From 78a00f2518e4c2c2022194c86d0601b7713cda5c Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Mon, 22 Nov 2021 09:27:33 +0200 Subject: [PATCH] Use market data to get base and quote currencies in @informative() decorator. --- freqtrade/optimize/backtesting.py | 2 +- freqtrade/strategy/informative_decorator.py | 11 +++++----- .../strats/informative_decorator_strategy.py | 10 +++++----- tests/strategy/test_strategy_helpers.py | 20 ++++++++++--------- 4 files changed, 22 insertions(+), 21 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 49957c2bb..5c41041b4 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -67,7 +67,7 @@ class Backtesting: self.all_results: Dict[str, Dict] = {} self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) - self.dataprovider = DataProvider(self.config, None) + self.dataprovider = DataProvider(self.config, self.exchange) if self.config.get('strategy_list', None): for strat in list(self.config['strategy_list']): diff --git a/freqtrade/strategy/informative_decorator.py b/freqtrade/strategy/informative_decorator.py index 4c5f21108..722e7a128 100644 --- a/freqtrade/strategy/informative_decorator.py +++ b/freqtrade/strategy/informative_decorator.py @@ -80,12 +80,11 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: # Not specifying an asset will define informative dataframe for current pair. asset = metadata['pair'] - if '/' in asset: - base, quote = asset.split('/') - else: - # When futures are supported this may need reevaluation. - # base, quote = asset, '' - raise OperationalException('Not implemented.') + market = strategy.dp.market(asset) + if market is None: + raise OperationalException(f'Market {asset} is not available.') + base = market['base'] + quote = market['quote'] # Default format. This optimizes for the common case: informative pairs using same stake # currency. When quote currency matches stake currency, column name will omit base currency. diff --git a/tests/strategy/strats/informative_decorator_strategy.py b/tests/strategy/strats/informative_decorator_strategy.py index a32ad79e8..17d4df018 100644 --- a/tests/strategy/strats/informative_decorator_strategy.py +++ b/tests/strategy/strats/informative_decorator_strategy.py @@ -20,7 +20,7 @@ class InformativeDecoratorTest(IStrategy): startup_candle_count: int = 20 def informative_pairs(self): - return [('BTC/USDT', '5m')] + return [('NEO/USDT', '5m')] def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['buy'] = 0 @@ -38,8 +38,8 @@ class InformativeDecoratorTest(IStrategy): return dataframe # Simple informative test. - @informative('1h', 'BTC/{stake}') - def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + @informative('1h', 'NEO/{stake}') + def populate_indicators_neo_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['rsi'] = 14 return dataframe @@ -50,7 +50,7 @@ class InformativeDecoratorTest(IStrategy): return dataframe # Formatting test. - @informative('30m', 'BTC/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}') + @informative('30m', 'NEO/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}') def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['rsi'] = 14 return dataframe @@ -68,7 +68,7 @@ class InformativeDecoratorTest(IStrategy): dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] # Mixing manual informative pairs with decorators. - informative = self.dp.get_pair_dataframe('BTC/USDT', '5m') + informative = self.dp.get_pair_dataframe('NEO/USDT', '5m') informative['rsi'] = 14 dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True) diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index cb7cf97a1..9e546869a 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -7,6 +7,7 @@ import pytest from freqtrade.data.dataprovider import DataProvider from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open, timeframe_to_minutes) +from tests.conftest import get_patched_exchange def generate_test_data(timeframe: str, size: int, start: str = '2020-07-05'): @@ -155,9 +156,9 @@ def test_informative_decorator(mocker, default_conf): ('LTC/USDT', '5m'): test_data_5m, ('LTC/USDT', '30m'): test_data_30m, ('LTC/USDT', '1h'): test_data_1h, - ('BTC/USDT', '30m'): test_data_30m, - ('BTC/USDT', '5m'): test_data_5m, - ('BTC/USDT', '1h'): test_data_1h, + ('NEO/USDT', '30m'): test_data_30m, + ('NEO/USDT', '5m'): test_data_5m, + ('NEO/USDT', '1h'): test_data_1h, ('ETH/USDT', '1h'): test_data_1h, ('ETH/USDT', '30m'): test_data_30m, ('ETH/BTC', '1h'): test_data_1h, @@ -165,15 +166,16 @@ def test_informative_decorator(mocker, default_conf): from .strats.informative_decorator_strategy import InformativeDecoratorTest default_conf['stake_currency'] = 'USDT' strategy = InformativeDecoratorTest(config=default_conf) - strategy.dp = DataProvider({}, None, None) + exchange = get_patched_exchange(mocker, default_conf) + strategy.dp = DataProvider({}, exchange, None) mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[ - 'XRP/USDT', 'LTC/USDT', 'BTC/USDT' + 'XRP/USDT', 'LTC/USDT', 'NEO/USDT' ]) assert len(strategy._ft_informative) == 6 # Equal to number of decorators used informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'), - ('LTC/USDT', '30m'), ('BTC/USDT', '1h'), ('BTC/USDT', '30m'), - ('BTC/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')] + ('LTC/USDT', '30m'), ('NEO/USDT', '1h'), ('NEO/USDT', '30m'), + ('NEO/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')] for inf_pair in informative_pairs: assert inf_pair in strategy.gather_informative_pairs() @@ -186,8 +188,8 @@ def test_informative_decorator(mocker, default_conf): {p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')}) expected_columns = [ 'rsi_1h', 'rsi_30m', # Stacked informative decorators - 'btc_usdt_rsi_1h', # BTC 1h informative - 'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting + 'neo_usdt_rsi_1h', # NEO 1h informative + 'rsi_NEO_USDT_neo_usdt_NEO/USDT_30m', # Column formatting 'rsi_from_callable', # Custom column formatter 'eth_btc_rsi_1h', # Quote currency not matching stake currency 'rsi', 'rsi_less', # Non-informative columns