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🔀 Merged upstream branches and fixed merge conflicts

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This commit is contained in:
Rik Helsen
2021-06-17 20:24:20 +02:00
parent bd44deea0d 8bb464bd64
commit 90d37f5ec6
119 changed files with 1770 additions and 1399 deletions
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2
freqtrade/commands/arguments.py
View File

@@ -69,7 +69,7 @@ ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit",
"timerange", "timeframe", "no_trades"]
ARGS_PLOT_PROFIT = ["pairs", "timerange", "export", "exportfilename", "db_url",
"trade_source", "timeframe"]
"trade_source", "timeframe", "plot_auto_open"]
ARGS_INSTALL_UI = ["erase_ui_only"]

10
freqtrade/commands/cli_options.py
View File

@@ -167,8 +167,9 @@ AVAILABLE_CLI_OPTIONS = {
),
"export": Arg(
'--export',
help='Export backtest results, argument are: trades. '
'Example: `--export=trades`',
help='Export backtest results (default: trades).',
choices=constants.EXPORT_OPTIONS,
),
"exportfilename": Arg(
'--export-filename',
@@ -433,6 +434,11 @@ AVAILABLE_CLI_OPTIONS = {
metavar='INT',
default=750,
),
"plot_auto_open": Arg(
'--auto-open',
help='Automatically open generated plot.',
action='store_true',
),
"no_trades": Arg(
'--no-trades',
help='Skip using trades from backtesting file and DB.',

2
freqtrade/commands/data_commands.py
View File

@@ -8,11 +8,11 @@ from freqtrade.configuration import TimeRange, setup_utils_configuration
from freqtrade.data.converter import convert_ohlcv_format, convert_trades_format
from freqtrade.data.history import (convert_trades_to_ohlcv, refresh_backtest_ohlcv_data,
refresh_backtest_trades_data)
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
from freqtrade.resolvers import ExchangeResolver
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)

2
freqtrade/commands/deploy_commands.py
View File

@@ -8,9 +8,9 @@ import requests
from freqtrade.configuration import setup_utils_configuration
from freqtrade.configuration.directory_operations import copy_sample_files, create_userdata_dir
from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGIES
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.misc import render_template, render_template_with_fallback
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)

16
freqtrade/commands/hyperopt_commands.py
View File

@@ -6,9 +6,9 @@ from colorama import init as colorama_init
from freqtrade.configuration import setup_utils_configuration
from freqtrade.data.btanalysis import get_latest_hyperopt_file
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.optimize_reports import show_backtest_result
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)
@@ -67,7 +67,7 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None:
if epochs and not no_details:
sorted_epochs = sorted(epochs, key=itemgetter('loss'))
results = sorted_epochs[0]
HyperoptTools.print_epoch_details(results, total_epochs, print_json, no_header)
HyperoptTools.show_epoch_details(results, total_epochs, print_json, no_header)
if epochs and export_csv:
HyperoptTools.export_csv_file(
@@ -132,8 +132,8 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
show_backtest_result(metrics['strategy_name'], metrics,
metrics['stake_currency'])
HyperoptTools.print_epoch_details(val, total_epochs, print_json, no_header,
header_str="Epoch details")
HyperoptTools.show_epoch_details(val, total_epochs, print_json, no_header,
header_str="Epoch details")
def hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
@@ -197,8 +197,12 @@ def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List:
return x['results_metrics']['duration']
else:
# New mode
avg = x['results_metrics']['holding_avg']
return avg.total_seconds() // 60
if 'holding_avg_s' in x['results_metrics']:
avg = x['results_metrics']['holding_avg_s']
return avg // 60
raise OperationalException(
"Holding-average not available. Please omit the filter on average time, "
"or rerun hyperopt with this version")
if filteroptions['filter_min_avg_time'] is not None:
epochs = _hyperopt_filter_epochs_trade(epochs, 0)

22
freqtrade/commands/list_commands.py
View File

@@ -1,7 +1,6 @@
import csv
import logging
import sys
from collections import OrderedDict
from pathlib import Path
from typing import Any, Dict, List
@@ -12,11 +11,11 @@ from tabulate import tabulate
from freqtrade.configuration import setup_utils_configuration
from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGIES
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import market_is_active, validate_exchanges
from freqtrade.misc import plural
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)
@@ -54,15 +53,21 @@ def _print_objs_tabular(objs: List, print_colorized: bool) -> None:
reset = ''
names = [s['name'] for s in objs]
objss_to_print = [{
objs_to_print = [{
'name': s['name'] if s['name'] else "--",
'location': s['location'].name,
'status': (red + "LOAD FAILED" + reset if s['class'] is None
else "OK" if names.count(s['name']) == 1
else yellow + "DUPLICATE NAME" + reset)
} for s in objs]
print(tabulate(objss_to_print, headers='keys', tablefmt='psql', stralign='right'))
for idx, s in enumerate(objs):
if 'hyperoptable' in s:
objs_to_print[idx].update({
'hyperoptable': "Yes" if s['hyperoptable']['count'] > 0 else "No",
'buy-Params': len(s['hyperoptable'].get('buy', [])),
'sell-Params': len(s['hyperoptable'].get('sell', [])),
})
print(tabulate(objs_to_print, headers='keys', tablefmt='psql', stralign='right'))
def start_list_strategies(args: Dict[str, Any]) -> None:
@@ -75,6 +80,11 @@ def start_list_strategies(args: Dict[str, Any]) -> None:
strategy_objs = StrategyResolver.search_all_objects(directory, not args['print_one_column'])
# Sort alphabetically
strategy_objs = sorted(strategy_objs, key=lambda x: x['name'])
for obj in strategy_objs:
if obj['class']:
obj['hyperoptable'] = obj['class'].detect_all_parameters()
else:
obj['hyperoptable'] = {'count': 0}
if args['print_one_column']:
print('\n'.join([s['name'] for s in strategy_objs]))
@@ -143,7 +153,7 @@ def start_list_markets(args: Dict[str, Any], pairs_only: bool = False) -> None:
pairs_only=pairs_only,
active_only=active_only)
# Sort the pairs/markets by symbol
pairs = OrderedDict(sorted(pairs.items()))
pairs = dict(sorted(pairs.items()))
except Exception as e:
raise OperationalException(f"Cannot get markets. Reason: {e}") from e

2
freqtrade/commands/optimize_commands.py
View File

@@ -3,9 +3,9 @@ from typing import Any, Dict
from freqtrade import constants
from freqtrade.configuration import setup_utils_configuration
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.misc import round_coin_value
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)

4
freqtrade/commands/pairlist_commands.py
View File

@@ -4,8 +4,8 @@ from typing import Any, Dict
import rapidjson
from freqtrade.configuration import setup_utils_configuration
from freqtrade.enums import RunMode
from freqtrade.resolvers import ExchangeResolver
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)
@@ -31,7 +31,7 @@ def start_test_pairlist(args: Dict[str, Any]) -> None:
results[curr] = pairlists.whitelist
for curr, pairlist in results.items():
if not args.get('print_one_column', False):
if not args.get('print_one_column', False) and not args.get('list_pairs_print_json', False):
print(f"Pairs for {curr}: ")
if args.get('print_one_column', False):

2
freqtrade/commands/plot_commands.py
View File

@@ -1,8 +1,8 @@
from typing import Any, Dict
from freqtrade.configuration import setup_utils_configuration
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.state import RunMode
def validate_plot_args(args: Dict[str, Any]) -> None:

2
freqtrade/configuration/check_exchange.py
View File

@@ -1,10 +1,10 @@
import logging
from typing import Any, Dict
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import (available_exchanges, is_exchange_known_ccxt,
is_exchange_officially_supported, validate_exchange)
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)

2
freqtrade/configuration/config_setup.py
View File

@@ -1,7 +1,7 @@
import logging
from typing import Any, Dict
from freqtrade.state import RunMode
from freqtrade.enums import RunMode
from .check_exchange import remove_credentials
from .config_validation import validate_config_consistency

2
freqtrade/configuration/config_validation.py
View File

@@ -6,8 +6,8 @@ from jsonschema import Draft4Validator, validators
from jsonschema.exceptions import ValidationError, best_match
from freqtrade import constants
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)

5
freqtrade/configuration/configuration.py
View File

@@ -12,10 +12,10 @@ from freqtrade.configuration.check_exchange import check_exchange
from freqtrade.configuration.deprecated_settings import process_temporary_deprecated_settings
from freqtrade.configuration.directory_operations import create_datadir, create_userdata_dir
from freqtrade.configuration.load_config import load_config_file, load_file
from freqtrade.enums import NON_UTIL_MODES, TRADING_MODES, RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.loggers import setup_logging
from freqtrade.misc import deep_merge_dicts
from freqtrade.state import NON_UTIL_MODES, TRADING_MODES, RunMode
logger = logging.getLogger(__name__)
@@ -375,6 +375,9 @@ class Configuration:
self._args_to_config(config, argname='plot_limit',
logstring='Limiting plot to: {}')
self._args_to_config(config, argname='plot_auto_open',
logstring='Parameter --auto-open detected.')
self._args_to_config(config, argname='trade_source',
logstring='Using trades from: {}')

2
freqtrade/configuration/load_config.py
View File

@@ -43,7 +43,7 @@ def load_file(path: Path) -> Dict[str, Any]:
with path.open('r') as file:
config = rapidjson.load(file, parse_mode=CONFIG_PARSE_MODE)
except FileNotFoundError:
raise OperationalException(f'File file "{path}" not found!')
raise OperationalException(f'File "{path}" not found!')
return config

10
freqtrade/constants.py
View File

@@ -12,6 +12,7 @@ PROCESS_THROTTLE_SECS = 5 # sec
HYPEROPT_EPOCH = 100 # epochs
RETRY_TIMEOUT = 30 # sec
TIMEOUT_UNITS = ['minutes', 'seconds']
EXPORT_OPTIONS = ['none', 'trades']
DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
DEFAULT_DB_DRYRUN_URL = 'sqlite:///tradesv3.dryrun.sqlite'
UNLIMITED_STAKE_AMOUNT = 'unlimited'
@@ -260,7 +261,13 @@ CONF_SCHEMA = {
'enum': TELEGRAM_SETTING_OPTIONS,
'default': 'off'
},
'sell': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
'sell': {
'type': ['string', 'object'],
'additionalProperties': {
'type': 'string',
'enum': TELEGRAM_SETTING_OPTIONS
}
},
'sell_cancel': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
'sell_fill': {
'type': 'string',
@@ -302,6 +309,7 @@ CONF_SCHEMA = {
'required': ['enabled', 'listen_ip_address', 'listen_port', 'username', 'password']
},
'db_url': {'type': 'string'},
'export': {'type': 'string', 'enum': EXPORT_OPTIONS, 'default': 'trades'},
'initial_state': {'type': 'string', 'enum': ['running', 'stopped']},
'forcebuy_enable': {'type': 'boolean'},
'disable_dataframe_checks': {'type': 'boolean'},

2
freqtrade/data/dataprovider.py
View File

@@ -12,9 +12,9 @@ from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes, PairWithTimeframe
from freqtrade.data.history import load_pair_history
from freqtrade.enums import RunMode
from freqtrade.exceptions import ExchangeError, OperationalException
from freqtrade.exchange import Exchange
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)

4
freqtrade/edge/edge_positioning.py
View File

@@ -13,11 +13,11 @@ from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.constants import DATETIME_PRINT_FORMAT, UNLIMITED_STAKE_AMOUNT
from freqtrade.data.history import get_timerange, load_data, refresh_data
from freqtrade.enums import RunMode, SellType
from freqtrade.exceptions import OperationalException
from freqtrade.exchange.exchange import timeframe_to_seconds
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
from freqtrade.state import RunMode
from freqtrade.strategy.interface import IStrategy, SellType
from freqtrade.strategy.interface import IStrategy
logger = logging.getLogger(__name__)

6
freqtrade/enums/__init__.py Normal file
View File

@@ -0,0 +1,6 @@
# flake8: noqa: F401
from freqtrade.enums.rpcmessagetype import RPCMessageType
from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode
from freqtrade.enums.selltype import SellType
from freqtrade.enums.signaltype import SignalType
from freqtrade.enums.state import State

19
freqtrade/enums/rpcmessagetype.py Normal file
View File

@@ -0,0 +1,19 @@
from enum import Enum
class RPCMessageType(Enum):
STATUS = 'status'
WARNING = 'warning'
STARTUP = 'startup'
BUY = 'buy'
BUY_FILL = 'buy_fill'
BUY_CANCEL = 'buy_cancel'
SELL = 'sell'
SELL_FILL = 'sell_fill'
SELL_CANCEL = 'sell_cancel'
def __repr__(self):
return self.value
def __str__(self):
return self.value

17
freqtrade/state.py → freqtrade/enums/runmode.py
View File

@@ -1,23 +1,6 @@
# pragma pylint: disable=too-few-public-methods
"""
Bot state constant
"""
from enum import Enum
class State(Enum):
"""
Bot application states
"""
RUNNING = 1
STOPPED = 2
RELOAD_CONFIG = 3
def __str__(self):
return f"{self.name.lower()}"
class RunMode(Enum):
"""
Bot running mode (backtest, hyperopt, ...)

20
freqtrade/enums/selltype.py Normal file
View File

@@ -0,0 +1,20 @@
from enum import Enum
class SellType(Enum):
"""
Enum to distinguish between sell reasons
"""
ROI = "roi"
STOP_LOSS = "stop_loss"
STOPLOSS_ON_EXCHANGE = "stoploss_on_exchange"
TRAILING_STOP_LOSS = "trailing_stop_loss"
SELL_SIGNAL = "sell_signal"
FORCE_SELL = "force_sell"
EMERGENCY_SELL = "emergency_sell"
CUSTOM_SELL = "custom_sell"
NONE = ""
def __str__(self):
# explicitly convert to String to help with exporting data.
return self.value

9
freqtrade/enums/signaltype.py Normal file
View File

@@ -0,0 +1,9 @@
from enum import Enum
class SignalType(Enum):
"""
Enum to distinguish between buy and sell signals
"""
BUY = "buy"
SELL = "sell"

13
freqtrade/enums/state.py Normal file
View File

@@ -0,0 +1,13 @@
from enum import Enum
class State(Enum):
"""
Bot application states
"""
RUNNING = 1
STOPPED = 2
RELOAD_CONFIG = 3
def __str__(self):
return f"{self.name.lower()}"

1
freqtrade/exchange/__init__.py
View File

@@ -7,6 +7,7 @@ from freqtrade.exchange.bibox import Bibox
from freqtrade.exchange.binance import Binance
from freqtrade.exchange.bittrex import Bittrex
from freqtrade.exchange.bybit import Bybit
from freqtrade.exchange.coinbasepro import Coinbasepro
from freqtrade.exchange.exchange import (available_exchanges, ccxt_exchanges,
is_exchange_known_ccxt, is_exchange_officially_supported,
market_is_active, timeframe_to_minutes, timeframe_to_msecs,

1
freqtrade/exchange/bybit.py
View File

@@ -18,7 +18,6 @@ class Bybit(Exchange):
may still not work as expected.
"""
# fetchCurrencies API point requires authentication for Bybit,
_ft_has: Dict = {
"ohlcv_candle_limit": 200,
}

23
freqtrade/exchange/coinbasepro.py Normal file
View File

@@ -0,0 +1,23 @@
""" CoinbasePro exchange subclass """
import logging
from typing import Dict
from freqtrade.exchange import Exchange
logger = logging.getLogger(__name__)
class Coinbasepro(Exchange):
"""
CoinbasePro exchange class. Contains adjustments needed for Freqtrade to work
with this exchange.
Please note that this exchange is not included in the list of exchanges
officially supported by the Freqtrade development team. So some features
may still not work as expected.
"""
_ft_has: Dict = {
"ohlcv_candle_limit": 300,
}

696
freqtrade/exchange/exchange.py
View File

@@ -22,8 +22,8 @@ from pandas import DataFrame
from freqtrade.constants import DEFAULT_AMOUNT_RESERVE_PERCENT, ListPairsWithTimeframes
from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
InvalidOrderException, OperationalException, RetryableOrderError,
TemporaryError)
InvalidOrderException, OperationalException, PricingError,
RetryableOrderError, TemporaryError)
from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, BAD_EXCHANGES,
EXCHANGE_HAS_OPTIONAL, EXCHANGE_HAS_REQUIRED, retrier,
retrier_async)
@@ -88,6 +88,11 @@ class Exchange:
# Cache for 10 minutes ...
self._fetch_tickers_cache: TTLCache = TTLCache(maxsize=1, ttl=60 * 10)
# Cache values for 1800 to avoid frequent polling of the exchange for prices
# Caching only applies to RPC methods, so prices for open trades are still
# refreshed once every iteration.
self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
# Holds candles
self._klines: Dict[Tuple[str, str], DataFrame] = {}
@@ -550,6 +555,8 @@ class Exchange:
# See also #2575 at github.
return max(min_stake_amounts) * amount_reserve_percent
# Dry-run methods
def create_dry_run_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, params: Dict = {}) -> Dict[str, Any]:
order_id = f'dry_run_{side}_{datetime.now().timestamp()}'
@@ -591,6 +598,21 @@ class Exchange:
closed_order["info"].update({"stopPrice": closed_order["price"]})
self._dry_run_open_orders[closed_order["id"]] = closed_order
def fetch_dry_run_order(self, order_id) -> Dict[str, Any]:
"""
Return dry-run order
Only call if running in dry-run mode.
"""
try:
order = self._dry_run_open_orders[order_id]
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.
raise InvalidOrderException(
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
# Order handling
def create_order(self, pair: str, ordertype: str, side: str, amount: float,
rate: float, params: Dict = {}) -> Dict:
try:
@@ -667,6 +689,128 @@ class Exchange:
raise OperationalException(f"stoploss is not implemented for {self.name}.")
@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
def fetch_order(self, order_id: str, pair: str) -> Dict:
if self._config['dry_run']:
return self.fetch_dry_run_order(order_id)
try:
return self._api.fetch_order(order_id, pair)
except ccxt.OrderNotFound as e:
raise RetryableOrderError(
f'Order not found (pair: {pair} id: {order_id}). Message: {e}') from e
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Tried to get an invalid order (pair: {pair} id: {order_id}). Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
# Assign method to fetch_stoploss_order to allow easy overriding in other classes
fetch_stoploss_order = fetch_order
def fetch_order_or_stoploss_order(self, order_id: str, pair: str,
stoploss_order: bool = False) -> Dict:
"""
Simple wrapper calling either fetch_order or fetch_stoploss_order depending on
the stoploss_order parameter
:param stoploss_order: If true, uses fetch_stoploss_order, otherwise fetch_order.
"""
if stoploss_order:
return self.fetch_stoploss_order(order_id, pair)
return self.fetch_order(order_id, pair)
def check_order_canceled_empty(self, order: Dict) -> bool:
"""
Verify if an order has been cancelled without being partially filled
:param order: Order dict as returned from fetch_order()
:return: True if order has been cancelled without being filled, False otherwise.
"""
return (order.get('status') in ('closed', 'canceled', 'cancelled')
and order.get('filled') == 0.0)
@retrier
def cancel_order(self, order_id: str, pair: str) -> Dict:
if self._config['dry_run']:
try:
order = self.fetch_dry_run_order(order_id)
order.update({'status': 'canceled', 'filled': 0.0, 'remaining': order['amount']})
return order
except InvalidOrderException:
return {}
try:
return self._api.cancel_order(order_id, pair)
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Could not cancel order. Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
# Assign method to cancel_stoploss_order to allow easy overriding in other classes
cancel_stoploss_order = cancel_order
def is_cancel_order_result_suitable(self, corder) -> bool:
if not isinstance(corder, dict):
return False
required = ('fee', 'status', 'amount')
return all(k in corder for k in required)
def cancel_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
"""
Cancel order returning a result.
Creates a fake result if cancel order returns a non-usable result
and fetch_order does not work (certain exchanges don't return cancelled orders)
:param order_id: Orderid to cancel
:param pair: Pair corresponding to order_id
:param amount: Amount to use for fake response
:return: Result from either cancel_order if usable, or fetch_order
"""
try:
corder = self.cancel_order(order_id, pair)
if self.is_cancel_order_result_suitable(corder):
return corder
except InvalidOrderException:
logger.warning(f"Could not cancel order {order_id} for {pair}.")
try:
order = self.fetch_order(order_id, pair)
except InvalidOrderException:
logger.warning(f"Could not fetch cancelled order {order_id}.")
order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
return order
def cancel_stoploss_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
"""
Cancel stoploss order returning a result.
Creates a fake result if cancel order returns a non-usable result
and fetch_order does not work (certain exchanges don't return cancelled orders)
:param order_id: stoploss-order-id to cancel
:param pair: Pair corresponding to order_id
:param amount: Amount to use for fake response
:return: Result from either cancel_order if usable, or fetch_order
"""
corder = self.cancel_stoploss_order(order_id, pair)
if self.is_cancel_order_result_suitable(corder):
return corder
try:
order = self.fetch_stoploss_order(order_id, pair)
except InvalidOrderException:
logger.warning(f"Could not fetch cancelled stoploss order {order_id}.")
order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
return order
@retrier
def get_balances(self) -> dict:
@@ -713,6 +857,8 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
# Pricing info
@retrier
def fetch_ticker(self, pair: str) -> dict:
try:
@@ -729,6 +875,264 @@ class Exchange:
except ccxt.BaseError as e:
raise OperationalException(e) from e
@staticmethod
def get_next_limit_in_list(limit: int, limit_range: Optional[List[int]],
range_required: bool = True):
"""
Get next greater value in the list.
Used by fetch_l2_order_book if the api only supports a limited range
"""
if not limit_range:
return limit
result = min([x for x in limit_range if limit <= x] + [max(limit_range)])
if not range_required and limit > result:
# Range is not required - we can use None as parameter.
return None
return result
@retrier
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""
Get L2 order book from exchange.
Can be limited to a certain amount (if supported).
Returns a dict in the format
{'asks': [price, volume], 'bids': [price, volume]}
"""
limit1 = self.get_next_limit_in_list(limit, self._ft_has['l2_limit_range'],
self._ft_has['l2_limit_range_required'])
try:
return self._api.fetch_l2_order_book(pair, limit1)
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching order book.'
f'Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order book due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
order_book_min: int = 1):
"""
Helper generator to query orderbook in loop (used for early sell-order placing)
"""
order_book = self.fetch_l2_order_book(pair, order_book_max)
for i in range(order_book_min, order_book_max + 1):
yield order_book[side][i - 1][0]
def get_buy_rate(self, pair: str, refresh: bool) -> float:
"""
Calculates bid target between current ask price and last price
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: float: Price
:raises PricingError if orderbook price could not be determined.
"""
if not refresh:
rate = self._buy_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.debug(f"Using cached buy rate for {pair}.")
return rate
bid_strategy = self._config.get('bid_strategy', {})
if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
order_book_top = bid_strategy.get('order_book_top', 1)
order_book = self.fetch_l2_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
except (IndexError, KeyError) as e:
logger.warning(
"Buy Price from orderbook could not be determined."
f"Orderbook: {order_book}"
)
raise PricingError from e
logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
used_rate = rate_from_l2
else:
logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
ticker = self.fetch_ticker(pair)
ticker_rate = ticker[bid_strategy['price_side']]
if ticker['last'] and ticker_rate > ticker['last']:
balance = bid_strategy['ask_last_balance']
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
used_rate = ticker_rate
self._buy_rate_cache[pair] = used_rate
return used_rate
def get_sell_rate(self, pair: str, refresh: bool) -> float:
"""
Get sell rate - either using ticker bid or first bid based on orderbook
or remain static in any other case since it's not updating.
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: Bid rate
:raises PricingError if price could not be determined.
"""
if not refresh:
rate = self._sell_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.debug(f"Using cached sell rate for {pair}.")
return rate
ask_strategy = self._config.get('ask_strategy', {})
if ask_strategy.get('use_order_book', False):
# This code is only used for notifications, selling uses the generator directly
logger.info(
f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
)
try:
rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
except (IndexError, KeyError) as e:
logger.warning("Sell Price at location from orderbook could not be determined.")
raise PricingError from e
else:
ticker = self.fetch_ticker(pair)
ticker_rate = ticker[ask_strategy['price_side']]
if ticker['last'] and ticker_rate < ticker['last']:
balance = ask_strategy.get('bid_last_balance', 0.0)
ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
rate = ticker_rate
if rate is None:
raise PricingError(f"Sell-Rate for {pair} was empty.")
self._sell_rate_cache[pair] = rate
return rate
# Fee handling
@retrier
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
"""
Fetch Orders using the "fetch_my_trades" endpoint and filter them by order-id.
The "since" argument passed in is coming from the database and is in UTC,
as timezone-native datetime object.
From the python documentation:
> Naive datetime instances are assumed to represent local time
Therefore, calling "since.timestamp()" will get the UTC timestamp, after applying the
transformation from local timezone to UTC.
This works for timezones UTC+ since then the result will contain trades from a few hours
instead of from the last 5 seconds, however fails for UTC- timezones,
since we're then asking for trades with a "since" argument in the future.
:param order_id order_id: Order-id as given when creating the order
:param pair: Pair the order is for
:param since: datetime object of the order creation time. Assumes object is in UTC.
"""
if self._config['dry_run']:
return []
if not self.exchange_has('fetchMyTrades'):
return []
try:
# Allow 5s offset to catch slight time offsets (discovered in #1185)
# since needs to be int in milliseconds
my_trades = self._api.fetch_my_trades(
pair, int((since.replace(tzinfo=timezone.utc).timestamp() - 5) * 1000))
matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
return matched_trades
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get trades due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
return order['id']
@retrier
def get_fee(self, symbol: str, type: str = '', side: str = '', amount: float = 1,
price: float = 1, taker_or_maker: str = 'maker') -> float:
try:
if self._config['dry_run'] and self._config.get('fee', None) is not None:
return self._config['fee']
# validate that markets are loaded before trying to get fee
if self._api.markets is None or len(self._api.markets) == 0:
self._api.load_markets()
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
price=price, takerOrMaker=taker_or_maker)['rate']
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@staticmethod
def order_has_fee(order: Dict) -> bool:
"""
Verifies if the passed in order dict has the needed keys to extract fees,
and that these keys (currency, cost) are not empty.
:param order: Order or trade (one trade) dict
:return: True if the fee substructure contains currency and cost, false otherwise
"""
if not isinstance(order, dict):
return False
return ('fee' in order and order['fee'] is not None
and (order['fee'].keys() >= {'currency', 'cost'})
and order['fee']['currency'] is not None
and order['fee']['cost'] is not None
)
def calculate_fee_rate(self, order: Dict) -> Optional[float]:
"""
Calculate fee rate if it's not given by the exchange.
:param order: Order or trade (one trade) dict
"""
if order['fee'].get('rate') is not None:
return order['fee'].get('rate')
fee_curr = order['fee']['currency']
# Calculate fee based on order details
if fee_curr in self.get_pair_base_currency(order['symbol']):
# Base currency - divide by amount
return round(
order['fee']['cost'] / safe_value_fallback2(order, order, 'filled', 'amount'), 8)
elif fee_curr in self.get_pair_quote_currency(order['symbol']):
# Quote currency - divide by cost
return round(order['fee']['cost'] / order['cost'], 8) if order['cost'] else None
else:
# If Fee currency is a different currency
if not order['cost']:
# If cost is None or 0.0 -> falsy, return None
return None
try:
comb = self.get_valid_pair_combination(fee_curr, self._config['stake_currency'])
tick = self.fetch_ticker(comb)
fee_to_quote_rate = safe_value_fallback2(tick, tick, 'last', 'ask')
return round((order['fee']['cost'] * fee_to_quote_rate) / order['cost'], 8)
except ExchangeError:
return None
def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]:
"""
Extract tuple of cost, currency, rate.
Requires order_has_fee to run first!
:param order: Order or trade (one trade) dict
:return: Tuple with cost, currency, rate of the given fee dict
"""
return (order['fee']['cost'],
order['fee']['currency'],
self.calculate_fee_rate(order))
# Historic data
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int) -> List:
"""
@@ -896,6 +1300,8 @@ class Exchange:
raise OperationalException(f'Could not fetch historical candle (OHLCV) data '
f'for pair {pair}. Message: {e}') from e
# Fetch historic trades
@retrier_async
async def _async_fetch_trades(self, pair: str,
since: Optional[int] = None,
@@ -1054,292 +1460,6 @@ class Exchange:
self._async_get_trade_history(pair=pair, since=since,
until=until, from_id=from_id))
def check_order_canceled_empty(self, order: Dict) -> bool:
"""
Verify if an order has been cancelled without being partially filled
:param order: Order dict as returned from fetch_order()
:return: True if order has been cancelled without being filled, False otherwise.
"""
return (order.get('status') in ('closed', 'canceled', 'cancelled')
and order.get('filled') == 0.0)
@retrier
def cancel_order(self, order_id: str, pair: str) -> Dict:
if self._config['dry_run']:
order = self._dry_run_open_orders.get(order_id)
if order:
order.update({'status': 'canceled', 'filled': 0.0, 'remaining': order['amount']})
return order
else:
return {}
try:
return self._api.cancel_order(order_id, pair)
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Could not cancel order. Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
# Assign method to cancel_stoploss_order to allow easy overriding in other classes
cancel_stoploss_order = cancel_order
def is_cancel_order_result_suitable(self, corder) -> bool:
if not isinstance(corder, dict):
return False
required = ('fee', 'status', 'amount')
return all(k in corder for k in required)
def cancel_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
"""
Cancel order returning a result.
Creates a fake result if cancel order returns a non-usable result
and fetch_order does not work (certain exchanges don't return cancelled orders)
:param order_id: Orderid to cancel
:param pair: Pair corresponding to order_id
:param amount: Amount to use for fake response
:return: Result from either cancel_order if usable, or fetch_order
"""
try:
corder = self.cancel_order(order_id, pair)
if self.is_cancel_order_result_suitable(corder):
return corder
except InvalidOrderException:
logger.warning(f"Could not cancel order {order_id} for {pair}.")
try:
order = self.fetch_order(order_id, pair)
except InvalidOrderException:
logger.warning(f"Could not fetch cancelled order {order_id}.")
order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
return order
def cancel_stoploss_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
"""
Cancel stoploss order returning a result.
Creates a fake result if cancel order returns a non-usable result
and fetch_order does not work (certain exchanges don't return cancelled orders)
:param order_id: stoploss-order-id to cancel
:param pair: Pair corresponding to order_id
:param amount: Amount to use for fake response
:return: Result from either cancel_order if usable, or fetch_order
"""
corder = self.cancel_stoploss_order(order_id, pair)
if self.is_cancel_order_result_suitable(corder):
return corder
try:
order = self.fetch_stoploss_order(order_id, pair)
except InvalidOrderException:
logger.warning(f"Could not fetch cancelled stoploss order {order_id}.")
order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
return order
@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
def fetch_order(self, order_id: str, pair: str) -> Dict:
if self._config['dry_run']:
try:
order = self._dry_run_open_orders[order_id]
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.
raise InvalidOrderException(
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
try:
return self._api.fetch_order(order_id, pair)
except ccxt.OrderNotFound as e:
raise RetryableOrderError(
f'Order not found (pair: {pair} id: {order_id}). Message: {e}') from e
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Tried to get an invalid order (pair: {pair} id: {order_id}). Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
# Assign method to fetch_stoploss_order to allow easy overriding in other classes
fetch_stoploss_order = fetch_order
def fetch_order_or_stoploss_order(self, order_id: str, pair: str,
stoploss_order: bool = False) -> Dict:
"""
Simple wrapper calling either fetch_order or fetch_stoploss_order depending on
the stoploss_order parameter
:param stoploss_order: If true, uses fetch_stoploss_order, otherwise fetch_order.
"""
if stoploss_order:
return self.fetch_stoploss_order(order_id, pair)
return self.fetch_order(order_id, pair)
@staticmethod
def get_next_limit_in_list(limit: int, limit_range: Optional[List[int]],
range_required: bool = True):
"""
Get next greater value in the list.
Used by fetch_l2_order_book if the api only supports a limited range
"""
if not limit_range:
return limit
result = min([x for x in limit_range if limit <= x] + [max(limit_range)])
if not range_required and limit > result:
# Range is not required - we can use None as parameter.
return None
return result
@retrier
def fetch_l2_order_book(self, pair: str, limit: int = 100) -> dict:
"""
Get L2 order book from exchange.
Can be limited to a certain amount (if supported).
Returns a dict in the format
{'asks': [price, volume], 'bids': [price, volume]}
"""
limit1 = self.get_next_limit_in_list(limit, self._ft_has['l2_limit_range'],
self._ft_has['l2_limit_range_required'])
try:
return self._api.fetch_l2_order_book(pair, limit1)
except ccxt.NotSupported as e:
raise OperationalException(
f'Exchange {self._api.name} does not support fetching order book.'
f'Message: {e}') from e
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get order book due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@retrier
def get_trades_for_order(self, order_id: str, pair: str, since: datetime) -> List:
"""
Fetch Orders using the "fetch_my_trades" endpoint and filter them by order-id.
The "since" argument passed in is coming from the database and is in UTC,
as timezone-native datetime object.
From the python documentation:
> Naive datetime instances are assumed to represent local time
Therefore, calling "since.timestamp()" will get the UTC timestamp, after applying the
transformation from local timezone to UTC.
This works for timezones UTC+ since then the result will contain trades from a few hours
instead of from the last 5 seconds, however fails for UTC- timezones,
since we're then asking for trades with a "since" argument in the future.
:param order_id order_id: Order-id as given when creating the order
:param pair: Pair the order is for
:param since: datetime object of the order creation time. Assumes object is in UTC.
"""
if self._config['dry_run']:
return []
if not self.exchange_has('fetchMyTrades'):
return []
try:
# Allow 5s offset to catch slight time offsets (discovered in #1185)
# since needs to be int in milliseconds
my_trades = self._api.fetch_my_trades(
pair, int((since.replace(tzinfo=timezone.utc).timestamp() - 5) * 1000))
matched_trades = [trade for trade in my_trades if trade['order'] == order_id]
return matched_trades
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get trades due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
return order['id']
@retrier
def get_fee(self, symbol: str, type: str = '', side: str = '', amount: float = 1,
price: float = 1, taker_or_maker: str = 'maker') -> float:
try:
if self._config['dry_run'] and self._config.get('fee', None) is not None:
return self._config['fee']
# validate that markets are loaded before trying to get fee
if self._api.markets is None or len(self._api.markets) == 0:
self._api.load_markets()
return self._api.calculate_fee(symbol=symbol, type=type, side=side, amount=amount,
price=price, takerOrMaker=taker_or_maker)['rate']
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not get fee info due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@staticmethod
def order_has_fee(order: Dict) -> bool:
"""
Verifies if the passed in order dict has the needed keys to extract fees,
and that these keys (currency, cost) are not empty.
:param order: Order or trade (one trade) dict
:return: True if the fee substructure contains currency and cost, false otherwise
"""
if not isinstance(order, dict):
return False
return ('fee' in order and order['fee'] is not None
and (order['fee'].keys() >= {'currency', 'cost'})
and order['fee']['currency'] is not None
and order['fee']['cost'] is not None
)
def calculate_fee_rate(self, order: Dict) -> Optional[float]:
"""
Calculate fee rate if it's not given by the exchange.
:param order: Order or trade (one trade) dict
"""
if order['fee'].get('rate') is not None:
return order['fee'].get('rate')
fee_curr = order['fee']['currency']
# Calculate fee based on order details
if fee_curr in self.get_pair_base_currency(order['symbol']):
# Base currency - divide by amount
return round(
order['fee']['cost'] / safe_value_fallback2(order, order, 'filled', 'amount'), 8)
elif fee_curr in self.get_pair_quote_currency(order['symbol']):
# Quote currency - divide by cost
return round(order['fee']['cost'] / order['cost'], 8) if order['cost'] else None
else:
# If Fee currency is a different currency
if not order['cost']:
# If cost is None or 0.0 -> falsy, return None
return None
try:
comb = self.get_valid_pair_combination(fee_curr, self._config['stake_currency'])
tick = self.fetch_ticker(comb)
fee_to_quote_rate = safe_value_fallback2(tick, tick, 'last', 'ask')
return round((order['fee']['cost'] * fee_to_quote_rate) / order['cost'], 8)
except ExchangeError:
return None
def extract_cost_curr_rate(self, order: Dict) -> Tuple[float, str, Optional[float]]:
"""
Extract tuple of cost, currency, rate.
Requires order_has_fee to run first!
:param order: Order or trade (one trade) dict
:return: Tuple with cost, currency, rate of the given fee dict
"""
return (order['fee']['cost'],
order['fee']['currency'],
self.calculate_fee_rate(order))
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)

22
freqtrade/exchange/ftx.py
View File

@@ -93,18 +93,24 @@ class Ftx(Exchange):
@retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
def fetch_stoploss_order(self, order_id: str, pair: str) -> Dict:
if self._config['dry_run']:
try:
order = self._dry_run_open_orders[order_id]
return order
except KeyError as e:
# Gracefully handle errors with dry-run orders.
raise InvalidOrderException(
f'Tried to get an invalid dry-run-order (id: {order_id}). Message: {e}') from e
return self.fetch_dry_run_order(order_id)
try:
orders = self._api.fetch_orders(pair, None, params={'type': 'stop'})
order = [order for order in orders if order['id'] == order_id]
if len(order) == 1:
if order[0].get('status') == 'closed':
# Trigger order was triggered ...
real_order_id = order[0].get('info', {}).get('orderId')
order1 = self._api.fetch_order(real_order_id, pair)
# Fake type to stop - as this was really a stop order.
order1['id_stop'] = order1['id']
order1['id'] = order_id
order1['type'] = 'stop'
order1['status_stop'] = 'triggered'
return order1
return order[0]
else:
raise InvalidOrderException(f"Could not get stoploss order for id {order_id}")
@@ -139,5 +145,5 @@ class Ftx(Exchange):
def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
if order['type'] == 'stop':
return safe_value_fallback2(order['info'], order, 'orderId', 'id')
return safe_value_fallback2(order, order, 'id_stop', 'id')
return order['id']

1
freqtrade/exchange/hitbtc.py
View File

@@ -17,7 +17,6 @@ class Hitbtc(Exchange):
may still not work as expected.
"""
# fetchCurrencies API point requires authentication for Hitbtc,
_ft_has: Dict = {
"ohlcv_candle_limit": 1000,
"ohlcv_params": {"sort": "DESC"}

165
freqtrade/freqtradebot.py
View File

@@ -10,13 +10,13 @@ from threading import Lock
from typing import Any, Dict, List, Optional
import arrow
from cachetools import TTLCache
from freqtrade import __version__, constants
from freqtrade.configuration import validate_config_consistency
from freqtrade.data.converter import order_book_to_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.edge import Edge
from freqtrade.enums import RPCMessageType, SellType, State
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, PricingError)
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
@@ -26,9 +26,8 @@ from freqtrade.persistence import Order, PairLocks, Trade, cleanup_db, init_db
from freqtrade.plugins.pairlistmanager import PairListManager
from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.rpc import RPCManager, RPCMessageType
from freqtrade.state import State
from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
from freqtrade.rpc import RPCManager
from freqtrade.strategy.interface import IStrategy, SellCheckTuple
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.wallets import Wallets
@@ -48,6 +47,7 @@ class FreqtradeBot(LoggingMixin):
:param config: configuration dict, you can use Configuration.get_config()
to get the config dict.
"""
self.active_pair_whitelist: List[str] = []
logger.info('Starting freqtrade %s', __version__)
@@ -57,12 +57,6 @@ class FreqtradeBot(LoggingMixin):
# Init objects
self.config = config
# Cache values for 1800 to avoid frequent polling of the exchange for prices
# Caching only applies to RPC methods, so prices for open trades are still
# refreshed once every iteration.
self._sell_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
self.strategy: IStrategy = StrategyResolver.load_strategy(self.config)
# Check config consistency here since strategies can set certain options
@@ -76,12 +70,19 @@ class FreqtradeBot(LoggingMixin):
PairLocks.timeframe = self.config['timeframe']
self.protections = ProtectionManager(self.config)
# RPC runs in separate threads, can start handling external commands just after
# initialization, even before Freqtradebot has a chance to start its throttling,
# so anything in the Freqtradebot instance should be ready (initialized), including
# the initial state of the bot.
# Keep this at the end of this initialization method.
self.rpc: RPCManager = RPCManager(self)
self.pairlists = PairListManager(self.exchange, self.config)
self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists)
self.protections = ProtectionManager(self.config)
# Attach Dataprovider to Strategy baseclass
IStrategy.dp = self.dataprovider
# Attach Wallets to Strategy baseclass
@@ -97,12 +98,6 @@ class FreqtradeBot(LoggingMixin):
initial_state = self.config.get('initial_state')
self.state = State[initial_state.upper()] if initial_state else State.STOPPED
# RPC runs in separate threads, can start handling external commands just after
# initialization, even before Freqtradebot has a chance to start its throttling,
# so anything in the Freqtradebot instance should be ready (initialized), including
# the initial state of the bot.
# Keep this at the end of this initialization method.
self.rpc: RPCManager = RPCManager(self)
# Protect sell-logic from forcesell and viceversa
self._sell_lock = Lock()
LoggingMixin.__init__(self, logger, timeframe_to_seconds(self.strategy.timeframe))
@@ -187,7 +182,7 @@ class FreqtradeBot(LoggingMixin):
if self.get_free_open_trades():
self.enter_positions()
Trade.query.session.flush()
Trade.commit()
def process_stopped(self) -> None:
"""
@@ -342,7 +337,7 @@ class FreqtradeBot(LoggingMixin):
# Assume this as the open order
trade.open_order_id = order.order_id
if fo:
logger.info(f"Found {order} for trade {trade}.jj")
logger.info(f"Found {order} for trade {trade}.")
self.update_trade_state(trade, order.order_id, fo,
stoploss_order=order.ft_order_side == 'stoploss')
@@ -394,51 +389,6 @@ class FreqtradeBot(LoggingMixin):
return trades_created
def get_buy_rate(self, pair: str, refresh: bool) -> float:
"""
Calculates bid target between current ask price and last price
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: float: Price
"""
if not refresh:
rate = self._buy_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.debug(f"Using cached buy rate for {pair}.")
return rate
bid_strategy = self.config.get('bid_strategy', {})
if 'use_order_book' in bid_strategy and bid_strategy.get('use_order_book', False):
order_book_top = bid_strategy.get('order_book_top', 1)
order_book = self.exchange.fetch_l2_order_book(pair, order_book_top)
logger.debug('order_book %s', order_book)
# top 1 = index 0
try:
rate_from_l2 = order_book[f"{bid_strategy['price_side']}s"][order_book_top - 1][0]
except (IndexError, KeyError) as e:
logger.warning(
"Buy Price from orderbook could not be determined."
f"Orderbook: {order_book}"
)
raise PricingError from e
logger.info(f"Buy price from orderbook {bid_strategy['price_side'].capitalize()} side "
f"- top {order_book_top} order book buy rate {rate_from_l2:.8f}")
used_rate = rate_from_l2
else:
logger.info(f"Using Last {bid_strategy['price_side'].capitalize()} / Last Price")
ticker = self.exchange.fetch_ticker(pair)
ticker_rate = ticker[bid_strategy['price_side']]
if ticker['last'] and ticker_rate > ticker['last']:
balance = bid_strategy['ask_last_balance']
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
used_rate = ticker_rate
self._buy_rate_cache[pair] = used_rate
return used_rate
def create_trade(self, pair: str) -> bool:
"""
Check the implemented trading strategy for buy signals.
@@ -530,7 +480,7 @@ class FreqtradeBot(LoggingMixin):
buy_limit_requested = price
else:
# Calculate price
buy_limit_requested = self.get_buy_rate(pair, True)
buy_limit_requested = self.exchange.get_buy_rate(pair, True)
if not buy_limit_requested:
raise PricingError('Could not determine buy price.')
@@ -601,6 +551,7 @@ class FreqtradeBot(LoggingMixin):
pair=pair,
stake_amount=stake_amount,
amount=amount,
is_open=True,
amount_requested=amount_requested,
fee_open=fee,
fee_close=fee,
@@ -619,7 +570,7 @@ class FreqtradeBot(LoggingMixin):
self.update_trade_state(trade, order_id, order)
Trade.query.session.add(trade)
Trade.query.session.flush()
Trade.commit()
# Updating wallets
self.wallets.update()
@@ -654,7 +605,7 @@ class FreqtradeBot(LoggingMixin):
"""
Sends rpc notification when a buy cancel occurred.
"""
current_rate = self.get_buy_rate(trade.pair, False)
current_rate = self.exchange.get_buy_rate(trade.pair, False)
msg = {
'trade_id': trade.id,
@@ -705,6 +656,7 @@ class FreqtradeBot(LoggingMixin):
if (self.strategy.order_types.get('stoploss_on_exchange') and
self.handle_stoploss_on_exchange(trade)):
trades_closed += 1
Trade.commit()
continue
# Check if we can sell our current pair
if trade.open_order_id is None and trade.is_open and self.handle_trade(trade):
@@ -719,56 +671,6 @@ class FreqtradeBot(LoggingMixin):
return trades_closed
def _order_book_gen(self, pair: str, side: str, order_book_max: int = 1,
order_book_min: int = 1):
"""
Helper generator to query orderbook in loop (used for early sell-order placing)
"""
order_book = self.exchange.fetch_l2_order_book(pair, order_book_max)
for i in range(order_book_min, order_book_max + 1):
yield order_book[side][i - 1][0]
def get_sell_rate(self, pair: str, refresh: bool) -> float:
"""
Get sell rate - either using ticker bid or first bid based on orderbook
The orderbook portion is only used for rpc messaging, which would otherwise fail
for BitMex (has no bid/ask in fetch_ticker)
or remain static in any other case since it's not updating.
:param pair: Pair to get rate for
:param refresh: allow cached data
:return: Bid rate
"""
if not refresh:
rate = self._sell_rate_cache.get(pair)
# Check if cache has been invalidated
if rate:
logger.debug(f"Using cached sell rate for {pair}.")
return rate
ask_strategy = self.config.get('ask_strategy', {})
if ask_strategy.get('use_order_book', False):
# This code is only used for notifications, selling uses the generator directly
logger.info(
f"Getting price from order book {ask_strategy['price_side'].capitalize()} side."
)
try:
rate = next(self._order_book_gen(pair, f"{ask_strategy['price_side']}s"))
except (IndexError, KeyError) as e:
logger.warning("Sell Price at location from orderbook could not be determined.")
raise PricingError from e
else:
ticker = self.exchange.fetch_ticker(pair)
ticker_rate = ticker[ask_strategy['price_side']]
if ticker['last'] and ticker_rate < ticker['last']:
balance = ask_strategy.get('bid_last_balance', 0.0)
ticker_rate = ticker_rate - balance * (ticker_rate - ticker['last'])
rate = ticker_rate
if rate is None:
raise PricingError(f"Sell-Rate for {pair} was empty.")
self._sell_rate_cache[pair] = rate
return rate
def handle_trade(self, trade: Trade) -> bool:
"""
Sells the current pair if the threshold is reached and updates the trade record.
@@ -796,9 +698,9 @@ class FreqtradeBot(LoggingMixin):
logger.debug(f'Using order book between {order_book_min} and {order_book_max} '
f'for selling {trade.pair}...')
order_book = self._order_book_gen(trade.pair, f"{config_ask_strategy['price_side']}s",
order_book_min=order_book_min,
order_book_max=order_book_max)
order_book = self.exchange._order_book_gen(
trade.pair, f"{config_ask_strategy['price_side']}s",
order_book_min=order_book_min, order_book_max=order_book_max)
for i in range(order_book_min, order_book_max + 1):
try:
sell_rate = next(order_book)
@@ -811,14 +713,14 @@ class FreqtradeBot(LoggingMixin):
f"{sell_rate:0.8f}")
# Assign sell-rate to cache - otherwise sell-rate is never updated in the cache,
# resulting in outdated RPC messages
self._sell_rate_cache[trade.pair] = sell_rate
self.exchange._sell_rate_cache[trade.pair] = sell_rate
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
return True
else:
logger.debug('checking sell')
sell_rate = self.get_sell_rate(trade.pair, True)
sell_rate = self.exchange.get_sell_rate(trade.pair, True)
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
return True
@@ -914,8 +816,13 @@ class FreqtradeBot(LoggingMixin):
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
# Finally we check if stoploss on exchange should be moved up because of trailing.
if stoploss_order and (self.config.get('trailing_stop', False)
or self.config.get('use_custom_stoploss', False)):
# Triggered Orders are now real orders - so don't replace stoploss anymore
if (
stoploss_order
and stoploss_order.get('status_stop') != 'triggered'
and (self.config.get('trailing_stop', False)
or self.config.get('use_custom_stoploss', False))
):
# if trailing stoploss is enabled we check if stoploss value has changed
# in which case we cancel stoploss order and put another one with new
# value immediately
@@ -1035,6 +942,7 @@ class FreqtradeBot(LoggingMixin):
elif order['side'] == 'sell':
self.handle_cancel_sell(trade, order, constants.CANCEL_REASON['ALL_CANCELLED'])
Trade.commit()
def handle_cancel_buy(self, trade: Trade, order: Dict, reason: str) -> bool:
"""
@@ -1232,7 +1140,7 @@ class FreqtradeBot(LoggingMixin):
# In case of market sell orders the order can be closed immediately
if order.get('status', 'unknown') == 'closed':
self.update_trade_state(trade, trade.open_order_id, order)
Trade.query.session.flush()
Trade.commit()
# Lock pair for one candle to prevent immediate re-buys
self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc),
@@ -1249,7 +1157,7 @@ class FreqtradeBot(LoggingMixin):
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
# Use cached rates here - it was updated seconds ago.
current_rate = self.get_sell_rate(trade.pair, False) if not fill else None
current_rate = self.exchange.get_sell_rate(trade.pair, False) if not fill else None
profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
@@ -1294,7 +1202,7 @@ class FreqtradeBot(LoggingMixin):
profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
profit_trade = trade.calc_profit(rate=profit_rate)
current_rate = self.get_sell_rate(trade.pair, False)
current_rate = self.exchange.get_sell_rate(trade.pair, False)
profit_ratio = trade.calc_profit_ratio(profit_rate)
gain = "profit" if profit_ratio > 0 else "loss"
@@ -1373,6 +1281,7 @@ class FreqtradeBot(LoggingMixin):
# Handling of this will happen in check_handle_timeout.
return True
trade.update(order)
Trade.commit()
# Updating wallets when order is closed
if not trade.is_open:

21
freqtrade/optimize/backtesting.py
View File

@@ -17,6 +17,7 @@ from freqtrade.data import history
from freqtrade.data.btanalysis import trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import SellType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.mixins import LoggingMixin
@@ -26,7 +27,7 @@ from freqtrade.persistence import LocalTrade, PairLocks, Trade
from freqtrade.plugins.pairlistmanager import PairListManager
from freqtrade.plugins.protectionmanager import ProtectionManager
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
from freqtrade.strategy.interface import IStrategy, SellCheckTuple
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.wallets import Wallets
@@ -224,6 +225,22 @@ class Backtesting:
# sell at open price.
return sell_row[OPEN_IDX]
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if (sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0
and self.strategy.trailing_stop_positive):
if self.strategy.trailing_only_offset_is_reached:
# Worst case: price reaches stop_positive_offset and dives down.
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)))
else:
# Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(self.strategy.trailing_stop_positive))
assert stop_rate < sell_row[HIGH_IDX]
return stop_rate
# Set close_rate to stoploss
return trade.stop_loss
elif sell.sell_type == (SellType.ROI):
@@ -519,7 +536,7 @@ class Backtesting:
stats = generate_backtest_stats(data, self.all_results,
min_date=min_date, max_date=max_date)
if self.config.get('export', False):
if self.config.get('export', 'none') == 'trades':
store_backtest_stats(self.config['exportfilename'], stats)
# Show backtest results

12
freqtrade/optimize/hyperopt.py
View File

@@ -12,6 +12,7 @@ from math import ceil
from pathlib import Path
from typing import Any, Dict, List, Optional
import numpy as np
import progressbar
import rapidjson
from colorama import Fore, Style
@@ -162,8 +163,13 @@ class Hyperopt:
While not a valid json object - this allows appending easily.
:param epoch: result dictionary for this epoch.
"""
def default_parser(x):
if isinstance(x, np.integer):
return int(x)
return str(x)
with self.results_file.open('a') as f:
rapidjson.dump(epoch, f, default=str,
rapidjson.dump(epoch, f, default=default_parser,
number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN)
f.write("\n")
@@ -463,8 +469,8 @@ class Hyperopt:
f"saved to '{self.results_file}'.")
if self.current_best_epoch:
HyperoptTools.print_epoch_details(self.current_best_epoch, self.total_epochs,
self.print_json)
HyperoptTools.show_epoch_details(self.current_best_epoch, self.total_epochs,
self.print_json)
else:
# This is printed when Ctrl+C is pressed quickly, before first epochs have
# a chance to be evaluated.

18
freqtrade/optimize/hyperopt_loss_onlyprofit.py
View File

@@ -9,23 +9,11 @@ from pandas import DataFrame
from freqtrade.optimize.hyperopt import IHyperOptLoss
# This is assumed to be expected avg profit * expected trade count.
# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
# expected max profit = 3.85
#
# Note, this is ratio. 3.85 stated above means 385Σ%, 3.0 means 300Σ%.
#
# In this implementation it's only used in calculation of the resulting value
# of the objective function as a normalization coefficient and does not
# represent any limit for profits as in the Freqtrade legacy default loss function.
EXPECTED_MAX_PROFIT = 3.0
class OnlyProfitHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation takes only profit into account.
This implementation takes only absolute profit into account, not looking at any other indicator.
"""
@staticmethod
@@ -34,5 +22,5 @@ class OnlyProfitHyperOptLoss(IHyperOptLoss):
"""
Objective function, returns smaller number for better results.
"""
total_profit = results['profit_ratio'].sum()
return 1 - total_profit / EXPECTED_MAX_PROFIT
total_profit = results['profit_abs'].sum()
return -1 * total_profit

125
freqtrade/optimize/hyperopt_tools.py
View File

@@ -1,8 +1,6 @@
import io
import locale
import logging
from collections import OrderedDict
from pathlib import Path
from typing import Any, Dict, List
@@ -74,8 +72,8 @@ class HyperoptTools():
return epochs
@staticmethod
def print_epoch_details(results, total_epochs: int, print_json: bool,
no_header: bool = False, header_str: str = None) -> None:
def show_epoch_details(results, total_epochs: int, print_json: bool,
no_header: bool = False, header_str: str = None) -> None:
"""
Display details of the hyperopt result
"""
@@ -121,16 +119,9 @@ class HyperoptTools():
if space in ['buy', 'sell']:
result_dict.setdefault('params', {}).update(all_space_params)
elif space == 'roi':
# TODO: get rid of OrderedDict when support for python 3.6 will be
# dropped (dicts keep the order as the language feature)
# Convert keys in min_roi dict to strings because
# rapidjson cannot dump dicts with integer keys...
# OrderedDict is used to keep the numeric order of the items
# in the dict.
result_dict['minimal_roi'] = OrderedDict(
(str(k), v) for k, v in all_space_params.items()
)
result_dict['minimal_roi'] = {str(k): v for k, v in all_space_params.items()}
else: # 'stoploss', 'trailing'
result_dict.update(all_space_params)
@@ -142,13 +133,9 @@ class HyperoptTools():
if space == 'stoploss':
result += f"stoploss = {space_params.get('stoploss')}"
elif space == 'roi':
# TODO: get rid of OrderedDict when support for python 3.6 will be
# dropped (dicts keep the order as the language feature)
minimal_roi_result = rapidjson.dumps(
OrderedDict(
(str(k), v) for k, v in space_params.items()
),
default=str, indent=4, number_mode=rapidjson.NM_NATIVE)
minimal_roi_result = rapidjson.dumps({
str(k): v for k, v in space_params.items()
}, default=str, indent=4, number_mode=rapidjson.NM_NATIVE)
result += f"minimal_roi = {minimal_roi_result}"
elif space == 'trailing':
@@ -204,9 +191,9 @@ class HyperoptTools():
f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. "
f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. "
f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_currency} "
f"({results_metrics['profit_total'] * 100: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). "
f"({results_metrics['profit_total'] * 100: 7.2f}%). "
f"Avg duration {results_metrics['holding_avg']} min."
).encode(locale.getpreferredencoding(), 'replace').decode('utf-8')
)
@staticmethod
def _format_explanation_string(results, total_epochs) -> str:
@@ -215,6 +202,47 @@ class HyperoptTools():
f"{results['results_explanation']} " +
f"Objective: {results['loss']:.5f}")
@staticmethod
def prepare_trials_columns(trials, legacy_mode: bool, has_drawdown: bool) -> str:
trials['Best'] = ''
if 'results_metrics.winsdrawslosses' not in trials.columns:
# Ensure compatibility with older versions of hyperopt results
trials['results_metrics.winsdrawslosses'] = 'N/A'
if not has_drawdown:
# Ensure compatibility with older versions of hyperopt results
trials['results_metrics.max_drawdown_abs'] = None
trials['results_metrics.max_drawdown'] = None
if not legacy_mode:
# New mode, using backtest result for metrics
trials['results_metrics.winsdrawslosses'] = trials.apply(
lambda x: f"{x['results_metrics.wins']} {x['results_metrics.draws']:>4} "
f"{x['results_metrics.losses']:>4}", axis=1)
trials = trials[['Best', 'current_epoch', 'results_metrics.total_trades',
'results_metrics.winsdrawslosses',
'results_metrics.profit_mean', 'results_metrics.profit_total_abs',
'results_metrics.profit_total', 'results_metrics.holding_avg',
'results_metrics.max_drawdown', 'results_metrics.max_drawdown_abs',
'loss', 'is_initial_point', 'is_best']]
else:
# Legacy mode
trials = trials[['Best', 'current_epoch', 'results_metrics.trade_count',
'results_metrics.winsdrawslosses', 'results_metrics.avg_profit',
'results_metrics.total_profit', 'results_metrics.profit',
'results_metrics.duration', 'results_metrics.max_drawdown',
'results_metrics.max_drawdown_abs', 'loss', 'is_initial_point',
'is_best']]
trials.columns = ['Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
'Total profit', 'Profit', 'Avg duration', 'Max Drawdown',
'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_best']
return trials
@staticmethod
def get_result_table(config: dict, results: list, total_epochs: int, highlight_best: bool,
print_colorized: bool, remove_header: int) -> str:
@@ -225,36 +253,13 @@ class HyperoptTools():
return ''
tabulate.PRESERVE_WHITESPACE = True
trials = json_normalize(results, max_level=1)
trials['Best'] = ''
if 'results_metrics.winsdrawslosses' not in trials.columns:
# Ensure compatibility with older versions of hyperopt results
trials['results_metrics.winsdrawslosses'] = 'N/A'
legacy_mode = True
if 'results_metrics.total_trades' in trials:
legacy_mode = False
# New mode, using backtest result for metrics
trials['results_metrics.winsdrawslosses'] = trials.apply(
lambda x: f"{x['results_metrics.wins']} {x['results_metrics.draws']:>4} "
f"{x['results_metrics.losses']:>4}", axis=1)
trials = trials[['Best', 'current_epoch', 'results_metrics.total_trades',
'results_metrics.winsdrawslosses',
'results_metrics.profit_mean', 'results_metrics.profit_total_abs',
'results_metrics.profit_total', 'results_metrics.holding_avg',
'loss', 'is_initial_point', 'is_best']]
else:
# Legacy mode
trials = trials[['Best', 'current_epoch', 'results_metrics.trade_count',
'results_metrics.winsdrawslosses',
'results_metrics.avg_profit', 'results_metrics.total_profit',
'results_metrics.profit', 'results_metrics.duration',
'loss', 'is_initial_point', 'is_best']]
legacy_mode = 'results_metrics.total_trades' not in trials
has_drawdown = 'results_metrics.max_drawdown_abs' in trials.columns
trials = HyperoptTools.prepare_trials_columns(trials, legacy_mode, has_drawdown)
trials.columns = ['Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
'Total profit', 'Profit', 'Avg duration', 'Objective',
'is_initial_point', 'is_best']
trials['is_profit'] = False
trials.loc[trials['is_initial_point'], 'Best'] = '* '
trials.loc[trials['is_best'], 'Best'] = 'Best'
@@ -277,6 +282,21 @@ class HyperoptTools():
)
stake_currency = config['stake_currency']
if has_drawdown:
trials['Max Drawdown'] = trials.apply(
lambda x: '{} {}'.format(
round_coin_value(x['max_drawdown_abs'], stake_currency),
'({:,.2f}%)'.format(x['Max Drawdown'] * perc_multi).rjust(10, ' ')
).rjust(25 + len(stake_currency))
if x['Max Drawdown'] != 0.0 else '--'.rjust(25 + len(stake_currency)),
axis=1
)
else:
trials = trials.drop(columns=['Max Drawdown'])
trials = trials.drop(columns=['max_drawdown_abs'])
trials['Profit'] = trials.apply(
lambda x: '{} {}'.format(
round_coin_value(x['Total profit'], stake_currency),
@@ -385,10 +405,11 @@ class HyperoptTools():
trials['Avg profit'] = trials['Avg profit'].apply(
lambda x: f'{x * perc_multi:,.2f}%' if not isna(x) else ""
)
trials['Avg duration'] = trials['Avg duration'].apply(
lambda x: f'{x:,.1f} m' if isinstance(
x, float) else f"{x.total_seconds() // 60:,.1f} m" if not isna(x) else ""
)
if perc_multi == 1:
trials['Avg duration'] = trials['Avg duration'].apply(
lambda x: f'{x:,.1f} m' if isinstance(
x, float) else f"{x.total_seconds() // 60:,.1f} m" if not isna(x) else ""
)
trials['Objective'] = trials['Objective'].apply(
lambda x: f'{x:,.5f}' if x != 100000 else ""
)

23
freqtrade/optimize/optimize_reports.py
View File

@@ -232,16 +232,23 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
zero_duration_trades = len(results.loc[(results['trade_duration'] == 0) &
(results['sell_reason'] == 'trailing_stop_loss')])
holding_avg = (timedelta(minutes=round(results['trade_duration'].mean()))
if not results.empty else timedelta())
winner_holding_avg = (timedelta(minutes=round(winning_trades['trade_duration'].mean()))
if not winning_trades.empty else timedelta())
loser_holding_avg = (timedelta(minutes=round(losing_trades['trade_duration'].mean()))
if not losing_trades.empty else timedelta())
return {
'wins': len(winning_trades),
'losses': len(losing_trades),
'draws': len(draw_trades),
'holding_avg': (timedelta(minutes=round(results['trade_duration'].mean()))
if not results.empty else timedelta()),
'winner_holding_avg': (timedelta(minutes=round(winning_trades['trade_duration'].mean()))
if not winning_trades.empty else timedelta()),
'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean()))
if not losing_trades.empty else timedelta()),
'holding_avg': holding_avg,
'holding_avg_s': holding_avg.total_seconds(),
'winner_holding_avg': winner_holding_avg,
'winner_holding_avg_s': winner_holding_avg.total_seconds(),
'loser_holding_avg': loser_holding_avg,
'loser_holding_avg_s': loser_holding_avg.total_seconds(),
'zero_duration_trades': zero_duration_trades,
}
@@ -549,7 +556,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Backtesting to', strat_results['backtest_end']),
('Max open trades', strat_results['max_open_trades']),
('', ''), # Empty line to improve readability
('Total trades', strat_results['total_trades']),
('Total/Daily Avg Trades',
f"{strat_results['total_trades']} / {strat_results['trades_per_day']}"),
('Starting balance', round_coin_value(strat_results['starting_balance'],
strat_results['stake_currency'])),
('Final balance', round_coin_value(strat_results['final_balance'],
@@ -557,7 +565,6 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2):}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],

51
freqtrade/persistence/migrations.py
View File

@@ -1,7 +1,7 @@
import logging
from typing import List
from sqlalchemy import inspect
from sqlalchemy import inspect, text
logger = logging.getLogger(__name__)
@@ -62,15 +62,17 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
amount_requested = get_column_def(cols, 'amount_requested', 'amount')
# Schema migration necessary
engine.execute(f"alter table trades rename to {table_back_name}")
# drop indexes on backup table
for index in inspector.get_indexes(table_back_name):
engine.execute(f"drop index {index['name']}")
with engine.begin() as connection:
connection.execute(text(f"alter table trades rename to {table_back_name}"))
# drop indexes on backup table
for index in inspector.get_indexes(table_back_name):
connection.execute(text(f"drop index {index['name']}"))
# let SQLAlchemy create the schema as required
decl_base.metadata.create_all(engine)
# Copy data back - following the correct schema
engine.execute(f"""insert into trades
with engine.begin() as connection:
connection.execute(text(f"""insert into trades
(id, exchange, pair, is_open,
fee_open, fee_open_cost, fee_open_currency,
fee_close, fee_close_cost, fee_open_currency, open_rate,
@@ -104,11 +106,12 @@ def migrate_trades_table(decl_base, inspector, engine, table_back_name: str, col
{strategy} strategy, {timeframe} timeframe,
{open_trade_value} open_trade_value, {close_profit_abs} close_profit_abs
from {table_back_name}
""")
"""))
def migrate_open_orders_to_trades(engine):
engine.execute("""
with engine.begin() as connection:
connection.execute(text("""
insert into orders (ft_trade_id, ft_pair, order_id, ft_order_side, ft_is_open)
select id ft_trade_id, pair ft_pair, open_order_id,
case when close_rate_requested is null then 'buy'
@@ -120,28 +123,30 @@ def migrate_open_orders_to_trades(engine):
'stoploss' ft_order_side, 1 ft_is_open
from trades
where stoploss_order_id is not null
""")
"""))
def migrate_orders_table(decl_base, inspector, engine, table_back_name: str, cols: List):
# Schema migration necessary
engine.execute(f"alter table orders rename to {table_back_name}")
# drop indexes on backup table
for index in inspector.get_indexes(table_back_name):
engine.execute(f"drop index {index['name']}")
with engine.begin() as connection:
connection.execute(text(f"alter table orders rename to {table_back_name}"))
# drop indexes on backup table
for index in inspector.get_indexes(table_back_name):
connection.execute(text(f"drop index {index['name']}"))
# let SQLAlchemy create the schema as required
decl_base.metadata.create_all(engine)
engine.execute(f"""
insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
symbol, order_type, side, price, amount, filled, average, remaining, cost, order_date,
order_filled_date, order_update_date)
select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
symbol, order_type, side, price, amount, filled, null average, remaining, cost, order_date,
order_filled_date, order_update_date
from {table_back_name}
""")
with engine.begin() as connection:
connection.execute(text(f"""
insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, average, remaining, cost,
order_date, order_filled_date, order_update_date)
select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id,
status, symbol, order_type, side, price, amount, filled, null average, remaining, cost,
order_date, order_filled_date, order_update_date
from {table_back_name}
"""))
def check_migrate(engine, decl_base, previous_tables) -> None:

31
freqtrade/persistence/models.py
View File

@@ -9,14 +9,12 @@ from typing import Any, Dict, List, Optional
from sqlalchemy import (Boolean, Column, DateTime, Float, ForeignKey, Integer, String,
create_engine, desc, func, inspect)
from sqlalchemy.exc import NoSuchModuleError
from sqlalchemy.ext.declarative import declarative_base
from sqlalchemy.orm import Query, relationship
from sqlalchemy.orm.scoping import scoped_session
from sqlalchemy.orm.session import sessionmaker
from sqlalchemy.orm import Query, declarative_base, relationship, scoped_session, sessionmaker
from sqlalchemy.pool import StaticPool
from sqlalchemy.sql.schema import UniqueConstraint
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.enums import SellType
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.misc import safe_value_fallback
from freqtrade.persistence.migrations import check_migrate
@@ -41,16 +39,18 @@ def init_db(db_url: str, clean_open_orders: bool = False) -> None:
"""
kwargs = {}
# Take care of thread ownership if in-memory db
if db_url == 'sqlite://':
kwargs.update({
'connect_args': {'check_same_thread': False},
'poolclass': StaticPool,
'echo': False,
})
# Take care of thread ownership
if db_url.startswith('sqlite://'):
kwargs.update({
'connect_args': {'check_same_thread': False},
})
try:
engine = create_engine(db_url, **kwargs)
engine = create_engine(db_url, future=True, **kwargs)
except NoSuchModuleError:
raise OperationalException(f"Given value for db_url: '{db_url}' "
f"is no valid database URL! (See {_SQL_DOCS_URL})")
@@ -58,7 +58,7 @@ def init_db(db_url: str, clean_open_orders: bool = False) -> 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=True, autocommit=True))
Trade._session = scoped_session(sessionmaker(bind=engine, autoflush=True))
Trade.query = Trade._session.query_property()
Order.query = Trade._session.query_property()
PairLock.query = Trade._session.query_property()
@@ -77,7 +77,7 @@ def cleanup_db() -> None:
Flushes all pending operations to disk.
:return: None
"""
Trade.query.session.flush()
Trade.commit()
def clean_dry_run_db() -> None:
@@ -89,6 +89,7 @@ def clean_dry_run_db() -> None:
# Check we are updating only a dry_run order not a prod one
if 'dry_run' in trade.open_order_id:
trade.open_order_id = None
Trade.commit()
class Order(_DECL_BASE):
@@ -177,6 +178,7 @@ class Order(_DECL_BASE):
if filtered_orders:
oobj = filtered_orders[0]
oobj.update_from_ccxt_object(order)
Order.query.session.commit()
else:
logger.warning(f"Did not find order for {order}.")
@@ -429,12 +431,13 @@ class LocalTrade():
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
self.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
if self.is_open:
logger.info(f'{order_type.upper()} is hit for {self}.')
self.close(safe_value_fallback(order, 'average', 'price'))
else:
raise ValueError(f'Unknown order type: {order_type}')
cleanup_db()
Trade.commit()
def close(self, rate: float, *, show_msg: bool = True) -> None:
"""
@@ -712,7 +715,11 @@ class Trade(_DECL_BASE, LocalTrade):
Order.query.session.delete(order)
Trade.query.session.delete(self)
Trade.query.session.flush()
Trade.commit()
@staticmethod
def commit():
Trade.query.session.commit()
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,

4
freqtrade/persistence/pairlock_middleware.py
View File

@@ -49,7 +49,7 @@ class PairLocks():
)
if PairLocks.use_db:
PairLock.query.session.add(lock)
PairLock.query.session.flush()
PairLock.query.session.commit()
else:
PairLocks.locks.append(lock)
@@ -99,7 +99,7 @@ class PairLocks():
for lock in locks:
lock.active = False
if PairLocks.use_db:
PairLock.query.session.flush()
PairLock.query.session.commit()
@staticmethod
def is_global_lock(now: Optional[datetime] = None) -> bool:

40
freqtrade/plot/plotting.py
View File

@@ -47,7 +47,7 @@ def init_plotscript(config, markets: List, startup_candles: int = 0):
data = load_data(
datadir=config.get('datadir'),
pairs=pairs,
timeframe=config.get('timeframe', '5m'),
timeframe=config['timeframe'],
timerange=timerange,
startup_candles=startup_candles,
data_format=config.get('dataformat_ohlcv', 'json'),
@@ -56,7 +56,7 @@ def init_plotscript(config, markets: List, startup_candles: int = 0):
if startup_candles and data:
min_date, max_date = get_timerange(data)
logger.info(f"Loading data from {min_date} to {max_date}")
timerange.adjust_start_if_necessary(timeframe_to_seconds(config.get('timeframe', '5m')),
timerange.adjust_start_if_necessary(timeframe_to_seconds(config['timeframe']),
startup_candles, min_date)
no_trades = False
@@ -96,20 +96,34 @@ def add_indicators(fig, row, indicators: Dict[str, Dict], data: pd.DataFrame) ->
Dict key must correspond to dataframe column.
:param data: candlestick DataFrame
"""
plot_kinds = {
'scatter': go.Scatter,
'bar': go.Bar,
}
for indicator, conf in indicators.items():
logger.debug(f"indicator {indicator} with config {conf}")
if indicator in data:
kwargs = {'x': data['date'],
'y': data[indicator].values,
'mode': 'lines',
'name': indicator
}
if 'color' in conf:
kwargs.update({'line': {'color': conf['color']}})
scatter = go.Scatter(
**kwargs
)
fig.add_trace(scatter, row, 1)
plot_type = conf.get('type', 'scatter')
color = conf.get('color')
if plot_type == 'bar':
kwargs.update({'marker_color': color or 'DarkSlateGrey',
'marker_line_color': color or 'DarkSlateGrey'})
else:
if color:
kwargs.update({'line': {'color': color}})
kwargs['mode'] = 'lines'
if plot_type != 'scatter':
logger.warning(f'Indicator {indicator} has unknown plot trace kind {plot_type}'
f', assuming "scatter".')
kwargs.update(conf.get('plotly', {}))
trace = plot_kinds[plot_type](**kwargs)
fig.add_trace(trace, row, 1)
else:
logger.info(
'Indicator "%s" ignored. Reason: This indicator is not found '
@@ -569,6 +583,9 @@ def plot_profit(config: Dict[str, Any]) -> None:
But should be somewhat proportional, and therefor useful
in helping out to find a good algorithm.
"""
if 'timeframe' not in config:
raise OperationalException('Timeframe must be set in either config or via --timeframe.')
exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config)
plot_elements = init_plotscript(config, list(exchange.markets))
trades = plot_elements['trades']
@@ -585,7 +602,8 @@ def plot_profit(config: Dict[str, Any]) -> None:
# Create an average close price of all the pairs that were involved.
# this could be useful to gauge the overall market trend
fig = generate_profit_graph(plot_elements['pairs'], plot_elements['ohlcv'],
trades, config.get('timeframe', '5m'),
trades, config['timeframe'],
config.get('stake_currency', ''))
store_plot_file(fig, filename='freqtrade-profit-plot.html',
directory=config['user_data_dir'] / 'plot', auto_open=True)
directory=config['user_data_dir'] / 'plot',
auto_open=config.get('plot_auto_open', False))

2
freqtrade/plugins/protections/stoploss_guard.py
View File

@@ -3,9 +3,9 @@ import logging
from datetime import datetime, timedelta
from typing import Any, Dict
from freqtrade.enums import SellType
from freqtrade.persistence import Trade
from freqtrade.plugins.protections import IProtection, ProtectionReturn
from freqtrade.strategy.interface import SellType
logger = logging.getLogger(__name__)

6
freqtrade/resolvers/iresolver.py
View File

@@ -58,6 +58,9 @@ class IResolver:
# Generate spec based on absolute path
# Pass object_name as first argument to have logging print a reasonable name.
spec = importlib.util.spec_from_file_location(object_name or "", str(module_path))
if not spec:
return iter([None])
module = importlib.util.module_from_spec(spec)
try:
spec.loader.exec_module(module) # type: ignore # importlib does not use typehints
@@ -91,6 +94,9 @@ class IResolver:
if not str(entry).endswith('.py'):
logger.debug('Ignoring %s', entry)
continue
if entry.is_symlink() and not entry.is_file():
logger.debug('Ignoring broken symlink %s', entry)
continue
module_path = entry.resolve()
obj = next(cls._get_valid_object(module_path, object_name), None)

3
freqtrade/resolvers/strategy_resolver.py
View File

@@ -6,7 +6,6 @@ This module load custom strategies
import logging
import tempfile
from base64 import urlsafe_b64decode
from collections import OrderedDict
from inspect import getfullargspec
from pathlib import Path
from typing import Any, Dict, Optional
@@ -139,7 +138,7 @@ class StrategyResolver(IResolver):
# Sort and apply type conversions
if hasattr(strategy, 'minimal_roi'):
strategy.minimal_roi = OrderedDict(sorted(
strategy.minimal_roi = dict(sorted(
{int(key): value for (key, value) in strategy.minimal_roi.items()}.items(),
key=lambda t: t[0]))
if hasattr(strategy, 'stoploss'):

2
freqtrade/rpc/__init__.py
View File

@@ -1,3 +1,3 @@
# flake8: noqa: F401
from .rpc import RPC, RPCException, RPCHandler, RPCMessageType
from .rpc import RPC, RPCException, RPCHandler
from .rpc_manager import RPCManager

44
freqtrade/rpc/rpc.py
View File

@@ -4,7 +4,6 @@ This module contains class to define a RPC communications
import logging
from abc import abstractmethod
from datetime import date, datetime, timedelta, timezone
from enum import Enum
from math import isnan
from typing import Any, Dict, List, Optional, Tuple, Union
@@ -15,6 +14,7 @@ from pandas import DataFrame
from freqtrade.configuration.timerange import TimeRange
from freqtrade.constants import CANCEL_REASON, DATETIME_PRINT_FORMAT
from freqtrade.data.history import load_data
from freqtrade.enums import SellType, State
from freqtrade.exceptions import ExchangeError, PricingError
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_msecs
from freqtrade.loggers import bufferHandler
@@ -23,31 +23,12 @@ from freqtrade.persistence import PairLocks, Trade
from freqtrade.persistence.models import PairLock
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
from freqtrade.rpc.fiat_convert import CryptoToFiatConverter
from freqtrade.state import State
from freqtrade.strategy.interface import SellCheckTuple, SellType
from freqtrade.strategy.interface import SellCheckTuple
logger = logging.getLogger(__name__)
class RPCMessageType(Enum):
STATUS = 'status'
WARNING = 'warning'
STARTUP = 'startup'
BUY = 'buy'
BUY_FILL = 'buy_fill'
BUY_CANCEL = 'buy_cancel'
SELL = 'sell'
SELL_FILL = 'sell_fill'
SELL_CANCEL = 'sell_cancel'
def __repr__(self):
return self.value
def __str__(self):
return self.value
class RPCException(Exception):
"""
Should be raised with a rpc-formatted message in an _rpc_* method
@@ -171,7 +152,7 @@ class RPC:
# calculate profit and send message to user
if trade.is_open:
try:
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
except (ExchangeError, PricingError):
current_rate = NAN
else:
@@ -230,7 +211,7 @@ class RPC:
for trade in trades:
# calculate profit and send message to user
try:
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
except (PricingError, ExchangeError):
current_rate = NAN
trade_percent = (100 * trade.calc_profit_ratio(current_rate))
@@ -355,9 +336,10 @@ class RPC:
return {'sell_reasons': sell_reasons, 'durations': durations}
def _rpc_trade_statistics(
self, stake_currency: str, fiat_display_currency: str) -> Dict[str, Any]:
self, stake_currency: str, fiat_display_currency: str,
start_date: datetime = datetime.fromtimestamp(0)) -> Dict[str, Any]:
""" Returns cumulative profit statistics """
trades = Trade.get_trades().order_by(Trade.id).all()
trades = Trade.get_trades([Trade.open_date >= start_date]).order_by(Trade.id).all()
profit_all_coin = []
profit_all_ratio = []
@@ -386,7 +368,7 @@ class RPC:
else:
# Get current rate
try:
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
except (PricingError, ExchangeError):
current_rate = NAN
profit_ratio = trade.calc_profit_ratio(rate=current_rate)
@@ -556,7 +538,7 @@ class RPC:
if not fully_canceled:
# Get current rate and execute sell
current_rate = self._freqtrade.get_sell_rate(trade.pair, False)
current_rate = self._freqtrade.exchange.get_sell_rate(trade.pair, False)
sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL)
self._freqtrade.execute_sell(trade, current_rate, sell_reason)
# ---- EOF def _exec_forcesell ----
@@ -569,7 +551,7 @@ class RPC:
# Execute sell for all open orders
for trade in Trade.get_open_trades():
_exec_forcesell(trade)
Trade.query.session.flush()
Trade.commit()
self._freqtrade.wallets.update()
return {'result': 'Created sell orders for all open trades.'}
@@ -582,7 +564,7 @@ class RPC:
raise RPCException('invalid argument')
_exec_forcesell(trade)
Trade.query.session.flush()
Trade.commit()
self._freqtrade.wallets.update()
return {'result': f'Created sell order for trade {trade_id}.'}
@@ -615,6 +597,7 @@ class RPC:
# execute buy
if self._freqtrade.execute_buy(pair, stakeamount, price, forcebuy=True):
Trade.commit()
trade = Trade.get_trades([Trade.is_open.is_(True), Trade.pair == pair]).first()
return trade
else:
@@ -705,8 +688,7 @@ class RPC:
lock.active = False
lock.lock_end_time = datetime.now(timezone.utc)
# session is always the same
PairLock.query.session.flush()
PairLock.query.session.commit()
return self._rpc_locks()

3
freqtrade/rpc/rpc_manager.py
View File

@@ -4,7 +4,8 @@ This module contains class to manage RPC communications (Telegram, Slack, ...)
import logging
from typing import Any, Dict, List
from freqtrade.rpc import RPC, RPCHandler, RPCMessageType
from freqtrade.enums import RPCMessageType
from freqtrade.rpc import RPC, RPCHandler
logger = logging.getLogger(__name__)

131
freqtrade/rpc/telegram.py
View File

@@ -5,7 +5,8 @@ This module manage Telegram communication
"""
import json
import logging
from datetime import timedelta
import re
from datetime import date, datetime, timedelta
from html import escape
from itertools import chain
from math import isnan
@@ -21,9 +22,10 @@ from telegram.utils.helpers import escape_markdown
from freqtrade.__init__ import __version__
from freqtrade.constants import DUST_PER_COIN
from freqtrade.enums import RPCMessageType
from freqtrade.exceptions import OperationalException
from freqtrade.misc import chunks, round_coin_value
from freqtrade.rpc import RPC, RPCException, RPCHandler, RPCMessageType
from freqtrade.rpc import RPC, RPCException, RPCHandler
logger = logging.getLogger(__name__)
@@ -54,7 +56,7 @@ def authorized_only(command_handler: Callable[..., None]) -> Callable[..., Any]:
)
return wrapper
logger.info(
logger.debug(
'Executing handler: %s for chat_id: %s',
command_handler.__name__,
chat_id
@@ -99,23 +101,27 @@ class Telegram(RPCHandler):
# TODO: DRY! - its not good to list all valid cmds here. But otherwise
# this needs refacoring of the whole telegram module (same
# problem in _help()).
valid_keys: List[str] = ['/start', '/stop', '/status', '/status table',
'/trades', '/profit', '/performance', '/daily',
'/stats', '/count', '/locks', '/balance',
'/stopbuy', '/reload_config', '/show_config',
'/logs', '/whitelist', '/blacklist', '/edge',
'/help', '/version']
valid_keys: List[str] = [r'/start$', r'/stop$', r'/status$', r'/status table$',
r'/trades$', r'/performance$', r'/daily$', r'/daily \d+$',
r'/profit$', r'/profit \d+',
r'/stats$', r'/count$', r'/locks$', r'/balance$',
r'/stopbuy$', r'/reload_config$', r'/show_config$',
r'/logs$', r'/whitelist$', r'/blacklist$', r'/edge$',
r'/forcebuy$', r'/help$', r'/version$']
# Create keys for generation
valid_keys_print = [k.replace('$', '') for k in valid_keys]
# custom keyboard specified in config.json
cust_keyboard = self._config['telegram'].get('keyboard', [])
if cust_keyboard:
combined = "(" + ")|(".join(valid_keys) + ")"
# check for valid shortcuts
invalid_keys = [b for b in chain.from_iterable(cust_keyboard)
if b not in valid_keys]
if not re.match(combined, b)]
if len(invalid_keys):
err_msg = ('config.telegram.keyboard: Invalid commands for '
f'custom Telegram keyboard: {invalid_keys}'
f'\nvalid commands are: {valid_keys}')
f'\nvalid commands are: {valid_keys_print}')
raise OperationalException(err_msg)
else:
self._keyboard = cust_keyboard
@@ -211,66 +217,83 @@ class Telegram(RPCHandler):
msg['emoji'] = self._get_sell_emoji(msg)
message = ("{emoji} *{exchange}:* Selling {pair} (#{trade_id})\n"
"*Amount:* `{amount:.8f}`\n"
"*Open Rate:* `{open_rate:.8f}`\n"
"*Current Rate:* `{current_rate:.8f}`\n"
"*Close Rate:* `{limit:.8f}`\n"
"*Sell Reason:* `{sell_reason}`\n"
"*Duration:* `{duration} ({duration_min:.1f} min)`\n"
"*Profit:* `{profit_percent:.2f}%`").format(**msg)
# Check if all sell properties are available.
# This might not be the case if the message origin is triggered by /forcesell
if (all(prop in msg for prop in ['gain', 'fiat_currency', 'stake_currency'])
and self._rpc._fiat_converter):
msg['profit_fiat'] = self._rpc._fiat_converter.convert_amount(
msg['profit_amount'], msg['stake_currency'], msg['fiat_currency'])
message += (' `({gain}: {profit_amount:.8f} {stake_currency}'
' / {profit_fiat:.3f} {fiat_currency})`').format(**msg)
msg['profit_extra'] = (' ({gain}: {profit_amount:.8f} {stake_currency}'
' / {profit_fiat:.3f} {fiat_currency})').format(**msg)
else:
msg['profit_extra'] = ''
message = ("{emoji} *{exchange}:* Selling {pair} (#{trade_id})\n"
"*Profit:* `{profit_percent:.2f}%{profit_extra}`\n"
"*Sell Reason:* `{sell_reason}`\n"
"*Duration:* `{duration} ({duration_min:.1f} min)`\n"
"*Amount:* `{amount:.8f}`\n"
"*Open Rate:* `{open_rate:.8f}`\n"
"*Current Rate:* `{current_rate:.8f}`\n"
"*Close Rate:* `{limit:.8f}`").format(**msg)
return message
def send_msg(self, msg: Dict[str, Any]) -> None:
""" Send a message to telegram channel """
noti = self._config['telegram'].get('notification_settings', {}
).get(str(msg['type']), 'on')
default_noti = 'on'
msg_type = msg['type']
noti = ''
if msg_type == RPCMessageType.SELL:
sell_noti = self._config['telegram'] \
.get('notification_settings', {}).get(str(msg_type), {})
# For backward compatibility sell still can be string
if isinstance(sell_noti, str):
noti = sell_noti
else:
noti = sell_noti.get(str(msg['sell_reason']), default_noti)
else:
noti = self._config['telegram'] \
.get('notification_settings', {}).get(str(msg_type), default_noti)
if noti == 'off':
logger.info(f"Notification '{msg['type']}' not sent.")
logger.info(f"Notification '{msg_type}' not sent.")
# Notification disabled
return
if msg['type'] == RPCMessageType.BUY:
if msg_type == RPCMessageType.BUY:
message = self._format_buy_msg(msg)
elif msg['type'] in (RPCMessageType.BUY_CANCEL, RPCMessageType.SELL_CANCEL):
msg['message_side'] = 'buy' if msg['type'] == RPCMessageType.BUY_CANCEL else 'sell'
elif msg_type in (RPCMessageType.BUY_CANCEL, RPCMessageType.SELL_CANCEL):
msg['message_side'] = 'buy' if msg_type == RPCMessageType.BUY_CANCEL else 'sell'
message = ("\N{WARNING SIGN} *{exchange}:* "
"Cancelling open {message_side} Order for {pair} (#{trade_id}). "
"Reason: {reason}.".format(**msg))
elif msg['type'] == RPCMessageType.BUY_FILL:
elif msg_type == RPCMessageType.BUY_FILL:
message = ("\N{LARGE CIRCLE} *{exchange}:* "
"Buy order for {pair} (#{trade_id}) filled "
"for {open_rate}.".format(**msg))
elif msg['type'] == RPCMessageType.SELL_FILL:
elif msg_type == RPCMessageType.SELL_FILL:
message = ("\N{LARGE CIRCLE} *{exchange}:* "
"Sell order for {pair} (#{trade_id}) filled "
"for {close_rate}.".format(**msg))
elif msg['type'] == RPCMessageType.SELL:
elif msg_type == RPCMessageType.SELL:
message = self._format_sell_msg(msg)
elif msg['type'] == RPCMessageType.STATUS:
elif msg_type == RPCMessageType.STATUS:
message = '*Status:* `{status}`'.format(**msg)
elif msg['type'] == RPCMessageType.WARNING:
elif msg_type == RPCMessageType.WARNING:
message = '\N{WARNING SIGN} *Warning:* `{status}`'.format(**msg)
elif msg['type'] == RPCMessageType.STARTUP:
elif msg_type == RPCMessageType.STARTUP:
message = '{status}'.format(**msg)
else:
raise NotImplementedError('Unknown message type: {}'.format(msg['type']))
raise NotImplementedError('Unknown message type: {}'.format(msg_type))
self._send_msg(message, disable_notification=(noti == 'silent'))
@@ -440,9 +463,20 @@ class Telegram(RPCHandler):
stake_cur = self._config['stake_currency']
fiat_disp_cur = self._config.get('fiat_display_currency', '')
start_date = datetime.fromtimestamp(0)
timescale = None
try:
if context.args:
timescale = int(context.args[0])
today_start = datetime.combine(date.today(), datetime.min.time())
start_date = today_start - timedelta(days=timescale)
except (TypeError, ValueError, IndexError):
pass
stats = self._rpc._rpc_trade_statistics(
stake_cur,
fiat_disp_cur)
fiat_disp_cur,
start_date)
profit_closed_coin = stats['profit_closed_coin']
profit_closed_percent_mean = stats['profit_closed_percent_mean']
profit_closed_percent_sum = stats['profit_closed_percent_sum']
@@ -470,16 +504,18 @@ class Telegram(RPCHandler):
else:
markdown_msg = "`No closed trade` \n"
markdown_msg += (f"*ROI:* All trades\n"
f"∙ `{round_coin_value(profit_all_coin, stake_cur)} "
f"({profit_all_percent_mean:.2f}%) "
f"({profit_all_percent_sum} \N{GREEK CAPITAL LETTER SIGMA}%)`\n"
f"∙ `{round_coin_value(profit_all_fiat, fiat_disp_cur)}`\n"
f"*Total Trade Count:* `{trade_count}`\n"
f"*First Trade opened:* `{first_trade_date}`\n"
f"*Latest Trade opened:* `{latest_trade_date}\n`"
f"*Win / Loss:* `{stats['winning_trades']} / {stats['losing_trades']}`"
)
markdown_msg += (
f"*ROI:* All trades\n"
f"∙ `{round_coin_value(profit_all_coin, stake_cur)} "
f"({profit_all_percent_mean:.2f}%) "
f"({profit_all_percent_sum} \N{GREEK CAPITAL LETTER SIGMA}%)`\n"
f"∙ `{round_coin_value(profit_all_fiat, fiat_disp_cur)}`\n"
f"*Total Trade Count:* `{trade_count}`\n"
f"*{'First Trade opened' if not timescale else 'Showing Profit since'}:* "
f"`{first_trade_date}`\n"
f"*Latest Trade opened:* `{latest_trade_date}\n`"
f"*Win / Loss:* `{stats['winning_trades']} / {stats['losing_trades']}`"
)
if stats['closed_trade_count'] > 0:
markdown_msg += (f"\n*Avg. Duration:* `{avg_duration}`\n"
f"*Best Performing:* `{best_pair}: {best_rate:.2f}%`")
@@ -942,7 +978,8 @@ class Telegram(RPCHandler):
" `pending buy orders are marked with an asterisk (*)`\n"
" `pending sell orders are marked with a double asterisk (**)`\n"
"*/trades [limit]:* `Lists last closed trades (limited to 10 by default)`\n"
"*/profit:* `Lists cumulative profit from all finished trades`\n"
"*/profit [<n>]:* `Lists cumulative profit from all finished trades, "
"over the last n days`\n"
"*/forcesell <trade_id>|all:* `Instantly sells the given trade or all trades, "
"regardless of profit`\n"
f"{forcebuy_text if self._config.get('forcebuy_enable', False) else ''}"

18
freqtrade/rpc/webhook.py
View File

@@ -6,7 +6,8 @@ from typing import Any, Dict
from requests import RequestException, post
from freqtrade.rpc import RPC, RPCHandler, RPCMessageType
from freqtrade.enums import RPCMessageType
from freqtrade.rpc import RPC, RPCHandler
logger = logging.getLogger(__name__)
@@ -76,14 +77,13 @@ class Webhook(RPCHandler):
def _send_msg(self, payload: dict) -> None:
"""do the actual call to the webhook"""
if self._format == 'form':
kwargs = {'data': payload}
elif self._format == 'json':
kwargs = {'json': payload}
else:
raise NotImplementedError('Unknown format: {}'.format(self._format))
try:
post(self._url, **kwargs)
if self._format == 'form':
post(self._url, data=payload)
elif self._format == 'json':
post(self._url, json=payload)
else:
raise NotImplementedError('Unknown format: {}'.format(self._format))
except RequestException as exc:
logger.warning("Could not call webhook url. Exception: %s", exc)

24
freqtrade/strategy/hyper.py
View File

@@ -14,8 +14,8 @@ with suppress(ImportError):
from skopt.space import Integer, Real, Categorical
from freqtrade.optimize.space import SKDecimal
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)
@@ -273,11 +273,12 @@ class HyperStrategyMixin(object):
for par in params:
yield par.name, par
def _detect_parameters(self, category: str) -> Iterator[Tuple[str, BaseParameter]]:
@classmethod
def detect_parameters(cls, category: str) -> Iterator[Tuple[str, BaseParameter]]:
""" Detect all parameters for 'category' """
for attr_name in dir(self):
for attr_name in dir(cls):
if not attr_name.startswith('__'): # Ignore internals, not strictly necessary.
attr = getattr(self, attr_name)
attr = getattr(cls, attr_name)
if issubclass(attr.__class__, BaseParameter):
if (attr_name.startswith(category + '_')
and attr.category is not None and attr.category != category):
@@ -287,6 +288,19 @@ class HyperStrategyMixin(object):
(attr_name.startswith(category + '_') and attr.category is None)):
yield attr_name, attr
@classmethod
def detect_all_parameters(cls) -> Dict:
""" Detect all parameters and return them as a list"""
params: Dict = {
'buy': list(cls.detect_parameters('buy')),
'sell': list(cls.detect_parameters('sell')),
}
params.update({
'count': len(params['buy'] + params['sell'])
})
return params
def _load_hyper_params(self, hyperopt: bool = False) -> None:
"""
Load Hyperoptable parameters
@@ -303,7 +317,7 @@ class HyperStrategyMixin(object):
logger.info(f"No params for {space} found, using default values.")
param_container: List[BaseParameter] = getattr(self, f"ft_{space}_params")
for attr_name, attr in self._detect_parameters(space):
for attr_name, attr in self.detect_parameters(space):
attr.name = attr_name
attr.in_space = hyperopt and HyperoptTools.has_space(self.config, space)
if not attr.category:

47
freqtrade/strategy/interface.py
View File

@@ -6,7 +6,6 @@ import logging
import warnings
from abc import ABC, abstractmethod
from datetime import datetime, timedelta, timezone
from enum import Enum
from typing import Dict, List, Optional, Tuple, Union
import arrow
@@ -14,6 +13,7 @@ from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import SellType, SignalType
from freqtrade.exceptions import OperationalException, StrategyError
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import timeframe_to_next_date
@@ -27,33 +27,6 @@ logger = logging.getLogger(__name__)
CUSTOM_SELL_MAX_LENGTH = 64
class SignalType(Enum):
"""
Enum to distinguish between buy and sell signals
"""
BUY = "buy"
SELL = "sell"
class SellType(Enum):
"""
Enum to distinguish between sell reasons
"""
ROI = "roi"
STOP_LOSS = "stop_loss"
STOPLOSS_ON_EXCHANGE = "stoploss_on_exchange"
TRAILING_STOP_LOSS = "trailing_stop_loss"
SELL_SIGNAL = "sell_signal"
FORCE_SELL = "force_sell"
EMERGENCY_SELL = "emergency_sell"
CUSTOM_SELL = "custom_sell"
NONE = ""
def __str__(self):
# explicitly convert to String to help with exporting data.
return self.value
class SellCheckTuple(object):
"""
NamedTuple for Sell type + reason
@@ -551,15 +524,14 @@ class IStrategy(ABC, HyperStrategyMixin):
:param force_stoploss: Externally provided stoploss
:return: True if trade should be sold, False otherwise
"""
# Set current rate to low for backtesting sell
current_rate = low or rate
current_rate = rate
current_profit = trade.calc_profit_ratio(current_rate)
trade.adjust_min_max_rates(high or current_rate)
stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
current_time=date, current_profit=current_profit,
force_stoploss=force_stoploss, high=high)
force_stoploss=force_stoploss, low=low, high=high)
# Set current rate to high for backtesting sell
current_rate = high or rate
@@ -626,18 +598,21 @@ class IStrategy(ABC, HyperStrategyMixin):
def stop_loss_reached(self, current_rate: float, trade: Trade,
current_time: datetime, current_profit: float,
force_stoploss: float, high: float = None) -> SellCheckTuple:
force_stoploss: float, low: float = None,
high: float = None) -> SellCheckTuple:
"""
Based on current profit of the trade and configured (trailing) stoploss,
decides to sell or not
:param current_profit: current profit as ratio
:param low: Low value of this candle, only set in backtesting
:param high: High value of this candle, only set in backtesting
"""
stop_loss_value = force_stoploss if force_stoploss else self.stoploss
# Initiate stoploss with open_rate. Does nothing if stoploss is already set.
trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True)
if self.use_custom_stoploss:
if self.use_custom_stoploss and trade.stop_loss < (low or current_rate):
stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None
)(pair=trade.pair, trade=trade,
current_time=current_time,
@@ -650,7 +625,7 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
logger.warning("CustomStoploss function did not return valid stoploss")
if self.trailing_stop:
if self.trailing_stop and trade.stop_loss < (low or current_rate):
# trailing stoploss handling
sl_offset = self.trailing_stop_positive_offset
@@ -670,7 +645,7 @@ class IStrategy(ABC, HyperStrategyMixin):
# evaluate if the stoploss was hit if stoploss is not on exchange
# in Dry-Run, this handles stoploss logic as well, as the logic will not be different to
# regular stoploss handling.
if ((trade.stop_loss >= current_rate) and
if ((trade.stop_loss >= (low or current_rate)) and
(not self.order_types.get('stoploss_on_exchange') or self.config['dry_run'])):
sell_type = SellType.STOP_LOSS
@@ -679,7 +654,7 @@ class IStrategy(ABC, HyperStrategyMixin):
if trade.initial_stop_loss != trade.stop_loss:
sell_type = SellType.TRAILING_STOP_LOSS
logger.debug(
f"{trade.pair} - HIT STOP: current price at {current_rate:.6f}, "
f"{trade.pair} - HIT STOP: current price at {(low or current_rate):.6f}, "
f"stoploss is {trade.stop_loss:.6f}, "
f"initial stoploss was at {trade.initial_stop_loss:.6f}, "
f"trade opened at {trade.open_rate:.6f}")

2
freqtrade/templates/sample_strategy.py
View File

@@ -329,7 +329,7 @@ class SampleStrategy(IStrategy):
"""
# first check if dataprovider is available
if self.dp:
if self.dp.runmode in ('live', 'dry_run'):
if self.dp.runmode.value in ('live', 'dry_run'):
ob = self.dp.orderbook(metadata['pair'], 1)
dataframe['best_bid'] = ob['bids'][0][0]
dataframe['best_ask'] = ob['asks'][0][0]

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

@@ -199,7 +199,7 @@ dataframe['htleadsine'] = hilbert['leadsine']
"""
# first check if dataprovider is available
if self.dp:
if self.dp.runmode in ('live', 'dry_run'):
if self.dp.runmode.value in ('live', 'dry_run'):
ob = self.dp.orderbook(metadata['pair'], 1)
dataframe['best_bid'] = ob['bids'][0][0]
dataframe['best_ask'] = ob['asks'][0][0]

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

@@ -10,7 +10,7 @@ dataframe['rsi'] = ta.RSI(dataframe)
"""
# first check if dataprovider is available
if self.dp:
if self.dp.runmode in ('live', 'dry_run'):
if self.dp.runmode.value in ('live', 'dry_run'):
ob = self.dp.orderbook(metadata['pair'], 1)
dataframe['best_bid'] = ob['bids'][0][0]
dataframe['best_ask'] = ob['asks'][0][0]

2
freqtrade/wallets.py
View File

@@ -8,10 +8,10 @@ from typing import Any, Dict, NamedTuple
import arrow
from freqtrade.constants import UNLIMITED_STAKE_AMOUNT
from freqtrade.enums import RunMode
from freqtrade.exceptions import DependencyException
from freqtrade.exchange import Exchange
from freqtrade.persistence import LocalTrade, Trade
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)

2
freqtrade/worker.py
View File

@@ -11,9 +11,9 @@ import sdnotify
from freqtrade import __version__, constants
from freqtrade.configuration import Configuration
from freqtrade.enums import State
from freqtrade.exceptions import OperationalException, TemporaryError
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.state import State
logger = logging.getLogger(__name__)