..., None]) -> Callable[..., Any]:
update.message.chat_id
)
return wrapper
# Rollback session to avoid getting data stored in a transaction.
Trade.query.session.rollback()
logger.debug(
'Executing handler: %s for chat_id: %s',
command_handler.__name__,

10
freqtrade/vendor/qtpylib/indicators.py vendored
View File

@@ -339,11 +339,13 @@ def vwap(bars):
(input can be pandas series or numpy array)
bars are usually mid [ (h+l)/2 ] or typical [ (h+l+c)/3 ]
"""
typical = ((bars['high'] + bars['low'] + bars['close']) / 3).values
volume = bars['volume'].values
raise ValueError("using `qtpylib.vwap` facilitates lookahead bias. Please use "
"`qtpylib.rolling_vwap` instead, which calculates vwap in a rolling manner.")
# typical = ((bars['high'] + bars['low'] + bars['close']) / 3).values
# volume = bars['volume'].values
return pd.Series(index=bars.index,
data=np.cumsum(volume * typical) / np.cumsum(volume))
# return pd.Series(index=bars.index,
# data=np.cumsum(volume * typical) / np.cumsum(volume))
# ---------------------------------------------