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Ensure follower predictions are persistent and uniquely stored

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This commit is contained in:
robcaulk 2022-05-31 14:35:04 +02:00
parent 70adf55643
commit bac4ced382
3 changed files with 77 additions and 12 deletions
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29
freqtrade/freqai/data_drawer.py
View File

@ -26,16 +26,20 @@ class FreqaiDataDrawer:
This object remains persistent throughout live/dry, unlike FreqaiDataKitchen, which is
reinstantiated for each coin.
"""
def __init__(self, full_path: Path, pair_whitelist, follow_mode: bool = False):
def __init__(self, full_path: Path, config: dict, follow_mode: bool = False):
self.config = config
# dictionary holding all pair metadata necessary to load in from disk
self.pair_dict: Dict[str, Any] = {}
# dictionary holding all actively inferenced models in memory given a model filename
self.model_dictionary: Dict[str, Any] = {}
self.model_return_values: Dict[str, Any] = {}
self.pair_data_dict: Dict[str, Any] = {}
self.follower_dict: Dict[str, Any] = {}
self.full_path = full_path
self.follow_mode = follow_mode
if follow_mode:
self.create_follower_dict()
self.load_drawer_from_disk()
self.training_queue: Dict[str, int] = {}
# self.create_training_queue(pair_whitelist)
@ -57,6 +61,29 @@ class FreqaiDataDrawer:
with open(self.full_path / str('pair_dictionary.json'), "w") as fp:
json.dump(self.pair_dict, fp, default=self.np_encoder)
def save_follower_dict_to_dist(self):
follower_name = self.config.get('bot_name', 'follower1')
with open(self.full_path / str('follower_dictionary-' +
follower_name + '.json'), "w") as fp:
json.dump(self.follower_dict, fp, default=self.np_encoder)
def create_follower_dict(self):
follower_name = self.config.get('bot_name', 'follower1')
whitelist_pairs = self.config.get('exchange', {}).get('pair_whitelist')
exists = Path(self.full_path / str('follower_dictionary-' +
follower_name + '.json')).resolve().exists()
if exists:
logger.info('Found an existing follower dictionary')
for pair in whitelist_pairs:
self.follower_dict[pair] = {}
with open(self.full_path / str('follower_dictionary-' +
follower_name + '.json'), "w") as fp:
json.dump(self.follower_dict, fp, default=self.np_encoder)
def np_encoder(self, object):
if isinstance(object, np.generic):
return object.item()

2
freqtrade/freqai/freqai_interface.py
View File

@ -56,7 +56,7 @@ class IFreqaiModel(ABC):
self.set_full_path()
self.follow_mode = self.freqai_info.get('follow_mode', False)
self.data_drawer = FreqaiDataDrawer(Path(self.full_path),
self.config['exchange']['pair_whitelist'],
self.config,
self.follow_mode)
self.lock = threading.Lock()
self.follow_mode = self.freqai_info.get('follow_mode', False)

58
freqtrade/templates/FreqaiExampleStrategy.py
View File

@ -242,22 +242,33 @@ class FreqaiExampleStrategy(IStrategy):
if trade_candle.empty:
return None
trade_candle = trade_candle.squeeze()
pair_dict = self.model.bridge.data_drawer.pair_dict
follow_mode = self.config.get('freqai', {}).get('follow_mode', False)
if not follow_mode:
pair_dict = self.model.bridge.data_drawer.pair_dict
else:
pair_dict = self.model.bridge.data_drawer.follower_dict
entry_tag = trade.enter_tag
if 'prediction' + entry_tag not in pair_dict[pair]:
with self.model.bridge.lock:
self.model.bridge.data_drawer.pair_dict[pair][
'prediction' + entry_tag] = abs(trade_candle['prediction'])
self.model.bridge.data_drawer.save_drawer_to_disk()
pair_dict[pair]['prediction' + entry_tag] = abs(trade_candle['prediction'])
if not follow_mode:
self.model.bridge.data_drawer.save_drawer_to_disk()
else:
self.model.bridge.data_drawer.save_follower_dict_to_dist()
else:
if pair_dict[pair]['prediction' + entry_tag] > 0:
roi_price = abs(trade_candle['prediction'])
else:
with self.model.bridge.lock:
self.model.bridge.data_drawer.pair_dict[pair][
'prediction' + entry_tag] = abs(trade_candle['prediction'])
self.model.bridge.data_drawer.save_drawer_to_disk()
pair_dict[pair]['prediction' + entry_tag] = abs(trade_candle['prediction'])
if not follow_mode:
self.model.bridge.data_drawer.save_drawer_to_disk()
else:
self.model.bridge.data_drawer.save_follower_dict_to_dist()
roi_price = abs(trade_candle['prediction'])
roi_time = self.max_roi_time_long.value
@ -269,17 +280,44 @@ class FreqaiExampleStrategy(IStrategy):
else:
roi_decay += self.linear_roi_offset.value
if current_profit > roi_price:
if current_profit > roi_decay:
return 'roi_custom_win'
if current_profit < -roi_decay:
return 'roi_custom_loss'
def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float,
rate: float, time_in_force: str, exit_reason: str,
current_time, **kwargs) -> bool:
entry_tag = trade.enter_tag
follow_mode = self.config.get('freqai', {}).get('follow_mode', False)
if not follow_mode:
pair_dict = self.model.bridge.data_drawer.pair_dict
else:
pair_dict = self.model.bridge.data_drawer.follower_dict
with self.model.bridge.lock:
self.model.bridge.data_drawer.pair_dict[pair]['prediction' + entry_tag] = 0
self.model.bridge.data_drawer.save_drawer_to_disk()
pair_dict[pair]['prediction' + entry_tag] = 0
if not follow_mode:
self.model.bridge.data_drawer.save_drawer_to_disk()
else:
self.model.bridge.data_drawer.save_follower_dict_to_dist()
return True
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
time_in_force: str, current_time, entry_tag,
side: str, **kwargs) -> bool:
df, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
last_candle = df.iloc[-1].squeeze()
if side == 'long':
if last_candle['close'] > (last_candle['close'] * (1 + 0.0025)):
return False
else:
if last_candle['close'] < (last_candle['close'] * (1 - 0.0025)):
return False
return True