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Merge branch 'develop' into feat/externalsignals

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This commit is contained in:
Timothy Pogue 2022-09-12 07:28:08 -06:00
commit 85b43a7c34
10 changed files with 78 additions and 62 deletions
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2
.pre-commit-config.yaml
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@ -15,7 +15,7 @@ repos:
additional_dependencies:
- types-cachetools==5.2.1
- types-filelock==3.2.7
- types-requests==2.28.9
- types-requests==2.28.10
- types-tabulate==0.8.11
- types-python-dateutil==2.8.19
# stages: [push]

10
docs/data-download.md
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@ -25,8 +25,7 @@ usage: freqtrade download-data [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--include-inactive-pairs]
[--timerange TIMERANGE] [--dl-trades]
[--exchange EXCHANGE]
[-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]]
[--erase]
[-t TIMEFRAMES [TIMEFRAMES ...]] [--erase]
[--data-format-ohlcv {json,jsongz,hdf5}]
[--data-format-trades {json,jsongz,hdf5}]
[--trading-mode {spot,margin,futures}]
@ -37,7 +36,8 @@ optional arguments:
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Limit command to these pairs. Pairs are space-
separated.
--pairs-file FILE File containing a list of pairs to download.
--pairs-file FILE File containing a list of pairs. Takes precedence over
--pairs or pairs configured in the configuration.
--days INT Download data for given number of days.
--new-pairs-days INT Download data of new pairs for given number of days.
Default: `None`.
@ -50,7 +50,7 @@ optional arguments:
as --timeframes/-t.
--exchange EXCHANGE Exchange name (default: `bittrex`). Only valid if no
config is provided.
-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...], --timeframes {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]
-t TIMEFRAMES [TIMEFRAMES ...], --timeframes TIMEFRAMES [TIMEFRAMES ...]
Specify which tickers to download. Space-separated
list. Default: `1m 5m`.
--erase Clean all existing data for the selected
@ -61,7 +61,7 @@ optional arguments:
--data-format-trades {json,jsongz,hdf5}
Storage format for downloaded trades data. (default:
`jsongz`).
--trading-mode {spot,margin,futures}
--trading-mode {spot,margin,futures}, --tradingmode {spot,margin,futures}
Select Trading mode
--prepend Allow data prepending. (Data-appending is disabled)

2
docs/requirements-docs.txt
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@ -1,6 +1,6 @@
markdown==3.3.7
mkdocs==1.3.1
mkdocs-material==8.4.2
mkdocs-material==8.4.3
mdx_truly_sane_lists==1.3
pymdown-extensions==9.5
jinja2==3.1.2

4
docs/utils.md
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@ -525,12 +525,14 @@ Requires a configuration with specified `pairlists` attribute.
Can be used to generate static pairlists to be used during backtesting / hyperopt.
```
usage: freqtrade test-pairlist [-h] [-v] [-c PATH]
usage: freqtrade test-pairlist [-h] [--userdir PATH] [-v] [-c PATH]
[--quote QUOTE_CURRENCY [QUOTE_CURRENCY ...]]
[-1] [--print-json] [--exchange EXCHANGE]
optional arguments:
-h, --help show this help message and exit
--userdir PATH, --user-data-dir PATH
Path to userdata directory.
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
-c PATH, --config PATH
Specify configuration file (default:

4
freqtrade/commands/arguments.py
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@ -53,8 +53,8 @@ ARGS_LIST_PAIRS = ["exchange", "print_list", "list_pairs_print_json", "print_one
"print_csv", "base_currencies", "quote_currencies", "list_pairs_all",
"trading_mode"]
ARGS_TEST_PAIRLIST = ["verbosity", "config", "quote_currencies", "print_one_column",
"list_pairs_print_json", "exchange"]
ARGS_TEST_PAIRLIST = ["user_data_dir", "verbosity", "config", "quote_currencies",
"print_one_column", "list_pairs_print_json", "exchange"]
ARGS_CREATE_USERDIR = ["user_data_dir", "reset"]

3
freqtrade/commands/cli_options.py
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@ -393,7 +393,8 @@ AVAILABLE_CLI_OPTIONS = {
# Download data
"pairs_file": Arg(
'--pairs-file',
help='File containing a list of pairs to download.',
help='File containing a list of pairs. '
'Takes precedence over --pairs or pairs configured in the configuration.',
metavar='FILE',
),
"days": Arg(

2
freqtrade/data/dataprovider.py
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@ -206,7 +206,7 @@ class DataProvider:
"""
_candle_type = CandleType.from_string(
candle_type) if candle_type != '' else self._config['candle_type_def']
saved_pair = (pair, str(timeframe), _candle_type)
saved_pair: PairWithTimeframe = (pair, str(timeframe), _candle_type)
if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange')))

97
freqtrade/optimize/hyperopt.py
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@ -290,7 +290,7 @@ class Hyperopt:
# noinspection PyProtectedMember
attr.value = params_dict[attr_name]
def generate_optimizer(self, raw_params: List[Any], iteration=None) -> Dict:
def generate_optimizer(self, raw_params: List[Any]) -> Dict[str, Any]:
"""
Used Optimize function.
Called once per epoch to optimize whatever is configured.
@ -410,9 +410,11 @@ class Hyperopt:
model_queue_size=SKOPT_MODEL_QUEUE_SIZE,
)
def run_optimizer_parallel(self, parallel, asked, i) -> List:
def run_optimizer_parallel(
self, parallel: Parallel, asked: List[List]) -> List[Dict[str, Any]]:
""" Start optimizer in a parallel way """
return parallel(delayed(
wrap_non_picklable_objects(self.generate_optimizer))(v, i) for v in asked)
wrap_non_picklable_objects(self.generate_optimizer))(v) for v in asked)
def _set_random_state(self, random_state: Optional[int]) -> int:
return random_state or random.randint(1, 2**16 - 1)
@ -491,6 +493,53 @@ class Hyperopt:
else:
return self.opt.ask(n_points=n_points), [False for _ in range(n_points)]
def get_progressbar_widgets(self):
if self.print_colorized:
widgets = [
' [Epoch ', progressbar.Counter(), ' of ', str(self.total_epochs),
' (', progressbar.Percentage(), ')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
fill_wrap=Fore.GREEN + '{}' + Fore.RESET,
marker_wrap=Style.BRIGHT + '{}' + Style.RESET_ALL,
)),
' [', progressbar.ETA(), ', ', progressbar.Timer(), ']',
]
else:
widgets = [
' [Epoch ', progressbar.Counter(), ' of ', str(self.total_epochs),
' (', progressbar.Percentage(), ')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
)),
' [', progressbar.ETA(), ', ', progressbar.Timer(), ']',
]
return widgets
def evaluate_result(self, val: Dict[str, Any], current: int, is_random: bool):
"""
Evaluate results returned from generate_optimizer
"""
val['current_epoch'] = current
val['is_initial_point'] = current <= INITIAL_POINTS
logger.debug("Optimizer epoch evaluated: %s", val)
is_best = HyperoptTools.is_best_loss(val, self.current_best_loss)
# This value is assigned here and not in the optimization method
# to keep proper order in the list of results. That's because
# evaluations can take different time. Here they are aligned in the
# order they will be shown to the user.
val['is_best'] = is_best
val['is_random'] = is_random
self.print_results(val)
if is_best:
self.current_best_loss = val['loss']
self.current_best_epoch = val
self._save_result(val)
def start(self) -> None:
self.random_state = self._set_random_state(self.config.get('hyperopt_random_state'))
logger.info(f"Using optimizer random state: {self.random_state}")
@ -526,26 +575,7 @@ class Hyperopt:
logger.info(f'Effective number of parallel workers used: {jobs}')
# Define progressbar
if self.print_colorized:
widgets = [
' [Epoch ', progressbar.Counter(), ' of ', str(self.total_epochs),
' (', progressbar.Percentage(), ')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
fill_wrap=Fore.GREEN + '{}' + Fore.RESET,
marker_wrap=Style.BRIGHT + '{}' + Style.RESET_ALL,
)),
' [', progressbar.ETA(), ', ', progressbar.Timer(), ']',
]
else:
widgets = [
' [Epoch ', progressbar.Counter(), ' of ', str(self.total_epochs),
' (', progressbar.Percentage(), ')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
)),
' [', progressbar.ETA(), ', ', progressbar.Timer(), ']',
]
widgets = self.get_progressbar_widgets()
with progressbar.ProgressBar(
max_value=self.total_epochs, redirect_stdout=False, redirect_stderr=False,
widgets=widgets
@ -558,32 +588,15 @@ class Hyperopt:
current_jobs = jobs - n_rest if n_rest > 0 else jobs
asked, is_random = self.get_asked_points(n_points=current_jobs)
f_val = self.run_optimizer_parallel(parallel, asked, i)
f_val = self.run_optimizer_parallel(parallel, asked)
self.opt.tell(asked, [v['loss'] for v in f_val])
# Calculate progressbar outputs
for j, val in enumerate(f_val):
# Use human-friendly indexes here (starting from 1)
current = i * jobs + j + 1
val['current_epoch'] = current
val['is_initial_point'] = current <= INITIAL_POINTS
logger.debug(f"Optimizer epoch evaluated: {val}")
is_best = HyperoptTools.is_best_loss(val, self.current_best_loss)
# This value is assigned here and not in the optimization method
# to keep proper order in the list of results. That's because
# evaluations can take different time. Here they are aligned in the
# order they will be shown to the user.
val['is_best'] = is_best
val['is_random'] = is_random[j]
self.print_results(val)
if is_best:
self.current_best_loss = val['loss']
self.current_best_epoch = val
self._save_result(val)
self.evaluate_result(val, current, is_random[j])
pbar.update(current)

2
requirements-dev.txt
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@ -25,6 +25,6 @@ nbconvert==7.0.0
# mypy types
types-cachetools==5.2.1
types-filelock==3.2.7
types-requests==2.28.9
types-requests==2.28.10
types-tabulate==0.8.11
types-python-dateutil==2.8.19

14
requirements.txt
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@ -1,18 +1,18 @@
numpy==1.23.2
numpy==1.23.3
pandas==1.4.4
pandas-ta==0.3.14b
ccxt==1.93.3
ccxt==1.93.35
# Pin cryptography for now due to rust build errors with piwheels
cryptography==37.0.4
cryptography==38.0.1
aiohttp==3.8.1
SQLAlchemy==1.4.40
SQLAlchemy==1.4.41
python-telegram-bot==13.14
arrow==1.2.3
cachetools==4.2.2
requests==2.28.1
urllib3==1.26.12
jsonschema==4.15.0
jsonschema==4.16.0
TA-Lib==0.4.24
technical==1.3.0
tabulate==0.8.10
@ -34,10 +34,10 @@ orjson==3.8.0
sdnotify==0.3.2
# API Server
fastapi==0.82.0
fastapi==0.83.0
uvicorn==0.18.3
pyjwt==2.4.0
aiofiles==0.8.0
aiofiles==22.1.0
psutil==5.9.2
# Support for colorized terminal output