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Merge branch 'develop' into pr/imxuwang/3799

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This commit is contained in:
Matthias
2020-12-05 14:06:23 +01:00
parent 7a8b274a44 058d40a72c
commit 8f61b68b2a
64 changed files with 1109 additions and 273 deletions
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4
freqtrade/configuration/config_validation.py
View File

@@ -137,6 +137,10 @@ def _validate_edge(conf: Dict[str, Any]) -> None:
"Edge and VolumePairList are incompatible, "
"Edge will override whatever pairs VolumePairlist selects."
)
if not conf.get('ask_strategy', {}).get('use_sell_signal', True):
raise OperationalException(
"Edge requires `use_sell_signal` to be True, otherwise no sells will happen."
)
def _validate_whitelist(conf: Dict[str, Any]) -> None:

41
freqtrade/configuration/deprecated_settings.py
View File

@@ -26,6 +26,24 @@ def check_conflicting_settings(config: Dict[str, Any],
)
def process_removed_setting(config: Dict[str, Any],
section1: str, name1: str,
section2: str, name2: str) -> None:
"""
:param section1: Removed section
:param name1: Removed setting name
:param section2: new section for this key
:param name2: new setting name
"""
section1_config = config.get(section1, {})
if name1 in section1_config:
raise OperationalException(
f"Setting `{section1}.{name1}` has been moved to `{section2}.{name2}. "
f"Please delete it from your configuration and use the `{section2}.{name2}` "
"setting instead."
)
def process_deprecated_setting(config: Dict[str, Any],
section1: str, name1: str,
section2: str, name2: str) -> None:
@@ -44,19 +62,18 @@ def process_deprecated_setting(config: Dict[str, Any],
def process_temporary_deprecated_settings(config: Dict[str, Any]) -> None:
check_conflicting_settings(config, 'ask_strategy', 'use_sell_signal',
'experimental', 'use_sell_signal')
check_conflicting_settings(config, 'ask_strategy', 'sell_profit_only',
'experimental', 'sell_profit_only')
check_conflicting_settings(config, 'ask_strategy', 'ignore_roi_if_buy_signal',
'experimental', 'ignore_roi_if_buy_signal')
# Kept for future deprecated / moved settings
# check_conflicting_settings(config, 'ask_strategy', 'use_sell_signal',
# 'experimental', 'use_sell_signal')
# process_deprecated_setting(config, 'ask_strategy', 'use_sell_signal',
# 'experimental', 'use_sell_signal')
process_deprecated_setting(config, 'ask_strategy', 'use_sell_signal',
'experimental', 'use_sell_signal')
process_deprecated_setting(config, 'ask_strategy', 'sell_profit_only',
'experimental', 'sell_profit_only')
process_deprecated_setting(config, 'ask_strategy', 'ignore_roi_if_buy_signal',
'experimental', 'ignore_roi_if_buy_signal')
process_removed_setting(config, 'experimental', 'use_sell_signal',
'ask_strategy', 'use_sell_signal')
process_removed_setting(config, 'experimental', 'sell_profit_only',
'ask_strategy', 'sell_profit_only')
process_removed_setting(config, 'experimental', 'ignore_roi_if_buy_signal',
'ask_strategy', 'ignore_roi_if_buy_signal')
if (config.get('edge', {}).get('enabled', False)
and 'capital_available_percentage' in config.get('edge', {})):

11
freqtrade/constants.py
View File

@@ -24,8 +24,9 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'PrecisionFilter', 'PriceFilter',
'ShuffleFilter', 'SpreadFilter']
'AgeFilter', 'PerformanceFilter', 'PrecisionFilter',
'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter',
'SpreadFilter']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'
@@ -182,9 +183,6 @@ CONF_SCHEMA = {
'experimental': {
'type': 'object',
'properties': {
'use_sell_signal': {'type': 'boolean'},
'sell_profit_only': {'type': 'boolean'},
'ignore_roi_if_buy_signal': {'type': 'boolean'},
'block_bad_exchanges': {'type': 'boolean'}
}
},
@@ -365,3 +363,6 @@ CANCEL_REASON = {
# List of pairs with their timeframes
PairWithTimeframe = Tuple[str, str]
ListPairsWithTimeframes = List[PairWithTimeframe]
# Type for trades list
TradeList = List[List]

10
freqtrade/data/converter.py
View File

@@ -10,7 +10,7 @@ from typing import Any, Dict, List
import pandas as pd
from pandas import DataFrame, to_datetime
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TradeList
logger = logging.getLogger(__name__)
@@ -168,7 +168,7 @@ def trades_remove_duplicates(trades: List[List]) -> List[List]:
return [i for i, _ in itertools.groupby(sorted(trades, key=itemgetter(0)))]
def trades_dict_to_list(trades: List[Dict]) -> List[List]:
def trades_dict_to_list(trades: List[Dict]) -> TradeList:
"""
Convert fetch_trades result into a List (to be more memory efficient).
:param trades: List of trades, as returned by ccxt.fetch_trades.
@@ -177,16 +177,18 @@ def trades_dict_to_list(trades: List[Dict]) -> List[List]:
return [[t[col] for col in DEFAULT_TRADES_COLUMNS] for t in trades]
def trades_to_ohlcv(trades: List, timeframe: str) -> DataFrame:
def trades_to_ohlcv(trades: TradeList, timeframe: str) -> DataFrame:
"""
Converts trades list to OHLCV list
TODO: This should get a dedicated test
:param trades: List of trades, as returned by ccxt.fetch_trades.
:param timeframe: Timeframe to resample data to
:return: OHLCV Dataframe.
:raises: ValueError if no trades are provided
"""
from freqtrade.exchange import timeframe_to_minutes
timeframe_minutes = timeframe_to_minutes(timeframe)
if not trades:
raise ValueError('Trade-list empty.')
df = pd.DataFrame(trades, columns=DEFAULT_TRADES_COLUMNS)
df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms',
utc=True,)

4
freqtrade/data/history/hdf5datahandler.py
View File

@@ -9,9 +9,9 @@ import pandas as pd
from freqtrade import misc
from freqtrade.configuration import TimeRange
from freqtrade.constants import (DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS,
ListPairsWithTimeframes)
ListPairsWithTimeframes, TradeList)
from .idatahandler import IDataHandler, TradeList
from .idatahandler import IDataHandler
logger = logging.getLogger(__name__)

21
freqtrade/data/history/history_utils.py
View File

@@ -214,10 +214,9 @@ def _download_pair_history(datadir: Path,
data_handler.ohlcv_store(pair, timeframe, data=data)
return True
except Exception as e:
logger.error(
f'Failed to download history data for pair: "{pair}", timeframe: {timeframe}. '
f'Error: {e}'
except Exception:
logger.exception(
f'Failed to download history data for pair: "{pair}", timeframe: {timeframe}.'
)
return False
@@ -304,10 +303,9 @@ def _download_trades_history(exchange: Exchange,
logger.info(f"New Amount of trades: {len(trades)}")
return True
except Exception as e:
logger.error(
except Exception:
logger.exception(
f'Failed to download historic trades for pair: "{pair}". '
f'Error: {e}'
)
return False
@@ -356,9 +354,12 @@ def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str],
if erase:
if data_handler_ohlcv.ohlcv_purge(pair, timeframe):
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
ohlcv = trades_to_ohlcv(trades, timeframe)
# Store ohlcv
data_handler_ohlcv.ohlcv_store(pair, timeframe, data=ohlcv)
try:
ohlcv = trades_to_ohlcv(trades, timeframe)
# Store ohlcv
data_handler_ohlcv.ohlcv_store(pair, timeframe, data=ohlcv)
except ValueError:
logger.exception(f'Could not convert {pair} to OHLCV.')
def get_timerange(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:

5
freqtrade/data/history/idatahandler.py
View File

@@ -13,16 +13,13 @@ from typing import List, Optional, Type
from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.constants import ListPairsWithTimeframes, TradeList
from freqtrade.data.converter import clean_ohlcv_dataframe, trades_remove_duplicates, trim_dataframe
from freqtrade.exchange import timeframe_to_seconds
logger = logging.getLogger(__name__)
# Type for trades list
TradeList = List[List]
class IDataHandler(ABC):

4
freqtrade/data/history/jsondatahandler.py
View File

@@ -8,10 +8,10 @@ from pandas import DataFrame, read_json, to_datetime
from freqtrade import misc
from freqtrade.configuration import TimeRange
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, ListPairsWithTimeframes
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, ListPairsWithTimeframes, TradeList
from freqtrade.data.converter import trades_dict_to_list
from .idatahandler import IDataHandler, TradeList
from .idatahandler import IDataHandler
logger = logging.getLogger(__name__)

20
freqtrade/exchange/exchange.py
View File

@@ -124,7 +124,8 @@ class Exchange:
# Check if all pairs are available
self.validate_stakecurrency(config['stake_currency'])
self.validate_pairs(config['exchange']['pair_whitelist'])
if not exchange_config.get('skip_pair_validation'):
self.validate_pairs(config['exchange']['pair_whitelist'])
self.validate_ordertypes(config.get('order_types', {}))
self.validate_order_time_in_force(config.get('order_time_in_force', {}))
self.validate_required_startup_candles(config.get('startup_candle_count', 0))
@@ -523,7 +524,7 @@ class Exchange:
'rate': self.get_fee(pair)
}
})
if closed_order["type"] in ["stop_loss_limit"]:
if closed_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
closed_order["info"].update({"stopPrice": closed_order["price"]})
self._dry_run_open_orders[closed_order["id"]] = closed_order
@@ -678,12 +679,25 @@ class Exchange:
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:returns List with candle (OHLCV) data
:return: List with candle (OHLCV) data
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms))
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int) -> DataFrame:
"""
Minimal wrapper around get_historic_ohlcv - converting the result into a dataframe
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:return: OHLCV DataFrame
"""
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms)
return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
async def _async_get_historic_ohlcv(self, pair: str,
timeframe: str,
since_ms: int) -> List:

14
freqtrade/exchange/kraken.py
View File

@@ -69,7 +69,8 @@ class Kraken(Exchange):
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop-loss' and stop_loss > float(order['price'])
return (order['type'] in ('stop-loss', 'stop-loss-limit')
and stop_loss > float(order['price']))
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
@@ -77,8 +78,15 @@ class Kraken(Exchange):
Creates a stoploss market order.
Stoploss market orders is the only stoploss type supported by kraken.
"""
params = self._params.copy()
ordertype = "stop-loss"
if order_types.get('stoploss', 'market') == 'limit':
ordertype = "stop-loss-limit"
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
limit_rate = stop_price * limit_price_pct
params['price2'] = self.price_to_precision(pair, limit_rate)
else:
ordertype = "stop-loss"
stop_price = self.price_to_precision(pair, stop_price)
@@ -88,8 +96,6 @@ class Kraken(Exchange):
return dry_order
try:
params = self._params.copy()
amount = self.amount_to_precision(pair, amount)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',

3
freqtrade/freqtradebot.py
View File

@@ -616,6 +616,9 @@ class FreqtradeBot:
# Calculate price
buy_limit_requested = self.get_buy_rate(pair, True)
if not buy_limit_requested:
raise PricingError('Could not determine buy price.')
min_stake_amount = self._get_min_pair_stake_amount(pair, buy_limit_requested)
if min_stake_amount is not None and min_stake_amount > stake_amount:
logger.warning(

22
freqtrade/loggers.py
View File

@@ -37,6 +37,13 @@ def _set_loggers(verbosity: int = 0, api_verbosity: str = 'info') -> None:
)
def get_existing_handlers(handlertype):
"""
Returns Existing handler or None (if the handler has not yet been added to the root handlers).
"""
return next((h for h in logging.root.handlers if isinstance(h, handlertype)), None)
def setup_logging_pre() -> None:
"""
Early setup for logging.
@@ -71,18 +78,24 @@ def setup_logging(config: Dict[str, Any]) -> None:
# config['logfilename']), which defaults to '/dev/log', applicable for most
# of the systems.
address = (s[1], int(s[2])) if len(s) > 2 else s[1] if len(s) > 1 else '/dev/log'
handler = SysLogHandler(address=address)
handler_sl = get_existing_handlers(SysLogHandler)
if handler_sl:
logging.root.removeHandler(handler_sl)
handler_sl = SysLogHandler(address=address)
# No datetime field for logging into syslog, to allow syslog
# to perform reduction of repeating messages if this is set in the
# syslog config. The messages should be equal for this.
handler.setFormatter(Formatter('%(name)s - %(levelname)s - %(message)s'))
logging.root.addHandler(handler)
handler_sl.setFormatter(Formatter('%(name)s - %(levelname)s - %(message)s'))
logging.root.addHandler(handler_sl)
elif s[0] == 'journald':
try:
from systemd.journal import JournaldLogHandler
except ImportError:
raise OperationalException("You need the systemd python package be installed in "
"order to use logging to journald.")
handler_jd = get_existing_handlers(JournaldLogHandler)
if handler_jd:
logging.root.removeHandler(handler_jd)
handler_jd = JournaldLogHandler()
# No datetime field for logging into journald, to allow syslog
# to perform reduction of repeating messages if this is set in the
@@ -90,6 +103,9 @@ def setup_logging(config: Dict[str, Any]) -> None:
handler_jd.setFormatter(Formatter('%(name)s - %(levelname)s - %(message)s'))
logging.root.addHandler(handler_jd)
else:
handler_rf = get_existing_handlers(RotatingFileHandler)
if handler_rf:
logging.root.removeHandler(handler_rf)
handler_rf = RotatingFileHandler(logfile,
maxBytes=1024 * 1024 * 10, # 10Mb
backupCount=10)

42
freqtrade/optimize/optimize_reports.py
View File

@@ -58,16 +58,19 @@ def _generate_result_line(result: DataFrame, max_open_trades: int, first_column:
"""
Generate one result dict, with "first_column" as key.
"""
profit_sum = result['profit_percent'].sum()
profit_total = profit_sum / max_open_trades
return {
'key': first_column,
'trades': len(result),
'profit_mean': result['profit_percent'].mean() if len(result) > 0 else 0.0,
'profit_mean_pct': result['profit_percent'].mean() * 100.0 if len(result) > 0 else 0.0,
'profit_sum': result['profit_percent'].sum(),
'profit_sum_pct': result['profit_percent'].sum() * 100.0,
'profit_sum': profit_sum,
'profit_sum_pct': round(profit_sum * 100.0, 2),
'profit_total_abs': result['profit_abs'].sum(),
'profit_total': result['profit_percent'].sum() / max_open_trades,
'profit_total_pct': result['profit_percent'].sum() * 100.0 / max_open_trades,
'profit_total': profit_total,
'profit_total_pct': round(profit_total * 100.0, 2),
'duration_avg': str(timedelta(
minutes=round(result['trade_duration'].mean()))
) if not result.empty else '0:00',
@@ -122,8 +125,8 @@ def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List
result = results.loc[results['sell_reason'] == reason]
profit_mean = result['profit_percent'].mean()
profit_sum = result["profit_percent"].sum()
profit_percent_tot = result['profit_percent'].sum() / max_open_trades
profit_sum = result['profit_percent'].sum()
profit_total = profit_sum / max_open_trades
tabular_data.append(
{
@@ -137,8 +140,8 @@ def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List
'profit_sum': profit_sum,
'profit_sum_pct': round(profit_sum * 100, 2),
'profit_total_abs': result['profit_abs'].sum(),
'profit_total': profit_percent_tot,
'profit_total_pct': round(profit_percent_tot * 100, 2),
'profit_total': profit_total,
'profit_total_pct': round(profit_total * 100, 2),
}
)
return tabular_data
@@ -253,13 +256,18 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
results=results.loc[results['open_at_end']],
skip_nan=True)
daily_stats = generate_daily_stats(results)
best_pair = max([pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
results['open_timestamp'] = results['open_date'].astype(int64) // 1e6
results['close_timestamp'] = results['close_date'].astype(int64) // 1e6
backtest_days = (max_date - min_date).days
strat_stats = {
'trades': results.to_dict(orient='records'),
'best_pair': best_pair,
'worst_pair': worst_pair,
'results_per_pair': pair_results,
'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results,
@@ -392,15 +400,25 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
def text_table_add_metrics(strat_results: Dict) -> str:
if len(strat_results['trades']) > 0:
min_trade = min(strat_results['trades'], key=lambda x: x['open_date'])
best_trade = max(strat_results['trades'], key=lambda x: x['profit_percent'])
worst_trade = min(strat_results['trades'], key=lambda x: x['profit_percent'])
metrics = [
('Backtesting from', strat_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)),
('Backtesting to', strat_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)),
('Max open trades', strat_results['max_open_trades']),
('', ''), # Empty line to improve readability
('Total trades', strat_results['total_trades']),
('First trade', min_trade['open_date'].strftime(DATETIME_PRINT_FORMAT)),
('First trade Pair', min_trade['pair']),
('Total Profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Trades per day', strat_results['trades_per_day']),
('', ''), # Empty line to improve readability
('Best Pair', f"{strat_results['best_pair']['key']} "
f"{round(strat_results['best_pair']['profit_sum_pct'], 2)}%"),
('Worst Pair', f"{strat_results['worst_pair']['key']} "
f"{round(strat_results['worst_pair']['profit_sum_pct'], 2)}%"),
('Best trade', f"{best_trade['pair']} {round(best_trade['profit_percent'] * 100, 2)}%"),
('Worst trade', f"{worst_trade['pair']} "
f"{round(worst_trade['profit_percent'] * 100, 2)}%"),
('Best day', f"{round(strat_results['backtest_best_day'] * 100, 2)}%"),
('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"),
('Days win/draw/lose', f"{strat_results['winning_days']} / "

4
freqtrade/pairlist/AgeFilter.py
View File

@@ -37,7 +37,7 @@ class AgeFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True
@@ -49,7 +49,7 @@ class AgeFilter(IPairList):
return (f"{self.name} - Filtering pairs with age less than "
f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.")
def _validate_pair(self, ticker: dict) -> bool:
def _validate_pair(self, ticker: Dict) -> bool:
"""
Validate age for the ticker
:param ticker: ticker dict as returned from ccxt.load_markets()

2
freqtrade/pairlist/IPairList.py
View File

@@ -68,7 +68,7 @@ class IPairList(ABC):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""

66
freqtrade/pairlist/PerformanceFilter.py Normal file
View File

@@ -0,0 +1,66 @@
"""
Performance pair list filter
"""
import logging
from typing import Any, Dict, List
import pandas as pd
from freqtrade.pairlist.IPairList import IPairList
from freqtrade.persistence import Trade
logger = logging.getLogger(__name__)
class PerformanceFilter(IPairList):
def __init__(self, exchange, pairlistmanager,
config: Dict[str, Any], pairlistconfig: Dict[str, Any],
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
@property
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requries tickers, an empty List is passed
as tickers argument to filter_pairlist
"""
return False
def short_desc(self) -> str:
"""
Short allowlist method description - used for startup-messages
"""
return f"{self.name} - Sorting pairs by performance."
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Filters and sorts pairlist and returns the allowlist again.
Called on each bot iteration - please use internal caching if necessary
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist
"""
# Get the trading performance for pairs from database
performance = pd.DataFrame(Trade.get_overall_performance())
# Skip performance-based sorting if no performance data is available
if len(performance) == 0:
return pairlist
# Get pairlist from performance dataframe values
list_df = pd.DataFrame({'pair': pairlist})
# Set initial value for pairs with no trades to 0
# Sort the list using:
# - primarily performance (high to low)
# - then count (low to high, so as to favor same performance with fewer trades)
# - then pair name alphametically
sorted_df = list_df.merge(performance, on='pair', how='left')\
.fillna(0).sort_values(by=['count', 'pair'], ascending=True)\
.sort_values(by=['profit'], ascending=False)
pairlist = sorted_df['pair'].tolist()
return pairlist

2
freqtrade/pairlist/PrecisionFilter.py
View File

@@ -32,7 +32,7 @@ class PrecisionFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

2
freqtrade/pairlist/PriceFilter.py
View File

@@ -35,7 +35,7 @@ class PriceFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

2
freqtrade/pairlist/ShuffleFilter.py
View File

@@ -25,7 +25,7 @@ class ShuffleFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return False

2
freqtrade/pairlist/SpreadFilter.py
View File

@@ -24,7 +24,7 @@ class SpreadFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

9
freqtrade/pairlist/StaticPairList.py
View File

@@ -24,11 +24,13 @@ class StaticPairList(IPairList):
raise OperationalException(f"{self.name} can only be used in the first position "
"in the list of Pairlist Handlers.")
self._allow_inactive = self._pairlistconfig.get('allow_inactive', False)
@property
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return False
@@ -47,7 +49,10 @@ class StaticPairList(IPairList):
:param tickers: Tickers (from exchange.get_tickers()).
:return: List of pairs
"""
return self._whitelist_for_active_markets(self._config['exchange']['pair_whitelist'])
if self._allow_inactive:
return self._config['exchange']['pair_whitelist']
else:
return self._whitelist_for_active_markets(self._config['exchange']['pair_whitelist'])
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""

2
freqtrade/pairlist/VolumePairList.py
View File

@@ -49,7 +49,7 @@ class VolumePairList(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

89
freqtrade/pairlist/rangestabilityfilter.py Normal file
View File

@@ -0,0 +1,89 @@
"""
Rate of change pairlist filter
"""
import logging
from typing import Any, Dict
import arrow
from cachetools.ttl import TTLCache
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.pairlist.IPairList import IPairList
logger = logging.getLogger(__name__)
class RangeStabilityFilter(IPairList):
def __init__(self, exchange, pairlistmanager,
config: Dict[str, Any], pairlistconfig: Dict[str, Any],
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._days = pairlistconfig.get('lookback_days', 10)
self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01)
self._refresh_period = pairlistconfig.get('refresh_period', 1440)
self._pair_cache: TTLCache = TTLCache(maxsize=100, ttl=self._refresh_period)
if self._days < 1:
raise OperationalException("RangeStabilityFilter requires lookback_days to be >= 1")
if self._days > exchange.ohlcv_candle_limit:
raise OperationalException("RangeStabilityFilter requires lookback_days to not "
"exceed exchange max request size "
f"({exchange.ohlcv_candle_limit})")
@property
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
as tickers argument to filter_pairlist
"""
return True
def short_desc(self) -> str:
"""
Short whitelist method description - used for startup-messages
"""
return (f"{self.name} - Filtering pairs with rate of change below "
f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.")
def _validate_pair(self, ticker: Dict) -> bool:
"""
Validate trading range
:param ticker: ticker dict as returned from ccxt.load_markets()
:return: True if the pair can stay, False if it should be removed
"""
pair = ticker['symbol']
# Check symbol in cache
if pair in self._pair_cache:
return self._pair_cache[pair]
since_ms = int(arrow.utcnow()
.floor('day')
.shift(days=-self._days)
.float_timestamp) * 1000
daily_candles = self._exchange.get_historic_ohlcv_as_df(pair=pair,
timeframe='1d',
since_ms=since_ms)
result = False
if daily_candles is not None and not daily_candles.empty:
highest_high = daily_candles['high'].max()
lowest_low = daily_candles['low'].min()
pct_change = ((highest_high - lowest_low) / lowest_low) if lowest_low > 0 else 0
if pct_change >= self._min_rate_of_change:
result = True
else:
self.log_on_refresh(logger.info,
f"Removed {pair} from whitelist, "
f"because rate of change over {plural(self._days, 'day')} is "
f"{pct_change:.3f}, which is below the "
f"threshold of {self._min_rate_of_change}.")
result = False
self._pair_cache[pair] = result
return result

2
freqtrade/persistence/models.py
View File

@@ -397,7 +397,7 @@ class Trade(_DECL_BASE):
if self.is_open:
logger.info(f'{order_type.upper()}_SELL has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price'))
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop'):
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss
if self.is_open:

4
freqtrade/rpc/api_server.py
View File

@@ -470,7 +470,7 @@ class ApiServer(RPC):
@require_login
@rpc_catch_errors
def _trades_delete(self, tradeid):
def _trades_delete(self, tradeid: int):
"""
Handler for DELETE /trades/<tradeid> endpoint.
Removes the trade from the database (tries to cancel open orders first!)
@@ -508,6 +508,8 @@ class ApiServer(RPC):
"""
asset = request.json.get("pair")
price = request.json.get("price", None)
price = float(price) if price is not None else price
trade = self._rpc_forcebuy(asset, price)
if trade:
return jsonify(trade.to_json())

4
freqtrade/rpc/rpc.py
View File

@@ -524,7 +524,7 @@ class RPC:
stake_currency = self._freqtrade.config.get('stake_currency')
if not self._freqtrade.exchange.get_pair_quote_currency(pair) == stake_currency:
raise RPCException(
f'Wrong pair selected. Please pairs with stake {stake_currency} pairs only')
f'Wrong pair selected. Only pairs with stake-currency {stake_currency} allowed.')
# check if valid pair
# check if pair already has an open pair
@@ -542,7 +542,7 @@ class RPC:
else:
return None
def _rpc_delete(self, trade_id: str) -> Dict[str, Union[str, int]]:
def _rpc_delete(self, trade_id: int) -> Dict[str, Union[str, int]]:
"""
Handler for delete <id>.
Delete the given trade and close eventually existing open orders.

48
freqtrade/rpc/telegram.py
View File

@@ -5,11 +5,11 @@ This module manage Telegram communication
"""
import json
import logging
from typing import Any, Callable, Dict, List
from typing import Any, Callable, Dict, List, Union
import arrow
from tabulate import tabulate
from telegram import ParseMode, ReplyKeyboardMarkup, Update
from telegram import KeyboardButton, ParseMode, ReplyKeyboardMarkup, Update
from telegram.error import NetworkError, TelegramError
from telegram.ext import CallbackContext, CommandHandler, Updater
from telegram.utils.helpers import escape_markdown
@@ -71,7 +71,7 @@ class Telegram(RPC):
"""
super().__init__(freqtrade)
self._updater: Updater = None
self._updater: Updater
self._config = freqtrade.config
self._init()
if self._config.get('fiat_display_currency', None):
@@ -232,7 +232,7 @@ class Telegram(RPC):
:return: None
"""
if 'table' in context.args:
if context.args and 'table' in context.args:
self._status_table(update, context)
return
@@ -306,7 +306,7 @@ class Telegram(RPC):
stake_cur = self._config['stake_currency']
fiat_disp_cur = self._config.get('fiat_display_currency', '')
try:
timescale = int(context.args[0])
timescale = int(context.args[0]) if context.args else 7
except (TypeError, ValueError, IndexError):
timescale = 7
try:
@@ -486,7 +486,10 @@ class Telegram(RPC):
:return: None
"""
trade_id = context.args[0] if len(context.args) > 0 else None
trade_id = context.args[0] if context.args and len(context.args) > 0 else None
if not trade_id:
self._send_msg("You must specify a trade-id or 'all'.")
return
try:
msg = self._rpc_forcesell(trade_id)
self._send_msg('Forcesell Result: `{result}`'.format(**msg))
@@ -503,13 +506,13 @@ class Telegram(RPC):
:param update: message update
:return: None
"""
pair = context.args[0]
price = float(context.args[1]) if len(context.args) > 1 else None
try:
self._rpc_forcebuy(pair, price)
except RPCException as e:
self._send_msg(str(e))
if context.args:
pair = context.args[0]
price = float(context.args[1]) if len(context.args) > 1 else None
try:
self._rpc_forcebuy(pair, price)
except RPCException as e:
self._send_msg(str(e))
@authorized_only
def _trades(self, update: Update, context: CallbackContext) -> None:
@@ -522,7 +525,7 @@ class Telegram(RPC):
"""
stake_cur = self._config['stake_currency']
try:
nrecent = int(context.args[0])
nrecent = int(context.args[0]) if context.args else 10
except (TypeError, ValueError, IndexError):
nrecent = 10
try:
@@ -555,9 +558,10 @@ class Telegram(RPC):
:param update: message update
:return: None
"""
trade_id = context.args[0] if len(context.args) > 0 else None
try:
if not context.args or len(context.args) == 0:
raise RPCException("Trade-id not set.")
trade_id = int(context.args[0])
msg = self._rpc_delete(trade_id)
self._send_msg((
'`{result_msg}`\n'
@@ -677,7 +681,7 @@ class Telegram(RPC):
"""
try:
try:
limit = int(context.args[0])
limit = int(context.args[0]) if context.args else 10
except (TypeError, ValueError, IndexError):
limit = 10
logs = self._rpc_get_logs(limit)['logs']
@@ -859,7 +863,7 @@ class Telegram(RPC):
f"*Current state:* `{val['state']}`"
)
def _send_msg(self, msg: str, parse_mode: ParseMode = ParseMode.MARKDOWN,
def _send_msg(self, msg: str, parse_mode: str = ParseMode.MARKDOWN,
disable_notification: bool = False) -> None:
"""
Send given markdown message
@@ -869,9 +873,11 @@ class Telegram(RPC):
:return: None
"""
keyboard = [['/daily', '/profit', '/balance'],
['/status', '/status table', '/performance'],
['/count', '/start', '/stop', '/help']]
keyboard: List[List[Union[str, KeyboardButton]]] = [
['/daily', '/profit', '/balance'],
['/status', '/status table', '/performance'],
['/count', '/start', '/stop', '/help']
]
reply_markup = ReplyKeyboardMarkup(keyboard)

44
freqtrade/strategy/interface.py
View File

@@ -476,40 +476,44 @@ class IStrategy(ABC):
current_time=date, current_profit=current_profit,
force_stoploss=force_stoploss, high=high)
if stoplossflag.sell_flag:
logger.debug(f"{trade.pair} - Stoploss hit. sell_flag=True, "
f"sell_type={stoplossflag.sell_type}")
return stoplossflag
# Set current rate to high for backtesting sell
current_rate = high or rate
current_profit = trade.calc_profit_ratio(current_rate)
config_ask_strategy = self.config.get('ask_strategy', {})
if buy and config_ask_strategy.get('ignore_roi_if_buy_signal', False):
# This one is noisy, commented out
# logger.debug(f"{trade.pair} - Buy signal still active. sell_flag=False")
return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
# if buy signal and ignore_roi is set, we don't need to evaluate min_roi.
roi_reached = (not (buy and config_ask_strategy.get('ignore_roi_if_buy_signal', False))
and self.min_roi_reached(trade=trade, current_profit=current_profit,
current_time=date))
# Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee)
if self.min_roi_reached(trade=trade, current_profit=current_profit, current_time=date):
if config_ask_strategy.get('sell_profit_only', False) and trade.calc_profit(rate=rate) <= 0:
# Negative profits and sell_profit_only - ignore sell signal
sell_signal = False
else:
sell_signal = sell and not buy and config_ask_strategy.get('use_sell_signal', True)
# TODO: return here if sell-signal should be favored over ROI
# Start evaluations
# Sequence:
# ROI (if not stoploss)
# Sell-signal
# Stoploss
if roi_reached and stoplossflag.sell_type != SellType.STOP_LOSS:
logger.debug(f"{trade.pair} - Required profit reached. sell_flag=True, "
f"sell_type=SellType.ROI")
return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)
if config_ask_strategy.get('sell_profit_only', False):
# This one is noisy, commented out
# logger.debug(f"{trade.pair} - Checking if trade is profitable...")
if trade.calc_profit(rate=rate) <= 0:
# This one is noisy, commented out
# logger.debug(f"{trade.pair} - Trade is not profitable. sell_flag=False")
return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
if sell and not buy and config_ask_strategy.get('use_sell_signal', True):
if sell_signal:
logger.debug(f"{trade.pair} - Sell signal received. sell_flag=True, "
f"sell_type=SellType.SELL_SIGNAL")
return SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL)
if stoplossflag.sell_flag:
logger.debug(f"{trade.pair} - Stoploss hit. sell_flag=True, "
f"sell_type={stoplossflag.sell_type}")
return stoplossflag
# This one is noisy, commented out...
# logger.debug(f"{trade.pair} - No sell signal. sell_flag=False")
return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)

2
freqtrade/templates/sample_strategy.py
View File

@@ -184,6 +184,8 @@ class SampleStrategy(IStrategy):
dataframe['fastk'] = stoch_fast['fastk']
# # Stochastic RSI
# Please read https://github.com/freqtrade/freqtrade/issues/2961 before using this.
# STOCHRSI is NOT aligned with tradingview, which may result in non-expected results.
# stoch_rsi = ta.STOCHRSI(dataframe)
# dataframe['fastd_rsi'] = stoch_rsi['fastd']
# dataframe['fastk_rsi'] = stoch_rsi['fastk']

2
freqtrade/templates/subtemplates/indicators_full.j2
View File

@@ -62,6 +62,8 @@ dataframe['fastd'] = stoch_fast['fastd']
dataframe['fastk'] = stoch_fast['fastk']
# # Stochastic RSI
# Please read https://github.com/freqtrade/freqtrade/issues/2961 before using this.
# STOCHRSI is NOT aligned with tradingview, which may result in non-expected results.
# stoch_rsi = ta.STOCHRSI(dataframe)
# dataframe['fastd_rsi'] = stoch_rsi['fastd']
# dataframe['fastk_rsi'] = stoch_rsi['fastk']