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Merge branch 'develop' into pr/paranoidandy/8272

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This commit is contained in:
Matthias
2023-03-26 11:22:24 +02:00
parent 86aef7cf9d ee205ddc86
commit 73b59df77b
93 changed files with 4741 additions and 1916 deletions
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1
freqtrade/commands/__init__.py
View File

@@ -22,5 +22,6 @@ from freqtrade.commands.optimize_commands import (start_backtesting, start_backt
start_edge, start_hyperopt)
from freqtrade.commands.pairlist_commands import start_test_pairlist
from freqtrade.commands.plot_commands import start_plot_dataframe, start_plot_profit
from freqtrade.commands.strategy_utils_commands import start_strategy_update
from freqtrade.commands.trade_commands import start_trading
from freqtrade.commands.webserver_commands import start_webserver

4
freqtrade/commands/analyze_commands.py
View File

@@ -40,8 +40,8 @@ def setup_analyze_configuration(args: Dict[str, Any], method: RunMode) -> Dict[s
if (not Path(signals_file).exists()):
raise OperationalException(
(f"Cannot find latest backtest signals file: {signals_file}."
"Run backtesting with `--export signals`.")
f"Cannot find latest backtest signals file: {signals_file}."
"Run backtesting with `--export signals`."
)
return config

17
freqtrade/commands/arguments.py
View File

@@ -111,10 +111,13 @@ ARGS_ANALYZE_ENTRIES_EXITS = ["exportfilename", "analysis_groups", "enter_reason
NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes",
"list-markets", "list-pairs", "list-strategies", "list-freqaimodels",
"list-data", "hyperopt-list", "hyperopt-show", "backtest-filter",
"plot-dataframe", "plot-profit", "show-trades", "trades-to-ohlcv"]
"plot-dataframe", "plot-profit", "show-trades", "trades-to-ohlcv",
"strategy-updater"]
NO_CONF_ALLOWED = ["create-userdir", "list-exchanges", "new-strategy"]
ARGS_STRATEGY_UTILS = ["strategy_list", "strategy_path", "recursive_strategy_search"]
class Arguments:
"""
@@ -198,8 +201,8 @@ class Arguments:
start_list_freqAI_models, start_list_markets,
start_list_strategies, start_list_timeframes,
start_new_config, start_new_strategy, start_plot_dataframe,
start_plot_profit, start_show_trades, start_test_pairlist,
start_trading, start_webserver)
start_plot_profit, start_show_trades, start_strategy_update,
start_test_pairlist, start_trading, start_webserver)
subparsers = self.parser.add_subparsers(dest='command',
# Use custom message when no subhandler is added
@@ -440,3 +443,11 @@ class Arguments:
parents=[_common_parser])
webserver_cmd.set_defaults(func=start_webserver)
self._build_args(optionlist=ARGS_WEBSERVER, parser=webserver_cmd)
# Add strategy_updater subcommand
strategy_updater_cmd = subparsers.add_parser('strategy-updater',
help='updates outdated strategy'
'files to the current version',
parents=[_common_parser])
strategy_updater_cmd.set_defaults(func=start_strategy_update)
self._build_args(optionlist=ARGS_STRATEGY_UTILS, parser=strategy_updater_cmd)

12
freqtrade/commands/db_commands.py
View File

@@ -1,7 +1,7 @@
import logging
from typing import Any, Dict
from sqlalchemy import func
from sqlalchemy import func, select
from freqtrade.configuration.config_setup import setup_utils_configuration
from freqtrade.enums import RunMode
@@ -20,7 +20,7 @@ def start_convert_db(args: Dict[str, Any]) -> None:
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
init_db(config['db_url'])
session_target = Trade._session
session_target = Trade.session
init_db(config['db_url_from'])
logger.info("Starting db migration.")
@@ -36,16 +36,16 @@ def start_convert_db(args: Dict[str, Any]) -> None:
session_target.commit()
for pairlock in PairLock.query:
for pairlock in PairLock.get_all_locks():
pairlock_count += 1
make_transient(pairlock)
session_target.add(pairlock)
session_target.commit()
# Update sequences
max_trade_id = session_target.query(func.max(Trade.id)).scalar()
max_order_id = session_target.query(func.max(Order.id)).scalar()
max_pairlock_id = session_target.query(func.max(PairLock.id)).scalar()
max_trade_id = session_target.scalar(select(func.max(Trade.id)))
max_order_id = session_target.scalar(select(func.max(Order.id)))
max_pairlock_id = session_target.scalar(select(func.max(PairLock.id)))
set_sequence_ids(session_target.get_bind(),
trade_id=max_trade_id,

55
freqtrade/commands/strategy_utils_commands.py Normal file
View File

@@ -0,0 +1,55 @@
import logging
import sys
import time
from pathlib import Path
from typing import Any, Dict
from freqtrade.configuration import setup_utils_configuration
from freqtrade.enums import RunMode
from freqtrade.resolvers import StrategyResolver
from freqtrade.strategy.strategyupdater import StrategyUpdater
logger = logging.getLogger(__name__)
def start_strategy_update(args: Dict[str, Any]) -> None:
"""
Start the strategy updating script
:param args: Cli args from Arguments()
:return: None
"""
if sys.version_info == (3, 8): # pragma: no cover
sys.exit("Freqtrade strategy updater requires Python version >= 3.9")
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
strategy_objs = StrategyResolver.search_all_objects(
config, enum_failed=False, recursive=config.get('recursive_strategy_search', False))
filtered_strategy_objs = []
if args['strategy_list']:
filtered_strategy_objs = [
strategy_obj for strategy_obj in strategy_objs
if strategy_obj['name'] in args['strategy_list']
]
else:
# Use all available entries.
filtered_strategy_objs = strategy_objs
processed_locations = set()
for strategy_obj in filtered_strategy_objs:
if strategy_obj['location'] not in processed_locations:
processed_locations.add(strategy_obj['location'])
start_conversion(strategy_obj, config)
def start_conversion(strategy_obj, config):
print(f"Conversion of {Path(strategy_obj['location']).name} started.")
instance_strategy_updater = StrategyUpdater()
start = time.perf_counter()
instance_strategy_updater.start(config, strategy_obj)
elapsed = time.perf_counter() - start
print(f"Conversion of {Path(strategy_obj['location']).name} took {elapsed:.1f} seconds.")

5
freqtrade/configuration/config_validation.py
View File

@@ -27,10 +27,7 @@ def _extend_validator(validator_class):
if 'default' in subschema:
instance.setdefault(prop, subschema['default'])
for error in validate_properties(
validator, properties, instance, schema,
):
yield error
yield from validate_properties(validator, properties, instance, schema)
return validators.extend(
validator_class, {'properties': set_defaults}

1
freqtrade/constants.py
View File

@@ -588,6 +588,7 @@ CONF_SCHEMA = {
"rl_config": {
"type": "object",
"properties": {
"drop_ohlc_from_features": {"type": "boolean", "default": False},
"train_cycles": {"type": "integer"},
"max_trade_duration_candles": {"type": "integer"},
"add_state_info": {"type": "boolean", "default": False},

2
freqtrade/data/btanalysis.py
View File

@@ -373,7 +373,7 @@ def load_trades_from_db(db_url: str, strategy: Optional[str] = None) -> pd.DataF
filters = []
if strategy:
filters.append(Trade.strategy == strategy)
trades = trade_list_to_dataframe(Trade.get_trades(filters).all())
trades = trade_list_to_dataframe(list(Trade.get_trades(filters).all()))
return trades

1
freqtrade/enums/rpcmessagetype.py
View File

@@ -4,6 +4,7 @@ from enum import Enum
class RPCMessageType(str, Enum):
STATUS = 'status'
WARNING = 'warning'
EXCEPTION = 'exception'
STARTUP = 'startup'
ENTRY = 'entry'

24
freqtrade/exchange/binance.py
View File

@@ -7,6 +7,7 @@ from typing import Dict, List, Optional, Tuple
import arrow
import ccxt
from freqtrade.constants import BuySell
from freqtrade.enums import CandleType, MarginMode, PriceType, TradingMode
from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
from freqtrade.exchange import Exchange
@@ -23,7 +24,7 @@ class Binance(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"stoploss_order_types": {"limit": "stop_loss_limit"},
"order_time_in_force": ['GTC', 'FOK', 'IOC'],
"order_time_in_force": ["GTC", "FOK", "IOC", "PO"],
"ohlcv_candle_limit": 1000,
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
@@ -31,6 +32,7 @@ class Binance(Exchange):
}
_ft_has_futures: Dict = {
"stoploss_order_types": {"limit": "stop", "market": "stop_market"},
"order_time_in_force": ["GTC", "FOK", "IOC"],
"tickers_have_price": False,
"floor_leverage": True,
"stop_price_type_field": "workingType",
@@ -47,6 +49,26 @@ class Binance(Exchange):
(TradingMode.FUTURES, MarginMode.ISOLATED)
]
def _get_params(
self,
side: BuySell,
ordertype: str,
leverage: float,
reduceOnly: bool,
time_in_force: str = 'GTC',
) -> Dict:
params = super()._get_params(side, ordertype, leverage, reduceOnly, time_in_force)
if (
time_in_force == 'PO'
and ordertype != 'market'
and self.trading_mode == TradingMode.SPOT
# Only spot can do post only orders
):
params.pop('timeInForce')
params['postOnly'] = True
return params
def get_tickers(self, symbols: Optional[List[str]] = None, cached: bool = False) -> Tickers:
tickers = super().get_tickers(symbols=symbols, cached=cached)
if self.trading_mode == TradingMode.FUTURES:

3984
freqtrade/exchange/binance_leverage_tiers.json
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File diff suppressed because it is too large Load Diff

5
freqtrade/exchange/bybit.py
View File

@@ -27,11 +27,10 @@ class Bybit(Exchange):
"""
_ft_has: Dict = {
"ohlcv_candle_limit": 1000,
"ohlcv_candle_limit": 200,
"ohlcv_has_history": False,
}
_ft_has_futures: Dict = {
"ohlcv_candle_limit": 200,
"ohlcv_has_history": True,
"mark_ohlcv_timeframe": "4h",
"funding_fee_timeframe": "8h",
@@ -115,7 +114,7 @@ class Bybit(Exchange):
data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
return data
def _lev_prep(self, pair: str, leverage: float, side: BuySell):
def _lev_prep(self, pair: str, leverage: float, side: BuySell, accept_fail: bool = False):
if self.trading_mode != TradingMode.SPOT:
params = {'leverage': leverage}
self.set_margin_mode(pair, self.margin_mode, accept_fail=True, params=params)

47
freqtrade/exchange/exchange.py
View File

@@ -60,7 +60,6 @@ class Exchange:
_ft_has_default: Dict = {
"stoploss_on_exchange": False,
"order_time_in_force": ["GTC"],
"time_in_force_parameter": "timeInForce",
"ohlcv_params": {},
"ohlcv_candle_limit": 500,
"ohlcv_has_history": True, # Some exchanges (Kraken) don't provide history via ohlcv
@@ -69,6 +68,7 @@ class Exchange:
# Check https://github.com/ccxt/ccxt/issues/10767 for removal of ohlcv_volume_currency
"ohlcv_volume_currency": "base", # "base" or "quote"
"tickers_have_quoteVolume": True,
"tickers_have_bid_ask": True, # bid / ask empty for fetch_tickers
"tickers_have_price": True,
"trades_pagination": "time", # Possible are "time" or "id"
"trades_pagination_arg": "since",
@@ -1018,10 +1018,10 @@ class Exchange:
# Order handling
def _lev_prep(self, pair: str, leverage: float, side: BuySell):
def _lev_prep(self, pair: str, leverage: float, side: BuySell, accept_fail: bool = False):
if self.trading_mode != TradingMode.SPOT:
self.set_margin_mode(pair, self.margin_mode)
self._set_leverage(leverage, pair)
self.set_margin_mode(pair, self.margin_mode, accept_fail)
self._set_leverage(leverage, pair, accept_fail)
def _get_params(
self,
@@ -1033,8 +1033,7 @@ class Exchange:
) -> Dict:
params = self._params.copy()
if time_in_force != 'GTC' and ordertype != 'market':
param = self._ft_has.get('time_in_force_parameter', '')
params.update({param: time_in_force.upper()})
params.update({'timeInForce': time_in_force.upper()})
if reduceOnly:
params.update({'reduceOnly': True})
return params
@@ -1086,7 +1085,7 @@ class Exchange:
f'Tried to {side} amount {amount} at rate {rate}.'
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
raise ExchangeError(
raise InvalidOrderException(
f'Could not create {ordertype} {side} order on market {pair}. '
f'Tried to {side} amount {amount} at rate {rate}. '
f'Message: {e}') from e
@@ -1136,8 +1135,15 @@ class Exchange:
"sell" else (stop_price >= limit_rate))
# Ensure rate is less than stop price
if bad_stop_price:
raise OperationalException(
'In stoploss limit order, stop price should be more than limit price')
# This can for example happen if the stop / liquidation price is set to 0
# Which is possible if a market-order closes right away.
# The InvalidOrderException will bubble up to exit_positions, where it will be
# handled gracefully.
raise InvalidOrderException(
"In stoploss limit order, stop price should be more than limit price. "
f"Stop price: {stop_price}, Limit price: {limit_rate}, "
f"Limit Price pct: {limit_price_pct}"
)
return limit_rate
def _get_stop_params(self, side: BuySell, ordertype: str, stop_price: float) -> Dict:
@@ -1200,7 +1206,7 @@ class Exchange:
amount = self.amount_to_precision(pair, self._amount_to_contracts(pair, amount))
self._lev_prep(pair, leverage, side)
self._lev_prep(pair, leverage, side, accept_fail=True)
order = self._api.create_order(symbol=pair, type=ordertype, side=side,
amount=amount, price=limit_rate, params=params)
self._log_exchange_response('create_stoploss_order', order)
@@ -2525,7 +2531,6 @@ class Exchange:
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None,
accept_fail: bool = False,
):
"""
@@ -2543,7 +2548,7 @@ class Exchange:
self._log_exchange_response('set_leverage', res)
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except ccxt.BadRequest as e:
except (ccxt.BadRequest, ccxt.InsufficientFunds) as e:
if not accept_fail:
raise TemporaryError(
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
@@ -2754,10 +2759,10 @@ class Exchange:
raise OperationalException(
f"{self.name} does not support {self.margin_mode} {self.trading_mode}")
isolated_liq = None
liquidation_price = None
if self._config['dry_run'] or not self.exchange_has("fetchPositions"):
isolated_liq = self.dry_run_liquidation_price(
liquidation_price = self.dry_run_liquidation_price(
pair=pair,
open_rate=open_rate,
is_short=is_short,
@@ -2772,16 +2777,16 @@ class Exchange:
positions = self.fetch_positions(pair)
if len(positions) > 0:
pos = positions[0]
isolated_liq = pos['liquidationPrice']
liquidation_price = pos['liquidationPrice']
if isolated_liq is not None:
buffer_amount = abs(open_rate - isolated_liq) * self.liquidation_buffer
isolated_liq = (
isolated_liq - buffer_amount
if liquidation_price is not None:
buffer_amount = abs(open_rate - liquidation_price) * self.liquidation_buffer
liquidation_price_buffer = (
liquidation_price - buffer_amount
if is_short else
isolated_liq + buffer_amount
liquidation_price + buffer_amount
)
return isolated_liq
return max(liquidation_price_buffer, 0.0)
else:
return None

4
freqtrade/exchange/gate.py
View File

@@ -32,6 +32,7 @@ class Gate(Exchange):
_ft_has_futures: Dict = {
"needs_trading_fees": True,
"tickers_have_bid_ask": False,
"fee_cost_in_contracts": False, # Set explicitly to false for clarity
"order_props_in_contracts": ['amount', 'filled', 'remaining'],
"stop_price_type_field": "price_type",
@@ -74,8 +75,7 @@ class Gate(Exchange):
)
if ordertype == 'market' and self.trading_mode == TradingMode.FUTURES:
params['type'] = 'market'
param = self._ft_has.get('time_in_force_parameter', '')
params.update({param: 'IOC'})
params.update({'timeInForce': 'IOC'})
return params
def get_trades_for_order(self, order_id: str, pair: str, since: datetime,

1
freqtrade/exchange/kraken.py
View File

@@ -158,7 +158,6 @@ class Kraken(Exchange):
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None,
accept_fail: bool = False,
):
"""

88
freqtrade/exchange/okx.py
View File

@@ -1,14 +1,16 @@
import logging
from typing import Dict, List, Optional, Tuple
from typing import Any, Dict, List, Optional, Tuple
import ccxt
from freqtrade.constants import BuySell
from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.enums.pricetype import PriceType
from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
from freqtrade.exceptions import (DDosProtection, OperationalException, RetryableOrderError,
TemporaryError)
from freqtrade.exchange import Exchange, date_minus_candles
from freqtrade.exchange.common import retrier
from freqtrade.misc import safe_value_fallback2
logger = logging.getLogger(__name__)
@@ -24,11 +26,13 @@ class Okx(Exchange):
"ohlcv_candle_limit": 100, # Warning, special case with data prior to X months
"mark_ohlcv_timeframe": "4h",
"funding_fee_timeframe": "8h",
"stoploss_order_types": {"limit": "limit"},
"stoploss_on_exchange": True,
}
_ft_has_futures: Dict = {
"tickers_have_quoteVolume": False,
"fee_cost_in_contracts": True,
"stop_price_type_field": "tpTriggerPxType",
"stop_price_type_field": "slTriggerPxType",
"stop_price_type_value_mapping": {
PriceType.LAST: "last",
PriceType.MARK: "index",
@@ -121,10 +125,9 @@ class Okx(Exchange):
return params
@retrier
def _lev_prep(self, pair: str, leverage: float, side: BuySell):
def _lev_prep(self, pair: str, leverage: float, side: BuySell, accept_fail: bool = False):
if self.trading_mode != TradingMode.SPOT and self.margin_mode is not None:
try:
# TODO-lev: Test me properly (check mgnMode passed)
res = self._api.set_leverage(
leverage=leverage,
symbol=pair,
@@ -157,3 +160,78 @@ class Okx(Exchange):
pair_tiers = self._leverage_tiers[pair]
return pair_tiers[-1]['maxNotional'] / leverage
def _get_stop_params(self, side: BuySell, ordertype: str, stop_price: float) -> Dict:
params = self._params.copy()
# Verify if stopPrice works for your exchange!
params.update({'stopLossPrice': stop_price})
if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
params['tdMode'] = self.margin_mode.value
params['posSide'] = self._get_posSide(side, True)
return params
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
OKX uses non-default stoploss price naming.
"""
if not self._ft_has.get('stoploss_on_exchange'):
raise OperationalException(f"stoploss is not implemented for {self.name}.")
return (
order.get('stopLossPrice', None) is None
or ((side == "sell" and stop_loss > float(order['stopLossPrice'])) or
(side == "buy" and stop_loss < float(order['stopLossPrice'])))
)
def fetch_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
if self._config['dry_run']:
return self.fetch_dry_run_order(order_id)
try:
params1 = {'stop': True}
order_reg = self._api.fetch_order(order_id, pair, params=params1)
self._log_exchange_response('fetch_stoploss_order', order_reg)
return order_reg
except ccxt.OrderNotFound:
pass
params2 = {'stop': True, 'ordType': 'conditional'}
for method in (self._api.fetch_open_orders, self._api.fetch_closed_orders,
self._api.fetch_canceled_orders):
try:
orders = method(pair, params=params2)
orders_f = [order for order in orders if order['id'] == order_id]
if orders_f:
order = orders_f[0]
if (order['status'] == 'closed'
and (real_order_id := order.get('info', {}).get('ordId')) is not None):
# Once a order triggered, we fetch the regular followup order.
order_reg = self.fetch_order(real_order_id, pair)
self._log_exchange_response('fetch_stoploss_order1', order_reg)
order_reg['id_stop'] = order_reg['id']
order_reg['id'] = order_id
order_reg['type'] = 'stoploss'
order_reg['status_stop'] = 'triggered'
return order_reg
order['type'] = 'stoploss'
return order
except ccxt.BaseError:
pass
raise RetryableOrderError(
f'StoplossOrder not found (pair: {pair} id: {order_id}).')
def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
if order['type'] == 'stop':
return safe_value_fallback2(order, order, 'id_stop', 'id')
return order['id']
def cancel_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
params1 = {'stop': True}
# 'ordType': 'conditional'
#
return self.cancel_order(
order_id=order_id,
pair=pair,
params=params1,
)

2
freqtrade/freqai/RL/Base3ActionRLEnv.py
View File

@@ -47,7 +47,7 @@ class Base3ActionRLEnv(BaseEnvironment):
self._update_unrealized_total_profit()
step_reward = self.calculate_reward(action)
self.total_reward += step_reward
self.tensorboard_log(self.actions._member_names_[action])
self.tensorboard_log(self.actions._member_names_[action], category="actions")
trade_type = None
if self.is_tradesignal(action):

2
freqtrade/freqai/RL/Base4ActionRLEnv.py
View File

@@ -48,7 +48,7 @@ class Base4ActionRLEnv(BaseEnvironment):
self._update_unrealized_total_profit()
step_reward = self.calculate_reward(action)
self.total_reward += step_reward
self.tensorboard_log(self.actions._member_names_[action])
self.tensorboard_log(self.actions._member_names_[action], category="actions")
trade_type = None
if self.is_tradesignal(action):

2
freqtrade/freqai/RL/Base5ActionRLEnv.py
View File

@@ -49,7 +49,7 @@ class Base5ActionRLEnv(BaseEnvironment):
self._update_unrealized_total_profit()
step_reward = self.calculate_reward(action)
self.total_reward += step_reward
self.tensorboard_log(self.actions._member_names_[action])
self.tensorboard_log(self.actions._member_names_[action], category="actions")
trade_type = None
if self.is_tradesignal(action):

22
freqtrade/freqai/RL/BaseEnvironment.py
View File

@@ -137,7 +137,8 @@ class BaseEnvironment(gym.Env):
self.np_random, seed = seeding.np_random(seed)
return [seed]
def tensorboard_log(self, metric: str, value: Union[int, float] = 1, inc: bool = True):
def tensorboard_log(self, metric: str, value: Optional[Union[int, float]] = None,
inc: Optional[bool] = None, category: str = "custom"):
"""
Function builds the tensorboard_metrics dictionary
to be parsed by the TensorboardCallback. This
@@ -149,17 +150,24 @@ class BaseEnvironment(gym.Env):
def calculate_reward(self, action: int) -> float:
if not self._is_valid(action):
self.tensorboard_log("is_valid")
self.tensorboard_log("invalid")
return -2
:param metric: metric to be tracked and incremented
:param value: value to increment `metric` by
:param inc: sets whether the `value` is incremented or not
:param value: `metric` value
:param inc: (deprecated) sets whether the `value` is incremented or not
:param category: `metric` category
"""
if not inc or metric not in self.tensorboard_metrics:
self.tensorboard_metrics[metric] = value
increment = True if value is None else False
value = 1 if increment else value
if category not in self.tensorboard_metrics:
self.tensorboard_metrics[category] = {}
if not increment or metric not in self.tensorboard_metrics[category]:
self.tensorboard_metrics[category][metric] = value
else:
self.tensorboard_metrics[metric] += value
self.tensorboard_metrics[category][metric] += value
def reset_tensorboard_log(self):
self.tensorboard_metrics = {}

29
freqtrade/freqai/RL/BaseReinforcementLearningModel.py
View File

@@ -114,6 +114,7 @@ class BaseReinforcementLearningModel(IFreqaiModel):
# normalize all data based on train_dataset only
prices_train, prices_test = self.build_ohlc_price_dataframes(dk.data_dictionary, pair, dk)
data_dictionary = dk.normalize_data(data_dictionary)
# data cleaning/analysis
@@ -148,12 +149,8 @@ class BaseReinforcementLearningModel(IFreqaiModel):
env_info = self.pack_env_dict(dk.pair)
self.train_env = self.MyRLEnv(df=train_df,
prices=prices_train,
**env_info)
self.eval_env = Monitor(self.MyRLEnv(df=test_df,
prices=prices_test,
**env_info))
self.train_env = self.MyRLEnv(df=train_df, prices=prices_train, **env_info)
self.eval_env = Monitor(self.MyRLEnv(df=test_df, prices=prices_test, **env_info))
self.eval_callback = EvalCallback(self.eval_env, deterministic=True,
render=False, eval_freq=len(train_df),
best_model_save_path=str(dk.data_path))
@@ -238,6 +235,9 @@ class BaseReinforcementLearningModel(IFreqaiModel):
filtered_dataframe, _ = dk.filter_features(
unfiltered_df, dk.training_features_list, training_filter=False
)
filtered_dataframe = self.drop_ohlc_from_df(filtered_dataframe, dk)
filtered_dataframe = dk.normalize_data_from_metadata(filtered_dataframe)
dk.data_dictionary["prediction_features"] = filtered_dataframe
@@ -285,7 +285,6 @@ class BaseReinforcementLearningModel(IFreqaiModel):
train_df = data_dictionary["train_features"]
test_df = data_dictionary["test_features"]
# %-raw_volume_gen_shift-2_ETH/USDT_1h
# price data for model training and evaluation
tf = self.config['timeframe']
rename_dict = {'%-raw_open': 'open', '%-raw_low': 'low',
@@ -318,8 +317,24 @@ class BaseReinforcementLearningModel(IFreqaiModel):
prices_test.rename(columns=rename_dict, inplace=True)
prices_test.reset_index(drop=True)
train_df = self.drop_ohlc_from_df(train_df, dk)
test_df = self.drop_ohlc_from_df(test_df, dk)
return prices_train, prices_test
def drop_ohlc_from_df(self, df: DataFrame, dk: FreqaiDataKitchen):
"""
Given a dataframe, drop the ohlc data
"""
drop_list = ['%-raw_open', '%-raw_low', '%-raw_high', '%-raw_close']
if self.rl_config["drop_ohlc_from_features"]:
df.drop(drop_list, axis=1, inplace=True)
feature_list = dk.training_features_list
dk.training_features_list = [e for e in feature_list if e not in drop_list]
return df
def load_model_from_disk(self, dk: FreqaiDataKitchen) -> Any:
"""
Can be used by user if they are trying to limit_ram_usage *and*

16
freqtrade/freqai/RL/TensorboardCallback.py
View File

@@ -13,7 +13,7 @@ class TensorboardCallback(BaseCallback):
episodic summary reports.
"""
def __init__(self, verbose=1, actions: Type[Enum] = BaseActions):
super(TensorboardCallback, self).__init__(verbose)
super().__init__(verbose)
self.model: Any = None
self.logger = None # type: Any
self.training_env: BaseEnvironment = None # type: ignore
@@ -46,14 +46,12 @@ class TensorboardCallback(BaseCallback):
local_info = self.locals["infos"][0]
tensorboard_metrics = self.training_env.get_attr("tensorboard_metrics")[0]
for info in local_info:
if info not in ["episode", "terminal_observation"]:
self.logger.record(f"_info/{info}", local_info[info])
for metric in local_info:
if metric not in ["episode", "terminal_observation"]:
self.logger.record(f"info/{metric}", local_info[metric])
for info in tensorboard_metrics:
if info in [action.name for action in self.actions]:
self.logger.record(f"_actions/{info}", tensorboard_metrics[info])
else:
self.logger.record(f"_custom/{info}", tensorboard_metrics[info])
for category in tensorboard_metrics:
for metric in tensorboard_metrics[category]:
self.logger.record(f"{category}/{metric}", tensorboard_metrics[category][metric])
return True

6
freqtrade/freqai/data_kitchen.py
View File

@@ -251,7 +251,7 @@ class FreqaiDataKitchen:
(drop_index == 0) & (drop_index_labels == 0)
]
logger.info(
f"dropped {len(unfiltered_df) - len(filtered_df)} training points"
f"{self.pair}: dropped {len(unfiltered_df) - len(filtered_df)} training points"
f" due to NaNs in populated dataset {len(unfiltered_df)}."
)
if (1 - len(filtered_df) / len(unfiltered_df)) > 0.1 and self.live:
@@ -675,7 +675,7 @@ class FreqaiDataKitchen:
]
logger.info(
f"SVM tossed {len(y_pred) - kept_points.sum()}"
f"{self.pair}: SVM tossed {len(y_pred) - kept_points.sum()}"
f" test points from {len(y_pred)} total points."
)
@@ -949,7 +949,7 @@ class FreqaiDataKitchen:
if (len(do_predict) - do_predict.sum()) > 0:
logger.info(
f"DI tossed {len(do_predict) - do_predict.sum()} predictions for "
f"{self.pair}: DI tossed {len(do_predict) - do_predict.sum()} predictions for "
"being too far from training data."
)

14
freqtrade/freqai/freqai_interface.py
View File

@@ -104,6 +104,10 @@ class IFreqaiModel(ABC):
self.data_provider: Optional[DataProvider] = None
self.max_system_threads = max(int(psutil.cpu_count() * 2 - 2), 1)
self.can_short = True # overridden in start() with strategy.can_short
self.model: Any = None
if self.ft_params.get('principal_component_analysis', False) and self.continual_learning:
self.ft_params.update({'principal_component_analysis': False})
logger.warning('User tried to use PCA with continual learning. Deactivating PCA.')
record_params(config, self.full_path)
@@ -153,8 +157,7 @@ class IFreqaiModel(ABC):
dk = self.start_backtesting(dataframe, metadata, self.dk, strategy)
dataframe = dk.remove_features_from_df(dk.return_dataframe)
else:
logger.info(
"Backtesting using historic predictions (live models)")
logger.info("Backtesting using historic predictions (live models)")
dk = self.start_backtesting_from_historic_predictions(
dataframe, metadata, self.dk)
dataframe = dk.return_dataframe
@@ -338,13 +341,14 @@ class IFreqaiModel(ABC):
except Exception as msg:
logger.warning(
f"Training {pair} raised exception {msg.__class__.__name__}. "
f"Message: {msg}, skipping.")
f"Message: {msg}, skipping.", exc_info=True)
self.model = None
self.dd.pair_dict[pair]["trained_timestamp"] = int(
tr_train.stopts)
if self.plot_features:
if self.plot_features and self.model is not None:
plot_feature_importance(self.model, pair, dk, self.plot_features)
if self.save_backtest_models:
if self.save_backtest_models and self.model is not None:
logger.info('Saving backtest model to disk.')
self.dd.save_data(self.model, pair, dk)
else:

2
freqtrade/freqai/prediction_models/ReinforcementLearner.py
View File

@@ -100,7 +100,7 @@ class ReinforcementLearner(BaseReinforcementLearningModel):
"""
# first, penalize if the action is not valid
if not self._is_valid(action):
self.tensorboard_log("is_valid")
self.tensorboard_log("invalid", category="actions")
return -2
pnl = self.get_unrealized_profit()

97
freqtrade/freqtradebot.py
View File

@@ -133,13 +133,13 @@ class FreqtradeBot(LoggingMixin):
# Initialize protections AFTER bot start - otherwise parameters are not loaded.
self.protections = ProtectionManager(self.config, self.strategy.protections)
def notify_status(self, msg: str) -> None:
def notify_status(self, msg: str, msg_type=RPCMessageType.STATUS) -> None:
"""
Public method for users of this class (worker, etc.) to send notifications
via RPC about changes in the bot status.
"""
self.rpc.send_msg({
'type': RPCMessageType.STATUS,
'type': msg_type,
'status': msg
})
@@ -587,7 +587,7 @@ class FreqtradeBot(LoggingMixin):
min_entry_stake = self.exchange.get_min_pair_stake_amount(trade.pair,
current_entry_rate,
self.strategy.stoploss)
0.0)
min_exit_stake = self.exchange.get_min_pair_stake_amount(trade.pair,
current_exit_rate,
self.strategy.stoploss)
@@ -595,7 +595,7 @@ class FreqtradeBot(LoggingMixin):
stake_available = self.wallets.get_available_stake_amount()
logger.debug(f"Calling adjust_trade_position for pair {trade.pair}")
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
default_retval=None, supress_error=True)(
trade=trade,
current_time=datetime.now(timezone.utc), current_rate=current_entry_rate,
current_profit=current_entry_profit, min_stake=min_entry_stake,
@@ -701,7 +701,8 @@ class FreqtradeBot(LoggingMixin):
pos_adjust = trade is not None
enter_limit_requested, stake_amount, leverage = self.get_valid_enter_price_and_stake(
pair, price, stake_amount, trade_side, enter_tag, trade, order_adjust, leverage_)
pair, price, stake_amount, trade_side, enter_tag, trade, order_adjust, leverage_,
pos_adjust)
if not stake_amount:
return False
@@ -810,6 +811,9 @@ class FreqtradeBot(LoggingMixin):
precision_mode=self.exchange.precisionMode,
contract_size=self.exchange.get_contract_size(pair),
)
stoploss = self.strategy.stoploss if not self.edge else self.edge.get_stoploss(pair)
trade.adjust_stop_loss(trade.open_rate, stoploss, initial=True)
else:
# This is additional buy, we reset fee_open_currency so timeout checking can work
trade.is_open = True
@@ -819,7 +823,7 @@ class FreqtradeBot(LoggingMixin):
trade.orders.append(order_obj)
trade.recalc_trade_from_orders()
Trade.query.session.add(trade)
Trade.session.add(trade)
Trade.commit()
# Updating wallets
@@ -851,7 +855,8 @@ class FreqtradeBot(LoggingMixin):
# Reset stoploss order id.
trade.stoploss_order_id = None
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id} "
f"for pair {trade.pair}")
return trade
def get_valid_enter_price_and_stake(
@@ -861,7 +866,12 @@ class FreqtradeBot(LoggingMixin):
trade: Optional[Trade],
order_adjust: bool,
leverage_: Optional[float],
pos_adjust: bool,
) -> Tuple[float, float, float]:
"""
Validate and eventually adjust (within limits) limit, amount and leverage
:return: Tuple with (price, amount, leverage)
"""
if price:
enter_limit_requested = price
@@ -907,7 +917,9 @@ class FreqtradeBot(LoggingMixin):
# We do however also need min-stake to determine leverage, therefore this is ignored as
# edge-case for now.
min_stake_amount = self.exchange.get_min_pair_stake_amount(
pair, enter_limit_requested, self.strategy.stoploss, leverage)
pair, enter_limit_requested,
self.strategy.stoploss if not pos_adjust else 0.0,
leverage)
max_stake_amount = self.exchange.get_max_pair_stake_amount(
pair, enter_limit_requested, leverage)
@@ -1014,12 +1026,16 @@ class FreqtradeBot(LoggingMixin):
trades_closed = 0
for trade in trades:
try:
try:
if (self.strategy.order_types.get('stoploss_on_exchange') and
self.handle_stoploss_on_exchange(trade)):
trades_closed += 1
Trade.commit()
continue
if (self.strategy.order_types.get('stoploss_on_exchange') and
self.handle_stoploss_on_exchange(trade)):
trades_closed += 1
Trade.commit()
continue
except InvalidOrderException as exception:
logger.warning(
f'Unable to handle stoploss on exchange for {trade.pair}: {exception}')
# Check if we can sell our current pair
if trade.open_order_id is None and trade.is_open and self.handle_trade(trade):
trades_closed += 1
@@ -1123,8 +1139,7 @@ class FreqtradeBot(LoggingMixin):
trade.stoploss_order_id = None
logger.error(f'Unable to place a stoploss order on exchange. {e}')
logger.warning('Exiting the trade forcefully')
self.execute_trade_exit(trade, stop_price, exit_check=ExitCheckTuple(
exit_type=ExitType.EMERGENCY_EXIT))
self.emergency_exit(trade, stop_price)
except ExchangeError:
trade.stoploss_order_id = None
@@ -1226,13 +1241,8 @@ class FreqtradeBot(LoggingMixin):
# cancelling the current stoploss on exchange first
logger.info(f"Cancelling current stoploss on exchange for pair {trade.pair} "
f"(orderid:{order['id']}) in order to add another one ...")
try:
co = self.exchange.cancel_stoploss_order_with_result(order['id'], trade.pair,
trade.amount)
trade.update_order(co)
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {order['id']} "
f"for pair {trade.pair}")
self.cancel_stoploss_on_exchange(trade)
# Create new stoploss order
if not self.create_stoploss_order(trade=trade, stop_price=stoploss_norm):
@@ -1282,13 +1292,16 @@ class FreqtradeBot(LoggingMixin):
if canceled and max_timeouts > 0 and canceled_count >= max_timeouts:
logger.warning(f'Emergency exiting trade {trade}, as the exit order '
f'timed out {max_timeouts} times.')
try:
self.execute_trade_exit(
trade, order['price'],
exit_check=ExitCheckTuple(exit_type=ExitType.EMERGENCY_EXIT))
except DependencyException as exception:
logger.warning(
f'Unable to emergency sell trade {trade.pair}: {exception}')
self.emergency_exit(trade, order['price'])
def emergency_exit(self, trade: Trade, price: float) -> None:
try:
self.execute_trade_exit(
trade, price,
exit_check=ExitCheckTuple(exit_type=ExitType.EMERGENCY_EXIT))
except DependencyException as exception:
logger.warning(
f'Unable to emergency exit trade {trade.pair}: {exception}')
def replace_order(self, order: Dict, order_obj: Optional[Order], trade: Trade) -> None:
"""
@@ -1461,34 +1474,32 @@ class FreqtradeBot(LoggingMixin):
return False
try:
co = self.exchange.cancel_order_with_result(order['id'], trade.pair,
trade.amount)
order = self.exchange.cancel_order_with_result(order['id'], trade.pair,
trade.amount)
except InvalidOrderException:
logger.exception(
f"Could not cancel {trade.exit_side} order {trade.open_order_id}")
return False
trade.close_rate = None
trade.close_rate_requested = None
trade.close_profit = None
trade.close_profit_abs = None
# Set exit_reason for fill message
exit_reason_prev = trade.exit_reason
trade.exit_reason = trade.exit_reason + f", {reason}" if trade.exit_reason else reason
self.update_trade_state(trade, trade.open_order_id, co)
# Order might be filled above in odd timing issues.
if co.get('status') in ('canceled', 'cancelled'):
if order.get('status') in ('canceled', 'cancelled'):
trade.exit_reason = None
trade.open_order_id = None
else:
trade.exit_reason = exit_reason_prev
logger.info(f'{trade.exit_side.capitalize()} order {reason} for {trade}.')
cancelled = True
else:
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
logger.info(f'{trade.exit_side.capitalize()} order {reason} for {trade}.')
self.update_trade_state(trade, trade.open_order_id, order)
trade.open_order_id = None
trade.exit_reason = None
self.update_trade_state(trade, trade.open_order_id, order)
logger.info(f'{trade.exit_side.capitalize()} order {reason} for {trade}.')
trade.open_order_id = None
trade.close_rate = None
trade.close_rate_requested = None
self._notify_exit_cancel(
trade,

5
freqtrade/misc.py
View File

@@ -6,8 +6,7 @@ import logging
import re
from datetime import datetime
from pathlib import Path
from typing import Any, Dict, Iterator, List, Mapping, Optional, Union
from typing.io import IO
from typing import Any, Dict, Iterator, List, Mapping, Optional, TextIO, Union
from urllib.parse import urlparse
import orjson
@@ -103,7 +102,7 @@ def file_dump_joblib(filename: Path, data: Any, log: bool = True) -> None:
logger.debug(f'done joblib dump to "{filename}"')
def json_load(datafile: IO) -> Any:
def json_load(datafile: Union[gzip.GzipFile, TextIO]) -> Any:
"""
load data with rapidjson
Use this to have a consistent experience,

8
freqtrade/optimize/backtesting.py
View File

@@ -441,10 +441,6 @@ class Backtesting:
# Worst case: price ticks tiny bit above open and dives down.
stop_rate = row[OPEN_IDX] * (1 - side_1 * abs(
(trade.stop_loss_pct or 0.0) / leverage))
if is_short:
assert stop_rate > row[LOW_IDX]
else:
assert stop_rate < row[HIGH_IDX]
# Limit lower-end to candle low to avoid exits below the low.
# This still remains "worst case" - but "worst realistic case".
@@ -525,7 +521,7 @@ class Backtesting:
max_stake = self.exchange.get_max_pair_stake_amount(trade.pair, current_rate)
stake_available = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.adjust_trade_position,
default_retval=None)(
default_retval=None, supress_error=True)(
trade=trade, # type: ignore[arg-type]
current_time=current_date, current_rate=current_rate,
current_profit=current_profit, min_stake=min_stake,
@@ -748,7 +744,7 @@ class Backtesting:
leverage = min(max(leverage, 1.0), max_leverage)
min_stake_amount = self.exchange.get_min_pair_stake_amount(
pair, propose_rate, -0.05, leverage=leverage) or 0
pair, propose_rate, -0.05 if not pos_adjust else 0.0, leverage=leverage) or 0
max_stake_amount = self.exchange.get_max_pair_stake_amount(
pair, propose_rate, leverage=leverage)
stake_available = self.wallets.get_available_stake_amount()

5
freqtrade/optimize/hyperopt_tools.py
View File

@@ -1,4 +1,3 @@
import io
import logging
from copy import deepcopy
from datetime import datetime, timezone
@@ -464,8 +463,8 @@ class HyperoptTools():
return
try:
io.open(csv_file, 'w+').close()
except IOError:
Path(csv_file).open('w+').close()
except OSError:
logger.error(f"Failed to create CSV file: {csv_file}")
return

32
freqtrade/persistence/models.py
View File

@@ -2,7 +2,9 @@
This module contains the class to persist trades into SQLite
"""
import logging
from typing import Any, Dict
import threading
from contextvars import ContextVar
from typing import Any, Dict, Final, Optional
from sqlalchemy import create_engine, inspect
from sqlalchemy.exc import NoSuchModuleError
@@ -19,6 +21,22 @@ from freqtrade.persistence.trade_model import Order, Trade
logger = logging.getLogger(__name__)
REQUEST_ID_CTX_KEY: Final[str] = 'request_id'
_request_id_ctx_var: ContextVar[Optional[str]] = ContextVar(REQUEST_ID_CTX_KEY, default=None)
def get_request_or_thread_id() -> Optional[str]:
"""
Helper method to get either async context (for fastapi requests), or thread id
"""
id = _request_id_ctx_var.get()
if id is None:
# when not in request context - use thread id
id = str(threading.current_thread().ident)
return id
_SQL_DOCS_URL = 'http://docs.sqlalchemy.org/en/latest/core/engines.html#database-urls'
@@ -53,13 +71,11 @@ def init_db(db_url: str) -> None:
# https://docs.sqlalchemy.org/en/13/orm/contextual.html#thread-local-scope
# Scoped sessions proxy requests to the appropriate thread-local session.
# We should use the scoped_session object - not a seperately initialized version
Trade._session = scoped_session(sessionmaker(bind=engine, autoflush=False))
Order._session = Trade._session
PairLock._session = Trade._session
Trade.query = Trade._session.query_property()
Order.query = Trade._session.query_property()
PairLock.query = Trade._session.query_property()
# Since we also use fastAPI, we need to make it aware of the request id, too
Trade.session = scoped_session(sessionmaker(
bind=engine, autoflush=False), scopefunc=get_request_or_thread_id)
Order.session = Trade.session
PairLock.session = Trade.session
previous_tables = inspect(engine).get_table_names()
ModelBase.metadata.create_all(engine)

19
freqtrade/persistence/pairlock.py
View File

@@ -1,9 +1,8 @@
from datetime import datetime, timezone
from typing import Any, ClassVar, Dict, Optional
from sqlalchemy import String, or_
from sqlalchemy.orm import Mapped, Query, mapped_column
from sqlalchemy.orm.scoping import _QueryDescriptorType
from sqlalchemy import ScalarResult, String, or_, select
from sqlalchemy.orm import Mapped, mapped_column
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.persistence.base import ModelBase, SessionType
@@ -14,8 +13,7 @@ class PairLock(ModelBase):
Pair Locks database model.
"""
__tablename__ = 'pairlocks'
query: ClassVar[_QueryDescriptorType]
_session: ClassVar[SessionType]
session: ClassVar[SessionType]
id: Mapped[int] = mapped_column(primary_key=True)
@@ -38,7 +36,8 @@ class PairLock(ModelBase):
f'lock_end_time={lock_end_time}, reason={self.reason}, active={self.active})')
@staticmethod
def query_pair_locks(pair: Optional[str], now: datetime, side: str = '*') -> Query:
def query_pair_locks(
pair: Optional[str], now: datetime, side: str = '*') -> ScalarResult['PairLock']:
"""
Get all currently active locks for this pair
:param pair: Pair to check for. Returns all current locks if pair is empty
@@ -54,9 +53,11 @@ class PairLock(ModelBase):
else:
filters.append(PairLock.side == '*')
return PairLock.query.filter(
*filters
)
return PairLock.session.scalars(select(PairLock).filter(*filters))
@staticmethod
def get_all_locks() -> ScalarResult['PairLock']:
return PairLock.session.scalars(select(PairLock))
def to_json(self) -> Dict[str, Any]:
return {

22
freqtrade/persistence/pairlock_middleware.py
View File

@@ -1,6 +1,8 @@
import logging
from datetime import datetime, timezone
from typing import List, Optional
from typing import List, Optional, Sequence
from sqlalchemy import select
from freqtrade.exchange import timeframe_to_next_date
from freqtrade.persistence.models import PairLock
@@ -51,15 +53,15 @@ class PairLocks():
active=True
)
if PairLocks.use_db:
PairLock.query.session.add(lock)
PairLock.query.session.commit()
PairLock.session.add(lock)
PairLock.session.commit()
else:
PairLocks.locks.append(lock)
return lock
@staticmethod
def get_pair_locks(
pair: Optional[str], now: Optional[datetime] = None, side: str = '*') -> List[PairLock]:
def get_pair_locks(pair: Optional[str], now: Optional[datetime] = None,
side: str = '*') -> Sequence[PairLock]:
"""
Get all currently active locks for this pair
:param pair: Pair to check for. Returns all current locks if pair is empty
@@ -106,7 +108,7 @@ class PairLocks():
for lock in locks:
lock.active = False
if PairLocks.use_db:
PairLock.query.session.commit()
PairLock.session.commit()
@staticmethod
def unlock_reason(reason: str, now: Optional[datetime] = None) -> None:
@@ -126,11 +128,11 @@ class PairLocks():
PairLock.active.is_(True),
PairLock.reason == reason
]
locks = PairLock.query.filter(*filters)
locks = PairLock.session.scalars(select(PairLock).filter(*filters)).all()
for lock in locks:
logger.info(f"Releasing lock for {lock.pair} with reason '{reason}'.")
lock.active = False
PairLock.query.session.commit()
PairLock.session.commit()
else:
# used in backtesting mode; don't show log messages for speed
locksb = PairLocks.get_pair_locks(None)
@@ -165,11 +167,11 @@ class PairLocks():
)
@staticmethod
def get_all_locks() -> List[PairLock]:
def get_all_locks() -> Sequence[PairLock]:
"""
Return all locks, also locks with expired end date
"""
if PairLocks.use_db:
return PairLock.query.all()
return PairLock.get_all_locks().all()
else:
return PairLocks.locks

199
freqtrade/persistence/trade_model.py
View File

@@ -5,11 +5,11 @@ import logging
from collections import defaultdict
from datetime import datetime, timedelta, timezone
from math import isclose
from typing import Any, ClassVar, Dict, List, Optional, cast
from typing import Any, ClassVar, Dict, List, Optional, Sequence, cast
from sqlalchemy import Enum, Float, ForeignKey, Integer, String, UniqueConstraint, desc, func
from sqlalchemy.orm import Mapped, Query, lazyload, mapped_column, relationship
from sqlalchemy.orm.scoping import _QueryDescriptorType
from sqlalchemy import (Enum, Float, ForeignKey, Integer, ScalarResult, Select, String,
UniqueConstraint, desc, func, select)
from sqlalchemy.orm import Mapped, lazyload, mapped_column, relationship
from freqtrade.constants import (DATETIME_PRINT_FORMAT, MATH_CLOSE_PREC, NON_OPEN_EXCHANGE_STATES,
BuySell, LongShort)
@@ -36,8 +36,7 @@ class Order(ModelBase):
Mirrors CCXT Order structure
"""
__tablename__ = 'orders'
query: ClassVar[_QueryDescriptorType]
_session: ClassVar[SessionType]
session: ClassVar[SessionType]
# Uniqueness should be ensured over pair, order_id
# its likely that order_id is unique per Pair on some exchanges.
@@ -120,8 +119,9 @@ class Order(ModelBase):
def __repr__(self):
return (f'Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, '
f'side={self.side}, order_type={self.order_type}, status={self.status})')
return (f"Order(id={self.id}, order_id={self.order_id}, trade_id={self.ft_trade_id}, "
f"side={self.side}, filled={self.safe_filled}, price={self.safe_price}, "
f"order_type={self.order_type}, status={self.status})")
def update_from_ccxt_object(self, order):
"""
@@ -262,12 +262,12 @@ class Order(ModelBase):
return o
@staticmethod
def get_open_orders() -> List['Order']:
def get_open_orders() -> Sequence['Order']:
"""
Retrieve open orders from the database
:return: List of open orders
"""
return Order.query.filter(Order.ft_is_open.is_(True)).all()
return Order.session.scalars(select(Order).filter(Order.ft_is_open.is_(True))).all()
@staticmethod
def order_by_id(order_id: str) -> Optional['Order']:
@@ -275,7 +275,7 @@ class Order(ModelBase):
Retrieve order based on order_id
:return: Order or None
"""
return Order.query.filter(Order.order_id == order_id).first()
return Order.session.scalars(select(Order).filter(Order.order_id == order_id)).first()
class LocalTrade():
@@ -518,6 +518,8 @@ class LocalTrade():
'close_timestamp': int(self.close_date.replace(
tzinfo=timezone.utc).timestamp() * 1000) if self.close_date else None,
'realized_profit': self.realized_profit or 0.0,
# Close-profit corresponds to relative realized_profit ratio
'realized_profit_ratio': self.close_profit or None,
'close_rate': self.close_rate,
'close_rate_requested': self.close_rate_requested,
'close_profit': self.close_profit, # Deprecated
@@ -558,6 +560,9 @@ class LocalTrade():
'trading_mode': self.trading_mode,
'funding_fees': self.funding_fees,
'open_order_id': self.open_order_id,
'amount_precision': self.amount_precision,
'price_precision': self.price_precision,
'precision_mode': self.precision_mode,
'orders': orders,
}
@@ -1085,6 +1090,11 @@ class LocalTrade():
In live mode, converts the filter to a database query and returns all rows
In Backtest mode, uses filters on Trade.trades to get the result.
:param pair: Filter by pair
:param is_open: Filter by open/closed status
:param open_date: Filter by open_date (filters via trade.open_date > input)
:param close_date: Filter by close_date (filters via trade.close_date > input)
Will implicitly only return closed trades.
:return: unsorted List[Trade]
"""
@@ -1145,7 +1155,9 @@ class LocalTrade():
get open trade count
"""
if Trade.use_db:
return Trade.query.filter(Trade.is_open.is_(True)).count()
return Trade.session.execute(
select(func.count(Trade.id)).filter(Trade.is_open.is_(True))
).scalar_one()
else:
return LocalTrade.bt_open_open_trade_count
@@ -1178,8 +1190,7 @@ class Trade(ModelBase, LocalTrade):
Note: Fields must be aligned with LocalTrade class
"""
__tablename__ = 'trades'
query: ClassVar[_QueryDescriptorType]
_session: ClassVar[SessionType]
session: ClassVar[SessionType]
use_db: bool = True
@@ -1279,18 +1290,18 @@ class Trade(ModelBase, LocalTrade):
def delete(self) -> None:
for order in self.orders:
Order.query.session.delete(order)
Order.session.delete(order)
Trade.query.session.delete(self)
Trade.session.delete(self)
Trade.commit()
@staticmethod
def commit():
Trade.query.session.commit()
Trade.session.commit()
@staticmethod
def rollback():
Trade.query.session.rollback()
Trade.session.rollback()
@staticmethod
def get_trades_proxy(*, pair: Optional[str] = None, is_open: Optional[bool] = None,
@@ -1324,7 +1335,7 @@ class Trade(ModelBase, LocalTrade):
)
@staticmethod
def get_trades(trade_filter=None, include_orders: bool = True) -> Query['Trade']:
def get_trades_query(trade_filter=None, include_orders: bool = True) -> Select:
"""
Helper function to query Trades using filters.
NOTE: Not supported in Backtesting.
@@ -1339,22 +1350,35 @@ class Trade(ModelBase, LocalTrade):
if trade_filter is not None:
if not isinstance(trade_filter, list):
trade_filter = [trade_filter]
this_query = Trade.query.filter(*trade_filter)
this_query = select(Trade).filter(*trade_filter)
else:
this_query = Trade.query
this_query = select(Trade)
if not include_orders:
# Don't load order relations
# Consider using noload or raiseload instead of lazyload
this_query = this_query.options(lazyload(Trade.orders))
return this_query
@staticmethod
def get_trades(trade_filter=None, include_orders: bool = True) -> ScalarResult['Trade']:
"""
Helper function to query Trades using filters.
NOTE: Not supported in Backtesting.
:param trade_filter: Optional filter to apply to trades
Can be either a Filter object, or a List of filters
e.g. `(trade_filter=[Trade.id == trade_id, Trade.is_open.is_(True),])`
e.g. `(trade_filter=Trade.id == trade_id)`
:return: unsorted query object
"""
return Trade.session.scalars(Trade.get_trades_query(trade_filter, include_orders))
@staticmethod
def get_open_order_trades() -> List['Trade']:
"""
Returns all open trades
NOTE: Not supported in Backtesting.
"""
return Trade.get_trades(Trade.open_order_id.isnot(None)).all()
return cast(List[Trade], Trade.get_trades(Trade.open_order_id.isnot(None)).all())
@staticmethod
def get_open_trades_without_assigned_fees():
@@ -1384,11 +1408,12 @@ class Trade(ModelBase, LocalTrade):
Retrieves total realized profit
"""
if Trade.use_db:
total_profit = Trade.query.with_entities(
func.sum(Trade.close_profit_abs)).filter(Trade.is_open.is_(False)).scalar()
total_profit: float = Trade.session.execute(
select(func.sum(Trade.close_profit_abs)).filter(Trade.is_open.is_(False))
).scalar_one()
else:
total_profit = sum(
t.close_profit_abs for t in LocalTrade.get_trades_proxy(is_open=False))
total_profit = sum(t.close_profit_abs # type: ignore
for t in LocalTrade.get_trades_proxy(is_open=False))
return total_profit or 0
@staticmethod
@@ -1398,8 +1423,9 @@ class Trade(ModelBase, LocalTrade):
in stake currency
"""
if Trade.use_db:
total_open_stake_amount = Trade.query.with_entities(
func.sum(Trade.stake_amount)).filter(Trade.is_open.is_(True)).scalar()
total_open_stake_amount = Trade.session.scalar(
select(func.sum(Trade.stake_amount)).filter(Trade.is_open.is_(True))
)
else:
total_open_stake_amount = sum(
t.stake_amount for t in LocalTrade.get_trades_proxy(is_open=True))
@@ -1415,15 +1441,18 @@ class Trade(ModelBase, LocalTrade):
if minutes:
start_date = datetime.now(timezone.utc) - timedelta(minutes=minutes)
filters.append(Trade.close_date >= start_date)
pair_rates = Trade.query.with_entities(
Trade.pair,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)\
.group_by(Trade.pair) \
.order_by(desc('profit_sum_abs')) \
.all()
pair_rates = Trade.session.execute(
select(
Trade.pair,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)
.group_by(Trade.pair)
.order_by(desc('profit_sum_abs'))
).all()
return [
{
'pair': pair,
@@ -1448,15 +1477,16 @@ class Trade(ModelBase, LocalTrade):
if (pair is not None):
filters.append(Trade.pair == pair)
enter_tag_perf = Trade.query.with_entities(
Trade.enter_tag,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)\
.group_by(Trade.enter_tag) \
.order_by(desc('profit_sum_abs')) \
.all()
enter_tag_perf = Trade.session.execute(
select(
Trade.enter_tag,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)
.group_by(Trade.enter_tag)
.order_by(desc('profit_sum_abs'))
).all()
return [
{
@@ -1480,16 +1510,16 @@ class Trade(ModelBase, LocalTrade):
filters: List = [Trade.is_open.is_(False)]
if (pair is not None):
filters.append(Trade.pair == pair)
sell_tag_perf = Trade.query.with_entities(
Trade.exit_reason,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)\
.group_by(Trade.exit_reason) \
.order_by(desc('profit_sum_abs')) \
.all()
sell_tag_perf = Trade.session.execute(
select(
Trade.exit_reason,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)
.group_by(Trade.exit_reason)
.order_by(desc('profit_sum_abs'))
).all()
return [
{
@@ -1513,18 +1543,18 @@ class Trade(ModelBase, LocalTrade):
filters: List = [Trade.is_open.is_(False)]
if (pair is not None):
filters.append(Trade.pair == pair)
mix_tag_perf = Trade.query.with_entities(
Trade.id,
Trade.enter_tag,
Trade.exit_reason,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)\
.group_by(Trade.id) \
.order_by(desc('profit_sum_abs')) \
.all()
mix_tag_perf = Trade.session.execute(
select(
Trade.id,
Trade.enter_tag,
Trade.exit_reason,
func.sum(Trade.close_profit).label('profit_sum'),
func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
func.count(Trade.pair).label('count')
).filter(*filters)
.group_by(Trade.id)
.order_by(desc('profit_sum_abs'))
).all()
return_list: List[Dict] = []
for id, enter_tag, exit_reason, profit, profit_abs, count in mix_tag_perf:
@@ -1560,11 +1590,15 @@ class Trade(ModelBase, LocalTrade):
NOTE: Not supported in Backtesting.
:returns: Tuple containing (pair, profit_sum)
"""
best_pair = Trade.query.with_entities(
Trade.pair, func.sum(Trade.close_profit).label('profit_sum')
).filter(Trade.is_open.is_(False) & (Trade.close_date >= start_date)) \
.group_by(Trade.pair) \
.order_by(desc('profit_sum')).first()
best_pair = Trade.session.execute(
select(
Trade.pair,
func.sum(Trade.close_profit).label('profit_sum')
).filter(Trade.is_open.is_(False) & (Trade.close_date >= start_date))
.group_by(Trade.pair)
.order_by(desc('profit_sum'))
).first()
return best_pair
@staticmethod
@@ -1574,12 +1608,13 @@ class Trade(ModelBase, LocalTrade):
NOTE: Not supported in Backtesting.
:returns: Tuple containing (pair, profit_sum)
"""
trading_volume = Order.query.with_entities(
func.sum(Order.cost).label('volume')
).filter(
Order.order_filled_date >= start_date,
Order.status == 'closed'
).scalar()
trading_volume = Trade.session.execute(
select(
func.sum(Order.cost).label('volume')
).filter(
Order.order_filled_date >= start_date,
Order.status == 'closed'
)).scalar_one()
return trading_volume
@staticmethod
@@ -1628,8 +1663,10 @@ class Trade(ModelBase, LocalTrade):
stop_loss=data["stop_loss_abs"],
stop_loss_pct=data["stop_loss_ratio"],
stoploss_order_id=data["stoploss_order_id"],
stoploss_last_update=(datetime.fromtimestamp(data["stoploss_last_update"] // 1000,
tz=timezone.utc) if data["stoploss_last_update"] else None),
stoploss_last_update=(
datetime.fromtimestamp(data["stoploss_last_update_timestamp"] // 1000,
tz=timezone.utc)
if data["stoploss_last_update_timestamp"] else None),
initial_stop_loss=data["initial_stop_loss_abs"],
initial_stop_loss_pct=data["initial_stop_loss_ratio"],
min_rate=data["min_rate"],

7
freqtrade/plugins/pairlist/SpreadFilter.py
View File

@@ -5,6 +5,7 @@ import logging
from typing import Any, Dict, Optional
from freqtrade.constants import Config
from freqtrade.exceptions import OperationalException
from freqtrade.exchange.types import Ticker
from freqtrade.plugins.pairlist.IPairList import IPairList
@@ -22,6 +23,12 @@ class SpreadFilter(IPairList):
self._max_spread_ratio = pairlistconfig.get('max_spread_ratio', 0.005)
self._enabled = self._max_spread_ratio != 0
if not self._exchange.get_option('tickers_have_bid_ask'):
raise OperationalException(
f"{self.name} requires exchange to have bid/ask data for tickers, "
"which is not available for the selected exchange / trading mode."
)
@property
def needstickers(self) -> bool:
"""

8
freqtrade/rpc/api_server/api_schemas.py
View File

@@ -250,6 +250,7 @@ class TradeSchema(BaseModel):
profit_fiat: Optional[float]
realized_profit: float
realized_profit_ratio: Optional[float]
exit_reason: Optional[str]
exit_order_status: Optional[str]
@@ -275,6 +276,10 @@ class TradeSchema(BaseModel):
funding_fees: Optional[float]
trading_mode: Optional[TradingMode]
amount_precision: Optional[float]
price_precision: Optional[float]
precision_mode: Optional[int]
class OpenTradeSchema(TradeSchema):
stoploss_current_dist: Optional[float]
@@ -285,6 +290,7 @@ class OpenTradeSchema(TradeSchema):
current_rate: float
total_profit_abs: float
total_profit_fiat: Optional[float]
total_profit_ratio: Optional[float]
open_order: Optional[str]
@@ -309,7 +315,7 @@ class LockModel(BaseModel):
lock_timestamp: int
pair: str
side: str
reason: str
reason: Optional[str]
class Locks(BaseModel):

3
freqtrade/rpc/api_server/api_v1.py
View File

@@ -42,7 +42,8 @@ logger = logging.getLogger(__name__)
# 2.22: Add FreqAI to backtesting
# 2.23: Allow plot config request in webserver mode
# 2.24: Add cancel_open_order endpoint
API_VERSION = 2.24
# 2.25: Add several profit values to /status endpoint
API_VERSION = 2.25
# Public API, requires no auth.
router_public = APIRouter()

17
freqtrade/rpc/api_server/deps.py
View File

@@ -1,9 +1,11 @@
from typing import Any, Dict, Iterator, Optional
from typing import Any, AsyncIterator, Dict, Optional
from uuid import uuid4
from fastapi import Depends
from freqtrade.enums import RunMode
from freqtrade.persistence import Trade
from freqtrade.persistence.models import _request_id_ctx_var
from freqtrade.rpc.rpc import RPC, RPCException
from .webserver import ApiServer
@@ -15,12 +17,19 @@ def get_rpc_optional() -> Optional[RPC]:
return None
def get_rpc() -> Optional[Iterator[RPC]]:
async def get_rpc() -> Optional[AsyncIterator[RPC]]:
_rpc = get_rpc_optional()
if _rpc:
request_id = str(uuid4())
ctx_token = _request_id_ctx_var.set(request_id)
Trade.rollback()
yield _rpc
Trade.rollback()
try:
yield _rpc
finally:
Trade.session.remove()
_request_id_ctx_var.reset(ctx_token)
else:
raise RPCException('Bot is not in the correct state')

50
freqtrade/rpc/rpc.py
View File

@@ -5,7 +5,7 @@ import logging
from abc import abstractmethod
from datetime import date, datetime, timedelta, timezone
from math import isnan
from typing import Any, Dict, Generator, List, Optional, Tuple, Union
from typing import Any, Dict, Generator, List, Optional, Sequence, Tuple, Union
import arrow
import psutil
@@ -13,6 +13,7 @@ from dateutil.relativedelta import relativedelta
from dateutil.tz import tzlocal
from numpy import NAN, inf, int64, mean
from pandas import DataFrame, NaT
from sqlalchemy import func, select
from freqtrade import __version__
from freqtrade.configuration.timerange import TimeRange
@@ -122,7 +123,8 @@ class RPC:
if config['max_open_trades'] != float('inf') else -1),
'minimal_roi': config['minimal_roi'].copy() if 'minimal_roi' in config else {},
'stoploss': config.get('stoploss'),
'stoploss_on_exchange': config.get('stoploss_on_exchange', False),
'stoploss_on_exchange': config.get('order_types',
{}).get('stoploss_on_exchange', False),
'trailing_stop': config.get('trailing_stop'),
'trailing_stop_positive': config.get('trailing_stop_positive'),
'trailing_stop_positive_offset': config.get('trailing_stop_positive_offset'),
@@ -158,7 +160,7 @@ class RPC:
"""
# Fetch open trades
if trade_ids:
trades: List[Trade] = Trade.get_trades(trade_filter=Trade.id.in_(trade_ids)).all()
trades: Sequence[Trade] = Trade.get_trades(trade_filter=Trade.id.in_(trade_ids)).all()
else:
trades = Trade.get_open_trades()
@@ -192,6 +194,11 @@ class RPC:
current_profit = trade.close_profit or 0.0
current_profit_abs = trade.close_profit_abs or 0.0
total_profit_abs = trade.realized_profit + current_profit_abs
total_profit_ratio: Optional[float] = None
if trade.max_stake_amount:
total_profit_ratio = (
(total_profit_abs / trade.max_stake_amount) * trade.leverage
)
# Calculate fiat profit
if not isnan(current_profit_abs) and self._fiat_converter:
@@ -224,6 +231,7 @@ class RPC:
total_profit_abs=total_profit_abs,
total_profit_fiat=total_profit_fiat,
total_profit_ratio=total_profit_ratio,
stoploss_current_dist=stoploss_current_dist,
stoploss_current_dist_ratio=round(stoploss_current_dist_ratio, 8),
stoploss_current_dist_pct=round(stoploss_current_dist_ratio * 100, 2),
@@ -333,11 +341,13 @@ class RPC:
for day in range(0, timescale):
profitday = start_date - time_offset(day)
# Only query for necessary columns for performance reasons.
trades = Trade.query.session.query(Trade.close_profit_abs).filter(
Trade.is_open.is_(False),
Trade.close_date >= profitday,
Trade.close_date < (profitday + time_offset(1))
).order_by(Trade.close_date).all()
trades = Trade.session.execute(
select(Trade.close_profit_abs)
.filter(Trade.is_open.is_(False),
Trade.close_date >= profitday,
Trade.close_date < (profitday + time_offset(1)))
.order_by(Trade.close_date)
).all()
curdayprofit = sum(
trade.close_profit_abs for trade in trades if trade.close_profit_abs is not None)
@@ -375,19 +385,25 @@ class RPC:
""" Returns the X last trades """
order_by: Any = Trade.id if order_by_id else Trade.close_date.desc()
if limit:
trades = Trade.get_trades([Trade.is_open.is_(False)]).order_by(
order_by).limit(limit).offset(offset)
trades = Trade.session.scalars(
Trade.get_trades_query([Trade.is_open.is_(False)])
.order_by(order_by)
.limit(limit)
.offset(offset))
else:
trades = Trade.get_trades([Trade.is_open.is_(False)]).order_by(
Trade.close_date.desc())
trades = Trade.session.scalars(
Trade.get_trades_query([Trade.is_open.is_(False)])
.order_by(Trade.close_date.desc()))
output = [trade.to_json() for trade in trades]
total_trades = Trade.session.scalar(
select(func.count(Trade.id)).filter(Trade.is_open.is_(False)))
return {
"trades": output,
"trades_count": len(output),
"offset": offset,
"total_trades": Trade.get_trades([Trade.is_open.is_(False)]).count(),
"total_trades": total_trades,
}
def _rpc_stats(self) -> Dict[str, Any]:
@@ -429,8 +445,8 @@ class RPC:
""" Returns cumulative profit statistics """
trade_filter = ((Trade.is_open.is_(False) & (Trade.close_date >= start_date)) |
Trade.is_open.is_(True))
trades: List[Trade] = Trade.get_trades(
trade_filter, include_orders=False).order_by(Trade.id).all()
trades: Sequence[Trade] = Trade.session.scalars(Trade.get_trades_query(
trade_filter, include_orders=False).order_by(Trade.id)).all()
profit_all_coin = []
profit_all_ratio = []
@@ -939,12 +955,12 @@ class RPC:
def _rpc_delete_lock(self, lockid: Optional[int] = None,
pair: Optional[str] = None) -> Dict[str, Any]:
""" Delete specific lock(s) """
locks = []
locks: Sequence[PairLock] = []
if pair:
locks = PairLocks.get_pair_locks(pair)
if lockid:
locks = PairLock.query.filter(PairLock.id == lockid).all()
locks = PairLock.session.scalars(select(PairLock).filter(PairLock.id == lockid)).all()
for lock in locks:
lock.active = False

58
freqtrade/rpc/telegram.py
View File

@@ -83,6 +83,8 @@ def authorized_only(command_handler: Callable[..., None]) -> Callable[..., Any]:
self._send_msg(str(e))
except BaseException:
logger.exception('Exception occurred within Telegram module')
finally:
Trade.session.remove()
return wrapper
@@ -321,31 +323,33 @@ class Telegram(RPCHandler):
and self._rpc._fiat_converter):
msg['profit_fiat'] = self._rpc._fiat_converter.convert_amount(
msg['profit_amount'], msg['stake_currency'], msg['fiat_currency'])
msg['profit_extra'] = (
f" / {msg['profit_fiat']:.3f} {msg['fiat_currency']}")
msg['profit_extra'] = f" / {msg['profit_fiat']:.3f} {msg['fiat_currency']}"
else:
msg['profit_extra'] = ''
msg['profit_extra'] = (
f" ({msg['gain']}: {msg['profit_amount']:.8f} {msg['stake_currency']}"
f"{msg['profit_extra']})")
is_fill = msg['type'] == RPCMessageType.EXIT_FILL
is_sub_trade = msg.get('sub_trade')
is_sub_profit = msg['profit_amount'] != msg.get('cumulative_profit')
profit_prefix = ('Sub ' if is_sub_profit
else 'Cumulative ') if is_sub_trade else ''
profit_prefix = ('Sub ' if is_sub_profit else 'Cumulative ') if is_sub_trade else ''
cp_extra = ''
exit_wording = 'Exited' if is_fill else 'Exiting'
if is_sub_profit and is_sub_trade:
if self._rpc._fiat_converter:
cp_fiat = self._rpc._fiat_converter.convert_amount(
msg['cumulative_profit'], msg['stake_currency'], msg['fiat_currency'])
cp_extra = f" / {cp_fiat:.3f} {msg['fiat_currency']}"
else:
cp_extra = ''
cp_extra = f"*Cumulative Profit:* (`{msg['cumulative_profit']:.8f} " \
f"{msg['stake_currency']}{cp_extra}`)\n"
exit_wording = f"Partially {exit_wording.lower()}"
cp_extra = (
f"*Cumulative Profit:* (`{msg['cumulative_profit']:.8f} "
f"{msg['stake_currency']}{cp_extra}`)\n"
)
message = (
f"{msg['emoji']} *{self._exchange_from_msg(msg)}:* "
f"{'Exited' if is_fill else 'Exiting'} {msg['pair']} (#{msg['trade_id']})\n"
f"{exit_wording} {msg['pair']} (#{msg['trade_id']})\n"
f"{self._add_analyzed_candle(msg['pair'])}"
f"*{f'{profit_prefix}Profit' if is_fill else f'Unrealized {profit_prefix}Profit'}:* "
f"`{msg['profit_ratio']:.2%}{msg['profit_extra']}`\n"
@@ -364,7 +368,7 @@ class Telegram(RPCHandler):
elif msg['type'] == RPCMessageType.EXIT_FILL:
message += f"*Exit Rate:* `{msg['close_rate']:.8f}`"
if msg.get('sub_trade'):
if is_sub_trade:
if self._rpc._fiat_converter:
msg['stake_amount_fiat'] = self._rpc._fiat_converter.convert_amount(
msg['stake_amount'], msg['stake_currency'], msg['fiat_currency'])
@@ -412,6 +416,9 @@ class Telegram(RPCHandler):
elif msg_type == RPCMessageType.WARNING:
message = f"\N{WARNING SIGN} *Warning:* `{msg['status']}`"
elif msg_type == RPCMessageType.EXCEPTION:
# Errors will contain exceptions, which are wrapped in tripple ticks.
message = f"\N{WARNING SIGN} *ERROR:* \n {msg['status']}"
elif msg_type == RPCMessageType.STARTUP:
message = f"{msg['status']}"
@@ -486,7 +493,9 @@ class Telegram(RPCHandler):
if order_nr == 1:
lines.append(f"*{wording} #{order_nr}:*")
lines.append(
f"*Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})")
f"*Amount:* {cur_entry_amount} "
f"({round_coin_value(order['cost'], quote_currency)})"
)
lines.append(f"*Average Price:* {cur_entry_average}")
else:
sum_stake = 0
@@ -506,14 +515,14 @@ class Telegram(RPCHandler):
if prev_avg_price:
minus_on_entry = (cur_entry_average - prev_avg_price) / prev_avg_price
lines.append(f"*{wording} #{order_nr}:* at {minus_on_entry:.2%} avg profit")
lines.append(f"*{wording} #{order_nr}:* at {minus_on_entry:.2%} avg Profit")
if is_open:
lines.append("({})".format(cur_entry_datetime
.humanize(granularity=["day", "hour", "minute"])))
lines.append(f"*Amount:* {cur_entry_amount} "
f"({round_coin_value(order['cost'], quote_currency)})")
lines.append(f"*Average {wording} Price:* {cur_entry_average} "
f"({price_to_1st_entry:.2%} from 1st entry rate)")
f"({price_to_1st_entry:.2%} from 1st entry Rate)")
lines.append(f"*Order filled:* {order['order_filled_date']}")
# TODO: is this really useful?
@@ -565,6 +574,8 @@ class Telegram(RPCHandler):
and not o['ft_order_side'] == 'stoploss'])
r['exit_reason'] = r.get('exit_reason', "")
r['stake_amount_r'] = round_coin_value(r['stake_amount'], r['quote_currency'])
r['max_stake_amount_r'] = round_coin_value(
r['max_stake_amount'] or r['stake_amount'], r['quote_currency'])
r['profit_abs_r'] = round_coin_value(r['profit_abs'], r['quote_currency'])
r['realized_profit_r'] = round_coin_value(r['realized_profit'], r['quote_currency'])
r['total_profit_abs_r'] = round_coin_value(
@@ -576,30 +587,37 @@ class Telegram(RPCHandler):
f"*Direction:* {'`Short`' if r.get('is_short') else '`Long`'}"
+ " ` ({leverage}x)`" if r.get('leverage') else "",
"*Amount:* `{amount} ({stake_amount_r})`",
"*Total invested:* `{max_stake_amount_r}`" if position_adjust else "",
"*Enter Tag:* `{enter_tag}`" if r['enter_tag'] else "",
"*Exit Reason:* `{exit_reason}`" if r['exit_reason'] else "",
]
if position_adjust:
max_buy_str = (f"/{max_entries + 1}" if (max_entries > 0) else "")
lines.append("*Number of Entries:* `{num_entries}`" + max_buy_str)
lines.append("*Number of Exits:* `{num_exits}`")
lines.extend([
"*Number of Entries:* `{num_entries}" + max_buy_str + "`",
"*Number of Exits:* `{num_exits}`"
])
lines.extend([
"*Open Rate:* `{open_rate:.8f}`",
"*Close Rate:* `{close_rate:.8f}`" if r['close_rate'] else "",
"*Open Date:* `{open_date}`",
"*Close Date:* `{close_date}`" if r['close_date'] else "",
"*Current Rate:* `{current_rate:.8f}`" if r['is_open'] else "",
" \n*Current Rate:* `{current_rate:.8f}`" if r['is_open'] else "",
("*Unrealized Profit:* " if r['is_open'] else "*Close Profit: *")
+ "`{profit_ratio:.2%}` `({profit_abs_r})`",
])
if r['is_open']:
if r.get('realized_profit'):
lines.append("*Realized Profit:* `{realized_profit_r}`")
lines.append("*Total Profit:* `{total_profit_abs_r}` ")
lines.extend([
"*Realized Profit:* `{realized_profit_ratio:.2%} ({realized_profit_r})`",
"*Total Profit:* `{total_profit_ratio:.2%} ({total_profit_abs_r})`"
])
# Append empty line to improve readability
lines.append(" ")
if (r['stop_loss_abs'] != r['initial_stop_loss_abs']
and r['initial_stop_loss_ratio'] is not None):
# Adding initial stoploss only if it is different from stoploss
@@ -1324,7 +1342,7 @@ class Telegram(RPCHandler):
message = tabulate({k: [v] for k, v in counts.items()},
headers=['current', 'max', 'total stake'],
tablefmt='simple')
message = "<pre>{}</pre>".format(message)
message = f"<pre>{message}</pre>"
logger.debug(message)
self._send_msg(message, parse_mode=ParseMode.HTML,
reload_able=True, callback_path="update_count",
@@ -1626,7 +1644,7 @@ class Telegram(RPCHandler):
])
else:
reply_markup = InlineKeyboardMarkup([[]])
msg += "\nUpdated: {}".format(datetime.now().ctime())
msg += f"\nUpdated: {datetime.now().ctime()}"
if not query.message:
return
chat_id = query.message.chat_id

3
freqtrade/rpc/webhook.py
View File

@@ -58,6 +58,7 @@ class Webhook(RPCHandler):
valuedict = whconfig.get('webhookexitcancel')
elif msg['type'] in (RPCMessageType.STATUS,
RPCMessageType.STARTUP,
RPCMessageType.EXCEPTION,
RPCMessageType.WARNING):
valuedict = whconfig.get('webhookstatus')
elif msg['type'].value in whconfig:
@@ -112,7 +113,7 @@ class Webhook(RPCHandler):
response = post(self._url, data=payload['data'],
headers={'Content-Type': 'text/plain'})
else:
raise NotImplementedError('Unknown format: {}'.format(self._format))
raise NotImplementedError(f'Unknown format: {self._format}')
# Throw a RequestException if the post was not successful
response.raise_for_status()

20
freqtrade/strategy/strategy_helper.py
View File

@@ -86,37 +86,41 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
def stoploss_from_open(
open_relative_stop: float,
current_profit: float,
is_short: bool = False
is_short: bool = False,
leverage: float = 1.0
) -> float:
"""
Given the current profit, and a desired stop loss value relative to the open price,
Given the current profit, and a desired stop loss value relative to the trade entry price,
return a stop loss value that is relative to the current price, and which can be
returned from `custom_stoploss`.
The requested stop can be positive for a stop above the open price, or negative for
a stop below the open price. The return value is always >= 0.
`open_relative_stop` will be considered as adjusted for leverage if leverage is provided..
Returns 0 if the resulting stop price would be above/below (longs/shorts) the current price
:param open_relative_stop: Desired stop loss percentage relative to open price
:param open_relative_stop: Desired stop loss percentage, relative to the open price,
adjusted for leverage
:param current_profit: The current profit percentage
:param is_short: When true, perform the calculation for short instead of long
:param leverage: Leverage to use for the calculation
:return: Stop loss value relative to current price
"""
# formula is undefined for current_profit -1 (longs) or 1 (shorts), return maximum value
if (current_profit == -1 and not is_short) or (is_short and current_profit == 1):
_current_profit = current_profit / leverage
if (_current_profit == -1 and not is_short) or (is_short and _current_profit == 1):
return 1
if is_short is True:
stoploss = -1 + ((1 - open_relative_stop) / (1 - current_profit))
stoploss = -1 + ((1 - open_relative_stop / leverage) / (1 - _current_profit))
else:
stoploss = 1 - ((1 + open_relative_stop) / (1 + current_profit))
stoploss = 1 - ((1 + open_relative_stop / leverage) / (1 + _current_profit))
# negative stoploss values indicate the requested stop price is higher/lower
# (long/short) than the current price
return max(stoploss, 0.0)
return max(stoploss * leverage, 0.0)
def stoploss_from_absolute(stop_rate: float, current_rate: float, is_short: bool = False) -> float:

255
freqtrade/strategy/strategyupdater.py Normal file
View File

@@ -0,0 +1,255 @@
import shutil
from pathlib import Path
import ast_comments
from freqtrade.constants import Config
class StrategyUpdater:
name_mapping = {
'ticker_interval': 'timeframe',
'buy': 'enter_long',
'sell': 'exit_long',
'buy_tag': 'enter_tag',
'sell_reason': 'exit_reason',
'sell_signal': 'exit_signal',
'custom_sell': 'custom_exit',
'force_sell': 'force_exit',
'emergency_sell': 'emergency_exit',
# Strategy/config settings:
'use_sell_signal': 'use_exit_signal',
'sell_profit_only': 'exit_profit_only',
'sell_profit_offset': 'exit_profit_offset',
'ignore_roi_if_buy_signal': 'ignore_roi_if_entry_signal',
'forcebuy_enable': 'force_entry_enable',
}
function_mapping = {
'populate_buy_trend': 'populate_entry_trend',
'populate_sell_trend': 'populate_exit_trend',
'custom_sell': 'custom_exit',
'check_buy_timeout': 'check_entry_timeout',
'check_sell_timeout': 'check_exit_timeout',
# '': '',
}
# order_time_in_force, order_types, unfilledtimeout
otif_ot_unfilledtimeout = {
'buy': 'entry',
'sell': 'exit',
}
# create a dictionary that maps the old column names to the new ones
rename_dict = {'buy': 'enter_long', 'sell': 'exit_long', 'buy_tag': 'enter_tag'}
def start(self, config: Config, strategy_obj: dict) -> None:
"""
Run strategy updater
It updates a strategy to v3 with the help of the ast-module
:return: None
"""
source_file = strategy_obj['location']
strategies_backup_folder = Path.joinpath(config['user_data_dir'], "strategies_orig_updater")
target_file = Path.joinpath(strategies_backup_folder, strategy_obj['location_rel'])
# read the file
with Path(source_file).open('r') as f:
old_code = f.read()
if not strategies_backup_folder.is_dir():
Path(strategies_backup_folder).mkdir(parents=True, exist_ok=True)
# backup original
# => currently no date after the filename,
# could get overridden pretty fast if this is fired twice!
# The folder is always the same and the file name too (currently).
shutil.copy(source_file, target_file)
# update the code
new_code = self.update_code(old_code)
# write the modified code to the destination folder
with Path(source_file).open('w') as f:
f.write(new_code)
# define the function to update the code
def update_code(self, code):
# parse the code into an AST
tree = ast_comments.parse(code)
# use the AST to update the code
updated_code = self.modify_ast(tree)
# return the modified code without executing it
return updated_code
# function that uses the ast module to update the code
def modify_ast(self, tree): # noqa
# use the visitor to update the names and functions in the AST
NameUpdater().visit(tree)
# first fix the comments, so it understands "\n" properly inside multi line comments.
ast_comments.fix_missing_locations(tree)
ast_comments.increment_lineno(tree, n=1)
# generate the new code from the updated AST
# without indent {} parameters would just be written straight one after the other.
# ast_comments would be amazing since this is the only solution that carries over comments,
# but it does currently not have an unparse function, hopefully in the future ... !
# return ast_comments.unparse(tree)
return ast_comments.unparse(tree)
# Here we go through each respective node, slice, elt, key ... to replace outdated entries.
class NameUpdater(ast_comments.NodeTransformer):
def generic_visit(self, node):
# space is not yet transferred from buy/sell to entry/exit and thereby has to be skipped.
if isinstance(node, ast_comments.keyword):
if node.arg == "space":
return node
# from here on this is the original function.
for field, old_value in ast_comments.iter_fields(node):
if isinstance(old_value, list):
new_values = []
for value in old_value:
if isinstance(value, ast_comments.AST):
value = self.visit(value)
if value is None:
continue
elif not isinstance(value, ast_comments.AST):
new_values.extend(value)
continue
new_values.append(value)
old_value[:] = new_values
elif isinstance(old_value, ast_comments.AST):
new_node = self.visit(old_value)
if new_node is None:
delattr(node, field)
else:
setattr(node, field, new_node)
return node
def visit_Expr(self, node):
if hasattr(node.value, "left") and hasattr(node.value.left, "id"):
node.value.left.id = self.check_dict(StrategyUpdater.name_mapping, node.value.left.id)
self.visit(node.value)
return node
# Renames an element if contained inside a dictionary.
@staticmethod
def check_dict(current_dict: dict, element: str):
if element in current_dict:
element = current_dict[element]
return element
def visit_arguments(self, node):
if isinstance(node.args, list):
for arg in node.args:
arg.arg = self.check_dict(StrategyUpdater.name_mapping, arg.arg)
return node
def visit_Name(self, node):
# if the name is in the mapping, update it
node.id = self.check_dict(StrategyUpdater.name_mapping, node.id)
return node
def visit_Import(self, node):
# do not update the names in import statements
return node
def visit_ImportFrom(self, node):
# if hasattr(node, "module"):
# if node.module == "freqtrade.strategy.hyper":
# node.module = "freqtrade.strategy"
return node
def visit_If(self, node: ast_comments.If):
for child in ast_comments.iter_child_nodes(node):
self.visit(child)
return node
def visit_FunctionDef(self, node):
node.name = self.check_dict(StrategyUpdater.function_mapping, node.name)
self.generic_visit(node)
return node
def visit_Attribute(self, node):
if (
isinstance(node.value, ast_comments.Name)
and node.value.id == 'trade'
and node.attr == 'nr_of_successful_buys'
):
node.attr = 'nr_of_successful_entries'
return node
def visit_ClassDef(self, node):
# check if the class is derived from IStrategy
if any(isinstance(base, ast_comments.Name) and
base.id == 'IStrategy' for base in node.bases):
# check if the INTERFACE_VERSION variable exists
has_interface_version = any(
isinstance(child, ast_comments.Assign) and
isinstance(child.targets[0], ast_comments.Name) and
child.targets[0].id == 'INTERFACE_VERSION'
for child in node.body
)
# if the INTERFACE_VERSION variable does not exist, add it as the first child
if not has_interface_version:
node.body.insert(0, ast_comments.parse('INTERFACE_VERSION = 3').body[0])
# otherwise, update its value to 3
else:
for child in node.body:
if (
isinstance(child, ast_comments.Assign)
and isinstance(child.targets[0], ast_comments.Name)
and child.targets[0].id == 'INTERFACE_VERSION'
):
child.value = ast_comments.parse('3').body[0].value
self.generic_visit(node)
return node
def visit_Subscript(self, node):
if isinstance(node.slice, ast_comments.Constant):
if node.slice.value in StrategyUpdater.rename_dict:
# Replace the slice attributes with the values from rename_dict
node.slice.value = StrategyUpdater.rename_dict[node.slice.value]
if hasattr(node.slice, "elts"):
self.visit_elts(node.slice.elts)
if hasattr(node.slice, "value"):
if hasattr(node.slice.value, "elts"):
self.visit_elts(node.slice.value.elts)
return node
# elts can have elts (technically recursively)
def visit_elts(self, elts):
if isinstance(elts, list):
for elt in elts:
self.visit_elt(elt)
else:
self.visit_elt(elts)
return elts
# sub function again needed since the structure itself is highly flexible ...
def visit_elt(self, elt):
if isinstance(elt, ast_comments.Constant) and elt.value in StrategyUpdater.rename_dict:
elt.value = StrategyUpdater.rename_dict[elt.value]
if hasattr(elt, "elts"):
self.visit_elts(elt.elts)
if hasattr(elt, "args"):
if isinstance(elt.args, ast_comments.arguments):
self.visit_elts(elt.args)
else:
for arg in elt.args:
self.visit_elts(arg)
return elt
def visit_Constant(self, node):
node.value = self.check_dict(StrategyUpdater.otif_ot_unfilledtimeout, node.value)
node.value = self.check_dict(StrategyUpdater.name_mapping, node.value)
return node

3
freqtrade/util/binance_mig.py
View File

@@ -1,6 +1,7 @@
import logging
from packaging import version
from sqlalchemy import select
from freqtrade.constants import Config
from freqtrade.enums.tradingmode import TradingMode
@@ -44,7 +45,7 @@ def _migrate_binance_futures_db(config: Config):
# Should symbol be migrated too?
# order.symbol = new_pair
Trade.commit()
pls = PairLock.query.filter(PairLock.pair.notlike('%:%'))
pls = PairLock.session.scalars(select(PairLock).filter(PairLock.pair.notlike('%:%'))).all()
for pl in pls:
pl.pair = f"{pl.pair}:{config['stake_currency']}"
# print(pls)

8
freqtrade/vendor/qtpylib/indicators.py vendored
View File

@@ -1,5 +1,3 @@
# -*- coding: utf-8 -*-
#
# QTPyLib: Quantitative Trading Python Library
# https://github.com/ranaroussi/qtpylib
#
@@ -18,7 +16,6 @@
# limitations under the License.
#
import sys
import warnings
from datetime import datetime, timedelta
@@ -27,11 +24,6 @@ import pandas as pd
from pandas.core.base import PandasObject
# =============================================
# check min, python version
if sys.version_info < (3, 4):
raise SystemError("QTPyLib requires Python version >= 3.4")
# =============================================
warnings.simplefilter(action="ignore", category=RuntimeWarning)

7
freqtrade/worker.py
View File

@@ -12,7 +12,7 @@ import sdnotify
from freqtrade import __version__
from freqtrade.configuration import Configuration
from freqtrade.constants import PROCESS_THROTTLE_SECS, RETRY_TIMEOUT, Config
from freqtrade.enums import State
from freqtrade.enums import RPCMessageType, State
from freqtrade.exceptions import OperationalException, TemporaryError
from freqtrade.exchange import timeframe_to_next_date
from freqtrade.freqtradebot import FreqtradeBot
@@ -185,7 +185,10 @@ class Worker:
tb = traceback.format_exc()
hint = 'Issue `/start` if you think it is safe to restart.'
self.freqtrade.notify_status(f'OperationalException:\n```\n{tb}```{hint}')
self.freqtrade.notify_status(
f'*OperationalException:*\n```\n{tb}```\n {hint}',
msg_type=RPCMessageType.EXCEPTION
)
logger.exception('OperationalException. Stopping trader ...')
self.freqtrade.state = State.STOPPED