Add SKDecimal Space

freqtrade/optimize/decimalspace.py

@@ -0,0 +1,33 @@
+import numpy as np
+
+from skopt.space import Integer
+
+
+class SKDecimal(Integer):
+
+    def __init__(self, low, high, decimals=3, prior="uniform", base=10, transform=None,
+                 name=None, dtype=np.int64):
+        self.decimals = decimals
+        _low = int(low * pow(10, self.decimals))
+        _high = int(high * pow(10, self.decimals))
+        self.low_orig = low
+        self.high_orig = high
+
+        super().__init__(_low, _high, prior, base, transform, name, dtype)
+
+    def __repr__(self):
+        return "Decimal(low={}, high={}, decimals={}, prior='{}', transform='{}')".format(
+            self.low_orig, self.high_orig, self.decimals, self.prior, self.transform_)
+
+    def __contains__(self, point):
+        if isinstance(point, list):
+            point = np.array(point)
+        return self.low_orig <= point <= self.high_orig
+
+    def transform(self, Xt):
+        aa = [int(x * pow(10, self.decimals)) for x in Xt]
+        return super().transform(aa)
+
+    def inverse_transform(self, Xt):
+        res = super().inverse_transform(Xt)
+        return [round(x * pow(0.1, self.decimals), self.decimals) for x in res]

freqtrade/strategy/hyper.py

@@ -10,6 +10,7 @@ from typing import Any, Iterator, Optional, Sequence, Tuple, Union
 
 with suppress(ImportError):
     from skopt.space import Integer, Real, Categorical
+    from freqtrade.optimize.decimalspace import SKDecimal
 
 from freqtrade.exceptions import OperationalException
 
@@ -168,22 +169,13 @@ class DecimalParameter(RealParameter):
         super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
                          load=load, **kwargs)
 
-    def get_space(self, name: str) -> 'Integer':
+    def get_space(self, name: str) -> 'SKDecimal':
         """
         Create skopt optimization space.
         :param name: A name of parameter field.
         """
-        low = int(self.opt_range[0] * pow(10, self._decimals))
-        high = int(self.opt_range[1] * pow(10, self._decimals))
-        return Integer(low, high, name=name, **self._space_params)
-
-    def _set_value(self, value: int):
-        """
-        Update current value. Used by hyperopt functions for the purpose where optimization and
-         value spaces differ.
-        :param value: An integer value.
-        """
-        self.value = round(value * pow(0.1, self._decimals), self._decimals)
+        return SKDecimal(*self.opt_range, decimals=self._decimals, name=name,
+                         **self._space_params)
 
 
 class CategoricalParameter(BaseParameter):