Merge branch 'freqtrade:develop' into develop
This commit is contained in:
commit
a77ca22026
@ -149,7 +149,9 @@
|
||||
},
|
||||
"sell_fill": "on",
|
||||
"buy_cancel": "on",
|
||||
"sell_cancel": "on"
|
||||
"sell_cancel": "on",
|
||||
"protection_trigger": "off",
|
||||
"protection_trigger_global": "on"
|
||||
},
|
||||
"reload": true,
|
||||
"balance_dust_level": 0.01
|
||||
|
@ -1,4 +1,4 @@
|
||||
mkdocs==1.2.2
|
||||
mkdocs-material==7.2.6
|
||||
mkdocs-material==7.3.0
|
||||
mdx_truly_sane_lists==1.2
|
||||
pymdown-extensions==8.2
|
||||
|
@ -701,3 +701,33 @@ The variable 'content', will contain the strategy file in a BASE64 encoded form.
|
||||
```
|
||||
|
||||
Please ensure that 'NameOfStrategy' is identical to the strategy name!
|
||||
|
||||
## Performance warning
|
||||
|
||||
When executing a strategy, one can sometimes be greeted by the following in the logs
|
||||
|
||||
> PerformanceWarning: DataFrame is highly fragmented.
|
||||
|
||||
This is a warning from [`pandas`](https://github.com/pandas-dev/pandas) and as the warning continues to say:
|
||||
use `pd.concat(axis=1)`.
|
||||
This can have slight performance implications, which are usually only visible during hyperopt (when optimizing an indicator).
|
||||
|
||||
For example:
|
||||
|
||||
```python
|
||||
for val in self.buy_ema_short.range:
|
||||
dataframe[f'ema_short_{val}'] = ta.EMA(dataframe, timeperiod=val)
|
||||
```
|
||||
|
||||
should be rewritten to
|
||||
|
||||
```python
|
||||
frames = [dataframe]
|
||||
for val in self.buy_ema_short.range:
|
||||
frames.append({
|
||||
f'ema_short_{val}': ta.EMA(dataframe, timeperiod=val)
|
||||
})
|
||||
|
||||
# Append columns to existing dataframe
|
||||
merged_frame = pd.concat(frames, axis=1)
|
||||
```
|
||||
|
@ -942,6 +942,8 @@ Printing more than a few rows is also possible (simply use `print(dataframe)` i
|
||||
|
||||
## Common mistakes when developing strategies
|
||||
|
||||
### Peeking into the future while backtesting
|
||||
|
||||
Backtesting analyzes the whole time-range at once for performance reasons. Because of this, strategy authors need to make sure that strategies do not look-ahead into the future.
|
||||
This is a common pain-point, which can cause huge differences between backtesting and dry/live run methods, since they all use data which is not available during dry/live runs, so these strategies will perform well during backtesting, but will fail / perform badly in real conditions.
|
||||
|
||||
|
@ -93,7 +93,9 @@ Example configuration showing the different settings:
|
||||
"buy_cancel": "silent",
|
||||
"sell_cancel": "on",
|
||||
"buy_fill": "off",
|
||||
"sell_fill": "off"
|
||||
"sell_fill": "off",
|
||||
"protection_trigger": "off",
|
||||
"protection_trigger_global": "on"
|
||||
},
|
||||
"reload": true,
|
||||
"balance_dust_level": 0.01
|
||||
@ -103,6 +105,7 @@ Example configuration showing the different settings:
|
||||
`buy` notifications are sent when the order is placed, while `buy_fill` notifications are sent when the order is filled on the exchange.
|
||||
`sell` notifications are sent when the order is placed, while `sell_fill` notifications are sent when the order is filled on the exchange.
|
||||
`*_fill` notifications are off by default and must be explicitly enabled.
|
||||
`protection_trigger` notifications are sent when a protection triggers and `protection_trigger_global` notifications trigger when global protections are triggered.
|
||||
|
||||
|
||||
`balance_dust_level` will define what the `/balance` command takes as "dust" - Currencies with a balance below this will be shown.
|
||||
|
@ -113,7 +113,7 @@ CONF_SCHEMA = {
|
||||
},
|
||||
'tradable_balance_ratio': {
|
||||
'type': 'number',
|
||||
'minimum': 0.1,
|
||||
'minimum': 0.0,
|
||||
'maximum': 1,
|
||||
'default': 0.99
|
||||
},
|
||||
@ -287,6 +287,15 @@ CONF_SCHEMA = {
|
||||
'enum': TELEGRAM_SETTING_OPTIONS,
|
||||
'default': 'off'
|
||||
},
|
||||
'protection_trigger': {
|
||||
'type': 'string',
|
||||
'enum': TELEGRAM_SETTING_OPTIONS,
|
||||
'default': 'off'
|
||||
},
|
||||
'protection_trigger_global': {
|
||||
'type': 'string',
|
||||
'enum': TELEGRAM_SETTING_OPTIONS,
|
||||
},
|
||||
}
|
||||
},
|
||||
'reload': {'type': 'boolean'},
|
||||
|
@ -11,6 +11,8 @@ class RPCMessageType(Enum):
|
||||
SELL = 'sell'
|
||||
SELL_FILL = 'sell_fill'
|
||||
SELL_CANCEL = 'sell_cancel'
|
||||
PROTECTION_TRIGGER = 'protection_trigger'
|
||||
PROTECTION_TRIGGER_GLOBAL = 'protection_trigger_global'
|
||||
|
||||
def __repr__(self):
|
||||
return self.value
|
||||
|
@ -1217,7 +1217,7 @@ class FreqtradeBot(LoggingMixin):
|
||||
'exchange': trade.exchange.capitalize(),
|
||||
'pair': trade.pair,
|
||||
'gain': gain,
|
||||
'limit': profit_rate,
|
||||
'limit': profit_rate or 0,
|
||||
'order_type': order_type,
|
||||
'amount': trade.amount,
|
||||
'open_rate': trade.open_rate,
|
||||
@ -1226,7 +1226,7 @@ class FreqtradeBot(LoggingMixin):
|
||||
'profit_ratio': profit_ratio,
|
||||
'sell_reason': trade.sell_reason,
|
||||
'open_date': trade.open_date,
|
||||
'close_date': trade.close_date,
|
||||
'close_date': trade.close_date or datetime.now(timezone.utc),
|
||||
'stake_currency': self.config['stake_currency'],
|
||||
'fiat_currency': self.config.get('fiat_display_currency', None),
|
||||
'reason': reason,
|
||||
@ -1292,8 +1292,7 @@ class FreqtradeBot(LoggingMixin):
|
||||
if not trade.is_open:
|
||||
if not stoploss_order and not trade.open_order_id:
|
||||
self._notify_exit(trade, '', True)
|
||||
self.protections.stop_per_pair(trade.pair)
|
||||
self.protections.global_stop()
|
||||
self.handle_protections(trade.pair)
|
||||
self.wallets.update()
|
||||
elif not trade.open_order_id:
|
||||
# Buy fill
|
||||
@ -1301,6 +1300,19 @@ class FreqtradeBot(LoggingMixin):
|
||||
|
||||
return False
|
||||
|
||||
def handle_protections(self, pair: str) -> None:
|
||||
prot_trig = self.protections.stop_per_pair(pair)
|
||||
if prot_trig:
|
||||
msg = {'type': RPCMessageType.PROTECTION_TRIGGER, }
|
||||
msg.update(prot_trig.to_json())
|
||||
self.rpc.send_msg(msg)
|
||||
|
||||
prot_trig_glb = self.protections.global_stop()
|
||||
if prot_trig_glb:
|
||||
msg = {'type': RPCMessageType.PROTECTION_TRIGGER_GLOBAL, }
|
||||
msg.update(prot_trig_glb.to_json())
|
||||
self.rpc.send_msg(msg)
|
||||
|
||||
def apply_fee_conditional(self, trade: Trade, trade_base_currency: str,
|
||||
amount: float, fee_abs: float) -> float:
|
||||
"""
|
||||
|
@ -30,7 +30,8 @@ class PairLocks():
|
||||
PairLocks.locks = []
|
||||
|
||||
@staticmethod
|
||||
def lock_pair(pair: str, until: datetime, reason: str = None, *, now: datetime = None) -> None:
|
||||
def lock_pair(pair: str, until: datetime, reason: str = None, *,
|
||||
now: datetime = None) -> PairLock:
|
||||
"""
|
||||
Create PairLock from now to "until".
|
||||
Uses database by default, unless PairLocks.use_db is set to False,
|
||||
@ -52,6 +53,7 @@ class PairLocks():
|
||||
PairLock.query.session.commit()
|
||||
else:
|
||||
PairLocks.locks.append(lock)
|
||||
return lock
|
||||
|
||||
@staticmethod
|
||||
def get_pair_locks(pair: Optional[str], now: Optional[datetime] = None) -> List[PairLock]:
|
||||
|
@ -6,6 +6,7 @@ from datetime import datetime, timezone
|
||||
from typing import Dict, List, Optional
|
||||
|
||||
from freqtrade.persistence import PairLocks
|
||||
from freqtrade.persistence.models import PairLock
|
||||
from freqtrade.plugins.protections import IProtection
|
||||
from freqtrade.resolvers import ProtectionResolver
|
||||
|
||||
@ -43,30 +44,28 @@ class ProtectionManager():
|
||||
"""
|
||||
return [{p.name: p.short_desc()} for p in self._protection_handlers]
|
||||
|
||||
def global_stop(self, now: Optional[datetime] = None) -> bool:
|
||||
def global_stop(self, now: Optional[datetime] = None) -> Optional[PairLock]:
|
||||
if not now:
|
||||
now = datetime.now(timezone.utc)
|
||||
result = False
|
||||
result = None
|
||||
for protection_handler in self._protection_handlers:
|
||||
if protection_handler.has_global_stop:
|
||||
result, until, reason = protection_handler.global_stop(now)
|
||||
lock, until, reason = protection_handler.global_stop(now)
|
||||
|
||||
# Early stopping - first positive result blocks further trades
|
||||
if result and until:
|
||||
if lock and until:
|
||||
if not PairLocks.is_global_lock(until):
|
||||
PairLocks.lock_pair('*', until, reason, now=now)
|
||||
result = True
|
||||
result = PairLocks.lock_pair('*', until, reason, now=now)
|
||||
return result
|
||||
|
||||
def stop_per_pair(self, pair, now: Optional[datetime] = None) -> bool:
|
||||
def stop_per_pair(self, pair, now: Optional[datetime] = None) -> Optional[PairLock]:
|
||||
if not now:
|
||||
now = datetime.now(timezone.utc)
|
||||
result = False
|
||||
result = None
|
||||
for protection_handler in self._protection_handlers:
|
||||
if protection_handler.has_local_stop:
|
||||
result, until, reason = protection_handler.stop_per_pair(pair, now)
|
||||
if result and until:
|
||||
lock, until, reason = protection_handler.stop_per_pair(pair, now)
|
||||
if lock and until:
|
||||
if not PairLocks.is_pair_locked(pair, until):
|
||||
PairLocks.lock_pair(pair, until, reason, now=now)
|
||||
result = True
|
||||
result = PairLocks.lock_pair(pair, until, reason, now=now)
|
||||
return result
|
||||
|
@ -260,6 +260,50 @@ class Telegram(RPCHandler):
|
||||
|
||||
return message
|
||||
|
||||
def compose_message(self, msg: Dict[str, Any], msg_type: RPCMessageType) -> str:
|
||||
|
||||
if msg_type == RPCMessageType.BUY:
|
||||
message = self._format_buy_msg(msg)
|
||||
|
||||
elif msg_type in (RPCMessageType.BUY_CANCEL, RPCMessageType.SELL_CANCEL):
|
||||
msg['message_side'] = 'buy' if msg_type == RPCMessageType.BUY_CANCEL else 'sell'
|
||||
message = ("\N{WARNING SIGN} *{exchange}:* "
|
||||
"Cancelling open {message_side} Order for {pair} (#{trade_id}). "
|
||||
"Reason: {reason}.".format(**msg))
|
||||
|
||||
elif msg_type == RPCMessageType.BUY_FILL:
|
||||
message = ("\N{LARGE CIRCLE} *{exchange}:* "
|
||||
"Buy order for {pair} (#{trade_id}) filled "
|
||||
"for {open_rate}.".format(**msg))
|
||||
elif msg_type == RPCMessageType.SELL_FILL:
|
||||
message = ("\N{LARGE CIRCLE} *{exchange}:* "
|
||||
"Sell order for {pair} (#{trade_id}) filled "
|
||||
"for {close_rate}.".format(**msg))
|
||||
elif msg_type == RPCMessageType.SELL:
|
||||
message = self._format_sell_msg(msg)
|
||||
elif msg_type == RPCMessageType.PROTECTION_TRIGGER:
|
||||
message = (
|
||||
"*Protection* triggered due to {reason}. "
|
||||
"`{pair}` will be locked until `{lock_end_time}`."
|
||||
).format(**msg)
|
||||
elif msg_type == RPCMessageType.PROTECTION_TRIGGER_GLOBAL:
|
||||
message = (
|
||||
"*Protection* triggered due to {reason}. "
|
||||
"*All pairs* will be locked until `{lock_end_time}`."
|
||||
).format(**msg)
|
||||
elif msg_type == RPCMessageType.STATUS:
|
||||
message = '*Status:* `{status}`'.format(**msg)
|
||||
|
||||
elif msg_type == RPCMessageType.WARNING:
|
||||
message = '\N{WARNING SIGN} *Warning:* `{status}`'.format(**msg)
|
||||
|
||||
elif msg_type == RPCMessageType.STARTUP:
|
||||
message = '{status}'.format(**msg)
|
||||
|
||||
else:
|
||||
raise NotImplementedError('Unknown message type: {}'.format(msg_type))
|
||||
return message
|
||||
|
||||
def send_msg(self, msg: Dict[str, Any]) -> None:
|
||||
""" Send a message to telegram channel """
|
||||
|
||||
@ -284,37 +328,7 @@ class Telegram(RPCHandler):
|
||||
# Notification disabled
|
||||
return
|
||||
|
||||
if msg_type == RPCMessageType.BUY:
|
||||
message = self._format_buy_msg(msg)
|
||||
|
||||
elif msg_type in (RPCMessageType.BUY_CANCEL, RPCMessageType.SELL_CANCEL):
|
||||
msg['message_side'] = 'buy' if msg_type == RPCMessageType.BUY_CANCEL else 'sell'
|
||||
message = ("\N{WARNING SIGN} *{exchange}:* "
|
||||
"Cancelling open {message_side} Order for {pair} (#{trade_id}). "
|
||||
"Reason: {reason}.".format(**msg))
|
||||
|
||||
elif msg_type == RPCMessageType.BUY_FILL:
|
||||
message = ("\N{LARGE CIRCLE} *{exchange}:* "
|
||||
"Buy order for {pair} (#{trade_id}) filled "
|
||||
"for {open_rate}.".format(**msg))
|
||||
elif msg_type == RPCMessageType.SELL_FILL:
|
||||
message = ("\N{LARGE CIRCLE} *{exchange}:* "
|
||||
"Sell order for {pair} (#{trade_id}) filled "
|
||||
"for {close_rate}.".format(**msg))
|
||||
elif msg_type == RPCMessageType.SELL:
|
||||
message = self._format_sell_msg(msg)
|
||||
|
||||
elif msg_type == RPCMessageType.STATUS:
|
||||
message = '*Status:* `{status}`'.format(**msg)
|
||||
|
||||
elif msg_type == RPCMessageType.WARNING:
|
||||
message = '\N{WARNING SIGN} *Warning:* `{status}`'.format(**msg)
|
||||
|
||||
elif msg_type == RPCMessageType.STARTUP:
|
||||
message = '{status}'.format(**msg)
|
||||
|
||||
else:
|
||||
raise NotImplementedError('Unknown message type: {}'.format(msg_type))
|
||||
message = self.compose_message(msg, msg_type)
|
||||
|
||||
self._send_msg(message, disable_notification=(noti == 'silent'))
|
||||
|
||||
|
@ -23,5 +23,5 @@ nbconvert==6.1.0
|
||||
# mypy types
|
||||
types-cachetools==4.2.0
|
||||
types-filelock==0.1.5
|
||||
types-requests==2.25.6
|
||||
types-requests==2.25.8
|
||||
types-tabulate==0.8.2
|
||||
|
@ -8,4 +8,4 @@ scikit-optimize==0.8.1
|
||||
filelock==3.0.12
|
||||
joblib==1.0.1
|
||||
psutil==5.8.0
|
||||
progressbar2==3.53.2
|
||||
progressbar2==3.53.3
|
||||
|
@ -1,16 +1,17 @@
|
||||
numpy==1.21.2
|
||||
pandas==1.3.3
|
||||
pandas-ta==0.3.14b
|
||||
|
||||
ccxt==1.56.30
|
||||
ccxt==1.56.86
|
||||
# Pin cryptography for now due to rust build errors with piwheels
|
||||
cryptography==3.4.8
|
||||
aiohttp==3.7.4.post0
|
||||
SQLAlchemy==1.4.23
|
||||
SQLAlchemy==1.4.25
|
||||
python-telegram-bot==13.7
|
||||
arrow==1.1.1
|
||||
cachetools==4.2.2
|
||||
requests==2.26.0
|
||||
urllib3==1.26.6
|
||||
urllib3==1.26.7
|
||||
wrapt==1.12.1
|
||||
jsonschema==3.2.0
|
||||
TA-Lib==0.4.21
|
||||
|
1
setup.py
1
setup.py
@ -54,6 +54,7 @@ setup(
|
||||
'wrapt',
|
||||
'jsonschema',
|
||||
'TA-Lib',
|
||||
'pandas-ta',
|
||||
'technical',
|
||||
'tabulate',
|
||||
'pycoingecko',
|
||||
|
@ -125,7 +125,7 @@ def test_stoploss_guard(mocker, default_conf, fee, caplog):
|
||||
# Test 5m after lock-period - this should try and relock the pair, but end-time
|
||||
# should be the previous end-time
|
||||
end_time = PairLocks.get_pair_longest_lock('*').lock_end_time + timedelta(minutes=5)
|
||||
assert freqtrade.protections.global_stop(end_time)
|
||||
freqtrade.protections.global_stop(end_time)
|
||||
assert not PairLocks.is_global_lock(end_time)
|
||||
|
||||
|
||||
@ -182,7 +182,7 @@ def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair
|
||||
min_ago_open=180, min_ago_close=30, profit_rate=0.9,
|
||||
))
|
||||
|
||||
assert freqtrade.protections.stop_per_pair(pair)
|
||||
freqtrade.protections.stop_per_pair(pair)
|
||||
assert freqtrade.protections.global_stop() != only_per_pair
|
||||
assert PairLocks.is_pair_locked(pair)
|
||||
assert PairLocks.is_global_lock() != only_per_pair
|
||||
|
@ -1313,6 +1313,34 @@ def test_send_msg_buy_cancel_notification(default_conf, mocker) -> None:
|
||||
'Reason: cancelled due to timeout.')
|
||||
|
||||
|
||||
def test_send_msg_protection_notification(default_conf, mocker, time_machine) -> None:
|
||||
|
||||
default_conf['telegram']['notification_settings']['protection_trigger'] = 'on'
|
||||
|
||||
telegram, _, msg_mock = get_telegram_testobject(mocker, default_conf)
|
||||
time_machine.move_to("2021-09-01 05:00:00 +00:00")
|
||||
lock = PairLocks.lock_pair('ETH/BTC', arrow.utcnow().shift(minutes=6).datetime, 'randreason')
|
||||
msg = {
|
||||
'type': RPCMessageType.PROTECTION_TRIGGER,
|
||||
}
|
||||
msg.update(lock.to_json())
|
||||
telegram.send_msg(msg)
|
||||
assert (msg_mock.call_args[0][0] == "*Protection* triggered due to randreason. "
|
||||
"`ETH/BTC` will be locked until `2021-09-01 05:10:00`.")
|
||||
|
||||
msg_mock.reset_mock()
|
||||
# Test global protection
|
||||
|
||||
msg = {
|
||||
'type': RPCMessageType.PROTECTION_TRIGGER_GLOBAL,
|
||||
}
|
||||
lock = PairLocks.lock_pair('*', arrow.utcnow().shift(minutes=100).datetime, 'randreason')
|
||||
msg.update(lock.to_json())
|
||||
telegram.send_msg(msg)
|
||||
assert (msg_mock.call_args[0][0] == "*Protection* triggered due to randreason. "
|
||||
"*All pairs* will be locked until `2021-09-01 06:45:00`.")
|
||||
|
||||
|
||||
def test_send_msg_buy_fill_notification(default_conf, mocker) -> None:
|
||||
|
||||
default_conf['telegram']['notification_settings']['buy_fill'] = 'on'
|
||||
|
@ -416,6 +416,29 @@ def test_enter_positions_global_pairlock(default_conf, ticker, limit_buy_order,
|
||||
assert log_has_re(message, caplog)
|
||||
|
||||
|
||||
def test_handle_protections(mocker, default_conf, fee):
|
||||
default_conf['protections'] = [
|
||||
{"method": "CooldownPeriod", "stop_duration": 60},
|
||||
{
|
||||
"method": "StoplossGuard",
|
||||
"lookback_period_candles": 24,
|
||||
"trade_limit": 4,
|
||||
"stop_duration_candles": 4,
|
||||
"only_per_pair": False
|
||||
}
|
||||
]
|
||||
|
||||
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
||||
freqtrade.protections._protection_handlers[1].global_stop = MagicMock(
|
||||
return_value=(True, arrow.utcnow().shift(hours=1).datetime, "asdf"))
|
||||
create_mock_trades(fee)
|
||||
freqtrade.handle_protections('ETC/BTC')
|
||||
send_msg_mock = freqtrade.rpc.send_msg
|
||||
assert send_msg_mock.call_count == 2
|
||||
assert send_msg_mock.call_args_list[0][0][0]['type'] == RPCMessageType.PROTECTION_TRIGGER
|
||||
assert send_msg_mock.call_args_list[1][0][0]['type'] == RPCMessageType.PROTECTION_TRIGGER_GLOBAL
|
||||
|
||||
|
||||
def test_create_trade_no_signal(default_conf, fee, mocker) -> None:
|
||||
default_conf['dry_run'] = True
|
||||
|
||||
|
Loading…
Reference in New Issue
Block a user