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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias
2021-12-01 07:11:11 +01:00
parent bf8f1045ca c22f381dfe
commit 67f3570bf3
34 changed files with 381 additions and 197 deletions
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8
freqtrade/constants.py
View File

@@ -52,6 +52,8 @@ USERPATH_STRATEGIES = 'strategies'
USERPATH_NOTEBOOKS = 'notebooks'
TELEGRAM_SETTING_OPTIONS = ['on', 'off', 'silent']
WEBHOOK_FORMAT_OPTIONS = ['form', 'json', 'raw']
ENV_VAR_PREFIX = 'FREQTRADE__'
NON_OPEN_EXCHANGE_STATES = ('cancelled', 'canceled', 'closed', 'expired')
@@ -316,10 +318,16 @@ CONF_SCHEMA = {
'type': 'object',
'properties': {
'enabled': {'type': 'boolean'},
'url': {'type': 'string'},
'format': {'type': 'string', 'enum': WEBHOOK_FORMAT_OPTIONS, 'default': 'form'},
'retries': {'type': 'integer', 'minimum': 0},
'retry_delay': {'type': 'number', 'minimum': 0},
'webhookbuy': {'type': 'object'},
'webhookbuycancel': {'type': 'object'},
'webhookbuyfill': {'type': 'object'},
'webhooksell': {'type': 'object'},
'webhooksellcancel': {'type': 'object'},
'webhooksellfill': {'type': 'object'},
'webhookstatus': {'type': 'object'},
},
},

47
freqtrade/exchange/exchange.py
View File

@@ -1365,7 +1365,7 @@ class Exchange:
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__)
logger.warning(f"Async code raised an exception: {repr(res)}")
if raise_:
raise
continue
@@ -1396,7 +1396,7 @@ class Exchange:
cached_pairs = []
# Gather coroutines to run
for pair, timeframe in set(pair_list):
if ((pair, timeframe) not in self._klines
if ((pair, timeframe) not in self._klines or not cache
or self._now_is_time_to_refresh(pair, timeframe)):
if not since_ms and self.required_candle_call_count > 1:
# Multiple calls for one pair - to get more history
@@ -1419,27 +1419,30 @@ class Exchange:
)
cached_pairs.append((pair, timeframe))
results = asyncio.get_event_loop().run_until_complete(
asyncio.gather(*input_coroutines, return_exceptions=True))
results_df = {}
# handle caching
for res in results:
if isinstance(res, Exception):
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
continue
# Deconstruct tuple (has 3 elements)
pair, timeframe, ticks = res
# keeping last candle time as last refreshed time of the pair
if ticks:
self._pairs_last_refresh_time[(pair, timeframe)] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
ohlcv_df = ohlcv_to_dataframe(
ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
results_df[(pair, timeframe)] = ohlcv_df
if cache:
self._klines[(pair, timeframe)] = ohlcv_df
# Chunk requests into batches of 100 to avoid overwelming ccxt Throttling
for input_coro in chunks(input_coroutines, 100):
results = asyncio.get_event_loop().run_until_complete(
asyncio.gather(*input_coro, return_exceptions=True))
# handle caching
for res in results:
if isinstance(res, Exception):
logger.warning(f"Async code raised an exception: {repr(res)}")
continue
# Deconstruct tuple (has 3 elements)
pair, timeframe, ticks = res
# keeping last candle time as last refreshed time of the pair
if ticks:
self._pairs_last_refresh_time[(pair, timeframe)] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
ohlcv_df = ohlcv_to_dataframe(
ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
results_df[(pair, timeframe)] = ohlcv_df
if cache:
self._klines[(pair, timeframe)] = ohlcv_df
# Return cached klines
for pair, timeframe in cached_pairs:
results_df[(pair, timeframe)] = self.klines((pair, timeframe), copy=False)

32
freqtrade/freqtradebot.py
View File

@@ -575,8 +575,9 @@ class FreqtradeBot(LoggingMixin):
pair: str,
stake_amount: float,
price: Optional[float] = None,
forcebuy: bool = False,
*,
is_short: bool = False,
ordertype: Optional[str] = None,
enter_tag: Optional[str] = None
) -> bool:
"""
@@ -649,12 +650,7 @@ class FreqtradeBot(LoggingMixin):
)
amount = (stake_amount / enter_limit_requested) * leverage
order_type = self.strategy.order_types['buy']
if forcebuy:
# Forcebuy can define a different ordertype
# TODO-lev: get a forceshort? What is this
order_type = self.strategy.order_types.get('forcebuy', order_type)
# TODO-lev: Will this work for shorting?
order_type = ordertype or self.strategy.order_types['buy']
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=amount, rate=enter_limit_requested,
@@ -1053,7 +1049,7 @@ class FreqtradeBot(LoggingMixin):
if should_exit.sell_flag:
logger.info(f'Exit for {trade.pair} detected. Reason: {should_exit.sell_type}'
f'Tag: {exit_tag if exit_tag is not None else "None"}')
self.execute_trade_exit(trade, exit_rate, should_exit, exit_tag)
self.execute_trade_exit(trade, exit_rate, should_exit, exit_tag=exit_tag)
return True
return False
@@ -1271,12 +1267,14 @@ class FreqtradeBot(LoggingMixin):
f"Not enough amount to exit trade. Trade-amount: {amount}, Wallet: {wallet_amount}")
def execute_trade_exit(
self,
trade: Trade,
limit: float,
sell_reason: SellCheckTuple, # TODO-lev update to exit_reason
exit_tag: Optional[str] = None
) -> bool:
self,
trade: Trade,
limit: float,
sell_reason: SellCheckTuple,
*,
exit_tag: Optional[str] = None,
ordertype: Optional[str] = None,
) -> bool:
"""
Executes a trade exit for the given trade and limit
:param trade: Trade instance
@@ -1319,14 +1317,10 @@ class FreqtradeBot(LoggingMixin):
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
order_type = self.strategy.order_types[exit_type]
order_type = ordertype or self.strategy.order_types[exit_type]
if sell_reason.sell_type == SellType.EMERGENCY_SELL:
# Emergency sells (default to market!)
order_type = self.strategy.order_types.get("emergencysell", "market")
if sell_reason.sell_type == SellType.FORCE_SELL:
# Force sells (default to the sell_type defined in the strategy,
# but we allow this value to be changed)
order_type = self.strategy.order_types.get("forcesell", order_type)
amount = self._safe_exit_amount(trade.pair, trade.amount)
time_in_force = self.strategy.order_time_in_force['sell'] # TODO-lev update to exit

3
freqtrade/optimize/backtesting.py
View File

@@ -92,7 +92,8 @@ class Backtesting:
self.init_backtest_detail()
self.pairlists = PairListManager(self.exchange, self.config)
if 'VolumePairList' in self.pairlists.name_list:
raise OperationalException("VolumePairList not allowed for backtesting.")
raise OperationalException("VolumePairList not allowed for backtesting. "
"Please use StaticPairlist instead.")
if 'PerformanceFilter' in self.pairlists.name_list:
raise OperationalException("PerformanceFilter not allowed for backtesting.")

50
freqtrade/optimize/optimize_reports.py
View File

@@ -46,20 +46,11 @@ def _get_line_floatfmt(stake_currency: str) -> List[str]:
'.2f', 'd', 's', 's']
def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
def _get_line_header(first_column: str, stake_currency: str, direction: str = 'Buys') -> List[str]:
"""
Generate header lines (goes in line with _generate_result_line())
"""
return [first_column, 'Buys', 'Avg Profit %', 'Cum Profit %',
f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
'Win Draw Loss Win%']
def _get_line_header_sell(first_column: str, stake_currency: str) -> List[str]:
"""
Generate header lines (goes in line with _generate_result_line())
"""
return [first_column, 'Sells', 'Avg Profit %', 'Cum Profit %',
return [first_column, direction, 'Avg Profit %', 'Cum Profit %',
f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
'Win Draw Loss Win%']
@@ -156,7 +147,7 @@ def generate_tag_metrics(tag_type: str,
if skip_nan and result['profit_abs'].isnull().all():
continue
tabular_data.append(_generate_tag_result_line(result, starting_balance, tag))
tabular_data.append(_generate_result_line(result, starting_balance, tag))
# Sort by total profit %:
tabular_data = sorted(tabular_data, key=lambda k: k['profit_total_abs'], reverse=True)
@@ -168,39 +159,6 @@ def generate_tag_metrics(tag_type: str,
return []
def _generate_tag_result_line(result: DataFrame, starting_balance: int, first_column: str) -> Dict:
"""
Generate one result dict, with "first_column" as key.
"""
profit_sum = result['profit_ratio'].sum()
# (end-capital - starting capital) / starting capital
profit_total = result['profit_abs'].sum() / starting_balance
return {
'key': first_column,
'trades': len(result),
'profit_mean': result['profit_ratio'].mean() if len(result) > 0 else 0.0,
'profit_mean_pct': result['profit_ratio'].mean() * 100.0 if len(result) > 0 else 0.0,
'profit_sum': profit_sum,
'profit_sum_pct': round(profit_sum * 100.0, 2),
'profit_total_abs': result['profit_abs'].sum(),
'profit_total': profit_total,
'profit_total_pct': round(profit_total * 100.0, 2),
'duration_avg': str(timedelta(
minutes=round(result['trade_duration'].mean()))
) if not result.empty else '0:00',
# 'duration_max': str(timedelta(
# minutes=round(result['trade_duration'].max()))
# ) if not result.empty else '0:00',
# 'duration_min': str(timedelta(
# minutes=round(result['trade_duration'].min()))
# ) if not result.empty else '0:00',
'wins': len(result[result['profit_abs'] > 0]),
'draws': len(result[result['profit_abs'] == 0]),
'losses': len(result[result['profit_abs'] < 0]),
}
def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List[Dict]:
"""
Generate small table outlining Backtest results
@@ -637,7 +595,7 @@ def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_curr
if(tag_type == "enter_tag"):
headers = _get_line_header("TAG", stake_currency)
else:
headers = _get_line_header_sell("TAG", stake_currency)
headers = _get_line_header("TAG", stake_currency, 'Sells')
floatfmt = _get_line_floatfmt(stake_currency)
output = [
[

11
freqtrade/plugins/pairlist/ShuffleFilter.py
View File

@@ -5,6 +5,7 @@ import logging
import random
from typing import Any, Dict, List
from freqtrade.enums.runmode import RunMode
from freqtrade.plugins.pairlist.IPairList import IPairList
@@ -18,7 +19,15 @@ class ShuffleFilter(IPairList):
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._seed = pairlistconfig.get('seed')
# Apply seed in backtesting mode to get comparable results,
# but not in live modes to get a non-repeating order of pairs during live modes.
if config.get('runmode') in (RunMode.LIVE, RunMode.DRY_RUN):
self._seed = None
logger.info("Live mode detected, not applying seed.")
else:
self._seed = pairlistconfig.get('seed')
logger.info(f"Backtesting mode detected, applying seed value: {self._seed}")
self._random = random.Random(self._seed)
@property

26
freqtrade/rpc/api_server/api_schemas.py
View File

@@ -1,4 +1,5 @@
from datetime import date, datetime
from enum import Enum
from typing import Any, Dict, List, Optional, Union
from pydantic import BaseModel
@@ -125,19 +126,24 @@ class Daily(BaseModel):
class UnfilledTimeout(BaseModel):
buy: int
sell: int
unit: str
buy: Optional[int]
sell: Optional[int]
unit: Optional[str]
exit_timeout_count: Optional[int]
class OrderTypeValues(str, Enum):
limit = 'limit'
market = 'market'
class OrderTypes(BaseModel):
buy: str
sell: str
emergencysell: Optional[str]
forcesell: Optional[str]
forcebuy: Optional[str]
stoploss: str
buy: OrderTypeValues
sell: OrderTypeValues
emergencysell: Optional[OrderTypeValues]
forcesell: Optional[OrderTypeValues]
forcebuy: Optional[OrderTypeValues]
stoploss: OrderTypeValues
stoploss_on_exchange: bool
stoploss_on_exchange_interval: Optional[int]
@@ -278,10 +284,12 @@ class Logs(BaseModel):
class ForceBuyPayload(BaseModel):
pair: str
price: Optional[float]
ordertype: Optional[OrderTypeValues]
class ForceSellPayload(BaseModel):
tradeid: str
ordertype: Optional[OrderTypeValues]
class BlacklistPayload(BaseModel):

9
freqtrade/rpc/api_server/api_v1.py
View File

@@ -29,7 +29,8 @@ logger = logging.getLogger(__name__)
# API version
# Pre-1.1, no version was provided
# Version increments should happen in "small" steps (1.1, 1.12, ...) unless big changes happen.
API_VERSION = 1.1
# 1.11: forcebuy and forcesell accept ordertype
API_VERSION = 1.11
# Public API, requires no auth.
router_public = APIRouter()
@@ -129,7 +130,8 @@ def show_config(rpc: Optional[RPC] = Depends(get_rpc_optional), config=Depends(g
@router.post('/forcebuy', response_model=ForceBuyResponse, tags=['trading'])
def forcebuy(payload: ForceBuyPayload, rpc: RPC = Depends(get_rpc)):
trade = rpc._rpc_forcebuy(payload.pair, payload.price)
ordertype = payload.ordertype.value if payload.ordertype else None
trade = rpc._rpc_forcebuy(payload.pair, payload.price, ordertype)
if trade:
return ForceBuyResponse.parse_obj(trade.to_json())
@@ -139,7 +141,8 @@ def forcebuy(payload: ForceBuyPayload, rpc: RPC = Depends(get_rpc)):
@router.post('/forcesell', response_model=ResultMsg, tags=['trading'])
def forcesell(payload: ForceSellPayload, rpc: RPC = Depends(get_rpc)):
return rpc._rpc_forcesell(payload.tradeid)
ordertype = payload.ordertype.value if payload.ordertype else None
return rpc._rpc_forcesell(payload.tradeid, ordertype)
@router.get('/blacklist', response_model=BlacklistResponse, tags=['info', 'pairlist'])

16
freqtrade/rpc/rpc.py
View File

@@ -646,7 +646,7 @@ class RPC:
return {'status': 'No more buy will occur from now. Run /reload_config to reset.'}
def _rpc_forcesell(self, trade_id: str) -> Dict[str, str]:
def _rpc_forcesell(self, trade_id: str, ordertype: Optional[str] = None) -> Dict[str, str]:
"""
Handler for forcesell <id>.
Sells the given trade at current price
@@ -671,7 +671,11 @@ class RPC:
current_rate = self._freqtrade.exchange.get_rate(
trade.pair, refresh=False, side=closing_side)
sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL)
self._freqtrade.execute_trade_exit(trade, current_rate, sell_reason)
order_type = ordertype or self._freqtrade.strategy.order_types.get(
"forcesell", self._freqtrade.strategy.order_types["sell"])
self._freqtrade.execute_trade_exit(
trade, current_rate, sell_reason, ordertype=order_type)
# ---- EOF def _exec_forcesell ----
if self._freqtrade.state != State.RUNNING:
@@ -699,7 +703,8 @@ class RPC:
self._freqtrade.wallets.update()
return {'result': f'Created sell order for trade {trade_id}.'}
def _rpc_forcebuy(self, pair: str, price: Optional[float]) -> Optional[Trade]:
def _rpc_forcebuy(self, pair: str, price: Optional[float],
order_type: Optional[str] = None) -> Optional[Trade]:
"""
Handler for forcebuy <asset> <price>
Buys a pair trade at the given or current price
@@ -727,7 +732,10 @@ class RPC:
stakeamount = self._freqtrade.wallets.get_trade_stake_amount(pair)
# execute buy
if self._freqtrade.execute_entry(pair, stakeamount, price, forcebuy=True):
if not order_type:
order_type = self._freqtrade.strategy.order_types.get(
'forcebuy', self._freqtrade.strategy.order_types['buy'])
if self._freqtrade.execute_entry(pair, stakeamount, price, ordertype=order_type):
Trade.commit()
trade = Trade.get_trades([Trade.is_open.is_(True), Trade.pair == pair]).first()
return trade

1
freqtrade/rpc/telegram.py
View File

@@ -112,6 +112,7 @@ class Telegram(RPCHandler):
r'/stats$', r'/count$', r'/locks$', r'/balance$',
r'/stopbuy$', r'/reload_config$', r'/show_config$',
r'/logs$', r'/whitelist$', r'/blacklist$', r'/edge$',
r'/weekly$', r'/weekly \d+$', r'/monthly$', r'/monthly \d+$',
r'/forcebuy$', r'/help$', r'/version$']
# Create keys for generation
valid_keys_print = [k.replace('$', '') for k in valid_keys]

43
freqtrade/rpc/webhook.py
View File

@@ -2,6 +2,7 @@
This module manages webhook communication
"""
import logging
import time
from typing import Any, Dict
from requests import RequestException, post
@@ -28,12 +29,9 @@ class Webhook(RPCHandler):
super().__init__(rpc, config)
self._url = self._config['webhook']['url']
self._format = self._config['webhook'].get('format', 'form')
if self._format != 'form' and self._format != 'json':
raise NotImplementedError('Unknown webhook format `{}`, possible values are '
'`form` (default) and `json`'.format(self._format))
self._retries = self._config['webhook'].get('retries', 0)
self._retry_delay = self._config['webhook'].get('retry_delay', 0.1)
def cleanup(self) -> None:
"""
@@ -77,13 +75,30 @@ class Webhook(RPCHandler):
def _send_msg(self, payload: dict) -> None:
"""do the actual call to the webhook"""
try:
if self._format == 'form':
post(self._url, data=payload)
elif self._format == 'json':
post(self._url, json=payload)
else:
raise NotImplementedError('Unknown format: {}'.format(self._format))
success = False
attempts = 0
while not success and attempts <= self._retries:
if attempts:
if self._retry_delay:
time.sleep(self._retry_delay)
logger.info("Retrying webhook...")
except RequestException as exc:
logger.warning("Could not call webhook url. Exception: %s", exc)
attempts += 1
try:
if self._format == 'form':
response = post(self._url, data=payload)
elif self._format == 'json':
response = post(self._url, json=payload)
elif self._format == 'raw':
response = post(self._url, data=payload['data'],
headers={'Content-Type': 'text/plain'})
else:
raise NotImplementedError('Unknown format: {}'.format(self._format))
# Throw a RequestException if the post was not successful
response.raise_for_status()
success = True
except RequestException as exc:
logger.warning("Could not call webhook url. Exception: %s", exc)

1
freqtrade/templates/base_strategy.py.j2
View File

@@ -87,6 +87,7 @@ class {{ strategy }}(IStrategy):
'sell': 'gtc'
}
{{ plot_config | indent(4) }}
def informative_pairs(self):
"""
Define additional, informative pair/interval combinations to be cached from the exchange.

2
freqtrade/templates/strategy_analysis_example.ipynb
View File

@@ -79,7 +79,9 @@
"source": [
"# Load strategy using values set above\n",
"from freqtrade.resolvers import StrategyResolver\n",
"from freqtrade.data.dataprovider import DataProvider\n",
"strategy = StrategyResolver.load_strategy(config)\n",
"strategy.dp = DataProvider(config, None, None)\n",
"\n",
"# Generate buy/sell signals using strategy\n",
"df = strategy.analyze_ticker(candles, {'pair': pair})\n",

30
freqtrade/templates/subtemplates/plot_config_full.j2
View File

@@ -1,18 +1,20 @@
plot_config = {
# Main plot indicators (Moving averages, ...)
'main_plot': {
'tema': {},
'sar': {'color': 'white'},
},
'subplots': {
# Subplots - each dict defines one additional plot
"MACD": {
'macd': {'color': 'blue'},
'macdsignal': {'color': 'orange'},
@property
def plot_config(self):
return {
# Main plot indicators (Moving averages, ...)
'main_plot': {
'tema': {},
'sar': {'color': 'white'},
},
"RSI": {
'rsi': {'color': 'red'},
'subplots': {
# Subplots - each dict defines one additional plot
"MACD": {
'macd': {'color': 'blue'},
'macdsignal': {'color': 'orange'},
},
"RSI": {
'rsi': {'color': 'red'},
}
}
}
}