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feat: add buy signal name

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This commit is contained in:
kevinjulian 2021-07-20 04:58:20 +07:00
parent e9dbd57da4
commit 9e63bdbac9
6 changed files with 25 additions and 10 deletions
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2
freqtrade/enums/__init__.py
View File

@ -2,5 +2,5 @@
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.signaltype import SignalType, SignalNameType
from freqtrade.enums.state import State

7
freqtrade/enums/signaltype.py
View File

@ -7,3 +7,10 @@ class SignalType(Enum):
"""
BUY = "buy"
SELL = "sell"
class SignalNameType(Enum):
"""
Enum to distinguish between buy and sell signals
"""
BUY_SIGNAL_NAME = "buy_signal_name"

9
freqtrade/freqtradebot.py
View File

@ -420,7 +420,7 @@ class FreqtradeBot(LoggingMixin):
return False
# running get_signal on historical data fetched
(buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df)
(buy, sell, buy_signal_name) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df)
if buy and not sell:
stake_amount = self.wallets.get_trade_stake_amount(pair, self.edge)
@ -435,11 +435,11 @@ class FreqtradeBot(LoggingMixin):
if ((bid_check_dom.get('enabled', False)) and
(bid_check_dom.get('bids_to_ask_delta', 0) > 0)):
if self._check_depth_of_market_buy(pair, bid_check_dom):
return self.execute_buy(pair, stake_amount)
return self.execute_buy(pair, stake_amount, buy_signal_name=buy_signal_name)
else:
return False
return self.execute_buy(pair, stake_amount)
return self.execute_buy(pair, stake_amount, buy_signal_name=buy_signal_name)
else:
return False
@ -468,7 +468,7 @@ class FreqtradeBot(LoggingMixin):
return False
def execute_buy(self, pair: str, stake_amount: float, price: Optional[float] = None,
forcebuy: bool = False) -> bool:
forcebuy: bool = False, buy_signal_name: str = '') -> bool:
"""
Executes a limit buy for the given pair
:param pair: pair for which we want to create a LIMIT_BUY
@ -562,6 +562,7 @@ class FreqtradeBot(LoggingMixin):
exchange=self.exchange.id,
open_order_id=order_id,
strategy=self.strategy.get_strategy_name(),
buy_signal_name=buy_signal_name,
timeframe=timeframe_to_minutes(self.config['timeframe'])
)
trade.orders.append(order_obj)

4
freqtrade/optimize/backtesting.py
View File

@ -42,6 +42,7 @@ CLOSE_IDX = 3
SELL_IDX = 4
LOW_IDX = 5
HIGH_IDX = 6
BUY_SIGNAL_NAME_IDX = 7
class Backtesting:
@ -189,7 +190,7 @@ class Backtesting:
"""
# Every change to this headers list must evaluate further usages of the resulting tuple
# and eventually change the constants for indexes at the top
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high', 'buy_signal_name']
data: Dict = {}
# Create dict with data
for pair, pair_data in processed.items():
@ -332,6 +333,7 @@ class Backtesting:
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
buy_signal_name=row[BUY_SIGNAL_NAME_IDX],
exchange='backtesting',
)
return trade

3
freqtrade/persistence/models.py
View File

@ -257,6 +257,7 @@ class LocalTrade():
sell_reason: str = ''
sell_order_status: str = ''
strategy: str = ''
buy_signal_name: str = ''
timeframe: Optional[int] = None
def __init__(self, **kwargs):
@ -288,6 +289,7 @@ class LocalTrade():
'amount_requested': round(self.amount_requested, 8) if self.amount_requested else None,
'stake_amount': round(self.stake_amount, 8),
'strategy': self.strategy,
'buy_signal_name': self.buy_signal_name,
'timeframe': self.timeframe,
'fee_open': self.fee_open,
@ -703,6 +705,7 @@ class Trade(_DECL_BASE, LocalTrade):
sell_reason = Column(String(100), nullable=True)
sell_order_status = Column(String(100), nullable=True)
strategy = Column(String(100), nullable=True)
buy_signal_name = Column(String(100), nullable=True)
timeframe = Column(Integer, nullable=True)
def __init__(self, **kwargs):

10
freqtrade/strategy/interface.py
View File

@ -13,7 +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.enums import SellType, SignalType, SignalNameType
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
@ -506,7 +506,9 @@ class IStrategy(ABC, HyperStrategyMixin):
)
return False, False
(buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1
(buy, sell, buy_signal_name) = latest[SignalType.BUY.value] == 1,\
latest[SignalType.SELL.value] == 1,\
latest.get(SignalNameType.BUY_SIGNAL_NAME.value, '')
logger.debug('trigger: %s (pair=%s) buy=%s sell=%s',
latest['date'], pair, str(buy), str(sell))
timeframe_seconds = timeframe_to_seconds(timeframe)
@ -514,8 +516,8 @@ class IStrategy(ABC, HyperStrategyMixin):
current_time=datetime.now(timezone.utc),
timeframe_seconds=timeframe_seconds,
buy=buy):
return False, sell
return buy, sell
return False, sell, buy_signal_name
return buy, sell, buy_signal_name
def ignore_expired_candle(self, latest_date: datetime, current_time: datetime,
timeframe_seconds: int, buy: bool):