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Merge branch 'develop' into timeframe

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Matthias
2020-06-15 06:35:55 +02:00
parent d337fb6c6a f80b5f9410
commit a3506f4d8e
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4
docs/advanced-hyperopt.md
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@@ -63,8 +63,8 @@ class SuperDuperHyperOptLoss(IHyperOptLoss):
* 0.25: Avoiding trade loss
* 1.0 to total profit, compared to the expected value (`EXPECTED_MAX_PROFIT`) defined above
"""
total_profit = results.profit_percent.sum()
trade_duration = results.trade_duration.mean()
total_profit = results['profit_percent'].sum()
trade_duration = results['trade_duration'].mean()
trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)

45
docs/configuration.md
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@@ -272,7 +272,7 @@ the static list of pairs) if we should buy.
### Understand order_types
The `order_types` configuration parameter maps actions (`buy`, `sell`, `stoploss`) to order-types (`market`, `limit`, ...) as well as configures stoploss to be on the exchange and defines stoploss on exchange update interval in seconds.
The `order_types` configuration parameter maps actions (`buy`, `sell`, `stoploss`, `emergencysell`) to order-types (`market`, `limit`, ...) as well as configures stoploss to be on the exchange and defines stoploss on exchange update interval in seconds.
This allows to buy using limit orders, sell using
limit-orders, and create stoplosses using using market orders. It also allows to set the
@@ -288,8 +288,12 @@ If this is configured, the following 4 values (`buy`, `sell`, `stoploss` and
`emergencysell` is an optional value, which defaults to `market` and is used when creating stoploss on exchange orders fails.
The below is the default which is used if this is not configured in either strategy or configuration file.
Since `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the stoploss_price and the Limit price.
`stoploss` defines the stop-price - and limit should be slightly below this. This defaults to 0.99 / 1% (configurable via `stoploss_on_exchange_limit_ratio`).
Not all Exchanges support `stoploss_on_exchange`. If an exchange supports both limit and market stoploss orders, then the value of `stoploss` will be used to determine the stoploss type.
If `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the stoploss_price and the Limit price.
`stoploss` defines the stop-price - and limit should be slightly below this.
This defaults to 0.99 / 1% (configurable via `stoploss_on_exchange_limit_ratio`).
Calculation example: we bought the asset at 100$.
Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the stoploss will happen between 95$ and 94.05$.
@@ -331,7 +335,10 @@ Configuration:
refer to [the stoploss documentation](stoploss.md).
!!! Note
If `stoploss_on_exchange` is enabled and the stoploss is cancelled manually on the exchange, then the bot will create a new order.
If `stoploss_on_exchange` is enabled and the stoploss is cancelled manually on the exchange, then the bot will create a new stoploss order.
!!! Warning "Using market orders"
Please read the section [Market order pricing](#market-order-pricing) section when using market orders.
!!! Warning "Warning: stoploss_on_exchange failures"
If stoploss on exchange creation fails for some reason, then an "emergency sell" is initiated. By default, this will sell the asset using a market order. The order-type for the emergency-sell can be changed by setting the `emergencysell` value in the `order_types` dictionary - however this is not advised.
@@ -459,6 +466,9 @@ Prices are always retrieved right before an order is placed, either by querying
!!! Note
Orderbook data used by Freqtrade are the data retrieved from exchange by the ccxt's function `fetch_order_book()`, i.e. are usually data from the L2-aggregated orderbook, while the ticker data are the structures returned by the ccxt's `fetch_ticker()`/`fetch_tickers()` functions. Refer to the ccxt library [documentation](https://github.com/ccxt/ccxt/wiki/Manual#market-data) for more details.
!!! Warning "Using market orders"
Please read the section [Market order pricing](#market-order-pricing) section when using market orders.
### Buy price
#### Check depth of market
@@ -553,6 +563,29 @@ A fixed slot (mirroring `bid_strategy.order_book_top`) can be defined by setting
When not using orderbook (`ask_strategy.use_order_book=False`), the price at the `ask_strategy.price_side` side (defaults to `"ask"`) from the ticker will be used as the sell price.
### Market order pricing
When using market orders, prices should be configured to use the "correct" side of the orderbook to allow realistic pricing detection.
Assuming both buy and sell are using market orders, a configuration similar to the following might be used
``` jsonc
"order_types": {
"buy": "market",
"sell": "market"
// ...
},
"bid_strategy": {
"price_side": "ask",
// ...
},
"ask_strategy":{
"price_side": "bid",
// ...
},
```
Obviously, if only one side is using limit orders, different pricing combinations can be used.
## Pairlists and Pairlist Handlers
Pairlist Handlers define the list of pairs (pairlist) that the bot should trade. They are configured in the `pairlists` section of the configuration settings.
@@ -591,7 +624,7 @@ It uses configuration from `exchange.pair_whitelist` and `exchange.pair_blacklis
#### Volume Pair List
`VolumePairList` employs sorting/filtering of pairs by their trading volume. I selects `number_assets` top pairs with sorting based on the `sort_key` (which can only be `quoteVolume`).
`VolumePairList` employs sorting/filtering of pairs by their trading volume. It selects `number_assets` top pairs with sorting based on the `sort_key` (which can only be `quoteVolume`).
When used in the chain of Pairlist Handlers in a non-leading position (after StaticPairList and other Pairlist Filters), `VolumePairList` considers outputs of previous Pairlist Handlers, adding its sorting/selection of the pairs by the trading volume.
@@ -609,7 +642,7 @@ The `refresh_period` setting allows to define the period (in seconds), at which
"number_assets": 20,
"sort_key": "quoteVolume",
"refresh_period": 1800,
],
}],
```
#### PrecisionFilter

14
docs/exchanges.md
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@@ -30,6 +30,15 @@ Binance has been split into 3, and users must use the correct ccxt exchange ID f
The Kraken API does only provide 720 historic candles, which is sufficient for Freqtrade dry-run and live trade modes, but is a problem for backtesting.
To download data for the Kraken exchange, using `--dl-trades` is mandatory, otherwise the bot will download the same 720 candles over and over, and you'll not have enough backtest data.
Due to the heavy rate-limiting applied by Kraken, the following configuration section should be used to download data:
``` json
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 3100
},
```
## Bittrex
### Order types
@@ -64,6 +73,11 @@ print(res)
## FTX
!!! Tip "Stoploss on Exchange"
FTX supports `stoploss_on_exchange` and can use both stop-loss-market and stop-loss-limit orders. It provides great advantages, so we recommend to benefit from it.
You can use either `"limit"` or `"market"` in the `order_types.stoploss` configuration setting to decide.
### Using subaccounts
To use subaccounts with FTX, you need to edit the configuration and add the following:

2
docs/hyperopt.md
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@@ -265,7 +265,7 @@ freqtrade hyperopt --timerange 20180401-20180501
Hyperopt can reuse `populate_indicators`, `populate_buy_trend`, `populate_sell_trend` from your strategy, assuming these methods are **not** in your custom hyperopt file, and a strategy is provided.
```bash
freqtrade hyperopt --strategy SampleStrategy --customhyperopt SampleHyperopt
freqtrade hyperopt --strategy SampleStrategy --hyperopt SampleHyperopt
```
### Running Hyperopt with Smaller Search Space

2
docs/requirements-docs.txt
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@@ -1,2 +1,2 @@
mkdocs-material==5.2.2
mkdocs-material==5.2.3
mdx_truly_sane_lists==1.2

6
docs/rest-api.md
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@@ -110,7 +110,7 @@ python3 scripts/rest_client.py --config rest_config.json <command> [optional par
| `start` | | Starts the trader
| `stop` | | Stops the trader
| `stopbuy` | | Stops the trader from opening new trades. Gracefully closes open trades according to their rules.
| `reload_conf` | | Reloads the configuration file
| `reload_config` | | Reloads the configuration file
| `show_config` | | Shows part of the current configuration with relevant settings to operation
| `status` | | Lists all open trades
| `count` | | Displays number of trades used and available
@@ -174,7 +174,7 @@ profit
Returns the profit summary
:returns: json object
reload_conf
reload_config
Reload configuration
:returns: json object
@@ -196,7 +196,7 @@ stop
stopbuy
Stop buying (but handle sells gracefully).
use reload_conf to reset
use reload_config to reset
:returns: json object
version

4
docs/sql_cheatsheet.md
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@@ -101,7 +101,7 @@ SET is_open=0,
close_date=<close_date>,
close_rate=<close_rate>,
close_profit=close_rate/open_rate-1,
close_profit_abs = (amount * <close_rate> * (1 - fee_close) - (amount * open_rate * 1 - fee_open),
close_profit_abs = (amount * <close_rate> * (1 - fee_close) - (amount * open_rate * 1 - fee_open)),
sell_reason=<sell_reason>
WHERE id=<trade_ID_to_update>;
```
@@ -114,7 +114,7 @@ SET is_open=0,
close_date='2017-12-20 03:08:45.103418',
close_rate=0.19638016,
close_profit=0.0496,
close_profit_abs = (amount * 0.19638016 * (1 - fee_close) - (amount * open_rate * 1 - fee_open)
close_profit_abs = (amount * 0.19638016 * (1 - fee_close) - (amount * open_rate * 1 - fee_open))
sell_reason='force_sell'
WHERE id=31;
```

4
docs/stoploss.md
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@@ -27,7 +27,7 @@ So this parameter will tell the bot how often it should update the stoploss orde
This same logic will reapply a stoploss order on the exchange should you cancel it accidentally.
!!! Note
Stoploss on exchange is only supported for Binance (stop-loss-limit) and Kraken (stop-loss-market) as of now.
Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now.
## Static Stop Loss
@@ -101,7 +101,7 @@ Simplified example:
## Changing stoploss on open trades
A stoploss on an open trade can be changed by changing the value in the configuration or strategy and use the `/reload_conf` command (alternatively, completely stopping and restarting the bot also works).
A stoploss on an open trade can be changed by changing the value in the configuration or strategy and use the `/reload_config` command (alternatively, completely stopping and restarting the bot also works).
The new stoploss value will be applied to open trades (and corresponding log-messages will be generated).

4
docs/strategy-customization.md
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@@ -139,7 +139,7 @@ By letting the bot know how much history is needed, backtest trades can start at
#### Example
Let's try to backtest 1 month (January 2019) of 5m candles using the an example strategy with EMA100, as above.
Let's try to backtest 1 month (January 2019) of 5m candles using an example strategy with EMA100, as above.
``` bash
freqtrade backtesting --timerange 20190101-20190201 --timeframe 5m
@@ -557,7 +557,7 @@ Locks can also be lifted manually, by calling `self.unlock_pair(pair)`.
To verify if a pair is currently locked, use `self.is_pair_locked(pair)`.
!!! Note
Locked pairs are not persisted, so a restart of the bot, or calling `/reload_conf` will reset locked pairs.
Locked pairs are not persisted, so a restart of the bot, or calling `/reload_config` will reset locked pairs.
!!! Warning
Locking pairs is not functioning during backtesting.

8
docs/telegram-usage.md
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@@ -52,7 +52,7 @@ official commands. You can ask at any moment for help with `/help`.
| `/start` | | Starts the trader
| `/stop` | | Stops the trader
| `/stopbuy` | | Stops the trader from opening new trades. Gracefully closes open trades according to their rules.
| `/reload_conf` | | Reloads the configuration file
| `/reload_config` | | Reloads the configuration file
| `/show_config` | | Shows part of the current configuration with relevant settings to operation
| `/status` | | Lists all open trades
| `/status table` | | List all open trades in a table format. Pending buy orders are marked with an asterisk (*) Pending sell orders are marked with a double asterisk (**)
@@ -85,14 +85,14 @@ Below, example of Telegram message you will receive for each command.
### /stopbuy
> **status:** `Setting max_open_trades to 0. Run /reload_conf to reset.`
> **status:** `Setting max_open_trades to 0. Run /reload_config to reset.`
Prevents the bot from opening new trades by temporarily setting "max_open_trades" to 0. Open trades will be handled via their regular rules (ROI / Sell-signal, stoploss, ...).
After this, give the bot time to close off open trades (can be checked via `/status table`).
Once all positions are sold, run `/stop` to completely stop the bot.
`/reload_conf` resets "max_open_trades" to the value set in the configuration and resets this command.
`/reload_config` resets "max_open_trades" to the value set in the configuration and resets this command.
!!! Warning
The stop-buy signal is ONLY active while the bot is running, and is not persisted anyway, so restarting the bot will cause this to reset.
@@ -209,7 +209,7 @@ Shows the current whitelist
Shows the current blacklist.
If Pair is set, then this pair will be added to the pairlist.
Also supports multiple pairs, seperated by a space.
Use `/reload_conf` to reset the blacklist.
Use `/reload_config` to reset the blacklist.
> Using blacklist `StaticPairList` with 2 pairs
>`DODGE/BTC`, `HOT/BTC`.