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merge develop

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This commit is contained in:
Wagner Costa Santos
2022-09-10 10:35:16 -03:00
parent 79985fda01 939fb7acb3
commit a1f88cca80
23 changed files with 253 additions and 176 deletions
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2
freqtrade/commands/db_commands.py
View File

@@ -4,7 +4,7 @@ from typing import Any, Dict
from sqlalchemy import func
from freqtrade.configuration.config_setup import setup_utils_configuration
from freqtrade.enums.runmode import RunMode
from freqtrade.enums import RunMode
logger = logging.getLogger(__name__)

8
freqtrade/data/history/history_utils.py
View File

@@ -228,9 +228,9 @@ def _download_pair_history(pair: str, *,
)
logger.debug("Current Start: %s",
f"{data.iloc[0]['date']:%Y-%m-%d %H:%M:%S}" if not data.empty else 'None')
f"{data.iloc[0]['date']:DATETIME_PRINT_FORMAT}" if not data.empty else 'None')
logger.debug("Current End: %s",
f"{data.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}" if not data.empty else 'None')
f"{data.iloc[-1]['date']:DATETIME_PRINT_FORMAT}" if not data.empty else 'None')
# Default since_ms to 30 days if nothing is given
new_data = exchange.get_historic_ohlcv(pair=pair,
@@ -254,9 +254,9 @@ def _download_pair_history(pair: str, *,
fill_missing=False, drop_incomplete=False)
logger.debug("New Start: %s",
f"{data.iloc[0]['date']:%Y-%m-%d %H:%M:%S}" if not data.empty else 'None')
f"{data.iloc[0]['date']:DATETIME_PRINT_FORMAT}" if not data.empty else 'None')
logger.debug("New End: %s",
f"{data.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}" if not data.empty else 'None')
f"{data.iloc[-1]['date']:DATETIME_PRINT_FORMAT}" if not data.empty else 'None')
data_handler.ohlcv_store(pair, timeframe, data=data, candle_type=candle_type)
return True

11
freqtrade/exchange/exchange.py
View File

@@ -2509,8 +2509,13 @@ class Exchange:
cache=False,
drop_incomplete=False,
)
funding_rates = candle_histories[funding_comb]
mark_rates = candle_histories[mark_comb]
try:
# we can't assume we always get histories - for example during exchange downtimes
funding_rates = candle_histories[funding_comb]
mark_rates = candle_histories[mark_comb]
except KeyError:
raise ExchangeError("Could not find funding rates.") from None
funding_mark_rates = self.combine_funding_and_mark(
funding_rates=funding_rates, mark_rates=mark_rates)
@@ -2590,6 +2595,8 @@ class Exchange:
:param is_short: trade direction
:param amount: Trade amount
:param open_date: Open date of the trade
:return: funding fee since open_date
:raies: ExchangeError if something goes wrong.
"""
if self.trading_mode == TradingMode.FUTURES:
if self._config['dry_run']:

3
freqtrade/exchange/okx.py
View File

@@ -4,8 +4,7 @@ from typing import Dict, List, Optional, Tuple
import ccxt
from freqtrade.constants import BuySell
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.enums.candletype import CandleType
from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
from freqtrade.exchange import Exchange, date_minus_candles
from freqtrade.exchange.common import retrier

17
freqtrade/freqai/freqai_interface.py
View File

@@ -14,6 +14,7 @@ from numpy.typing import NDArray
from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_seconds
@@ -232,10 +233,10 @@ class IFreqaiModel(ABC):
trained_timestamp = tr_train
tr_train_startts_str = datetime.fromtimestamp(
tr_train.startts,
tz=timezone.utc).strftime("%Y-%m-%d %H:%M:%S")
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
tr_train_stopts_str = datetime.fromtimestamp(
tr_train.stopts,
tz=timezone.utc).strftime("%Y-%m-%d %H:%M:%S")
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
logger.info(
f"Training {metadata['pair']}, {self.pair_it}/{self.total_pairs} pairs"
f" from {tr_train_startts_str} to {tr_train_stopts_str}, {train_it}/{total_trains} "
@@ -427,6 +428,11 @@ class IFreqaiModel(ABC):
ft_params = self.freqai_info["feature_parameters"]
if ft_params.get('inlier_metric_window', 0):
dk.compute_inlier_metric(set_='train')
if self.freqai_info["data_split_parameters"]["test_size"] > 0:
dk.compute_inlier_metric(set_='test')
if ft_params.get(
"principal_component_analysis", False
):
@@ -446,11 +452,6 @@ class IFreqaiModel(ABC):
dk.use_DBSCAN_to_remove_outliers(predict=False, eps=eps)
self.dd.old_DBSCAN_eps[dk.pair] = dk.data['DBSCAN_eps']
if ft_params.get('inlier_metric_window', 0):
dk.compute_inlier_metric(set_='train')
if self.freqai_info["data_split_parameters"]["test_size"] > 0:
dk.compute_inlier_metric(set_='test')
if self.freqai_info["feature_parameters"].get('noise_standard_deviation', 0):
dk.add_noise_to_training_features()
@@ -467,7 +468,7 @@ class IFreqaiModel(ABC):
if ft_params.get(
"principal_component_analysis", False
):
dk.pca_transform(dataframe)
dk.pca_transform(self.dk.data_dictionary['prediction_features'])
if ft_params.get("use_SVM_to_remove_outliers", False):
dk.use_SVM_to_remove_outliers(predict=True)

60
freqtrade/freqtradebot.py
View File

@@ -281,16 +281,17 @@ class FreqtradeBot(LoggingMixin):
def update_funding_fees(self):
if self.trading_mode == TradingMode.FUTURES:
trades = Trade.get_open_trades()
for trade in trades:
funding_fees = self.exchange.get_funding_fees(
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.date_last_filled_utc
)
trade.funding_fees = funding_fees
else:
return 0.0
try:
for trade in trades:
funding_fees = self.exchange.get_funding_fees(
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.date_last_filled_utc
)
trade.funding_fees = funding_fees
except ExchangeError:
logger.warning("Could not update funding fees for open trades.")
def startup_backpopulate_precision(self):
@@ -671,14 +672,12 @@ class FreqtradeBot(LoggingMixin):
if not stake_amount:
return False
if pos_adjust:
logger.info(f"Position adjust: about to create a new order for {pair} with stake: "
f"{stake_amount} for {trade}")
else:
logger.info(
f"{name} signal found: about create a new trade for {pair} with stake_amount: "
f"{stake_amount} ...")
msg = (f"Position adjust: about to create a new order for {pair} with stake: "
f"{stake_amount} for {trade}" if pos_adjust
else
f"{name} signal found: about create a new trade for {pair} with stake_amount: "
f"{stake_amount} ...")
logger.info(msg)
amount = (stake_amount / enter_limit_requested) * leverage
order_type = ordertype or self.strategy.order_types['entry']
@@ -741,8 +740,13 @@ class FreqtradeBot(LoggingMixin):
# This is a new trade
if trade is None:
funding_fees = self.exchange.get_funding_fees(
pair=pair, amount=amount, is_short=is_short, open_date=open_date)
funding_fees = 0.0
try:
funding_fees = self.exchange.get_funding_fees(
pair=pair, amount=amount, is_short=is_short, open_date=open_date)
except ExchangeError:
logger.warning("Could not find funding fee.")
trade = Trade(
pair=pair,
base_currency=base_currency,
@@ -1493,12 +1497,16 @@ class FreqtradeBot(LoggingMixin):
:param exit_check: CheckTuple with signal and reason
:return: True if it succeeds False
"""
trade.funding_fees = self.exchange.get_funding_fees(
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.date_last_filled_utc,
)
try:
trade.funding_fees = self.exchange.get_funding_fees(
pair=trade.pair,
amount=trade.amount,
is_short=trade.is_short,
open_date=trade.date_last_filled_utc,
)
except ExchangeError:
logger.warning("Could not update funding fee.")
exit_type = 'exit'
exit_reason = exit_tag or exit_check.exit_reason
if exit_check.exit_type in (

5
freqtrade/optimize/optimize_reports.py
View File

@@ -75,7 +75,8 @@ def _get_line_floatfmt(stake_currency: str) -> List[str]:
'.2f', 'd', 's', 's']
def _get_line_header(first_column: str, stake_currency: str, direction: str = 'Buys') -> List[str]:
def _get_line_header(first_column: str, stake_currency: str,
direction: str = 'Entries') -> List[str]:
"""
Generate header lines (goes in line with _generate_result_line())
"""
@@ -642,7 +643,7 @@ def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_curr
if (tag_type == "enter_tag"):
headers = _get_line_header("TAG", stake_currency)
else:
headers = _get_line_header("TAG", stake_currency, 'Sells')
headers = _get_line_header("TAG", stake_currency, 'Exits')
floatfmt = _get_line_floatfmt(stake_currency)
output = [
[

2
freqtrade/rpc/discord.py
View File

@@ -1,7 +1,7 @@
import logging
from typing import Any, Dict
from freqtrade.enums.rpcmessagetype import RPCMessageType
from freqtrade.enums import RPCMessageType
from freqtrade.rpc import RPC
from freqtrade.rpc.webhook import Webhook

5
freqtrade/strategy/interface.py
View File

@@ -12,9 +12,8 @@ from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import (CandleType, ExitCheckTuple, ExitType, SignalDirection, SignalTagType,
SignalType, TradingMode)
from freqtrade.enums.runmode import RunMode
from freqtrade.enums import (CandleType, ExitCheckTuple, ExitType, RunMode, SignalDirection,
SignalTagType, SignalType, TradingMode)
from freqtrade.exceptions import OperationalException, StrategyError
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date, timeframe_to_seconds
from freqtrade.persistence import Order, PairLocks, Trade

2
freqtrade/strategy/parameters.py
View File

@@ -7,7 +7,7 @@ from abc import ABC, abstractmethod
from contextlib import suppress
from typing import Any, Optional, Sequence, Union
from freqtrade.enums.hyperoptstate import HyperoptState
from freqtrade.enums import HyperoptState
from freqtrade.optimize.hyperopt_tools import HyperoptStateContainer

15
freqtrade/strategy/strategy_helper.py
View File

@@ -1,3 +1,5 @@
from typing import Optional
import pandas as pd
from freqtrade.exchange import timeframe_to_minutes
@@ -6,7 +8,8 @@ from freqtrade.exchange import timeframe_to_minutes
def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
timeframe: str, timeframe_inf: str, ffill: bool = True,
append_timeframe: bool = True,
date_column: str = 'date') -> pd.DataFrame:
date_column: str = 'date',
suffix: Optional[str] = None) -> pd.DataFrame:
"""
Correctly merge informative samples to the original dataframe, avoiding lookahead bias.
@@ -28,6 +31,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
:param ffill: Forwardfill missing values - optional but usually required
:param append_timeframe: Rename columns by appending timeframe.
:param date_column: A custom date column name.
:param suffix: A string suffix to add at the end of the informative columns. If specified,
append_timeframe must be false.
:return: Merged dataframe
:raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe
"""
@@ -50,10 +55,16 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
# Rename columns to be unique
date_merge = 'date_merge'
if append_timeframe:
if suffix and append_timeframe:
raise ValueError("You can not specify `append_timeframe` as True and a `suffix`.")
elif append_timeframe:
date_merge = f'date_merge_{timeframe_inf}'
informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns]
elif suffix:
date_merge = f'date_merge_{suffix}'
informative.columns = [f"{col}_{suffix}" for col in informative.columns]
# Combine the 2 dataframes
# all indicators on the informative sample MUST be calculated before this point
if ffill: