Update get_signal
This commit is contained in:
Matthias
parent
46285cd77e
commit
9a03cb96f5
@ -4,6 +4,6 @@ from freqtrade.enums.collateral import Collateral
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from freqtrade.enums.rpcmessagetype import RPCMessageType
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from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode
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from freqtrade.enums.selltype import SellType
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from freqtrade.enums.signaltype import SignalTagType, SignalType
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from freqtrade.enums.signaltype import SignalDirection, SignalTagType, SignalType
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from freqtrade.enums.state import State
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from freqtrade.enums.tradingmode import TradingMode
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@ -17,3 +17,8 @@ class SignalTagType(Enum):
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"""
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BUY_TAG = "buy_tag"
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SHORT_TAG = "short_tag"
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class SignalDirection(Enum):
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LONG = 'long'
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SHORT = 'short'
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@ -420,19 +420,19 @@ class FreqtradeBot(LoggingMixin):
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return False
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# running get_signal on historical data fetched
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(enter, exit_, enter_tag) = self.strategy.get_signal(
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pair,
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self.strategy.timeframe,
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analyzed_df
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)
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(side, enter_tag) = self.strategy.get_enter_signal(
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pair, self.strategy.timeframe, analyzed_df
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)
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if enter and not exit_:
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if side:
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stake_amount = self.wallets.get_trade_stake_amount(pair, self.edge)
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bid_check_dom = self.config.get('bid_strategy', {}).get('check_depth_of_market', {})
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if ((bid_check_dom.get('enabled', False)) and
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(bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
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# TODO-lev: Does the below need to be adjusted for shorts?
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if self._check_depth_of_market_buy(pair, bid_check_dom):
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# TODO-lev: pass in "enter" as side.
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return self.execute_buy(pair, stake_amount, enter_tag=enter_tag)
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else:
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return False
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@ -707,7 +707,7 @@ class FreqtradeBot(LoggingMixin):
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analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
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self.strategy.timeframe)
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(buy, sell, _) = self.strategy.get_signal(
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(buy, sell) = self.strategy.get_exit_signal(
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trade.pair,
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self.strategy.timeframe,
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analyzed_df
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@ -13,7 +13,7 @@ from pandas import DataFrame
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from freqtrade.constants import ListPairsWithTimeframes
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.enums import SellType, SignalTagType, SignalType
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from freqtrade.enums import SellType, SignalTagType, SignalType, SignalDirection
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from freqtrade.exceptions import OperationalException, StrategyError
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from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.exchange.exchange import timeframe_to_next_date
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@ -538,22 +538,18 @@ class IStrategy(ABC, HyperStrategyMixin):
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else:
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raise StrategyError(message)
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def get_signal(
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def get_latest_candle(
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self,
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pair: str,
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timeframe: str,
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dataframe: DataFrame,
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is_short: bool = False
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) -> Tuple[bool, bool, Optional[str]]:
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) -> Tuple[Optional[DataFrame], arrow.Arrow]:
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"""
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Calculates current signal based based on the buy/short or sell/exit_short
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columns of the dataframe.
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Used by Bot to get the signal to buy, sell, short, or exit_short
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Get the latest candle. Used only during real mode
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:param pair: pair in format ANT/BTC
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:param timeframe: timeframe to use
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:param dataframe: Analyzed dataframe to get signal from.
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:return: (Buy, Sell)/(Short, Exit_short) A bool-tuple indicating
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(buy/sell)/(short/exit_short) signal
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:return: (None, None) or (Dataframe, latest_date) - corresponding to the last candle
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"""
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if not isinstance(dataframe, DataFrame) or dataframe.empty:
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logger.warning(f'Empty candle (OHLCV) data for pair {pair}')
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@ -572,34 +568,89 @@ class IStrategy(ABC, HyperStrategyMixin):
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'Outdated history for pair %s. Last tick is %s minutes old',
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pair, int((arrow.utcnow() - latest_date).total_seconds() // 60)
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)
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return None, None
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return latest, latest_date
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def get_exit_signal(
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self,
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pair: str,
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timeframe: str,
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dataframe: DataFrame,
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is_short: bool = None
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) -> Tuple[bool, bool]:
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"""
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Calculates current exit signal based based on the buy/short or sell/exit_short
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columns of the dataframe.
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Used by Bot to get the signal to exit.
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depending on is_short, looks at "short" or "long" columns.
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:param pair: pair in format ANT/BTC
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:param timeframe: timeframe to use
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:param dataframe: Analyzed dataframe to get signal from.
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:param is_short: Indicating existing trade direction.
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:return: (enter, exit) A bool-tuple with enter / exit values.
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"""
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latest, latest_date = self.get_latest_candle(pair, timeframe, dataframe)
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if latest is None:
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return False, False, None
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(enter_type, enter_tag) = (
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(SignalType.SHORT, SignalTagType.SHORT_TAG)
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if is_short else
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(SignalType.BUY, SignalTagType.BUY_TAG)
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)
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exit_type = SignalType.EXIT_SHORT if is_short else SignalType.SELL
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if is_short:
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enter = latest[SignalType.SHORT] == 1
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exit_ = latest[SignalType.EXIT_SHORT] == 1
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else:
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enter = latest[SignalType.BUY] == 1
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exit_ = latest[SignalType.SELL] == 1
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enter = latest[enter_type.value] == 1
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logger.debug(f"exit-trigger: {latest['date']} (pair={pair}) "
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f"enter={enter} exit={exit_}")
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exit = False
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if exit_type.value in latest:
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exit = latest[exit_type.value] == 1
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return enter, exit_
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enter_tag_value = latest.get(enter_tag.value, None)
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def get_enter_signal(
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self,
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pair: str,
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timeframe: str,
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dataframe: DataFrame,
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) -> Tuple[Optional[SignalDirection], Optional[str]]:
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"""
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Calculates current entry signal based based on the buy/short or sell/exit_short
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columns of the dataframe.
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Used by Bot to get the signal to buy, sell, short, or exit_short
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:param pair: pair in format ANT/BTC
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:param timeframe: timeframe to use
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:param dataframe: Analyzed dataframe to get signal from.
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:return: (SignalDirection, entry_tag)
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"""
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latest, latest_date = self.get_latest_candle(pair, timeframe, dataframe)
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if latest is None:
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return False, False, None
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enter_long = latest[SignalType.BUY] == 1
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exit_long = latest[SignalType.SELL] == 1
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enter_short = latest[SignalType.SHORT] == 1
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exit_short = latest[SignalType.EXIT_SHORT] == 1
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enter_signal: Optional[SignalDirection] = None
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enter_tag_value = None
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if enter_long == 1 and not any([exit_long, enter_short]):
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enter_signal = SignalDirection.LONG
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enter_tag_value = latest.get(SignalTagType.BUY_TAG, None)
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if enter_short == 1 and not any([exit_short, enter_long]):
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enter_signal = SignalDirection.SHORT
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enter_tag_value = latest.get(SignalTagType.SHORT_TAG, None)
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logger.debug(f'trigger: %s (pair=%s) {enter_type.value}=%s {exit_type.value}=%s',
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latest['date'], pair, str(enter), str(exit))
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timeframe_seconds = timeframe_to_seconds(timeframe)
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if self.ignore_expired_candle(
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latest_date=latest_date,
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current_time=datetime.now(timezone.utc),
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timeframe_seconds=timeframe_seconds,
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enter=enter
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enter=enter_signal
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):
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return False, exit, enter_tag_value
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return enter, exit, enter_tag_value
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return False, enter_tag_value
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logger.debug(f"entry trigger: {latest['date']} (pair={pair}) "
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f"enter={enter_long} enter_tag_value={enter_tag_value}")
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return enter_signal, enter_tag_value
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def ignore_expired_candle(
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self,
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