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Merge branch 'develop' into fix_issue_278

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This commit is contained in:
Jean-Baptiste LE STANG 2018-01-02 23:12:21 +01:00
commit a1ffa4497d
4 changed files with 54 additions and 27 deletions
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16
freqtrade/main.py
View File

@ -27,23 +27,27 @@ _CONF = {}
def refresh_whitelist(whitelist: List[str]) -> List[str]:
"""
Check wallet health and remove pair from whitelist if necessary
:param whitelist: the pair the user might want to trade
:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to trade
:return: the list of pairs the user wants to trade without the one unavailable or black_listed
"""
sanitized_whitelist = []
sanitized_whitelist = whitelist
health = exchange.get_wallet_health()
known_pairs = set()
for status in health:
pair = '{}_{}'.format(_CONF['stake_currency'], status['Currency'])
known_pairs.add(pair)
if pair not in whitelist or pair in _CONF['exchange'].get('pair_blacklist', []):
continue
if status['IsActive']:
sanitized_whitelist.append(pair)
else:
if not status['IsActive']:
sanitized_whitelist.remove(pair)
logger.info(
'Ignoring %s from whitelist (reason: %s).',
pair, status.get('Notice') or 'wallet is not active'
)
return sanitized_whitelist
# We need to remove pairs that are unknown
final_list = [x for x in sanitized_whitelist if x in known_pairs]
return final_list
def _process(nb_assets: Optional[int] = 0) -> bool:

20
freqtrade/optimize/backtesting.py
View File

@ -41,27 +41,29 @@ def generate_text_table(
Generates and returns a text table for the given backtest data and the results dataframe
:return: pretty printed table with tabulate as str
"""
floatfmt = ('s', 'd', '.2f', '.8f', '.1f')
tabular_data = []
headers = ['pair', 'buy count', 'avg profit', 'total profit', 'avg duration']
headers = ['pair', 'buy count', 'avg profit %',
'total profit ' + stake_currency, 'avg duration']
for pair in data:
result = results[results.currency == pair]
tabular_data.append([
pair,
len(result.index),
'{:.2f}%'.format(result.profit_percent.mean() * 100.0),
'{:.08f} {}'.format(result.profit_BTC.sum(), stake_currency),
'{:.2f}'.format(result.duration.mean() * ticker_interval),
result.profit_percent.mean() * 100.0,
result.profit_BTC.sum(),
result.duration.mean() * ticker_interval,
])
# Append Total
tabular_data.append([
'TOTAL',
len(results.index),
'{:.2f}%'.format(results.profit_percent.mean() * 100.0),
'{:.08f} {}'.format(results.profit_BTC.sum(), stake_currency),
'{:.2f}'.format(results.duration.mean() * ticker_interval),
results.profit_percent.mean() * 100.0,
results.profit_BTC.sum(),
results.duration.mean() * ticker_interval,
])
return tabulate(tabular_data, headers=headers)
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt)
def backtest(stake_amount: float, processed: Dict[str, DataFrame],
@ -173,6 +175,6 @@ def start(args):
config['stake_amount'], preprocess(data), max_open_trades, args.realistic_simulation
)
logger.info(
'\n====================== BACKTESTING REPORT ======================================\n%s',
'\n====================== BACKTESTING REPORT ================================\n%s',
generate_text_table(data, results, config['stake_currency'], args.ticker_interval)
)

9
freqtrade/tests/optimize/test_backtesting.py
View File

@ -18,11 +18,12 @@ def test_generate_text_table():
'duration': [10, 30]
}
)
print(generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5))
assert generate_text_table({'BTC_ETH': {}}, results, 'BTC', 5) == (
'pair buy count avg profit total profit avg duration\n'
'------- ----------- ------------ -------------- --------------\n'
'BTC_ETH 2 15.00% 0.60000000 BTC 100\n'
'TOTAL 2 15.00% 0.60000000 BTC 100')
'pair buy count avg profit % total profit BTC avg duration\n'
'------- ----------- -------------- ------------------ --------------\n'
'BTC_ETH 2 15.00 0.60000000 100.0\n'
'TOTAL 2 15.00 0.60000000 100.0')
def test_get_timeframe():

36
freqtrade/tests/test_acl_pair.py
View File

@ -16,24 +16,43 @@ def whitelist_conf():
"BTC_SWT",
"BTC_BCC"
],
"pair_blacklist": [
"BTC_BLK"
],
},
}
def get_health():
return [{'Currency': 'ETH',
'IsActive': True
'IsActive': True,
'BaseVolume': 42
},
{'Currency': 'TKN',
'IsActive': True
}]
'IsActive': True,
'BaseVolume': 1664
},
{'Currency': 'BLK',
'IsActive': True,
'BaseVolume': 4096
}
]
def get_health_empty():
return []
# below three test could be merged into a single
# test that ran randomlly generated health lists
def test_refresh_market_pair_not_in_whitelist(mocker):
conf = whitelist_conf()
mocker.patch.dict('freqtrade.main._CONF', conf)
mocker.patch.multiple('freqtrade.main.exchange',
get_wallet_health=get_health)
refreshedwhitelist = refresh_whitelist(conf['exchange']['pair_whitelist'] + ['BTC_XXX'])
# List ordered by BaseVolume
whitelist = ['BTC_ETH', 'BTC_TKN']
# Ensure all except those in whitelist are removed
assert whitelist == refreshedwhitelist
def test_refresh_whitelist(mocker):
@ -42,9 +61,10 @@ def test_refresh_whitelist(mocker):
mocker.patch.multiple('freqtrade.main.exchange',
get_wallet_health=get_health)
refreshedwhitelist = refresh_whitelist(conf['exchange']['pair_whitelist'])
# List ordered by BaseVolume
whitelist = ['BTC_ETH', 'BTC_TKN']
# Ensure all except those in whitelist are removed
assert set(whitelist) == set(refreshedwhitelist)
assert whitelist == refreshedwhitelist
def test_refresh_whitelist_dynamic(mocker):
@ -53,9 +73,9 @@ def test_refresh_whitelist_dynamic(mocker):
mocker.patch.multiple('freqtrade.main.exchange',
get_wallet_health=get_health)
# argument: use the whitelist dynamically by exchange-volume
whitelist = ['BTC_ETH', 'BTC_TKN']
whitelist = ['BTC_TKN', 'BTC_ETH']
refreshedwhitelist = refresh_whitelist(whitelist)
assert set(whitelist) == set(refreshedwhitelist)
assert whitelist == refreshedwhitelist
def test_refresh_whitelist_dynamic_empty(mocker):