diff --git a/docs/configuration.md b/docs/configuration.md
index 926506f22..5127ba5e0 100644
--- a/docs/configuration.md
+++ b/docs/configuration.md
@@ -75,6 +75,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `ask_strategy.sell_profit_only` | Wait until the bot reaches `ask_strategy.sell_profit_offset` before taking a sell decision. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `false`.*
**Datatype:** Boolean
| `ask_strategy.sell_profit_offset` | Sell-signal is only active above this value. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `0.0`.*
**Datatype:** Float (as ratio)
| `ask_strategy.ignore_roi_if_buy_signal` | Do not sell if the buy signal is still active. This setting takes preference over `minimal_roi` and `use_sell_signal`. [Strategy Override](#parameters-in-the-strategy).
*Defaults to `false`.*
**Datatype:** Boolean
+| `ask_strategy.ignore_buying_expired_candle_after` | Specifies the number of seconds until a buy signal is no longer used.
**Datatype:** Integer
| `order_types` | Configure order-types depending on the action (`"buy"`, `"sell"`, `"stoploss"`, `"stoploss_on_exchange"`). [More information below](#understand-order_types). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Dict
| `order_time_in_force` | Configure time in force for buy and sell orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy).
**Datatype:** Dict
| `exchange.name` | **Required.** Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename).
**Datatype:** String
@@ -146,6 +147,7 @@ Values set in the configuration file always overwrite values set in the strategy
* `use_sell_signal` (ask_strategy)
* `sell_profit_only` (ask_strategy)
* `ignore_roi_if_buy_signal` (ask_strategy)
+* `ignore_buying_expired_candle_after` (ask_strategy)
### Configuring amount per trade
@@ -673,6 +675,22 @@ export HTTPS_PROXY="http://addr:port"
freqtrade
```
+## Ignoring expired candles
+
+When working with larger timeframes (for example 1h or more) and using a low `max_open_trades` value, the last candle can be processed as soon as a trade slot becomes available. When processing the last candle, this can lead to a situation where it may not be desirable to use the buy signal on that candle. For example, when using a condition in your strategy where you use a cross-over, that point may have passed too long ago for you to start a trade on it.
+
+In these situations, you can enable the functionality to ignore candles that are beyond a specified period by setting `ask_strategy.ignore_buying_expired_candle_after` to a positive number, indicating the number of seconds after which the candle becomes expired.
+
+For example, if your strategy is using a 1h timeframe, and you only want to buy within the first 5 minutes when a new candle comes in, you can add the following configuration to your strategy:
+
+``` jsonc
+ "ask_strategy":{
+ "ignore_buying_expired_candle_after" = 300 # 5 minutes
+ "price_side": "bid",
+ // ...
+ },
+```
+
## Embedding Strategies
Freqtrade provides you with with an easy way to embed the strategy into your configuration file.
diff --git a/freqtrade/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py
index 825e6572a..26a316873 100644
--- a/freqtrade/resolvers/strategy_resolver.py
+++ b/freqtrade/resolvers/strategy_resolver.py
@@ -81,6 +81,7 @@ class StrategyResolver(IResolver):
("ignore_roi_if_buy_signal", False, 'ask_strategy'),
("sell_profit_offset", 0.0, 'ask_strategy'),
("disable_dataframe_checks", False, None),
+ ("ignore_buying_expired_candle_after", 0, 'ask_strategy')
]
for attribute, default, subkey in attributes:
if subkey:
diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py
index 8546b1eda..c58d9aa5d 100644
--- a/freqtrade/strategy/interface.py
+++ b/freqtrade/strategy/interface.py
@@ -5,7 +5,7 @@ This module defines the interface to apply for strategies
import logging
import warnings
from abc import ABC, abstractmethod
-from datetime import datetime, timezone
+from datetime import datetime, timedelta, timezone
from enum import Enum
from typing import Dict, List, NamedTuple, Optional, Tuple
@@ -15,7 +15,7 @@ from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.exceptions import OperationalException, StrategyError
-from freqtrade.exchange import timeframe_to_minutes
+from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import timeframe_to_next_date
from freqtrade.persistence import PairLocks, Trade
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
@@ -113,6 +113,9 @@ class IStrategy(ABC):
# run "populate_indicators" only for new candle
process_only_new_candles: bool = False
+ # Number of seconds after which the candle will no longer result in a buy on expired candles
+ ignore_buying_expired_candle_after: int = 0
+
# Disable checking the dataframe (converts the error into a warning message)
disable_dataframe_checks: bool = False
@@ -479,8 +482,22 @@ class IStrategy(ABC):
(buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1
logger.debug('trigger: %s (pair=%s) buy=%s sell=%s',
latest['date'], pair, str(buy), str(sell))
+ timeframe_seconds = timeframe_to_seconds(timeframe)
+ if self.ignore_expired_candle(latest_date=latest_date,
+ current_time=datetime.now(timezone.utc),
+ timeframe_seconds=timeframe_seconds,
+ buy=buy):
+ return False, sell
return buy, sell
+ def ignore_expired_candle(self, latest_date: datetime, current_time: datetime,
+ timeframe_seconds: int, buy: bool):
+ if self.ignore_buying_expired_candle_after and buy:
+ time_delta = current_time - (latest_date + timedelta(seconds=timeframe_seconds))
+ return time_delta.total_seconds() > self.ignore_buying_expired_candle_after
+ else:
+ return False
+
def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,
sell: bool, low: float = None, high: float = None,
force_stoploss: float = 0) -> SellCheckTuple:
@@ -676,6 +693,7 @@ class IStrategy(ABC):
:return: DataFrame with buy column
"""
logger.debug(f"Populating buy signals for pair {metadata.get('pair')}.")
+
if self._buy_fun_len == 2:
warnings.warn("deprecated - check out the Sample strategy to see "
"the current function headers!", DeprecationWarning)
diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py
index 7eed43302..f158a1518 100644
--- a/tests/strategy/test_interface.py
+++ b/tests/strategy/test_interface.py
@@ -106,6 +106,28 @@ def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog)
+def test_ignore_expired_candle(default_conf):
+ default_conf.update({'strategy': 'DefaultStrategy'})
+ strategy = StrategyResolver.load_strategy(default_conf)
+ strategy.ignore_buying_expired_candle_after = 60
+
+ latest_date = datetime(2020, 12, 30, 7, 0, 0, tzinfo=timezone.utc)
+ # Add 1 candle length as the "latest date" defines candle open.
+ current_time = latest_date + timedelta(seconds=80 + 300)
+
+ assert strategy.ignore_expired_candle(latest_date=latest_date,
+ current_time=current_time,
+ timeframe_seconds=300,
+ buy=True) is True
+
+ current_time = latest_date + timedelta(seconds=30 + 300)
+
+ assert not strategy.ignore_expired_candle(latest_date=latest_date,
+ current_time=current_time,
+ timeframe_seconds=300,
+ buy=True) is True
+
+
def test_assert_df_raise(mocker, caplog, ohlcv_history):
ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
# Take a copy to correctly modify the call