updated backtesting to allow for more data aggregation
This commit is contained in:
Gert Wohlgemuth
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ea24f00a97
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9379e0b15a
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freqtrade/aws/aggregate/__init__.py
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0
freqtrade/aws/aggregate/__init__.py
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freqtrade/aws/aggregate/strategy.py
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freqtrade/aws/aggregate/strategy.py
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@ -197,11 +197,19 @@ def run_backtest(configuration, name, user, interval, fromDate, till):
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def _store_aggregated_data(interval, name, result, timerange, user):
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"""
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stores aggregated data for ease of access, yay for dynamodb data duplication...
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:param interval:
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:param name:
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:param result:
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:param timerange:
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:param user:
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:return:
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"""
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for row in result[1][2]:
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if row[1] > 0:
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data = {
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"id": "aggregate:{}:{}:{}:test".format(row[0].upper(), interval, timerange),
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"trade": "{}.{}".format(user, name),
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"pair": row[0],
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"trades": row[1],
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"losses": row[6],
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@ -213,19 +221,40 @@ def _store_aggregated_data(interval, name, result, timerange, user):
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"ticker": interval,
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"days": timerange
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}
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# aggregate by pair + interval + time range for each strategy
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data['id'] = "aggregate:{}:{}:{}:test".format(row[0].upper(), interval, timerange)
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data['trade'] = "{}.{}".format(user, name)
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_submit_to_remote(data)
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print(data)
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try:
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print(
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post("{}/trade".format(os.environ.get('BASE_URL', 'https://freq.isaac.international/dev')),
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json=data))
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except Exception as e:
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print("submission ignored: {}".format(e))
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# id: aggregate by strategy + user + range + pair
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# range: ticker
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# allows us to easily see on which ticker the strategy works best
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data['id'] = "aggregate:ticker:{}:{}:{}:{}:test".format(user, name, row[0].upper(), timerange),
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data['trade'] = "{}".format(interval)
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_submit_to_remote(data)
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# id: aggregate by strategy + user + ticker + pair
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# range: timerange
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# allows us to easily see on which time range the strategy works best
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data['id'] = "aggregate:timerange:{}:{}:{}:{}:test".format(user, name, row[0].upper(), interval),
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data['trade'] = "{}".format(timerange)
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_submit_to_remote(data)
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def _submit_to_remote(data):
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try:
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print(
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post("{}/trade".format(os.environ.get('BASE_URL', 'https://freq.isaac.international/dev')),
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json=data))
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except Exception as e:
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print("submission ignored: {}".format(e))
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def _store_trade_data(interval, name, result, timerange, user):
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for index, row in result[0].iterrows():
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data = {
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_submit_to_remote({
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"id": "{}.{}:{}:{}:{}:test".format(user, name, interval, timerange, row['currency'].upper()),
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"trade": "{} to {}".format(row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
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row['exit'].strftime('%Y-%m-%d %H:%M:%S')),
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@ -238,15 +267,7 @@ def _store_trade_data(interval, name, result, timerange, user):
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"strategy": name,
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"user": user
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}
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print(data)
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try:
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print(
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post("{}/trade".format(os.environ.get('BASE_URL', 'https://freq.isaac.international/dev')),
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json=data))
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except Exception as e:
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print("submission ignored: {}".format(e))
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})
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def generate_configuration(fromDate, till, name, refresh, user, remote=True):
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129
serverless.yml
129
serverless.yml
@ -112,6 +112,7 @@ functions:
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environment:
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strategyTable: ${self:custom.strategyTable}
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reservedConcurrency: 5
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#returns the source code of this given strategy
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#unless it's private
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@ -136,6 +137,7 @@ functions:
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environment:
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strategyTable: ${self:custom.strategyTable}
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reservedConcurrency: 5
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# loads the details of the specific strategy
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get:
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@ -154,6 +156,80 @@ functions:
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environment:
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strategyTable: ${self:custom.strategyTable}
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reservedConcurrency: 5
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# loads the aggregation report for the given strategy based on different tickers
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get_aggregate_interval:
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memorySize: 128
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handler: freqtrade/aws/aggregate/strategy.ticker
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events:
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- http:
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path: strategies/{user}/{name}/aggregate/ticker
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method: get
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cors: true
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request:
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parameter:
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paths:
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user: true
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name: true
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environment:
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strategyTable: ${self:custom.strategyTable}
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tradeTable: ${self:custom.tradeTable}
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reservedConcurrency: 5
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# loads the aggregation report for the given strategy based on different tickers
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get_aggregate_timeframe:
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memorySize: 128
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handler: freqtrade/aws/aggregate/strategy.timeframe
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events:
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- http:
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path: strategies/{user}/{name}/aggregate/timeframe
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method: get
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cors: true
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request:
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parameter:
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paths:
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user: true
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name: true
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environment:
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strategyTable: ${self:custom.strategyTable}
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tradeTable: ${self:custom.tradeTable}
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reservedConcurrency: 5
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#submits a new strategy to the system
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submit:
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memorySize: 128
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handler: freqtrade/aws/strategy.submit
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events:
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- http:
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path: strategies/submit
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method: post
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cors: true
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environment:
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topic: ${self:custom.snsTopic}
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strategyTable: ${self:custom.strategyTable}
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BASE_URL: ${self:custom.customDomain.domainName}/${self:custom.customDomain.stage}
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reservedConcurrency: 5
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#submits a new strategy to the system
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submit_github:
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memorySize: 128
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handler: freqtrade/aws/strategy.submit_github
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events:
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- http:
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path: strategies/submit/github
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method: post
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cors: true
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environment:
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topic: ${self:custom.snsTopic}
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strategyTable: ${self:custom.strategyTable}
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reservedConcurrency: 1
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### TRADE REQUESTS
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# loads all trades for a strategy and it's associated pairs
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trades:
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@ -175,22 +251,7 @@ functions:
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environment:
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strategyTable: ${self:custom.strategyTable}
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tradeTable: ${self:custom.tradeTable}
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#submits a new strategy to the system
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submit:
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memorySize: 128
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handler: freqtrade/aws/strategy.submit
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events:
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- http:
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path: strategies/submit
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method: post
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cors: true
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environment:
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topic: ${self:custom.snsTopic}
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strategyTable: ${self:custom.strategyTable}
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BASE_URL: ${self:custom.customDomain.domainName}/${self:custom.customDomain.stage}
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reservedConcurrency: 5
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# submits a new trade to the system
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trade:
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@ -204,19 +265,9 @@ functions:
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environment:
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tradeTopic: ${self:custom.snsTradeTopic}
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reservedConcurrency: 5
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# stores the received message in the trade table
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trade-store:
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memorySize: 128
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handler: freqtrade/aws/trade.store
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events:
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- sns: ${self:custom.snsTradeTopic}
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environment:
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tradeTable: ${self:custom.tradeTable}
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# stores the received message in the trade table
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# query aggregates by day and ticker for all strategies
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trade-aggregate:
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memorySize: 128
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handler: freqtrade/aws/trade.get_aggregated_trades
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@ -234,21 +285,21 @@ functions:
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environment:
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tradeTable: ${self:custom.tradeTable}
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#submits a new strategy to the system
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submit_github:
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reservedConcurrency: 5
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### SNS TRIGGERED FUNCTIONS
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# stores the received message in the trade table
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trade-store:
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memorySize: 128
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handler: freqtrade/aws/strategy.submit_github
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handler: freqtrade/aws/trade.store
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events:
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- http:
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path: strategies/submit/github
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method: post
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cors: true
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- sns: ${self:custom.snsTradeTopic}
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environment:
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topic: ${self:custom.snsTopic}
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strategyTable: ${self:custom.strategyTable}
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tradeTable: ${self:custom.tradeTable}
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reservedConcurrency: 1
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#backtests the strategy
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#should be switched to utilze aws fargate instead
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#and running a container
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@ -275,7 +326,7 @@ functions:
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events:
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- schedule:
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rate: rate(580 minutes)
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rate: rate(1440 minutes)
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enabled: true
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environment:
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