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Merge branch 'develop' into relative_stake

This commit is contained in:
Matthias 2020-01-05 12:55:55 +01:00
parent 7daa5bc338 d1cda3991c
commit a75420f75f
12 changed files with 89 additions and 45 deletions
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8
docs/backtesting.md
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@ -78,13 +78,17 @@ Please also read about the [strategy startup period](strategy-customization.md#s
#### Supplying custom fee value
Sometimes your account has certain fee rebates (fee reductions starting with a certain account size or monthly volume), which are not visible to ccxt.
To account for this in backtesting, you can use `--fee 0.001` to supply this value to backtesting.
This fee must be a percentage, and will be applied twice (once for trade entry, and once for trade exit).
To account for this in backtesting, you can use the `--fee` command line option to supply this value to backtesting.
This fee must be a ratio, and will be applied twice (once for trade entry, and once for trade exit).
For example, if the buying and selling commission fee is 0.1% (i.e., 0.001 written as ratio), then you would run backtesting as the following:
```bash
freqtrade backtesting --fee 0.001
```
!!! Note
Only supply this option (or the corresponding configuration parameter) if you want to experiment with different fee values. By default, Backtesting fetches the default fee from the exchange pair/market info.
#### Running backtest with smaller testset by using timerange

15
docs/installation.md
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@ -270,3 +270,18 @@ The easiest way is to download install Microsoft Visual Studio Community [here](
Now you have an environment ready, the next step is
[Bot Configuration](configuration.md).
## Troubleshooting
### MacOS installation error
Newer versions of MacOS may have installation failed with errors like `error: command 'g++' failed with exit status 1`.
This error will require explicit installation of the SDK Headers, which are not installed by default in this version of MacOS.
For MacOS 10.14, this can be accomplished with the below command.
``` bash
open /Library/Developer/CommandLineTools/Packages/macOS_SDK_headers_for_macOS_10.14.pkg
```
If this file is inexistant, then you're probably on a different version of MacOS, so you may need to consult the internet for specific resolution details.

15
freqtrade/configuration/config_validation.py
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@ -1,4 +1,5 @@
import logging
from copy import deepcopy
from typing import Any, Dict
from jsonschema import Draft4Validator, validators
@ -42,15 +43,25 @@ def validate_config_schema(conf: Dict[str, Any]) -> Dict[str, Any]:
:param conf: Config in JSON format
:return: Returns the config if valid, otherwise throw an exception
"""
conf_schema = deepcopy(constants.CONF_SCHEMA)
if conf.get('runmode', RunMode.OTHER) in (RunMode.DRY_RUN, RunMode.LIVE):
conf_schema['required'] = constants.SCHEMA_TRADE_REQUIRED
else:
conf_schema['required'] = constants.SCHEMA_MINIMAL_REQUIRED
# Dynamically allow empty stake-currency
# Since the minimal config specifies this too.
# It's not allowed for Dry-run or live modes
conf_schema['properties']['stake_currency']['enum'] += [''] # type: ignore
try:
FreqtradeValidator(constants.CONF_SCHEMA).validate(conf)
FreqtradeValidator(conf_schema).validate(conf)
return conf
except ValidationError as e:
logger.critical(
f"Invalid configuration. See config.json.example. Reason: {e}"
)
raise ValidationError(
best_match(Draft4Validator(constants.CONF_SCHEMA).iter_errors(conf)).message
best_match(Draft4Validator(conf_schema).iter_errors(conf)).message
)

30
freqtrade/constants.py
View File

@ -275,16 +275,22 @@ CONF_SCHEMA = {
'required': ['process_throttle_secs', 'allowed_risk']
}
},
'required': [
'exchange',
'max_open_trades',
'stake_currency',
'stake_amount',
'dry_run',
'dry_run_wallet',
'bid_strategy',
'unfilledtimeout',
'stoploss',
'minimal_roi',
]
}
SCHEMA_TRADE_REQUIRED = [
'exchange',
'max_open_trades',
'stake_currency',
'stake_amount',
'dry_run',
'dry_run_wallet',
'bid_strategy',
'unfilledtimeout',
'stoploss',
'minimal_roi',
]
SCHEMA_MINIMAL_REQUIRED = [
'exchange',
'dry_run',
]

2
freqtrade/data/btanalysis.py
View File

@ -47,7 +47,7 @@ def load_backtest_data(filename) -> pd.DataFrame:
utc=True,
infer_datetime_format=True
)
df['profitabs'] = df['close_rate'] - df['open_rate']
df['profit'] = df['close_rate'] - df['open_rate']
df = df.sort_values("open_time").reset_index(drop=True)
return df

52
freqtrade/freqtradebot.py
View File

@ -419,8 +419,6 @@ class FreqtradeBot:
:param pair: pair for which we want to create a LIMIT_BUY
:return: None
"""
stake_currency = self.config['stake_currency']
fiat_currency = self.config.get('fiat_display_currency', None)
time_in_force = self.strategy.order_time_in_force['buy']
if price:
@ -477,17 +475,6 @@ class FreqtradeBot:
amount = order['amount']
buy_limit_filled_price = order['price']
self.rpc.send_msg({
'type': RPCMessageType.BUY_NOTIFICATION,
'exchange': self.exchange.name.capitalize(),
'pair': pair,
'limit': buy_limit_filled_price,
'order_type': order_type,
'stake_amount': stake_amount,
'stake_currency': stake_currency,
'fiat_currency': fiat_currency
})
# Fee is applied twice because we make a LIMIT_BUY and LIMIT_SELL
fee = self.exchange.get_fee(symbol=pair, taker_or_maker='maker')
trade = Trade(
@ -505,6 +492,8 @@ class FreqtradeBot:
ticker_interval=timeframe_to_minutes(self.config['ticker_interval'])
)
self._notify_buy(trade, order_type)
# Update fees if order is closed
if order_status == 'closed':
self.update_trade_state(trade, order)
@ -517,6 +506,24 @@ class FreqtradeBot:
return True
def _notify_buy(self, trade: Trade, order_type: str):
"""
Sends rpc notification when a buy occured.
"""
msg = {
'type': RPCMessageType.BUY_NOTIFICATION,
'exchange': self.exchange.name.capitalize(),
'pair': trade.pair,
'limit': trade.open_rate,
'order_type': order_type,
'stake_amount': trade.stake_amount,
'stake_currency': self.config['stake_currency'],
'fiat_currency': self.config.get('fiat_display_currency', None),
}
# Send the message
self.rpc.send_msg(msg)
#
# SELL / exit positions / close trades logic and methods
#
@ -919,16 +926,16 @@ class FreqtradeBot:
except InvalidOrderException:
logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
ordertype = self.strategy.order_types[sell_type]
order_type = self.strategy.order_types[sell_type]
if sell_reason == SellType.EMERGENCY_SELL:
# Emergencysells (default to market!)
ordertype = self.strategy.order_types.get("emergencysell", "market")
order_type = self.strategy.order_types.get("emergencysell", "market")
amount = self._safe_sell_amount(trade.pair, trade.amount)
# Execute sell and update trade record
order = self.exchange.sell(pair=str(trade.pair),
ordertype=ordertype,
ordertype=order_type,
amount=amount, rate=limit,
time_in_force=self.strategy.order_time_in_force['sell']
)
@ -944,7 +951,7 @@ class FreqtradeBot:
# Lock pair for one candle to prevent immediate rebuys
self.strategy.lock_pair(trade.pair, timeframe_to_next_date(self.config['ticker_interval']))
self._notify_sell(trade, ordertype)
self._notify_sell(trade, order_type)
def _notify_sell(self, trade: Trade, order_type: str):
"""
@ -971,16 +978,13 @@ class FreqtradeBot:
'profit_percent': profit_percent,
'sell_reason': trade.sell_reason,
'open_date': trade.open_date,
'close_date': trade.close_date or datetime.utcnow()
'close_date': trade.close_date or datetime.utcnow(),
'stake_currency': self.config['stake_currency'],
}
# For regular case, when the configuration exists
if 'stake_currency' in self.config and 'fiat_display_currency' in self.config:
stake_currency = self.config['stake_currency']
fiat_currency = self.config['fiat_display_currency']
if 'fiat_display_currency' in self.config:
msg.update({
'stake_currency': stake_currency,
'fiat_currency': fiat_currency,
'fiat_currency': self.config['fiat_display_currency'],
})
# Send the message

4
freqtrade/plot/plotting.py
View File

@ -120,8 +120,8 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
)
)
# Create description for sell summarizing the trade
desc = trades.apply(lambda row: f"{round(row['profitperc'], 3)}%, {row['sell_reason']}, "
f"{row['duration']} min",
desc = trades.apply(lambda row: f"{round(row['profitperc'] * 100, 1)}%, "
f"{row['sell_reason']}, {row['duration']} min",
axis=1)
trade_sells = go.Scatter(
x=trades["close_time"],

4
freqtrade/utils.py
View File

@ -12,7 +12,8 @@ from colorama import init as colorama_init
from tabulate import tabulate
from freqtrade.configuration import (Configuration, TimeRange,
remove_credentials)
remove_credentials,
validate_config_consistency)
from freqtrade.configuration.directory_operations import (copy_sample_files,
create_userdata_dir)
from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGY
@ -40,6 +41,7 @@ def setup_utils_configuration(args: Dict[str, Any], method: RunMode) -> Dict[str
# Ensure we do not use Exchange credentials
remove_credentials(config)
validate_config_consistency(config)
return config

2
tests/data/test_btanalysis.py
View File

@ -20,7 +20,7 @@ def test_load_backtest_data(testdatadir):
filename = testdatadir / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
assert isinstance(bt_data, DataFrame)
assert list(bt_data.columns) == BT_DATA_COLUMNS + ["profitabs"]
assert list(bt_data.columns) == BT_DATA_COLUMNS + ["profit"]
assert len(bt_data) == 179
# Test loading from string (must yield same result)

1
tests/test_configuration.py
View File

@ -49,6 +49,7 @@ def test_load_config_missing_attributes(default_conf) -> None:
conf = deepcopy(default_conf)
conf.pop('stake_currency')
conf['runmode'] = RunMode.DRY_RUN
with pytest.raises(ValidationError, match=r".*'stake_currency' is a required property.*"):
validate_config_schema(conf)

1
tests/test_plotting.py
View File

@ -119,6 +119,7 @@ def test_plot_trades(testdatadir, caplog):
assert trade_sell.yaxis == 'y'
assert len(trades) == len(trade_sell.x)
assert trade_sell.marker.color == 'red'
assert trade_sell.text[0] == "4.0%, roi, 15 min"
def test_generate_candlestick_graph_no_signals_no_trades(default_conf, mocker, testdatadir, caplog):

0
user_data/backtest_data/.gitkeep
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