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Merge branch 'develop' into feat/new_config

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This commit is contained in:
Matthias
2020-02-07 17:02:14 +01:00
parent cbd2b265bb 97e48080e8
commit abf10aec98
66 changed files with 915 additions and 326 deletions
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1
freqtrade/commands/__init__.py
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@@ -15,6 +15,7 @@ from freqtrade.commands.deploy_commands import (start_create_userdir,
from freqtrade.commands.hyperopt_commands import (start_hyperopt_list,
start_hyperopt_show)
from freqtrade.commands.list_commands import (start_list_exchanges,
start_list_hyperopts,
start_list_markets,
start_list_strategies,
start_list_timeframes)

21
freqtrade/commands/arguments.py
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@@ -32,6 +32,8 @@ ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]
ARGS_LIST_STRATEGIES = ["strategy_path", "print_one_column"]
ARGS_LIST_HYPEROPTS = ["hyperopt_path", "print_one_column"]
ARGS_LIST_EXCHANGES = ["print_one_column", "list_exchanges_all"]
ARGS_LIST_TIMEFRAMES = ["exchange", "print_one_column"]
@@ -66,8 +68,8 @@ ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperop
"print_json", "hyperopt_show_no_header"]
NO_CONF_REQURIED = ["download-data", "list-timeframes", "list-markets", "list-pairs",
"list-strategies", "hyperopt-list", "hyperopt-show", "plot-dataframe",
"plot-profit"]
"list-strategies", "list-hyperopts", "hyperopt-list", "hyperopt-show",
"plot-dataframe", "plot-profit"]
NO_CONF_ALLOWED = ["create-userdir", "list-exchanges", "new-hyperopt", "new-strategy"]
@@ -134,9 +136,9 @@ class Arguments:
from freqtrade.commands import (start_create_userdir, start_download_data,
start_hyperopt_list, start_hyperopt_show,
start_list_exchanges, start_list_markets,
start_list_strategies, start_list_timeframes,
start_new_config,
start_list_exchanges, start_list_hyperopts,
start_list_markets, start_list_strategies,
start_list_timeframes, start_new_config,
start_new_hyperopt, start_new_strategy,
start_plot_dataframe, start_plot_profit,
start_backtesting, start_hyperopt, start_edge,
@@ -207,6 +209,15 @@ class Arguments:
list_strategies_cmd.set_defaults(func=start_list_strategies)
self._build_args(optionlist=ARGS_LIST_STRATEGIES, parser=list_strategies_cmd)
# Add list-hyperopts subcommand
list_hyperopts_cmd = subparsers.add_parser(
'list-hyperopts',
help='Print available hyperopt classes.',
parents=[_common_parser],
)
list_hyperopts_cmd.set_defaults(func=start_list_hyperopts)
self._build_args(optionlist=ARGS_LIST_HYPEROPTS, parser=list_hyperopts_cmd)
# Add list-exchanges subcommand
list_exchanges_cmd = subparsers.add_parser(
'list-exchanges',

2
freqtrade/commands/cli_options.py
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@@ -256,7 +256,7 @@ AVAILABLE_CLI_OPTIONS = {
help='Specify the class name of the hyperopt loss function class (IHyperOptLoss). '
'Different functions can generate completely different results, '
'since the target for optimization is different. Built-in Hyperopt-loss-functions are: '
'DefaultHyperOptLoss, OnlyProfitHyperOptLoss, SharpeHyperOptLoss.'
'DefaultHyperOptLoss, OnlyProfitHyperOptLoss, SharpeHyperOptLoss, SharpeHyperOptLossDaily.'
'(default: `%(default)s`).',
metavar='NAME',
default=constants.DEFAULT_HYPEROPT_LOSS,

8
freqtrade/commands/data_commands.py
View File

@@ -43,16 +43,18 @@ def start_download_data(args: Dict[str, Any]) -> None:
if config.get('download_trades'):
pairs_not_available = refresh_backtest_trades_data(
exchange, pairs=config["pairs"], datadir=config['datadir'],
timerange=timerange, erase=config.get("erase"))
timerange=timerange, erase=bool(config.get("erase")))
# Convert downloaded trade data to different timeframes
convert_trades_to_ohlcv(
pairs=config["pairs"], timeframes=config["timeframes"],
datadir=config['datadir'], timerange=timerange, erase=config.get("erase"))
datadir=config['datadir'], timerange=timerange,
erase=bool(config.get("erase")))
else:
pairs_not_available = refresh_backtest_ohlcv_data(
exchange, pairs=config["pairs"], timeframes=config["timeframes"],
datadir=config['datadir'], timerange=timerange, erase=config.get("erase"))
datadir=config['datadir'], timerange=timerange,
erase=bool(config.get("erase")))
except KeyboardInterrupt:
sys.exit("SIGINT received, aborting ...")

8
freqtrade/commands/deploy_commands.py
View File

@@ -6,7 +6,7 @@ from typing import Any, Dict
from freqtrade.configuration import setup_utils_configuration
from freqtrade.configuration.directory_operations import (copy_sample_files,
create_userdata_dir)
from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGY
from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGIES
from freqtrade.exceptions import OperationalException
from freqtrade.misc import render_template
from freqtrade.state import RunMode
@@ -28,7 +28,7 @@ def start_create_userdir(args: Dict[str, Any]) -> None:
sys.exit(1)
def deploy_new_strategy(strategy_name, strategy_path: Path, subtemplate: str):
def deploy_new_strategy(strategy_name: str, strategy_path: Path, subtemplate: str) -> None:
"""
Deploy new strategy from template to strategy_path
"""
@@ -57,7 +57,7 @@ def start_new_strategy(args: Dict[str, Any]) -> None:
if args["strategy"] == "DefaultStrategy":
raise OperationalException("DefaultStrategy is not allowed as name.")
new_path = config['user_data_dir'] / USERPATH_STRATEGY / (args["strategy"] + ".py")
new_path = config['user_data_dir'] / USERPATH_STRATEGIES / (args["strategy"] + ".py")
if new_path.exists():
raise OperationalException(f"`{new_path}` already exists. "
@@ -69,7 +69,7 @@ def start_new_strategy(args: Dict[str, Any]) -> None:
raise OperationalException("`new-strategy` requires --strategy to be set.")
def deploy_new_hyperopt(hyperopt_name, hyperopt_path: Path, subtemplate: str):
def deploy_new_hyperopt(hyperopt_name: str, hyperopt_path: Path, subtemplate: str) -> None:
"""
Deploys a new hyperopt template to hyperopt_path
"""

26
freqtrade/commands/list_commands.py
View File

@@ -9,7 +9,7 @@ import rapidjson
from tabulate import tabulate
from freqtrade.configuration import setup_utils_configuration
from freqtrade.constants import USERPATH_STRATEGY
from freqtrade.constants import USERPATH_HYPEROPTS, USERPATH_STRATEGIES
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import (available_exchanges, ccxt_exchanges,
market_is_active, symbol_is_pair)
@@ -38,11 +38,11 @@ def start_list_exchanges(args: Dict[str, Any]) -> None:
def start_list_strategies(args: Dict[str, Any]) -> None:
"""
Print Strategies available in a directory
Print files with Strategy custom classes available in the directory
"""
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
directory = Path(config.get('strategy_path', config['user_data_dir'] / USERPATH_STRATEGY))
directory = Path(config.get('strategy_path', config['user_data_dir'] / USERPATH_STRATEGIES))
strategies = StrategyResolver.search_all_objects(directory)
# Sort alphabetically
strategies = sorted(strategies, key=lambda x: x['name'])
@@ -54,6 +54,26 @@ def start_list_strategies(args: Dict[str, Any]) -> None:
print(tabulate(strats_to_print, headers='keys', tablefmt='pipe'))
def start_list_hyperopts(args: Dict[str, Any]) -> None:
"""
Print files with HyperOpt custom classes available in the directory
"""
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
directory = Path(config.get('hyperopt_path', config['user_data_dir'] / USERPATH_HYPEROPTS))
hyperopts = HyperOptResolver.search_all_objects(directory)
# Sort alphabetically
hyperopts = sorted(hyperopts, key=lambda x: x['name'])
hyperopts_to_print = [{'name': s['name'], 'location': s['location'].name} for s in hyperopts]
if args['print_one_column']:
print('\n'.join([s['name'] for s in hyperopts]))
else:
print(tabulate(hyperopts_to_print, headers='keys', tablefmt='pipe'))
def start_list_timeframes(args: Dict[str, Any]) -> None:
"""
Print ticker intervals (timeframes) available on Exchange

2
freqtrade/commands/plot_commands.py
View File

@@ -5,7 +5,7 @@ from freqtrade.exceptions import OperationalException
from freqtrade.state import RunMode
def validate_plot_args(args: Dict[str, Any]):
def validate_plot_args(args: Dict[str, Any]) -> None:
if not args.get('datadir') and not args.get('config'):
raise OperationalException(
"You need to specify either `--datadir` or `--config` "

2
freqtrade/configuration/check_exchange.py
View File

@@ -10,7 +10,7 @@ from freqtrade.state import RunMode
logger = logging.getLogger(__name__)
def remove_credentials(config: Dict[str, Any]):
def remove_credentials(config: Dict[str, Any]) -> None:
"""
Removes exchange keys from the configuration and specifies dry-run
Used for backtesting / hyperopt / edge and utils.

4
freqtrade/configuration/deprecated_settings.py
View File

@@ -13,7 +13,7 @@ logger = logging.getLogger(__name__)
def check_conflicting_settings(config: Dict[str, Any],
section1: str, name1: str,
section2: str, name2: str):
section2: str, name2: str) -> None:
section1_config = config.get(section1, {})
section2_config = config.get(section2, {})
if name1 in section1_config and name2 in section2_config:
@@ -28,7 +28,7 @@ def check_conflicting_settings(config: Dict[str, Any],
def process_deprecated_setting(config: Dict[str, Any],
section1: str, name1: str,
section2: str, name2: str):
section2: str, name2: str) -> None:
section2_config = config.get(section2, {})
if name2 in section2_config:

2
freqtrade/configuration/directory_operations.py
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@@ -23,7 +23,7 @@ def create_datadir(config: Dict[str, Any], datadir: Optional[str] = None) -> Pat
return folder
def create_userdata_dir(directory: str, create_dir=False) -> Path:
def create_userdata_dir(directory: str, create_dir: bool = False) -> Path:
"""
Create userdata directory structure.
if create_dir is True, then the parent-directory will be created if it does not exist.

5
freqtrade/configuration/timerange.py
View File

@@ -7,6 +7,7 @@ from typing import Optional
import arrow
logger = logging.getLogger(__name__)
@@ -30,7 +31,7 @@ class TimeRange:
return (self.starttype == other.starttype and self.stoptype == other.stoptype
and self.startts == other.startts and self.stopts == other.stopts)
def subtract_start(self, seconds) -> None:
def subtract_start(self, seconds: int) -> None:
"""
Subtracts <seconds> from startts if startts is set.
:param seconds: Seconds to subtract from starttime
@@ -59,7 +60,7 @@ class TimeRange:
self.starttype = 'date'
@staticmethod
def parse_timerange(text: Optional[str]):
def parse_timerange(text: Optional[str]) -> 'TimeRange':
"""
Parse the value of the argument --timerange to determine what is the range desired
:param text: value from --timerange

10
freqtrade/constants.py
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@@ -17,20 +17,22 @@ REQUIRED_ORDERTIF = ['buy', 'sell']
REQUIRED_ORDERTYPES = ['buy', 'sell', 'stoploss', 'stoploss_on_exchange']
ORDERTYPE_POSSIBILITIES = ['limit', 'market']
ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'PrecisionFilter', 'PriceFilter']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'PrecisionFilter', 'PriceFilter', 'SpreadFilter']
DRY_RUN_WALLET = 1000
MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
USERPATH_HYPEROPTS = 'hyperopts'
USERPATH_STRATEGY = 'strategies'
USERPATH_STRATEGIES = 'strategies'
USERPATH_NOTEBOOKS = 'notebooks'
# Soure files with destination directories within user-directory
USER_DATA_FILES = {
'sample_strategy.py': USERPATH_STRATEGY,
'sample_strategy.py': USERPATH_STRATEGIES,
'sample_hyperopt_advanced.py': USERPATH_HYPEROPTS,
'sample_hyperopt_loss.py': USERPATH_HYPEROPTS,
'sample_hyperopt.py': USERPATH_HYPEROPTS,
'strategy_analysis_example.ipynb': 'notebooks',
'strategy_analysis_example.ipynb': USERPATH_NOTEBOOKS,
}
SUPPORTED_FIAT = [

7
freqtrade/data/btanalysis.py
View File

@@ -3,7 +3,7 @@ Helpers when analyzing backtest data
"""
import logging
from pathlib import Path
from typing import Dict
from typing import Dict, Union
import numpy as np
import pandas as pd
@@ -20,7 +20,7 @@ BT_DATA_COLUMNS = ["pair", "profitperc", "open_time", "close_time", "index", "du
"open_rate", "close_rate", "open_at_end", "sell_reason"]
def load_backtest_data(filename) -> pd.DataFrame:
def load_backtest_data(filename: Union[Path, str]) -> pd.DataFrame:
"""
Load backtest data file.
:param filename: pathlib.Path object, or string pointing to the file.
@@ -151,7 +151,8 @@ def extract_trades_of_period(dataframe: pd.DataFrame, trades: pd.DataFrame) -> p
return trades
def combine_tickers_with_mean(tickers: Dict[str, pd.DataFrame], column: str = "close"):
def combine_tickers_with_mean(tickers: Dict[str, pd.DataFrame],
column: str = "close") -> pd.DataFrame:
"""
Combine multiple dataframes "column"
:param tickers: Dict of Dataframes, dict key should be pair.

12
freqtrade/data/history.py
View File

@@ -86,7 +86,7 @@ def load_tickerdata_file(datadir: Path, pair: str, timeframe: str,
def store_tickerdata_file(datadir: Path, pair: str,
timeframe: str, data: list, is_zip: bool = False):
timeframe: str, data: list, is_zip: bool = False) -> None:
"""
Stores tickerdata to file
"""
@@ -109,7 +109,7 @@ def load_trades_file(datadir: Path, pair: str,
def store_trades_file(datadir: Path, pair: str,
data: list, is_zip: bool = True):
data: list, is_zip: bool = True) -> None:
"""
Stores tickerdata to file
"""
@@ -117,7 +117,7 @@ def store_trades_file(datadir: Path, pair: str,
misc.file_dump_json(filename, data, is_zip=is_zip)
def _validate_pairdata(pair, pairdata, timerange: TimeRange):
def _validate_pairdata(pair: str, pairdata: List[Dict], timerange: TimeRange) -> None:
if timerange.starttype == 'date' and pairdata[0][0] > timerange.startts * 1000:
logger.warning('Missing data at start for pair %s, data starts at %s',
pair, arrow.get(pairdata[0][0] // 1000).strftime('%Y-%m-%d %H:%M:%S'))
@@ -331,7 +331,7 @@ def _download_pair_history(datadir: Path,
def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes: List[str],
datadir: Path, timerange: Optional[TimeRange] = None,
erase=False) -> List[str]:
erase: bool = False) -> List[str]:
"""
Refresh stored ohlcv data for backtesting and hyperopt operations.
Used by freqtrade download-data subcommand.
@@ -401,7 +401,7 @@ def _download_trades_history(datadir: Path,
def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: Path,
timerange: TimeRange, erase=False) -> List[str]:
timerange: TimeRange, erase: bool = False) -> List[str]:
"""
Refresh stored trades data for backtesting and hyperopt operations.
Used by freqtrade download-data subcommand.
@@ -428,7 +428,7 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir:
def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str],
datadir: Path, timerange: TimeRange, erase=False) -> None:
datadir: Path, timerange: TimeRange, erase: bool = False) -> None:
"""
Convert stored trades data to ohlcv data
"""

4
freqtrade/edge/edge_positioning.py
View File

@@ -1,7 +1,7 @@
# pragma pylint: disable=W0603
""" Edge positioning package """
import logging
from typing import Any, Dict, NamedTuple
from typing import Any, Dict, List, NamedTuple
import arrow
import numpy as np
@@ -181,7 +181,7 @@ class Edge:
'strategy stoploss is returned instead.')
return self.strategy.stoploss
def adjust(self, pairs) -> list:
def adjust(self, pairs: List[str]) -> list:
"""
Filters out and sorts "pairs" according to Edge calculated pairs
"""

18
freqtrade/exchange/binance.py
View File

@@ -32,13 +32,23 @@ class Binance(Exchange):
return super().get_order_book(pair, limit)
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop_loss_limit' and stop_loss > float(order['info']['stopPrice'])
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
"""
creates a stoploss limit order.
this stoploss-limit is binance-specific.
It may work with a limited number of other exchanges, but this has not been tested yet.
"""
# Limit price threshold: As limit price should always be below stop-price
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
rate = stop_price * limit_price_pct
ordertype = "stop_loss_limit"
stop_price = self.price_to_precision(pair, stop_price)
@@ -61,8 +71,8 @@ class Binance(Exchange):
rate = self.price_to_precision(pair, rate)
order = self._api.create_order(pair, ordertype, 'sell',
amount, rate, params)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
amount=amount, price=stop_price, params=params)
logger.info('stoploss limit order added for %s. '
'stop price: %s. limit: %s', pair, stop_price, rate)
return order

70
freqtrade/exchange/exchange.py
View File

@@ -24,6 +24,10 @@ from freqtrade.exceptions import (DependencyException, InvalidOrderException,
from freqtrade.exchange.common import BAD_EXCHANGES, retrier, retrier_async
from freqtrade.misc import deep_merge_dicts
CcxtModuleType = Any
logger = logging.getLogger(__name__)
@@ -51,7 +55,7 @@ class Exchange:
}
_ft_has: Dict = {}
def __init__(self, config: dict, validate: bool = True) -> None:
def __init__(self, config: Dict[str, Any], validate: bool = True) -> None:
"""
Initializes this module with the given config,
it does basic validation whether the specified exchange and pairs are valid.
@@ -135,7 +139,7 @@ class Exchange:
if self._api_async and inspect.iscoroutinefunction(self._api_async.close):
asyncio.get_event_loop().run_until_complete(self._api_async.close())
def _init_ccxt(self, exchange_config: dict, ccxt_module=ccxt,
def _init_ccxt(self, exchange_config: Dict[str, Any], ccxt_module: CcxtModuleType = ccxt,
ccxt_kwargs: dict = None) -> ccxt.Exchange:
"""
Initialize ccxt with given config and return valid
@@ -224,13 +228,13 @@ class Exchange:
markets = self.markets
return sorted(set([x['quote'] for _, x in markets.items()]))
def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame:
def klines(self, pair_interval: Tuple[str, str], copy: bool = True) -> DataFrame:
if pair_interval in self._klines:
return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
else:
return DataFrame()
def set_sandbox(self, api, exchange_config: dict, name: str):
def set_sandbox(self, api: ccxt.Exchange, exchange_config: dict, name: str) -> None:
if exchange_config.get('sandbox'):
if api.urls.get('test'):
api.urls['api'] = api.urls['test']
@@ -240,7 +244,7 @@ class Exchange:
"Please check your config.json")
raise OperationalException(f'Exchange {name} does not provide a sandbox api')
def _load_async_markets(self, reload=False) -> None:
def _load_async_markets(self, reload: bool = False) -> None:
try:
if self._api_async:
asyncio.get_event_loop().run_until_complete(
@@ -273,7 +277,7 @@ class Exchange:
except ccxt.BaseError:
logger.exception("Could not reload markets.")
def validate_stakecurrency(self, stake_currency) -> None:
def validate_stakecurrency(self, stake_currency: str) -> None:
"""
Checks stake-currency against available currencies on the exchange.
:param stake_currency: Stake-currency to validate
@@ -282,8 +286,8 @@ class Exchange:
quote_currencies = self.get_quote_currencies()
if stake_currency not in quote_currencies:
raise OperationalException(
f"{stake_currency} is not available as stake on {self.name}. "
f"Available currencies are: {', '.join(quote_currencies)}")
f"{stake_currency} is not available as stake on {self.name}. "
f"Available currencies are: {', '.join(quote_currencies)}")
def validate_pairs(self, pairs: List[str]) -> None:
"""
@@ -319,7 +323,7 @@ class Exchange:
f"Please check if you are impacted by this restriction "
f"on the exchange and eventually remove {pair} from your whitelist.")
def get_valid_pair_combination(self, curr_1, curr_2) -> str:
def get_valid_pair_combination(self, curr_1: str, curr_2: str) -> str:
"""
Get valid pair combination of curr_1 and curr_2 by trying both combinations.
"""
@@ -373,7 +377,7 @@ class Exchange:
raise OperationalException(
f'Time in force policies are not supported for {self.name} yet.')
def validate_required_startup_candles(self, startup_candles) -> None:
def validate_required_startup_candles(self, startup_candles: int) -> None:
"""
Checks if required startup_candles is more than ohlcv_candle_limit.
Requires a grace-period of 5 candles - so a startup-period up to 494 is allowed by default.
@@ -392,7 +396,7 @@ class Exchange:
"""
return endpoint in self._api.has and self._api.has[endpoint]
def amount_to_precision(self, pair, amount: float) -> float:
def amount_to_precision(self, pair: str, amount: float) -> float:
'''
Returns the amount to buy or sell to a precision the Exchange accepts
Reimplementation of ccxt internal methods - ensuring we can test the result is correct
@@ -406,7 +410,7 @@ class Exchange:
return amount
def price_to_precision(self, pair, price: float) -> float:
def price_to_precision(self, pair: str, price: float) -> float:
'''
Returns the price rounded up to the precision the Exchange accepts.
Partial Reimplementation of ccxt internal method decimal_to_precision(),
@@ -460,7 +464,7 @@ class Exchange:
"status": "closed",
"filled": closed_order["amount"],
"remaining": 0
})
})
if closed_order["type"] in ["stop_loss_limit"]:
closed_order["info"].update({"stopPrice": closed_order["price"]})
self._dry_run_open_orders[closed_order["id"]] = closed_order
@@ -494,7 +498,7 @@ class Exchange:
raise OperationalException(e) from e
def buy(self, pair: str, ordertype: str, amount: float,
rate: float, time_in_force) -> Dict:
rate: float, time_in_force: str) -> Dict:
if self._config['dry_run']:
dry_order = self.dry_run_order(pair, ordertype, "buy", amount, rate)
@@ -507,7 +511,7 @@ class Exchange:
return self.create_order(pair, ordertype, 'buy', amount, rate, params)
def sell(self, pair: str, ordertype: str, amount: float,
rate: float, time_in_force='gtc') -> Dict:
rate: float, time_in_force: str = 'gtc') -> Dict:
if self._config['dry_run']:
dry_order = self.dry_run_order(pair, ordertype, "sell", amount, rate)
@@ -519,9 +523,17 @@ class Exchange:
return self.create_order(pair, ordertype, 'sell', amount, rate, params)
def stoploss_limit(self, pair: str, amount: float, stop_price: float, rate: float) -> Dict:
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
creates a stoploss limit order.
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
raise OperationalException(f"stoploss is not implemented for {self.name}.")
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
"""
creates a stoploss order.
The precise ordertype is determined by the order_types dict or exchange default.
Since ccxt does not unify stoploss-limit orders yet, this needs to be implemented in each
exchange's subclass.
The exception below should never raise, since we disallow
@@ -529,7 +541,7 @@ class Exchange:
Note: Changes to this interface need to be applied to all sub-classes too.
"""
raise OperationalException(f"stoploss_limit is not implemented for {self.name}.")
raise OperationalException(f"stoploss is not implemented for {self.name}.")
@retrier
def get_balance(self, currency: str) -> float:
@@ -728,10 +740,11 @@ class Exchange:
f'Exchange {self._api.name} does not support fetching historical candlestick data.'
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(f'Could not load ticker history due to {e.__class__.__name__}. '
f'Message: {e}') from e
raise TemporaryError(f'Could not load ticker history for pair {pair} due to '
f'{e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(f'Could not fetch ticker data. Msg: {e}') from e
raise OperationalException(f'Could not fetch ticker data for pair {pair}. '
f'Msg: {e}') from e
@retrier_async
async def _async_fetch_trades(self, pair: str,
@@ -976,8 +989,8 @@ class Exchange:
raise OperationalException(e) from e
@retrier
def get_fee(self, symbol, type='', side='', amount=1,
price=1, taker_or_maker='maker') -> float:
def get_fee(self, symbol: str, type: str = '', side: str = '', amount: float = 1,
price: float = 1, taker_or_maker: str = 'maker') -> float:
try:
# validate that markets are loaded before trying to get fee
if self._api.markets is None or len(self._api.markets) == 0:
@@ -1000,7 +1013,7 @@ def get_exchange_bad_reason(exchange_name: str) -> str:
return BAD_EXCHANGES.get(exchange_name, "")
def is_exchange_known_ccxt(exchange_name: str, ccxt_module=None) -> bool:
def is_exchange_known_ccxt(exchange_name: str, ccxt_module: CcxtModuleType = None) -> bool:
return exchange_name in ccxt_exchanges(ccxt_module)
@@ -1008,14 +1021,14 @@ def is_exchange_officially_supported(exchange_name: str) -> bool:
return exchange_name in ['bittrex', 'binance']
def ccxt_exchanges(ccxt_module=None) -> List[str]:
def ccxt_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
"""
Return the list of all exchanges known to ccxt
"""
return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges
def available_exchanges(ccxt_module=None) -> List[str]:
def available_exchanges(ccxt_module: CcxtModuleType = None) -> List[str]:
"""
Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list
"""
@@ -1075,7 +1088,8 @@ def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
def symbol_is_pair(market_symbol: str, base_currency: str = None, quote_currency: str = None):
def symbol_is_pair(market_symbol: str, base_currency: str = None,
quote_currency: str = None) -> bool:
"""
Check if the market symbol is a pair, i.e. that its symbol consists of the base currency and the
quote currency separated by '/' character. If base_currency and/or quote_currency is passed,
@@ -1088,7 +1102,7 @@ def symbol_is_pair(market_symbol: str, base_currency: str = None, quote_currency
(symbol_parts[1] == quote_currency if quote_currency else len(symbol_parts[1]) > 0))
def market_is_active(market):
def market_is_active(market: Dict) -> bool:
"""
Return True if the market is active.
"""

52
freqtrade/exchange/kraken.py
View File

@@ -4,7 +4,8 @@ from typing import Dict
import ccxt
from freqtrade.exceptions import OperationalException, TemporaryError
from freqtrade.exceptions import (DependencyException, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
from freqtrade.exchange.exchange import retrier
@@ -15,6 +16,7 @@ class Kraken(Exchange):
_params: Dict = {"trading_agreement": "agree"}
_ft_has: Dict = {
"stoploss_on_exchange": True,
"trades_pagination": "id",
"trades_pagination_arg": "since",
}
@@ -48,3 +50,51 @@ class Kraken(Exchange):
f'Could not get balance due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
def stoploss_adjust(self, stop_loss: float, order: Dict) -> bool:
"""
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop-loss' and stop_loss > float(order['price'])
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
"""
Creates a stoploss market order.
Stoploss market orders is the only stoploss type supported by kraken.
"""
ordertype = "stop-loss"
stop_price = self.price_to_precision(pair, stop_price)
if self._config['dry_run']:
dry_order = self.dry_run_order(
pair, ordertype, "sell", amount, stop_price)
return dry_order
try:
params = self._params.copy()
amount = self.amount_to_precision(pair, amount)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',
amount=amount, price=stop_price, params=params)
logger.info('stoploss order added for %s. '
'stop price: %s.', pair, stop_price)
return order
except ccxt.InsufficientFunds as e:
raise DependencyException(
f'Insufficient funds to create {ordertype} sell order on market {pair}.'
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except ccxt.InvalidOrder as e:
raise InvalidOrderException(
f'Could not create {ordertype} sell order on market {pair}. '
f'Tried to create stoploss with amount {amount} at stoploss {stop_price}. '
f'Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not place sell order due to {e.__class__.__name__}. Message: {e}') from e
except ccxt.BaseError as e:
raise OperationalException(e) from e

75
freqtrade/freqtradebot.py
View File

@@ -265,7 +265,7 @@ class FreqtradeBot:
return used_rate
def get_trade_stake_amount(self, pair) -> float:
def get_trade_stake_amount(self, pair: str) -> float:
"""
Calculate stake amount for the trade
:return: float: Stake amount
@@ -427,17 +427,24 @@ class FreqtradeBot:
Checks depth of market before executing a buy
"""
conf_bids_to_ask_delta = conf.get('bids_to_ask_delta', 0)
logger.info('checking depth of market for %s', pair)
logger.info(f"Checking depth of market for {pair} ...")
order_book = self.exchange.get_order_book(pair, 1000)
order_book_data_frame = order_book_to_dataframe(order_book['bids'], order_book['asks'])
order_book_bids = order_book_data_frame['b_size'].sum()
order_book_asks = order_book_data_frame['a_size'].sum()
bids_ask_delta = order_book_bids / order_book_asks
logger.info('bids: %s, asks: %s, delta: %s', order_book_bids,
order_book_asks, bids_ask_delta)
logger.info(
f"Bids: {order_book_bids}, Asks: {order_book_asks}, Delta: {bids_ask_delta}, "
f"Bid Price: {order_book['bids'][0][0]}, Ask Price: {order_book['asks'][0][0]}, "
f"Immediate Bid Quantity: {order_book['bids'][0][1]}, "
f"Immediate Ask Quantity: {order_book['asks'][0][1]}."
)
if bids_ask_delta >= conf_bids_to_ask_delta:
logger.info(f"Bids to asks delta for {pair} DOES satisfy condition.")
return True
return False
else:
logger.info(f"Bids to asks delta for {pair} does not satisfy condition.")
return False
def execute_buy(self, pair: str, stake_amount: float, price: Optional[float] = None) -> bool:
"""
@@ -532,7 +539,7 @@ class FreqtradeBot:
return True
def _notify_buy(self, trade: Trade, order_type: str):
def _notify_buy(self, trade: Trade, order_type: str) -> None:
"""
Sends rpc notification when a buy occured.
"""
@@ -620,7 +627,7 @@ class FreqtradeBot:
self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
if config_ask_strategy.get('use_order_book', False):
logger.info('Using order book for selling...')
logger.debug(f'Using order book for selling {trade.pair}...')
# logger.debug('Order book %s',orderBook)
order_book_min = config_ask_strategy.get('order_book_min', 1)
order_book_max = config_ask_strategy.get('order_book_max', 1)
@@ -629,7 +636,7 @@ class FreqtradeBot:
for i in range(order_book_min, order_book_max + 1):
order_book_rate = order_book['asks'][i - 1][0]
logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
logger.debug(' order book asks top %s: %0.8f', i, order_book_rate)
sell_rate = order_book_rate
if self._check_and_execute_sell(trade, sell_rate, buy, sell):
@@ -651,13 +658,10 @@ class FreqtradeBot:
Force-sells the pair (using EmergencySell reason) in case of Problems creating the order.
:return: True if the order succeeded, and False in case of problems.
"""
# Limit price threshold: As limit price should always be below stop-price
LIMIT_PRICE_PCT = self.strategy.order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
try:
stoploss_order = self.exchange.stoploss_limit(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
rate=rate * LIMIT_PRICE_PCT)
stoploss_order = self.exchange.stoploss(pair=trade.pair, amount=trade.amount,
stop_price=stop_price,
order_types=self.strategy.order_types)
trade.stoploss_order_id = str(stoploss_order['id'])
return True
except InvalidOrderException as e:
@@ -689,8 +693,24 @@ class FreqtradeBot:
except InvalidOrderException as exception:
logger.warning('Unable to fetch stoploss order: %s', exception)
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] == 'closed':
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
trade.update(stoploss_order)
# 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, "stoploss")
return True
if trade.open_order_id or not trade.is_open:
# Trade has an open Buy or Sell order, Stoploss-handling can't happen in this case
# as the Amount on the exchange is tied up in another trade.
# The trade can be closed already (sell-order fill confirmation came in this iteration)
return False
# If buy order is fulfilled but there is no stoploss, we add a stoploss on exchange
if (not trade.open_order_id and not stoploss_order):
if (not stoploss_order):
stoploss = self.edge.stoploss(pair=trade.pair) if self.edge else self.strategy.stoploss
@@ -709,16 +729,6 @@ class FreqtradeBot:
trade.stoploss_order_id = None
logger.warning('Stoploss order was cancelled, but unable to recreate one.')
# We check if stoploss order is fulfilled
if stoploss_order and stoploss_order['status'] == 'closed':
trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
trade.update(stoploss_order)
# 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, "stoploss")
return True
# Finally we check if stoploss on exchange should be moved up because of trailing.
if stoploss_order and self.config.get('trailing_stop', False):
# if trailing stoploss is enabled we check if stoploss value has changed
@@ -728,7 +738,7 @@ class FreqtradeBot:
return False
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order):
def handle_trailing_stoploss_on_exchange(self, trade: Trade, order: dict) -> None:
"""
Check to see if stoploss on exchange should be updated
in case of trailing stoploss on exchange
@@ -736,8 +746,7 @@ class FreqtradeBot:
:param order: Current on exchange stoploss order
:return: None
"""
if trade.stop_loss > float(order['info']['stopPrice']):
if self.exchange.stoploss_adjust(trade.stop_loss, order):
# we check if the update is neccesary
update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat:
@@ -751,10 +760,8 @@ class FreqtradeBot:
f"for pair {trade.pair}")
# Create new stoploss order
if self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
return False
else:
if not self.create_stoploss_order(trade=trade, stop_price=trade.stop_loss,
rate=trade.stop_loss):
logger.warning(f"Could not create trailing stoploss order "
f"for pair {trade.pair}.")
@@ -983,7 +990,7 @@ class FreqtradeBot:
self._notify_sell(trade, order_type)
def _notify_sell(self, trade: Trade, order_type: str):
def _notify_sell(self, trade: Trade, order_type: str) -> None:
"""
Sends rpc notification when a sell occured.
"""
@@ -1024,7 +1031,7 @@ class FreqtradeBot:
# Common update trade state methods
#
def update_trade_state(self, trade, action_order: dict = None):
def update_trade_state(self, trade: Trade, action_order: dict = None) -> None:
"""
Checks trades with open orders and updates the amount if necessary
"""

9
freqtrade/misc.py
View File

@@ -6,6 +6,7 @@ import logging
import re
from datetime import datetime
from pathlib import Path
from typing import Any
from typing.io import IO
import numpy as np
@@ -40,7 +41,7 @@ def datesarray_to_datetimearray(dates: np.ndarray) -> np.ndarray:
return dates.dt.to_pydatetime()
def file_dump_json(filename: Path, data, is_zip=False) -> None:
def file_dump_json(filename: Path, data: Any, is_zip: bool = False) -> None:
"""
Dump JSON data into a file
:param filename: file to create
@@ -61,7 +62,7 @@ def file_dump_json(filename: Path, data, is_zip=False) -> None:
logger.debug(f'done json to "{filename}"')
def json_load(datafile: IO):
def json_load(datafile: IO) -> Any:
"""
load data with rapidjson
Use this to have a consistent experience,
@@ -125,11 +126,11 @@ def round_dict(d, n):
return {k: (round(v, n) if isinstance(v, float) else v) for k, v in d.items()}
def plural(num, singular: str, plural: str = None) -> str:
def plural(num: float, singular: str, plural: str = None) -> str:
return singular if (num == 1 or num == -1) else plural or singular + 's'
def render_template(templatefile: str, arguments: dict = {}):
def render_template(templatefile: str, arguments: dict = {}) -> str:
from jinja2 import Environment, PackageLoader, select_autoescape

29
freqtrade/optimize/backtesting.py
View File

@@ -9,6 +9,7 @@ from datetime import datetime, timedelta
from pathlib import Path
from typing import Any, Dict, List, NamedTuple, Optional
import arrow
from pandas import DataFrame
from freqtrade.configuration import (TimeRange, remove_credentials,
@@ -24,7 +25,7 @@ from freqtrade.optimize.optimize_reports import (
from freqtrade.persistence import Trade
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.state import RunMode
from freqtrade.strategy.interface import IStrategy, SellType
from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType
logger = logging.getLogger(__name__)
@@ -148,7 +149,7 @@ class Backtesting:
logger.info(f'Dumping backtest results to {recordfilename}')
file_dump_json(recordfilename, records)
def _get_ticker_list(self, processed) -> Dict[str, DataFrame]:
def _get_ticker_list(self, processed: Dict) -> Dict[str, DataFrame]:
"""
Helper function to convert a processed tickerlist into a list for performance reasons.
@@ -175,7 +176,8 @@ class Backtesting:
ticker[pair] = [x for x in ticker_data.itertuples()]
return ticker
def _get_close_rate(self, sell_row, trade: Trade, sell, trade_dur) -> float:
def _get_close_rate(self, sell_row, trade: Trade, sell: SellCheckTuple,
trade_dur: int) -> float:
"""
Get close rate for backtesting result
"""
@@ -280,7 +282,7 @@ class Backtesting:
return None
def backtest(self, processed: Dict, stake_amount: float,
start_date, end_date,
start_date: arrow.Arrow, end_date: arrow.Arrow,
max_open_trades: int = 0, position_stacking: bool = False) -> DataFrame:
"""
Implement backtesting functionality
@@ -404,12 +406,12 @@ class Backtesting:
)
# Execute backtest and print results
all_results[self.strategy.get_strategy_name()] = self.backtest(
processed=preprocessed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
position_stacking=position_stacking,
processed=preprocessed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
position_stacking=position_stacking,
)
for strategy, results in all_results.items():
@@ -426,7 +428,10 @@ class Backtesting:
results=results))
print(' SELL REASON STATS '.center(133, '='))
print(generate_text_table_sell_reason(data, results))
print(generate_text_table_sell_reason(data,
stake_currency=self.config['stake_currency'],
max_open_trades=self.config['max_open_trades'],
results=results))
print(' LEFT OPEN TRADES REPORT '.center(133, '='))
print(generate_text_table(data,
@@ -436,7 +441,7 @@ class Backtesting:
print()
if len(all_results) > 1:
# Print Strategy summary table
print(' Strategy Summary '.center(133, '='))
print(' STRATEGY SUMMARY '.center(133, '='))
print(generate_text_table_strategy(self.config['stake_currency'],
self.config['max_open_trades'],
all_results=all_results))

47
freqtrade/optimize/hyperopt.py
View File

@@ -59,6 +59,7 @@ class Hyperopt:
hyperopt = Hyperopt(config)
hyperopt.start()
"""
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
@@ -90,13 +91,13 @@ class Hyperopt:
# Populate functions here (hasattr is slow so should not be run during "regular" operations)
if hasattr(self.custom_hyperopt, 'populate_indicators'):
self.backtesting.strategy.advise_indicators = \
self.custom_hyperopt.populate_indicators # type: ignore
self.custom_hyperopt.populate_indicators # type: ignore
if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
self.backtesting.strategy.advise_buy = \
self.custom_hyperopt.populate_buy_trend # type: ignore
self.custom_hyperopt.populate_buy_trend # type: ignore
if hasattr(self.custom_hyperopt, 'populate_sell_trend'):
self.backtesting.strategy.advise_sell = \
self.custom_hyperopt.populate_sell_trend # type: ignore
self.custom_hyperopt.populate_sell_trend # type: ignore
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
@@ -117,11 +118,11 @@ class Hyperopt:
self.print_json = self.config.get('print_json', False)
@staticmethod
def get_lock_filename(config) -> str:
def get_lock_filename(config: Dict[str, Any]) -> str:
return str(config['user_data_dir'] / 'hyperopt.lock')
def clean_hyperopt(self):
def clean_hyperopt(self) -> None:
"""
Remove hyperopt pickle files to restart hyperopt.
"""
@@ -158,7 +159,7 @@ class Hyperopt:
f"saved to '{self.trials_file}'.")
@staticmethod
def _read_trials(trials_file) -> List:
def _read_trials(trials_file: Path) -> List:
"""
Read hyperopt trials file
"""
@@ -189,7 +190,7 @@ class Hyperopt:
return result
@staticmethod
def print_epoch_details(results, total_epochs, print_json: bool,
def print_epoch_details(results, total_epochs: int, print_json: bool,
no_header: bool = False, header_str: str = None) -> None:
"""
Display details of the hyperopt result
@@ -218,7 +219,7 @@ class Hyperopt:
Hyperopt._params_pretty_print(params, 'trailing', "Trailing stop:")
@staticmethod
def _params_update_for_json(result_dict, params, space: str):
def _params_update_for_json(result_dict, params, space: str) -> None:
if space in params:
space_params = Hyperopt._space_params(params, space)
if space in ['buy', 'sell']:
@@ -235,7 +236,7 @@ class Hyperopt:
result_dict.update(space_params)
@staticmethod
def _params_pretty_print(params, space: str, header: str):
def _params_pretty_print(params, space: str, header: str) -> None:
if space in params:
space_params = Hyperopt._space_params(params, space, 5)
if space == 'stoploss':
@@ -251,7 +252,7 @@ class Hyperopt:
return round_dict(d, r) if r else d
@staticmethod
def is_best_loss(results, current_best_loss) -> bool:
def is_best_loss(results, current_best_loss: float) -> bool:
return results['loss'] < current_best_loss
def print_results(self, results) -> None:
@@ -345,15 +346,15 @@ class Hyperopt:
if self.has_space('roi'):
self.backtesting.strategy.minimal_roi = \
self.custom_hyperopt.generate_roi_table(params_dict)
self.custom_hyperopt.generate_roi_table(params_dict)
if self.has_space('buy'):
self.backtesting.strategy.advise_buy = \
self.custom_hyperopt.buy_strategy_generator(params_dict)
self.custom_hyperopt.buy_strategy_generator(params_dict)
if self.has_space('sell'):
self.backtesting.strategy.advise_sell = \
self.custom_hyperopt.sell_strategy_generator(params_dict)
self.custom_hyperopt.sell_strategy_generator(params_dict)
if self.has_space('stoploss'):
self.backtesting.strategy.stoploss = params_dict['stoploss']
@@ -372,12 +373,12 @@ class Hyperopt:
min_date, max_date = get_timerange(processed)
backtesting_results = self.backtesting.backtest(
processed=processed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking,
processed=processed,
stake_amount=self.config['stake_amount'],
start_date=min_date,
end_date=max_date,
max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking,
)
return self._get_results_dict(backtesting_results, min_date, max_date,
params_dict, params_details)
@@ -438,7 +439,7 @@ class Hyperopt:
random_state=self.random_state,
)
def fix_optimizer_models_list(self):
def fix_optimizer_models_list(self) -> None:
"""
WORKAROUND: Since skopt is not actively supported, this resolves problems with skopt
memory usage, see also: https://github.com/scikit-optimize/scikit-optimize/pull/746
@@ -460,7 +461,7 @@ class Hyperopt:
wrap_non_picklable_objects(self.generate_optimizer))(v, i) for v in asked)
@staticmethod
def load_previous_results(trials_file) -> List:
def load_previous_results(trials_file: Path) -> List:
"""
Load data for epochs from the file if we have one
"""
@@ -469,8 +470,8 @@ class Hyperopt:
trials = Hyperopt._read_trials(trials_file)
if trials[0].get('is_best') is None:
raise OperationalException(
"The file with Hyperopt results is incompatible with this version "
"of Freqtrade and cannot be loaded.")
"The file with Hyperopt results is incompatible with this version "
"of Freqtrade and cannot be loaded.")
logger.info(f"Loaded {len(trials)} previous evaluations from disk.")
return trials

9
freqtrade/optimize/hyperopt_loss_sharpe.py
View File

@@ -28,18 +28,19 @@ class SharpeHyperOptLoss(IHyperOptLoss):
Uses Sharpe Ratio calculation.
"""
total_profit = results.profit_percent
total_profit = results["profit_percent"]
days_period = (max_date - min_date).days
# adding slippage of 0.1% per trade
total_profit = total_profit - 0.0005
expected_yearly_return = total_profit.sum() / days_period
expected_returns_mean = total_profit.sum() / days_period
up_stdev = np.std(total_profit)
if (np.std(total_profit) != 0.):
sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365)
sharp_ratio = expected_returns_mean / up_stdev * np.sqrt(365)
else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
sharp_ratio = -20.
# print(expected_yearly_return, np.std(total_profit), sharp_ratio)
# print(expected_returns_mean, up_stdev, sharp_ratio)
return -sharp_ratio

61
freqtrade/optimize/hyperopt_loss_sharpe_daily.py Normal file
View File

@@ -0,0 +1,61 @@
"""
SharpeHyperOptLossDaily
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
import math
from datetime import datetime
from pandas import DataFrame, date_range
from freqtrade.optimize.hyperopt import IHyperOptLoss
class SharpeHyperOptLossDaily(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation uses the Sharpe Ratio calculation.
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime,
*args, **kwargs) -> float:
"""
Objective function, returns smaller number for more optimal results.
Uses Sharpe Ratio calculation.
"""
resample_freq = '1D'
slippage_per_trade_ratio = 0.0005
days_in_year = 365
annual_risk_free_rate = 0.0
risk_free_rate = annual_risk_free_rate / days_in_year
# apply slippage per trade to profit_percent
results.loc[:, 'profit_percent_after_slippage'] = \
results['profit_percent'] - slippage_per_trade_ratio
# create the index within the min_date and end max_date
t_index = date_range(start=min_date, end=max_date, freq=resample_freq)
sum_daily = (
results.resample(resample_freq, on='close_time').agg(
{"profit_percent_after_slippage": sum}).reindex(t_index).fillna(0)
)
total_profit = sum_daily["profit_percent_after_slippage"] - risk_free_rate
expected_returns_mean = total_profit.mean()
up_stdev = total_profit.std()
if (up_stdev != 0.):
sharp_ratio = expected_returns_mean / up_stdev * math.sqrt(days_in_year)
else:
# Define high (negative) sharpe ratio to be clear that this is NOT optimal.
sharp_ratio = -20.
# print(t_index, sum_daily, total_profit)
# print(risk_free_rate, expected_returns_mean, up_stdev, sharp_ratio)
return -sharp_ratio

51
freqtrade/optimize/optimize_reports.py
View File

@@ -19,9 +19,17 @@ def generate_text_table(data: Dict[str, Dict], stake_currency: str, max_open_tra
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
tabular_data = []
headers = ['pair', 'buy count', 'avg profit %', 'cum profit %',
f'tot profit {stake_currency}', 'tot profit %', 'avg duration',
'profit', 'loss']
headers = [
'Pair',
'Buy Count',
'Avg Profit %',
'Cum Profit %',
f'Tot Profit {stake_currency}',
'Tot Profit %',
'Avg Duration',
'Wins',
'Losses'
]
for pair in data:
result = results[results.pair == pair]
if skip_nan and result.profit_abs.isnull().all():
@@ -58,7 +66,9 @@ def generate_text_table(data: Dict[str, Dict], stake_currency: str, max_open_tra
floatfmt=floatfmt, tablefmt="pipe") # type: ignore
def generate_text_table_sell_reason(data: Dict[str, Dict], results: DataFrame) -> str:
def generate_text_table_sell_reason(
data: Dict[str, Dict], stake_currency: str, max_open_trades: int, results: DataFrame
) -> str:
"""
Generate small table outlining Backtest results
:param data: Dict of <pair: dataframe> containing data that was used during backtesting.
@@ -66,13 +76,36 @@ def generate_text_table_sell_reason(data: Dict[str, Dict], results: DataFrame) -
:return: pretty printed table with tabulate as string
"""
tabular_data = []
headers = ['Sell Reason', 'Count', 'Profit', 'Loss', 'Profit %']
headers = [
"Sell Reason",
"Sell Count",
"Wins",
"Losses",
"Avg Profit %",
"Cum Profit %",
f"Tot Profit {stake_currency}",
"Tot Profit %",
]
for reason, count in results['sell_reason'].value_counts().iteritems():
result = results.loc[results['sell_reason'] == reason]
profit = len(result[result['profit_abs'] >= 0])
loss = len(result[result['profit_abs'] < 0])
profit_mean = round(result['profit_percent'].mean() * 100.0, 2)
tabular_data.append([reason.value, count, profit, loss, profit_mean])
profit_sum = round(result["profit_percent"].sum() * 100.0, 2)
profit_tot = result['profit_abs'].sum()
profit_percent_tot = round(result['profit_percent'].sum() * 100.0 / max_open_trades, 2)
tabular_data.append(
[
reason.value,
count,
profit,
loss,
profit_mean,
profit_sum,
profit_tot,
profit_percent_tot,
]
)
return tabulate(tabular_data, headers=headers, tablefmt="pipe")
@@ -88,9 +121,9 @@ def generate_text_table_strategy(stake_currency: str, max_open_trades: str,
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
tabular_data = []
headers = ['Strategy', 'buy count', 'avg profit %', 'cum profit %',
f'tot profit {stake_currency}', 'tot profit %', 'avg duration',
'profit', 'loss']
headers = ['Strategy', 'Buy Count', 'Avg Profit %', 'Cum Profit %',
f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
'Wins', 'Losses']
for strategy, results in all_results.items():
tabular_data.append([
strategy,

5
freqtrade/pairlist/IPairList.py
View File

@@ -7,7 +7,7 @@ Provides lists as configured in config.json
import logging
from abc import ABC, abstractmethod, abstractproperty
from copy import deepcopy
from typing import Dict, List
from typing import Any, Dict, List
from freqtrade.exchange import market_is_active
@@ -16,7 +16,8 @@ logger = logging.getLogger(__name__)
class IPairList(ABC):
def __init__(self, exchange, pairlistmanager, config, pairlistconfig: dict,
def __init__(self, exchange, pairlistmanager,
config: Dict[str, Any], pairlistconfig: Dict[str, Any],
pairlist_pos: int) -> None:
"""
:param exchange: Exchange instance

6
freqtrade/pairlist/PrecisionFilter.py
View File

@@ -48,10 +48,10 @@ class PrecisionFilter(IPairList):
"""
Filters and sorts pairlists and assigns and returns them again.
"""
stoploss = None
if self._config.get('stoploss') is not None:
stoploss = self._config.get('stoploss')
if stoploss is not None:
# Precalculate sanitized stoploss value to avoid recalculation for every pair
stoploss = 1 - abs(self._config.get('stoploss'))
stoploss = 1 - abs(stoploss)
# Copy list since we're modifying this list
for p in deepcopy(pairlist):
ticker = tickers.get(p)

5
freqtrade/pairlist/PriceFilter.py
View File

@@ -1,6 +1,6 @@
import logging
from copy import deepcopy
from typing import Dict, List
from typing import Any, Dict, List
from freqtrade.pairlist.IPairList import IPairList
@@ -9,7 +9,8 @@ logger = logging.getLogger(__name__)
class PriceFilter(IPairList):
def __init__(self, exchange, pairlistmanager, config, pairlistconfig: dict,
def __init__(self, exchange, pairlistmanager,
config: Dict[str, Any], pairlistconfig: Dict[str, Any],
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)

59
freqtrade/pairlist/SpreadFilter.py Normal file
View File

@@ -0,0 +1,59 @@
import logging
from copy import deepcopy
from typing import Dict, List
from freqtrade.pairlist.IPairList import IPairList
logger = logging.getLogger(__name__)
class SpreadFilter(IPairList):
def __init__(self, exchange, pairlistmanager, config, pairlistconfig: dict,
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._max_spread_ratio = pairlistconfig.get('max_spread_ratio', 0.005)
@property
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requries tickers, an empty List is passed
as tickers argument to filter_pairlist
"""
return True
def short_desc(self) -> str:
"""
Short whitelist method description - used for startup-messages
"""
return (f"{self.name} - Filtering pairs with ask/bid diff above "
f"{self._max_spread_ratio * 100}%.")
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Filters and sorts pairlist and returns the whitelist again.
Called on each bot iteration - please use internal caching if necessary
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
# Copy list since we're modifying this list
spread = None
for p in deepcopy(pairlist):
ticker = tickers.get(p)
assert ticker is not None
if 'bid' in ticker and 'ask' in ticker:
spread = 1 - ticker['bid'] / ticker['ask']
if not ticker or spread > self._max_spread_ratio:
logger.info(f"Removed {ticker['symbol']} from whitelist, "
f"because spread {spread * 100:.3f}% >"
f"{self._max_spread_ratio * 100}%")
pairlist.remove(p)
else:
pairlist.remove(p)
return pairlist

12
freqtrade/pairlist/VolumePairList.py
View File

@@ -6,7 +6,7 @@ Provides lists as configured in config.json
"""
import logging
from datetime import datetime
from typing import Dict, List
from typing import Any, Dict, List
from freqtrade.exceptions import OperationalException
from freqtrade.pairlist.IPairList import IPairList
@@ -18,7 +18,7 @@ SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']
class VolumePairList(IPairList):
def __init__(self, exchange, pairlistmanager, config, pairlistconfig: dict,
def __init__(self, exchange, pairlistmanager, config: Dict[str, Any], pairlistconfig: dict,
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
@@ -28,6 +28,7 @@ class VolumePairList(IPairList):
'for "pairlist.config.number_assets"')
self._number_pairs = self._pairlistconfig['number_assets']
self._sort_key = self._pairlistconfig.get('sort_key', 'quoteVolume')
self._min_value = self._pairlistconfig.get('min_value', 0)
self.refresh_period = self._pairlistconfig.get('refresh_period', 1800)
if not self._exchange.exchange_has('fetchTickers'):
@@ -73,11 +74,13 @@ class VolumePairList(IPairList):
tickers,
self._config['stake_currency'],
self._sort_key,
self._min_value
)
else:
return pairlist
def _gen_pair_whitelist(self, pairlist, tickers, base_currency: str, key: str) -> List[str]:
def _gen_pair_whitelist(self, pairlist: List[str], tickers: Dict,
base_currency: str, key: str, min_val: int) -> List[str]:
"""
Updates the whitelist with with a dynamically generated list
:param base_currency: base currency as str
@@ -96,6 +99,9 @@ class VolumePairList(IPairList):
# If other pairlist is in front, use the incomming pairlist.
filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
if min_val > 0:
filtered_tickers = list(filter(lambda t: t[key] > min_val, filtered_tickers))
sorted_tickers = sorted(filtered_tickers, reverse=True, key=lambda t: t[key])
# Validate whitelist to only have active market pairs

9
freqtrade/persistence.py
View File

@@ -64,11 +64,11 @@ def init(db_url: str, clean_open_orders: bool = False) -> None:
clean_dry_run_db()
def has_column(columns, searchname: str) -> bool:
def has_column(columns: List, searchname: str) -> bool:
return len(list(filter(lambda x: x["name"] == searchname, columns))) == 1
def get_column_def(columns, column: str, default: str) -> str:
def get_column_def(columns: List, column: str, default: str) -> str:
return default if not has_column(columns, column) else column
@@ -246,14 +246,15 @@ class Trade(_DECL_BASE):
if self.initial_stop_loss_pct else None),
}
def adjust_min_max_rates(self, current_price: float):
def adjust_min_max_rates(self, current_price: float) -> None:
"""
Adjust the max_rate and min_rate.
"""
self.max_rate = max(current_price, self.max_rate or self.open_rate)
self.min_rate = min(current_price, self.min_rate or self.open_rate)
def adjust_stop_loss(self, current_price: float, stoploss: float, initial: bool = False):
def adjust_stop_loss(self, current_price: float, stoploss: float,
initial: bool = False) -> None:
"""
This adjusts the stop loss to it's most recently observed setting
:param current_price: Current rate the asset is traded

2
freqtrade/plot/plotting.py
View File

@@ -370,7 +370,7 @@ def generate_profit_graph(pairs: str, tickers: Dict[str, pd.DataFrame],
return fig
def generate_plot_filename(pair, timeframe) -> str:
def generate_plot_filename(pair: str, timeframe: str) -> str:
"""
Generate filenames per pair/timeframe to be used for storing plots
"""

2
freqtrade/resolvers/iresolver.py
View File

@@ -25,7 +25,7 @@ class IResolver:
initial_search_path: Path
@classmethod
def build_search_paths(cls, config, user_subdir: Optional[str] = None,
def build_search_paths(cls, config: Dict[str, Any], user_subdir: Optional[str] = None,
extra_dir: Optional[str] = None) -> List[Path]:
abs_paths: List[Path] = [cls.initial_search_path]

13
freqtrade/resolvers/strategy_resolver.py
View File

@@ -9,10 +9,10 @@ from base64 import urlsafe_b64decode
from collections import OrderedDict
from inspect import getfullargspec
from pathlib import Path
from typing import Dict, Optional
from typing import Any, Dict, Optional
from freqtrade.constants import (REQUIRED_ORDERTIF, REQUIRED_ORDERTYPES,
USERPATH_STRATEGY)
USERPATH_STRATEGIES)
from freqtrade.exceptions import OperationalException
from freqtrade.resolvers import IResolver
from freqtrade.strategy.interface import IStrategy
@@ -26,11 +26,11 @@ class StrategyResolver(IResolver):
"""
object_type = IStrategy
object_type_str = "Strategy"
user_subdir = USERPATH_STRATEGY
user_subdir = USERPATH_STRATEGIES
initial_search_path = Path(__file__).parent.parent.joinpath('strategy').resolve()
@staticmethod
def load_strategy(config: Optional[Dict] = None) -> IStrategy:
def load_strategy(config: Dict[str, Any] = None) -> IStrategy:
"""
Load the custom class from config parameter
:param config: configuration dictionary or None
@@ -96,7 +96,8 @@ class StrategyResolver(IResolver):
return strategy
@staticmethod
def _override_attribute_helper(strategy, config, attribute: str, default):
def _override_attribute_helper(strategy, config: Dict[str, Any],
attribute: str, default: Any):
"""
Override attributes in the strategy.
Prevalence:
@@ -140,7 +141,7 @@ class StrategyResolver(IResolver):
"""
abs_paths = StrategyResolver.build_search_paths(config,
user_subdir=USERPATH_STRATEGY,
user_subdir=USERPATH_STRATEGIES,
extra_dir=extra_dir)
if ":" in strategy_name:

5
freqtrade/rpc/rpc.py
View File

@@ -139,7 +139,8 @@ class RPC:
results.append(trade_dict)
return results
def _rpc_status_table(self, stake_currency, fiat_display_currency: str) -> Tuple[List, List]:
def _rpc_status_table(self, stake_currency: str,
fiat_display_currency: str) -> Tuple[List, List]:
trades = Trade.get_open_trades()
if not trades:
raise RPCException('no active trade')
@@ -385,7 +386,7 @@ class RPC:
return {'status': 'No more buy will occur from now. Run /reload_conf to reset.'}
def _rpc_forcesell(self, trade_id) -> Dict[str, str]:
def _rpc_forcesell(self, trade_id: str) -> Dict[str, str]:
"""
Handler for forcesell <id>.
Sells the given trade at current price

2
freqtrade/rpc/rpc_manager.py
View File

@@ -61,7 +61,7 @@ class RPCManager:
except NotImplementedError:
logger.error(f"Message type {msg['type']} not implemented by handler {mod.name}.")
def startup_messages(self, config, pairlist) -> None:
def startup_messages(self, config: Dict[str, Any], pairlist) -> None:
if config['dry_run']:
self.send_msg({
'type': RPCMessageType.WARNING_NOTIFICATION,

2
freqtrade/strategy/interface.py
View File

@@ -180,7 +180,7 @@ class IStrategy(ABC):
if pair not in self._pair_locked_until or self._pair_locked_until[pair] < until:
self._pair_locked_until[pair] = until
def unlock_pair(self, pair) -> None:
def unlock_pair(self, pair: str) -> None:
"""
Unlocks a pair previously locked using lock_pair.
Not used by freqtrade itself, but intended to be used if users lock pairs

4
freqtrade/vendor/qtpylib/indicators.py vendored
View File

@@ -288,9 +288,9 @@ def rolling_min(series, window=14, min_periods=None):
def rolling_max(series, window=14, min_periods=None):
min_periods = window if min_periods is None else min_periods
try:
return series.rolling(window=window, min_periods=min_periods).min()
return series.rolling(window=window, min_periods=min_periods).max()
except Exception as e: # noqa: F841
return pd.Series(series).rolling(window=window, min_periods=min_periods).min()
return pd.Series(series).rolling(window=window, min_periods=min_periods).max()
# ---------------------------------------------

10
freqtrade/wallets.py
View File

@@ -30,24 +30,21 @@ class Wallets:
self._last_wallet_refresh = 0
self.update()
def get_free(self, currency) -> float:
def get_free(self, currency: str) -> float:
balance = self._wallets.get(currency)
if balance and balance.free:
return balance.free
else:
return 0
def get_used(self, currency) -> float:
def get_used(self, currency: str) -> float:
balance = self._wallets.get(currency)
if balance and balance.used:
return balance.used
else:
return 0
def get_total(self, currency) -> float:
def get_total(self, currency: str) -> float:
balance = self._wallets.get(currency)
if balance and balance.total:
return balance.total
@@ -87,7 +84,6 @@ class Wallets:
self._wallets = _wallets
def _update_live(self) -> None:
balances = self._exchange.get_balances()
for currency in balances:

10
freqtrade/worker.py
View File

@@ -22,7 +22,7 @@ class Worker:
Freqtradebot worker class
"""
def __init__(self, args: Dict[str, Any], config=None) -> None:
def __init__(self, args: Dict[str, Any], config: Dict[str, Any] = None) -> None:
"""
Init all variables and objects the bot needs to work
"""
@@ -56,14 +56,6 @@ class Worker:
self._sd_notify = sdnotify.SystemdNotifier() if \
self._config.get('internals', {}).get('sd_notify', False) else None
@property
def state(self) -> State:
return self.freqtrade.state
@state.setter
def state(self, value: State) -> None:
self.freqtrade.state = value
def run(self) -> None:
state = None
while True: