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bug fix for depth of field infinite loop bug, added experimental check for 24hour average of high and low

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This commit is contained in:
Nullart 2018-06-28 11:42:10 +08:00
parent fff2b81c10
commit 8177cb040a
5 changed files with 42 additions and 30 deletions
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5
config.json.example
View File

@ -48,8 +48,9 @@
"use_sell_signal": false, "use_sell_signal": false,
"sell_profit_only": false, "sell_profit_only": false,
"sell_fullfilled_at_roi": false, "sell_fullfilled_at_roi": false,
"check_depth_of_market": true, "check_depth_of_market": false,
"dom_bids_asks_delta": 1.5 "dom_bids_asks_delta": 1.5,
"buy_price_below_24h_h_l": false
}, },
"telegram": { "telegram": {
"enabled": true, "enabled": true,

3
config_full.json.example
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@ -53,8 +53,9 @@
"use_sell_signal": false, "use_sell_signal": false,
"sell_profit_only": false, "sell_profit_only": false,
"sell_fullfilled_at_roi": false, "sell_fullfilled_at_roi": false,
"check_depth_of_market": true, "check_depth_of_market": false,
"dom_bids_asks_delta": 1.5 "dom_bids_asks_delta": 1.5
"buy_price_below_24h_h_l": false
}, },
"telegram": { "telegram": {
"enabled": true, "enabled": true,

25
docs/configuration.md
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@ -18,20 +18,20 @@ The table below will list all configuration parameters.
| `stake_currency` | BTC | Yes | Crypto-currency used for trading. | `stake_currency` | BTC | Yes | Crypto-currency used for trading.
| `stake_amount` | 0.05 | Yes | Amount of crypto-currency your bot will use for each trade. Per default, the bot will use (0.05 BTC x 3) = 0.15 BTC in total will be always engaged. | `stake_amount` | 0.05 | Yes | Amount of crypto-currency your bot will use for each trade. Per default, the bot will use (0.05 BTC x 3) = 0.15 BTC in total will be always engaged.
| `ticker_interval` | [1m, 5m, 30m, 1h, 1d] | No | The ticker interval to use (1min, 5 min, 30 min, 1 hour or 1 day). Default is 5 minutes | `ticker_interval` | [1m, 5m, 30m, 1h, 1d] | No | The ticker interval to use (1min, 5 min, 30 min, 1 hour or 1 day). Default is 5 minutes
| `fiat_display_currency` | USD | Yes | Fiat currency used to show your profits. [More information below](docs/configuration.md#what-are-the-valid-values-for-fiat_display_currency). | `fiat_display_currency` | USD | Yes | Fiat currency used to show your profits. [More information below](#what-are-the-valid-values-for-fiat_display_currency).
| `dry_run` | true | Yes | Define if the bot must be in Dry-run or production mode. [More information below](docs/configuration.md#switch-to-dry-run--paper-trading-mode) | `dry_run` | true | Yes | Define if the bot must be in Dry-run or production mode. [More information below](#switch-to-dry-run--paper-trading-mode)
| `minimal_roi` | See below | No | Set the threshold in percent the bot will use to sell a trade. More information below. If set, this parameter will override `minimal_roi` from your strategy file. [More information below](docs/configuration.md#understanding-minimal_roi). | `minimal_roi` | See below | No | Set the threshold in percent the bot will use to sell a trade. More information below. If set, this parameter will override `minimal_roi` from your strategy file. [More information below](#understanding-minimal_roi).
| `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. If set, this parameter will override `stoploss` from your strategy file. | `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. If set, this parameter will override `stoploss` from your strategy file.
| `disable_buy` | false | No | Disables buying of crypto-currency. Bot will continue to sell. | `disable_buy` | false | No | Disables buying of crypto-currency. Bot will continue to sell.
| `unfilledtimeout.buy` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled. | `unfilledtimeout.buy` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled.
| `unfilledtimeout.sell` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled. | `unfilledtimeout.sell` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled.
| `bid_strategy.ask_last_balance` | 0.0 | Yes | Set the bidding price. [More information below](docs/configuration.md#understanding-bid_strategyask_last_balance). | `bid_strategy.ask_last_balance` | 0.0 | Yes | Set the bidding price. [More information below](#understanding-bid_strategyask_last_balance).
| `bid_strategy.use_book_order` | false | No | Use book order to set the bidding price. [More information below](docs/configuration.md#understanding-bid_strategyuse_book_order). | `bid_strategy.use_book_order` | false | No | Use book order to set the bidding price. [More information below](#understanding-bid_strategyuse_book_order).
| `bid_strategy.book_order_top` | 1 | No | Selects the top n bidding price in book order. [More information below](docs/configuration.md#understanding-bid_strategyuse_book_order). | `bid_strategy.book_order_top` | 1 | No | Selects the top n bidding price in book order. [More information below](#understanding-bid_strategyuse_book_order).
| `bid_strategy.percent_from_top` | 0 | No | Set the percent to deduct from the buy rate from book order (if enabled) or from ask/last price. [More information below](docs/configuration.md#understanding-bid_strategypercent_from_top). | `bid_strategy.percent_from_top` | 0 | No | Set the percent to deduct from the buy rate from book order (if enabled) or from ask/last price. [More information below](#understanding-bid_strategypercent_from_top).
| `ask_strategy.use_book_order` | false | No | Use book order to set the asking price. More information below. | `ask_strategy.use_book_order` | false | No | Use book order to set the asking price. More information below.
| `ask_strategy.book_order_min` | 1 | No | The minimum index from the top to search for profitable asking price from book order. [More information below](docs/configuration.md#understanding-ask_strategyuse_book_order). | `ask_strategy.book_order_min` | 1 | No | The minimum index from the top to search for profitable asking price from book order. [More information below](#understanding-ask_strategyuse_book_order).
| `ask_strategy.book_order_max` | 1 | No | The maximum index from the top to search for profitable asking price from book order. [More information below](docs/configuration.md#understanding-ask_strategyuse_book_order). | `ask_strategy.book_order_max` | 1 | No | The maximum index from the top to search for profitable asking price from book order. [More information below](#understanding-ask_strategyuse_book_order).
| `exchange.name` | bittrex | Yes | Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename). | `exchange.name` | bittrex | Yes | Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename).
| `exchange.key` | key | No | API key to use for the exchange. Only required when you are in production mode. | `exchange.key` | key | No | API key to use for the exchange. Only required when you are in production mode.
| `exchange.secret` | secret | No | API secret to use for the exchange. Only required when you are in production mode. | `exchange.secret` | secret | No | API secret to use for the exchange. Only required when you are in production mode.
@ -40,13 +40,14 @@ The table below will list all configuration parameters.
| `experimental.use_sell_signal` | false | No | Use your sell strategy in addition of the `minimal_roi`. | `experimental.use_sell_signal` | false | No | Use your sell strategy in addition of the `minimal_roi`.
| `experimental.sell_profit_only` | false | No | waits until you have made a positive profit before taking a sell decision. | `experimental.sell_profit_only` | false | No | waits until you have made a positive profit before taking a sell decision.
| `experimental.sell_fullfilled_at_roi` | false | No | automatically creates a sell order based on `minimal_roi` once a buy order has been fullfilled. | `experimental.sell_fullfilled_at_roi` | false | No | automatically creates a sell order based on `minimal_roi` once a buy order has been fullfilled.
| `experimental.check_depth_of_market` | false | No | checks order book depth by comparing total size of bids and total size of asks. [More information below](docs/configuration.md#understanding-experimentalcheck_depth_of_market). | `experimental.check_depth_of_market` | false | No | checks order book depth by comparing total size of bids and total size of asks. [More information below](#understanding-experimentalcheck_depth_of_market).
| `experimental.dom_bids_asks_delta` | 0 | No | the difference of total size bids vs total size asks to indicate a buy signal. [More information below](docs/configuration.md#understanding-experimentalcheck_depth_of_market). | `experimental.dom_bids_asks_delta` | 0 | No | the difference of total size bids vs total size asks to indicate a buy signal. [More information below](#understanding-experimentalcheck_depth_of_market).
| `experimental.buy_price_below_24h_h_l` | false | No | allows buy if the buying price is below average of 24 hour high and low.
| `telegram.enabled` | true | Yes | Enable or not the usage of Telegram. | `telegram.enabled` | true | Yes | Enable or not the usage of Telegram.
| `telegram.token` | token | No | Your Telegram bot token. Only required if `telegram.enabled` is `true`. | `telegram.token` | token | No | Your Telegram bot token. Only required if `telegram.enabled` is `true`.
| `telegram.chat_id` | chat_id | No | Your personal Telegram account id. Only required if `telegram.enabled` is `true`. | `telegram.chat_id` | chat_id | No | Your personal Telegram account id. Only required if `telegram.enabled` is `true`.
| `db_url` | `sqlite:///tradesv3.sqlite` | No | Declares database URL to use. NOTE: This defaults to `sqlite://` if `dry_run` is `True`. | `db_url` | `sqlite:///tradesv3.sqlite` | No | Declares database URL to use. NOTE: This defaults to `sqlite://` if `dry_run` is `True`.
| `initial_state` | running | No | Defines the initial application state. [More information below](docs/configuration.md#understanding-initial_state). | `initial_state` | running | No | Defines the initial application state. [More information below](#understanding-initial_state).
| `strategy` | DefaultStrategy | No | Defines Strategy class to use. | `strategy` | DefaultStrategy | No | Defines Strategy class to use.
| `strategy_path` | null | No | Adds an additional strategy lookup path (must be a folder). | `strategy_path` | null | No | Adds an additional strategy lookup path (must be a folder).
| `internals.process_throttle_secs` | 5 | Yes | Set the process throttle. Value in second. | `internals.process_throttle_secs` | 5 | Yes | Set the process throttle. Value in second.

3
freqtrade/constants.py
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@ -95,7 +95,8 @@ CONF_SCHEMA = {
'sell_profit_only': {'type': 'boolean'}, 'sell_profit_only': {'type': 'boolean'},
'sell_fullfilled_at_roi': {'type': 'boolean'}, 'sell_fullfilled_at_roi': {'type': 'boolean'},
'check_depth_of_market': {'type': 'boolean'}, 'check_depth_of_market': {'type': 'boolean'},
'dom_bids_asks_delta': {'type': 'number', 'minimum': 0} 'dom_bids_asks_delta': {'type': 'number', 'minimum': 0},
'buy_price_below_24h_h_l': {'type': 'boolean'},
} }
}, },
'telegram': { 'telegram': {

36
freqtrade/freqtradebot.py
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@ -322,23 +322,31 @@ class FreqtradeBot(object):
for _pair in whitelist: for _pair in whitelist:
(buy, sell) = self.analyze.get_signal(_pair, interval) (buy, sell) = self.analyze.get_signal(_pair, interval)
if buy and not sell: if buy and not sell:
pair = _pair # order book depth of market
break if self.config.get('experimental', {}).get('check_depth_of_market', False) \
and (self.config.get('experimental', {}).get('dom_bids_asks_delta', 0) > 0):
logger.info('depth of market check for %s', _pair)
orderBook = exchange.get_order_book(_pair, 1000)
orderBook_df = self.analyze.order_book_to_dataframe(orderBook)
orderBook_bids = orderBook_df['b_size'].sum()
orderBook_asks = orderBook_df['a_size'].sum()
logger.info('bids: %s, asks: %s, delta: %s', orderBook_bids, orderBook_asks, orderBook_bids / orderBook_asks)
if (orderBook_bids / orderBook_asks) >= self.config.get('experimental', {}).get('dom_bids_asks_delta', 0):
# check if price is below average of 24h high low
if self.config.get('experimental', {}).get('buy_price_below_24h_h_l', False):
pair_ticker = exchange.get_ticker(_pair)
logger.info('checking ask price if below 24h high %s and low %s average...', pair_ticker['high'], pair_ticker['low'])
if pair_ticker['ask'] > ((pair_ticker['high']+pair_ticker['low'])/2):
pair = _pair
break
pair = _pair
break
else:
pair = _pair
break
else: else:
return False return False
# order book depth of market
if self.config.get('experimental', {}).get('check_depth_of_market', False) \
and (self.config.get('experimental', {}).get('dom_bids_asks_delta', 0) > 0):
logger.info('depth of market check for %s', pair)
orderBook = exchange.get_order_book(pair, 1000)
orderBook_df = self.analyze.order_book_to_dataframe(orderBook)
orderBook_bids = orderBook_df['b_size'].sum()
orderBook_asks = orderBook_df['a_size'].sum()
logger.info('bids: %s, asks: %s, delta: %s', orderBook_bids, orderBook_asks, orderBook_bids / orderBook_asks)
if (orderBook_bids / orderBook_asks) < self.config.get('experimental', {}).get('dom_bids_asks_delta', 0):
return False
pair_s = pair.replace('_', '/') pair_s = pair.replace('_', '/')
pair_url = exchange.get_pair_detail_url(pair) pair_url = exchange.get_pair_detail_url(pair)
# Calculate amount # Calculate amount