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Merge branch 'develop' into wohlgemuth

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This commit is contained in:
Gert Wohlgemuth 2018-06-08 12:48:15 -07:00
commit bbe744e075
33 changed files with 355 additions and 171 deletions
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1
.gitignore vendored
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@ -89,3 +89,4 @@ target/
.vscode
.pytest_cache/
.mypy_cache/

3
.travis.yml
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@ -13,7 +13,7 @@ addons:
install:
- ./install_ta-lib.sh
- export LD_LIBRARY_PATH=/usr/local/lib:$LD_LIBRARY_PATH
- pip install --upgrade flake8 coveralls pytest-random-order
- pip install --upgrade flake8 coveralls pytest-random-order mypy
- pip install -r requirements.txt
- pip install -e .
jobs:
@ -26,6 +26,7 @@ jobs:
- cp config.json.example config.json
- python freqtrade/main.py hyperopt -e 5
- script: flake8 freqtrade
- script: mypy freqtrade
after_success:
- coveralls
notifications:

12
CONTRIBUTING.md
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@ -42,4 +42,16 @@ pip3.6 install flake8 coveralls
flake8 freqtrade
```
## 3. Test if all type-hints are correct
**Install packages** (If not already installed)
``` bash
pip3.6 install mypy
```
**Run mypy**
``` bash
mypy freqtrade
```

8
docs/backtesting.md
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@ -62,6 +62,12 @@ Where `-s TestStrategy` refers to the class name within the strategy file `test_
python3 ./freqtrade/main.py backtesting --export trades
```
**Exporting trades to file specifying a custom filename**
```bash
python3 ./freqtrade/main.py backtesting --export trades --export-filename=backtest_teststrategy.json
```
**Running backtest with smaller testset**
Use the `--timerange` argument to change how much of the testset
you want to use. The last N ticks/timeframes will be used.
@ -83,6 +89,8 @@ The full timerange specification:
- Use tickframes till 2018/01/31: `--timerange=-20180131`
- Use tickframes since 2018/01/31: `--timerange=20180131-`
- Use tickframes since 2018/01/31 till 2018/03/01 : `--timerange=20180131-20180301`
- Use tickframes between POSIX timestamps 1527595200 1527618600:
`--timerange=1527595200-1527618600`
**Update testdata directory**

42
docs/bot-usage.md
View File

@ -118,21 +118,32 @@ python3 ./freqtrade/main.py -c config.json --dry-run-db
Backtesting also uses the config specified via `-c/--config`.
```
usage: freqtrade backtesting [-h] [-l] [-i INT] [--realistic-simulation]
[-r]
usage: main.py backtesting [-h] [-i TICKER_INTERVAL] [--realistic-simulation]
[--timerange TIMERANGE] [-l] [-r] [--export EXPORT]
[--export-filename EXPORTFILENAME]
optional arguments:
-h, --help show this help message and exit
-l, --live using live data
-i INT, --ticker-interval INT
specify ticker interval (default: '5m')
-i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
specify ticker interval (1m, 5m, 30m, 1h, 1d)
--realistic-simulation
uses max_open_trades from config to simulate real
world limitations
--timerange TIMERANGE
specify what timerange of data to use.
-l, --live using live data
-r, --refresh-pairs-cached
refresh the pairs files in tests/testdata with
the latest data from the exchange. Use it if you want
to run your backtesting with up-to-date data.
refresh the pairs files in tests/testdata with the
latest data from the exchange. Use it if you want to
run your backtesting with up-to-date data.
--export EXPORT export backtest results, argument are: trades Example
--export=trades
--export-filename EXPORTFILENAME
Save backtest results to this filename requires
--export to be set as well Example --export-
filename=backtest_today.json (default: backtest-
result.json
```
### How to use --refresh-pairs-cached parameter?
@ -155,14 +166,25 @@ Hyperopt uses an internal json config return by `hyperopt_optimize_conf()`
located in `freqtrade/optimize/hyperopt_conf.py`.
```
usage: freqtrade hyperopt [-h] [-e INT] [--use-mongodb]
usage: main.py hyperopt [-h] [-i TICKER_INTERVAL] [--realistic-simulation]
[--timerange TIMERANGE] [-e INT] [--use-mongodb]
[-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]]
optional arguments:
-h, --help show this help message and exit
-i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
specify ticker interval (1m, 5m, 30m, 1h, 1d)
--realistic-simulation
uses max_open_trades from config to simulate real
world limitations
--timerange TIMERANGE
specify what timerange of data to use.
-e INT, --epochs INT specify number of epochs (default: 100)
--use-mongodb parallelize evaluations with mongodb (requires mongod
in PATH)
-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...], --spaces {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]
Specify which parameters to hyperopt. Space separate
list. Default: all
```
## A parameter missing in the configuration?

15
freqtrade/__main__.py Normal file
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@ -0,0 +1,15 @@
#!/usr/bin/env python3
"""
__main__.py for Freqtrade
To launch Freqtrade as a module
> python -m freqtrade (with Python >= 3.6)
"""
import sys
from freqtrade import main
if __name__ == '__main__':
main.set_loggers()
main.main(sys.argv[1:])

4
freqtrade/analyze.py
View File

@ -12,7 +12,7 @@ from pandas import DataFrame, to_datetime
from freqtrade import constants
from freqtrade.exchange import get_ticker_history
from freqtrade.persistence import Trade
from freqtrade.strategy.resolver import StrategyResolver
from freqtrade.strategy.resolver import StrategyResolver, IStrategy
logger = logging.getLogger(__name__)
@ -37,7 +37,7 @@ class Analyze(object):
:param config: Bot configuration (use the one from Configuration())
"""
self.config = config
self.strategy = StrategyResolver(self.config).strategy
self.strategy: IStrategy = StrategyResolver(self.config).strategy
@staticmethod
def parse_ticker_dataframe(ticker: list) -> DataFrame:

38
freqtrade/arguments.py
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@ -17,9 +17,9 @@ class Arguments(object):
Arguments Class. Manage the arguments received by the cli
"""
def __init__(self, args: List[str], description: str):
def __init__(self, args: List[str], description: str) -> None:
self.args = args
self.parsed_arg = None
self.parsed_arg: Optional[argparse.Namespace] = None
self.parser = argparse.ArgumentParser(description=description)
def _load_args(self) -> None:
@ -137,6 +137,16 @@ class Arguments(object):
default=None,
dest='export',
)
parser.add_argument(
'--export-filename',
help='Save backtest results to this filename \
requires --export to be set as well\
Example --export-filename=backtest_today.json\
(default: %(default)s',
type=str,
default='backtest-result.json',
dest='exportfilename',
)
@staticmethod
def optimizer_shared_options(parser: argparse.ArgumentParser) -> None:
@ -211,7 +221,8 @@ class Arguments(object):
self.hyperopt_options(hyperopt_cmd)
@staticmethod
def parse_timerange(text: str) -> Optional[Tuple[List, int, int]]:
def parse_timerange(text: Optional[str]) -> Optional[Tuple[Tuple,
Optional[int], Optional[int]]]:
"""
Parse the value of the argument --timerange to determine what is the range desired
:param text: value from --timerange
@ -222,6 +233,9 @@ class Arguments(object):
syntax = [(r'^-(\d{8})$', (None, 'date')),
(r'^(\d{8})-$', ('date', None)),
(r'^(\d{8})-(\d{8})$', ('date', 'date')),
(r'^-(\d{10})$', (None, 'date')),
(r'^(\d{10})-$', ('date', None)),
(r'^(\d{10})-(\d{10})$', ('date', 'date')),
(r'^(-\d+)$', (None, 'line')),
(r'^(\d+)-$', ('line', None)),
(r'^(\d+)-(\d+)$', ('index', 'index'))]
@ -231,21 +245,23 @@ class Arguments(object):
if match: # Regex has matched
rvals = match.groups()
index = 0
start = None
stop = None
start: Optional[int] = None
stop: Optional[int] = None
if stype[0]:
start = rvals[index]
starts = rvals[index]
if stype[0] == 'date':
start = arrow.get(start, 'YYYYMMDD').timestamp
start = int(starts) if len(starts) == 10 \
else arrow.get(starts, 'YYYYMMDD').timestamp
else:
start = int(start)
start = int(starts)
index += 1
if stype[1]:
stop = rvals[index]
stops = rvals[index]
if stype[1] == 'date':
stop = arrow.get(stop, 'YYYYMMDD').timestamp
stop = int(stops) if len(stops) == 10 \
else arrow.get(stops, 'YYYYMMDD').timestamp
else:
stop = int(stop)
stop = int(stops)
return stype, start, stop
raise Exception('Incorrect syntax for timerange "%s"' % text)

13
freqtrade/configuration.py
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@ -5,7 +5,7 @@ This module contains the configuration class
import json
import logging
from argparse import Namespace
from typing import Dict, Any
from typing import Optional, Dict, Any
from jsonschema import Draft4Validator, validate
from jsonschema.exceptions import ValidationError, best_match
import ccxt
@ -23,7 +23,7 @@ class Configuration(object):
"""
def __init__(self, args: Namespace) -> None:
self.args = args
self.config = None
self.config: Optional[Dict[str, Any]] = None
def load_config(self) -> Dict[str, Any]:
"""
@ -145,7 +145,7 @@ class Configuration(object):
# If --datadir is used we add it to the configuration
if 'datadir' in self.args and self.args.datadir:
config.update({'datadir': self.args.datadir})
logger.info('Parameter --datadir detected: %s ...', self.args.datadir)
logger.info('Using data folder: %s ...', self.args.datadir)
# If -r/--refresh-pairs-cached is used we add it to the configuration
if 'refresh_pairs' in self.args and self.args.refresh_pairs:
@ -157,6 +157,11 @@ class Configuration(object):
config.update({'export': self.args.export})
logger.info('Parameter --export detected: %s ...', self.args.export)
# If --export-filename is used we add it to the configuration
if 'export' in config and 'exportfilename' in self.args and self.args.exportfilename:
config.update({'exportfilename': self.args.exportfilename})
logger.info('Storing backtest results to %s ...', self.args.exportfilename)
return config
def _load_hyperopt_config(self, config: Dict[str, Any]) -> Dict[str, Any]:
@ -192,7 +197,7 @@ class Configuration(object):
validate(conf, constants.CONF_SCHEMA)
return conf
except ValidationError as exception:
logger.fatal(
logger.critical(
'Invalid configuration. See config.json.example. Reason: %s',
exception
)

17
freqtrade/constants.py
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@ -24,6 +24,12 @@ TICKER_INTERVAL_MINUTES = {
'1w': 10080,
}
SUPPORTED_FIAT = [
"AUD", "BRL", "CAD", "CHF", "CLP", "CNY", "CZK", "DKK",
"EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY",
"KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN",
"RUB", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR", "USD"
]
# Required json-schema for user specified config
CONF_SCHEMA = {
@ -31,16 +37,9 @@ CONF_SCHEMA = {
'properties': {
'max_open_trades': {'type': 'integer', 'minimum': 0},
'ticker_interval': {'type': 'string', 'enum': list(TICKER_INTERVAL_MINUTES.keys())},
'stake_currency': {'type': 'string', 'enum': ['BTC', 'ETH', 'USDT']},
'stake_currency': {'type': 'string', 'enum': ['BTC', 'ETH', 'USDT', 'EUR', 'USD']},
'stake_amount': {'type': 'number', 'minimum': 0.0005},
'fiat_display_currency': {'type': 'string', 'enum': ['AUD', 'BRL', 'CAD', 'CHF',
'CLP', 'CNY', 'CZK', 'DKK',
'EUR', 'GBP', 'HKD', 'HUF',
'IDR', 'ILS', 'INR', 'JPY',
'KRW', 'MXN', 'MYR', 'NOK',
'NZD', 'PHP', 'PKR', 'PLN',
'RUB', 'SEK', 'SGD', 'THB',
'TRY', 'TWD', 'ZAR', 'USD']},
'fiat_display_currency': {'type': 'string', 'enum': SUPPORTED_FIAT},
'dry_run': {'type': 'boolean'},
'minimal_roi': {
'type': 'object',

7
freqtrade/exchange/__init__.py
View File

@ -290,10 +290,15 @@ def get_ticker_history(pair: str, tick_interval: str, since_ms: Optional[int] =
# chached data was already downloaded
till_time_ms = min(till_time_ms, arrow.utcnow().shift(minutes=-10).timestamp * 1000)
data = []
data: List[Dict[Any, Any]] = []
while not since_ms or since_ms < till_time_ms:
data_part = _API.fetch_ohlcv(pair, timeframe=tick_interval, since=since_ms)
# Because some exchange sort Tickers ASC and other DESC.
# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
# when GDAX returns a list of tickers DESC (newest first, oldest last)
data_part = sorted(data_part, key=lambda x: x[0])
if not data_part:
break

34
freqtrade/fiat_convert.py
View File

@ -5,10 +5,11 @@ e.g BTC to USD
import logging
import time
from typing import Dict
from typing import Dict, List
from coinmarketcap import Market
from requests.exceptions import RequestException
from freqtrade.constants import SUPPORTED_FIAT
logger = logging.getLogger(__name__)
@ -34,7 +35,7 @@ class CryptoFiat(object):
self.price = 0.0
# Private attributes
self._expiration = 0
self._expiration = 0.0
self.crypto_symbol = crypto_symbol.upper()
self.fiat_symbol = fiat_symbol.upper()
@ -65,15 +66,7 @@ class CryptoToFiatConverter(object):
This object is also a Singleton
"""
__instance = None
_coinmarketcap = None
# Constants
SUPPORTED_FIAT = [
"AUD", "BRL", "CAD", "CHF", "CLP", "CNY", "CZK", "DKK",
"EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY",
"KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN",
"RUB", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR", "USD"
]
_coinmarketcap: Market = None
_cryptomap: Dict = {}
@ -87,7 +80,7 @@ class CryptoToFiatConverter(object):
return CryptoToFiatConverter.__instance
def __init__(self) -> None:
self._pairs = []
self._pairs: List[CryptoFiat] = []
self._load_cryptomap()
def _load_cryptomap(self) -> None:
@ -95,8 +88,11 @@ class CryptoToFiatConverter(object):
coinlistings = self._coinmarketcap.listings()
self._cryptomap = dict(map(lambda coin: (coin["symbol"], str(coin["id"])),
coinlistings["data"]))
except (ValueError, RequestException) as e:
logger.error("Could not load FIAT Cryptocurrency map for the following problem: %s", e)
except (ValueError, RequestException) as exception:
logger.error(
"Could not load FIAT Cryptocurrency map for the following problem: %s",
exception
)
def convert_amount(self, crypto_amount: float, crypto_symbol: str, fiat_symbol: str) -> float:
"""
@ -175,7 +171,7 @@ class CryptoToFiatConverter(object):
fiat = fiat.upper()
return fiat in self.SUPPORTED_FIAT
return fiat in SUPPORTED_FIAT
def _find_price(self, crypto_symbol: str, fiat_symbol: str) -> float:
"""
@ -188,6 +184,10 @@ class CryptoToFiatConverter(object):
if not self._is_supported_fiat(fiat=fiat_symbol):
raise ValueError('The fiat {} is not supported.'.format(fiat_symbol))
# No need to convert if both crypto and fiat are the same
if crypto_symbol == fiat_symbol:
return 1.0
if crypto_symbol not in self._cryptomap:
# return 0 for unsupported stake currencies (fiat-convert should not break the bot)
logger.warning("unsupported crypto-symbol %s - returning 0.0", crypto_symbol)
@ -199,6 +199,6 @@ class CryptoToFiatConverter(object):
convert=fiat_symbol
)['data']['quotes'][fiat_symbol.upper()]['price']
)
except BaseException as ex:
logger.error("Error in _find_price: %s", ex)
except BaseException as exception:
logger.error("Error in _find_price: %s", exception)
return 0.0

13
freqtrade/freqtradebot.py
View File

@ -33,7 +33,7 @@ class FreqtradeBot(object):
This is from here the bot start its logic.
"""
def __init__(self, config: Dict[str, Any], db_url: Optional[str] = None):
def __init__(self, config: Dict[str, Any], db_url: Optional[str] = None)-> None:
"""
Init all variables and object the bot need to work
:param config: configuration dict, you can use the Configuration.get_config()
@ -51,9 +51,9 @@ class FreqtradeBot(object):
# Init objects
self.config = config
self.analyze = None
self.fiat_converter = None
self.rpc = None
self.analyze = Analyze(self.config)
self.fiat_converter = CryptoToFiatConverter()
self.rpc: RPCManager = RPCManager(self)
self.persistence = None
self.exchange = None
@ -66,9 +66,6 @@ class FreqtradeBot(object):
:return: None
"""
# Initialize all modules
self.analyze = Analyze(self.config)
self.fiat_converter = CryptoToFiatConverter()
self.rpc = RPCManager(self)
persistence.init(self.config, db_url)
exchange.init(self.config)
@ -93,7 +90,7 @@ class FreqtradeBot(object):
persistence.cleanup()
return True
def worker(self, old_state: None) -> State:
def worker(self, old_state: State = None) -> State:
"""
Trading routine that must be run at each loop
:param old_state: the previous service state from the previous call

2
freqtrade/indicator_helpers.py
View File

@ -13,7 +13,7 @@ def went_down(series: Series) -> bool:
return series < series.shift(1)
def ehlers_super_smoother(series: Series, smoothing: float = 6) -> type(Series):
def ehlers_super_smoother(series: Series, smoothing: float = 6) -> Series:
magic = pi * sqrt(2) / smoothing
a1 = exp(-magic)
coeff2 = 2 * a1 * cos(magic)

2
freqtrade/misc.py
View File

@ -83,7 +83,7 @@ def file_dump_json(filename, data, is_zip=False) -> None:
json.dump(data, fp, default=str)
def format_ms_time(date: str) -> str:
def format_ms_time(date: int) -> str:
"""
convert MS date to readable format.
: epoch-string in ms

12
freqtrade/optimize/__init__.py
View File

@ -4,8 +4,8 @@ import gzip
import json
import logging
import os
from typing import Optional, List, Dict, Tuple, Any
import arrow
from typing import Optional, List, Dict, Tuple
from freqtrade import misc, constants
from freqtrade.exchange import get_ticker_history
@ -104,8 +104,10 @@ def load_data(datadir: str,
result[pair] = pairdata
else:
logger.warning(
'No data for pair %s, use --refresh-pairs-cached to download the data',
pair
'No data for pair: "%s", Interval: %s. '
'Use --refresh-pairs-cached to download the data',
pair,
ticker_interval
)
return result
@ -142,7 +144,9 @@ def download_pairs(datadir, pairs: List[str],
def load_cached_data_for_updating(filename: str,
tick_interval: str,
timerange: Optional[Tuple[Tuple, int, int]]) -> Tuple[list, int]:
timerange: Optional[Tuple[Tuple, int, int]]) -> Tuple[
List[Any],
Optional[int]]:
"""
Load cached data and choose what part of the data should be updated
"""

31
freqtrade/optimize/backtesting.py
View File

@ -33,18 +33,6 @@ class Backtesting(object):
"""
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
self.analyze = None
self.ticker_interval = None
self.tickerdata_to_dataframe = None
self.populate_buy_trend = None
self.populate_sell_trend = None
self._init()
def _init(self) -> None:
"""
Init objects required for backtesting
:return: None
"""
self.analyze = Analyze(self.config)
self.ticker_interval = self.analyze.strategy.ticker_interval
self.tickerdata_to_dataframe = self.analyze.tickerdata_to_dataframe
@ -78,7 +66,7 @@ class Backtesting(object):
Generates and returns a text table for the given backtest data and the results dataframe
:return: pretty printed table with tabulate as str
"""
stake_currency = self.config.get('stake_currency')
stake_currency = str(self.config.get('stake_currency'))
floatfmt = ('s', 'd', '.2f', '.8f', '.1f')
tabular_data = []
@ -106,7 +94,7 @@ class Backtesting(object):
len(results[results.profit_BTC > 0]),
len(results[results.profit_BTC < 0])
])
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt)
return tabulate(tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="pipe")
def _get_sell_trade_entry(
self, pair: str, buy_row: DataFrame,
@ -166,9 +154,10 @@ class Backtesting(object):
max_open_trades = args.get('max_open_trades', 0)
realistic = args.get('realistic', False)
record = args.get('record', None)
recordfilename = args.get('recordfn', 'backtest-result.json')
records = []
trades = []
trade_count_lock = {}
trade_count_lock: Dict = {}
for pair, pair_data in processed.items():
pair_data['buy'], pair_data['sell'] = 0, 0 # cleanup from previous run
@ -208,8 +197,8 @@ class Backtesting(object):
# For now export inside backtest(), maybe change so that backtest()
# returns a tuple like: (dataframe, records, logs, etc)
if record and record.find('trades') >= 0:
logger.info('Dumping backtest results')
file_dump_json('backtest-result.json', records)
logger.info('Dumping backtest results to %s', recordfilename)
file_dump_json(recordfilename, records)
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
return DataFrame.from_records(trades, columns=labels)
@ -230,8 +219,9 @@ class Backtesting(object):
else:
logger.info('Using local backtesting data (using whitelist in given config) ...')
timerange = Arguments.parse_timerange(self.config.get('timerange'))
data = optimize.load_data(
timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
data = optimize.load_data( # type: ignore # timerange will be refactored
self.config['datadir'],
pairs=pairs,
ticker_interval=self.ticker_interval,
@ -268,7 +258,8 @@ class Backtesting(object):
'realistic': self.config.get('realistic_simulation', False),
'sell_profit_only': sell_profit_only,
'use_sell_signal': use_sell_signal,
'record': self.config.get('export')
'record': self.config.get('export'),
'recordfn': self.config.get('exportfilename'),
}
)
logger.info(

22
freqtrade/optimize/hyperopt.py
View File

@ -14,7 +14,7 @@ from argparse import Namespace
from functools import reduce
from math import exp
from operator import itemgetter
from typing import Dict, Any, Callable
from typing import Dict, Any, Callable, Optional
import numpy
import talib.abstract as ta
@ -60,7 +60,7 @@ class Hyperopt(Backtesting):
self.expected_max_profit = 3.0
# Configuration and data used by hyperopt
self.processed = None
self.processed: Optional[Dict[str, Any]] = None
# Hyperopt Trials
self.trials_file = os.path.join('user_data', 'hyperopt_trials.pickle')
@ -344,7 +344,7 @@ class Hyperopt(Backtesting):
"""
Return the space to use during Hyperopt
"""
spaces = {}
spaces: Dict = {}
if self.has_space('buy'):
spaces = {**spaces, **Hyperopt.indicator_space()}
if self.has_space('roi'):
@ -455,6 +455,7 @@ class Hyperopt(Backtesting):
if trade_count == 0 or trade_duration > self.max_accepted_trade_duration:
print('.', end='')
sys.stdout.flush()
return {
'status': STATUS_FAIL,
'loss': float('inf')
@ -479,31 +480,32 @@ class Hyperopt(Backtesting):
'result': result_explanation,
}
@staticmethod
def format_results(results: DataFrame) -> str:
def format_results(self, results: DataFrame) -> str:
"""
Return the format result in a string
"""
return ('{:6d} trades. Avg profit {: 5.2f}%. '
'Total profit {: 11.8f} BTC ({:.4f}Σ%). Avg duration {:5.1f} mins.').format(
'Total profit {: 11.8f} {} ({:.4f}Σ%). Avg duration {:5.1f} mins.').format(
len(results.index),
results.profit_percent.mean() * 100.0,
results.profit_BTC.sum(),
self.config['stake_currency'],
results.profit_percent.sum(),
results.duration.mean(),
)
def start(self) -> None:
timerange = Arguments.parse_timerange(self.config.get('timerange'))
data = load_data(
datadir=self.config.get('datadir'),
timerange = Arguments.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
data = load_data( # type: ignore # timerange will be refactored
datadir=str(self.config.get('datadir')),
pairs=self.config['exchange']['pair_whitelist'],
ticker_interval=self.ticker_interval,
timerange=timerange
)
if self.has_space('buy'):
self.analyze.populate_indicators = Hyperopt.populate_indicators
self.analyze.populate_indicators = Hyperopt.populate_indicators # type: ignore
self.processed = self.tickerdata_to_dataframe(data)
if self.config.get('mongodb'):

4
freqtrade/persistence.py
View File

@ -5,7 +5,7 @@ This module contains the class to persist trades into SQLite
import logging
from datetime import datetime
from decimal import Decimal, getcontext
from typing import Dict, Optional
from typing import Dict, Optional, Any
import arrow
from sqlalchemy import (Boolean, Column, DateTime, Float, Integer, String,
@ -21,7 +21,7 @@ from sqlalchemy import inspect
logger = logging.getLogger(__name__)
_CONF = {}
_DECL_BASE = declarative_base()
_DECL_BASE: Any = declarative_base()
def init(config: dict, engine: Optional[Engine] = None) -> None:

12
freqtrade/rpc/rpc.py
View File

@ -2,9 +2,9 @@
This module contains class to define a RPC communications
"""
import logging
from datetime import datetime, timedelta
from datetime import datetime, timedelta, date
from decimal import Decimal
from typing import Tuple, Any
from typing import Dict, Tuple, Any
import arrow
import sqlalchemy as sql
@ -117,7 +117,7 @@ class RPC(object):
self, timescale: int,
stake_currency: str, fiat_display_currency: str) -> Tuple[bool, Any]:
today = datetime.utcnow().date()
profit_days = {}
profit_days: Dict[date, Dict] = {}
if not (isinstance(timescale, int) and timescale > 0):
return True, '*Daily [n]:* `must be an integer greater than 0`'
@ -175,7 +175,7 @@ class RPC(object):
durations = []
for trade in trades:
current_rate = None
current_rate: float = 0.0
if not trade.open_rate:
continue
@ -281,7 +281,7 @@ class RPC(object):
value = fiat.convert_amount(total, 'BTC', symbol)
return False, (output, total, symbol, value)
def rpc_start(self) -> (bool, str):
def rpc_start(self) -> Tuple[bool, str]:
"""
Handler for start.
"""
@ -291,7 +291,7 @@ class RPC(object):
self.freqtrade.state = State.RUNNING
return False, '`Starting trader ...`'
def rpc_stop(self) -> (bool, str):
def rpc_stop(self) -> Tuple[bool, str]:
"""
Handler for stop.
"""

5
freqtrade/rpc/rpc_manager.py
View File

@ -1,6 +1,7 @@
"""
This module contains class to manage RPC communications (Telegram, Slack, ...)
"""
from typing import Any, List
import logging
from freqtrade.rpc.telegram import Telegram
@ -21,8 +22,8 @@ class RPCManager(object):
"""
self.freqtrade = freqtrade
self.registered_modules = []
self.telegram = None
self.registered_modules: List[str] = []
self.telegram: Any = None
self._init()
def _init(self) -> None:

4
freqtrade/rpc/telegram.py
View File

@ -18,7 +18,7 @@ from freqtrade.rpc.rpc import RPC
logger = logging.getLogger(__name__)
def authorized_only(command_handler: Callable[[Bot, Update], None]) -> Callable[..., Any]:
def authorized_only(command_handler: Callable[[Any, Bot, Update], None]) -> Callable[..., Any]:
"""
Decorator to check if the message comes from the correct chat_id
:param command_handler: Telegram CommandHandler
@ -65,7 +65,7 @@ class Telegram(RPC):
"""
super().__init__(freqtrade)
self._updater = None
self._updater: Updater = None
self._config = freqtrade.config
self._init()

8
freqtrade/strategy/interface.py
View File

@ -2,7 +2,7 @@
IStrategy interface
This module defines the interface to apply for strategies
"""
from typing import Dict
from abc import ABC, abstractmethod
from pandas import DataFrame
@ -16,9 +16,13 @@ class IStrategy(ABC):
Attributes you can use:
minimal_roi -> Dict: Minimal ROI designed for the strategy
stoploss -> float: optimal stoploss designed for the strategy
ticker_interval -> int: value of the ticker interval to use for the strategy
ticker_interval -> str: value of the ticker interval to use for the strategy
"""
minimal_roi: Dict
stoploss: float
ticker_interval: str
@abstractmethod
def populate_indicators(self, dataframe: DataFrame) -> DataFrame:
"""

7
freqtrade/strategy/resolver.py
View File

@ -36,7 +36,8 @@ class StrategyResolver(object):
# Verify the strategy is in the configuration, otherwise fallback to the default strategy
strategy_name = config.get('strategy') or constants.DEFAULT_STRATEGY
self.strategy = self._load_strategy(strategy_name, extra_dir=config.get('strategy_path'))
self.strategy: IStrategy = self._load_strategy(strategy_name,
extra_dir=config.get('strategy_path'))
# Set attributes
# Check if we need to override configuration
@ -64,7 +65,7 @@ class StrategyResolver(object):
self.strategy.stoploss = float(self.strategy.stoploss)
def _load_strategy(
self, strategy_name: str, extra_dir: Optional[str] = None) -> Optional[IStrategy]:
self, strategy_name: str, extra_dir: Optional[str] = None) -> IStrategy:
"""
Search and loads the specified strategy.
:param strategy_name: name of the module to import
@ -123,7 +124,7 @@ class StrategyResolver(object):
# Generate spec based on absolute path
spec = importlib.util.spec_from_file_location('user_data.strategies', module_path)
module = importlib.util.module_from_spec(spec)
spec.loader.exec_module(module)
spec.loader.exec_module(module) # type: ignore # importlib does not use typehints
valid_strategies_gen = (
obj for name, obj in inspect.getmembers(module, inspect.isclass)

72
freqtrade/tests/exchange/test_exchange.py
View File

@ -393,6 +393,78 @@ def test_get_ticker_history(default_conf, mocker):
get_ticker_history('EFGH/BTC', default_conf['ticker_interval'])
def test_get_ticker_history_sort(default_conf, mocker):
api_mock = MagicMock()
# GDAX use-case (real data from GDAX)
# This ticker history is ordered DESC (newest first, oldest last)
tick = [
[1527833100000, 0.07666, 0.07671, 0.07666, 0.07668, 16.65244264],
[1527832800000, 0.07662, 0.07666, 0.07662, 0.07666, 1.30051526],
[1527832500000, 0.07656, 0.07661, 0.07656, 0.07661, 12.034778840000001],
[1527832200000, 0.07658, 0.07658, 0.07655, 0.07656, 0.59780186],
[1527831900000, 0.07658, 0.07658, 0.07658, 0.07658, 1.76278136],
[1527831600000, 0.07658, 0.07658, 0.07658, 0.07658, 2.22646521],
[1527831300000, 0.07655, 0.07657, 0.07655, 0.07657, 1.1753],
[1527831000000, 0.07654, 0.07654, 0.07651, 0.07651, 0.8073060299999999],
[1527830700000, 0.07652, 0.07652, 0.07651, 0.07652, 10.04822687],
[1527830400000, 0.07649, 0.07651, 0.07649, 0.07651, 2.5734867]
]
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
mocker.patch('freqtrade.exchange._API', api_mock)
# Test the ticker history sort
ticks = get_ticker_history('ETH/BTC', default_conf['ticker_interval'])
assert ticks[0][0] == 1527830400000
assert ticks[0][1] == 0.07649
assert ticks[0][2] == 0.07651
assert ticks[0][3] == 0.07649
assert ticks[0][4] == 0.07651
assert ticks[0][5] == 2.5734867
assert ticks[9][0] == 1527833100000
assert ticks[9][1] == 0.07666
assert ticks[9][2] == 0.07671
assert ticks[9][3] == 0.07666
assert ticks[9][4] == 0.07668
assert ticks[9][5] == 16.65244264
# Bittrex use-case (real data from Bittrex)
# This ticker history is ordered ASC (oldest first, newest last)
tick = [
[1527827700000, 0.07659999, 0.0766, 0.07627, 0.07657998, 1.85216924],
[1527828000000, 0.07657995, 0.07657995, 0.0763, 0.0763, 26.04051037],
[1527828300000, 0.0763, 0.07659998, 0.0763, 0.0764, 10.36434124],
[1527828600000, 0.0764, 0.0766, 0.0764, 0.0766, 5.71044773],
[1527828900000, 0.0764, 0.07666998, 0.0764, 0.07666998, 47.48888565],
[1527829200000, 0.0765, 0.07672999, 0.0765, 0.07672999, 3.37640326],
[1527829500000, 0.0766, 0.07675, 0.0765, 0.07675, 8.36203831],
[1527829800000, 0.07675, 0.07677999, 0.07620002, 0.076695, 119.22963884],
[1527830100000, 0.076695, 0.07671, 0.07624171, 0.07671, 1.80689244],
[1527830400000, 0.07671, 0.07674399, 0.07629216, 0.07655213, 2.31452783]
]
type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
mocker.patch('freqtrade.exchange._API', api_mock)
# Test the ticker history sort
ticks = get_ticker_history('ETH/BTC', default_conf['ticker_interval'])
assert ticks[0][0] == 1527827700000
assert ticks[0][1] == 0.07659999
assert ticks[0][2] == 0.0766
assert ticks[0][3] == 0.07627
assert ticks[0][4] == 0.07657998
assert ticks[0][5] == 1.85216924
assert ticks[9][0] == 1527830400000
assert ticks[9][1] == 0.07671
assert ticks[9][2] == 0.07674399
assert ticks[9][3] == 0.07629216
assert ticks[9][4] == 0.07655213
assert ticks[9][5] == 2.31452783
def test_cancel_order_dry_run(default_conf, mocker):
default_conf['dry_run'] = True
mocker.patch.dict('freqtrade.exchange._CONF', default_conf)

48
freqtrade/tests/optimize/test_backtesting.py
View File

@ -183,7 +183,7 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Parameter --datadir detected: {} ...'.format(config['datadir']),
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
@ -220,7 +220,8 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
'--realistic-simulation',
'--refresh-pairs-cached',
'--timerange', ':100',
'--export', '/bar/foo'
'--export', '/bar/foo',
'--export-filename', 'foo_bar.json'
]
config = setup_configuration(get_args(args))
@ -231,7 +232,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Parameter --datadir detected: {} ...'.format(config['datadir']),
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
@ -261,6 +262,11 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
'Parameter --export detected: {} ...'.format(config['export']),
caplog.record_tuples
)
assert 'exportfilename' in config
assert log_has(
'Storing backtest results to {} ...'.format(config['exportfilename']),
caplog.record_tuples
)
def test_start(mocker, fee, default_conf, caplog) -> None:
@ -288,23 +294,6 @@ def test_start(mocker, fee, default_conf, caplog) -> None:
assert start_mock.call_count == 1
def test_backtesting__init__(mocker, default_conf) -> None:
"""
Test Backtesting.__init__() method
"""
init_mock = MagicMock()
mocker.patch('freqtrade.optimize.backtesting.Backtesting._init', init_mock)
backtesting = Backtesting(default_conf)
assert backtesting.config == default_conf
assert backtesting.analyze is None
assert backtesting.ticker_interval is None
assert backtesting.tickerdata_to_dataframe is None
assert backtesting.populate_buy_trend is None
assert backtesting.populate_sell_trend is None
assert init_mock.call_count == 1
def test_backtesting_init(mocker, default_conf) -> None:
"""
Test Backtesting._init() method
@ -376,16 +365,15 @@ def test_generate_text_table(default_conf, mocker):
)
result_str = (
'pair buy count avg profit % '
'total profit BTC avg duration profit loss\n'
'------- ----------- -------------- '
'------------------ -------------- -------- ------\n'
'ETH/BTC 2 15.00 '
'0.60000000 20.0 2 0\n'
'TOTAL 2 15.00 '
'0.60000000 20.0 2 0'
'| pair | buy count | avg profit % | '
'total profit BTC | avg duration | profit | loss |\n'
'|:--------|------------:|---------------:|'
'-------------------:|---------------:|---------:|-------:|\n'
'| ETH/BTC | 2 | 15.00 | '
'0.60000000 | 20.0 | 2 | 0 |\n'
'| TOTAL | 2 | 15.00 | '
'0.60000000 | 20.0 | 2 | 0 |'
)
assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str
@ -634,7 +622,7 @@ def test_backtest_start_live(default_conf, mocker, caplog):
'Parameter -l/--live detected ...',
'Using max_open_trades: 1 ...',
'Parameter --timerange detected: -100 ..',
'Parameter --datadir detected: freqtrade/tests/testdata ...',
'Using data folder: freqtrade/tests/testdata ...',
'Using stake_currency: BTC ...',
'Using stake_amount: 0.001 ...',
'Downloading data for all pairs in whitelist ...',

21
freqtrade/tests/optimize/test_hyperopt.py
View File

@ -389,10 +389,12 @@ def test_start_uses_mongotrials(mocker, init_hyperopt, default_conf) -> None:
# test buy_strategy_generator def populate_buy_trend
# test optimizer if 'ro_t1' in params
def test_format_results():
def test_format_results(init_hyperopt):
"""
Test Hyperopt.format_results()
"""
# Test with BTC as stake_currency
trades = [
('ETH/BTC', 2, 2, 123),
('LTC/BTC', 1, 1, 123),
@ -400,8 +402,21 @@ def test_format_results():
]
labels = ['currency', 'profit_percent', 'profit_BTC', 'duration']
df = pd.DataFrame.from_records(trades, columns=labels)
x = Hyperopt.format_results(df)
assert x.find(' 66.67%')
result = _HYPEROPT.format_results(df)
assert result.find(' 66.67%')
assert result.find('Total profit 1.00000000 BTC')
assert result.find('2.0000Σ %')
# Test with EUR as stake_currency
trades = [
('ETH/EUR', 2, 2, 123),
('LTC/EUR', 1, 1, 123),
('XPR/EUR', -1, -2, -246)
]
df = pd.DataFrame.from_records(trades, columns=labels)
result = _HYPEROPT.format_results(df)
assert result.find('Total profit 1.00000000 EUR')
def test_signal_handler(mocker, init_hyperopt):

3
freqtrade/tests/optimize/test_optimize.py
View File

@ -105,7 +105,8 @@ def test_load_data_with_new_pair_1min(ticker_history, mocker, caplog) -> None:
refresh_pairs=False,
pairs=['MEME/BTC'])
assert os.path.isfile(file) is False
assert log_has('No data for pair MEME/BTC, use --refresh-pairs-cached to download the data',
assert log_has('No data for pair: "MEME/BTC", Interval: 1m. '
'Use --refresh-pairs-cached to download the data',
caplog.record_tuples)
# download a new pair if refresh_pairs is set

6
freqtrade/tests/test_arguments.py
View File

@ -116,6 +116,12 @@ def test_parse_timerange_incorrect() -> None:
timerange = Arguments.parse_timerange('20100522-20150730')
assert timerange == (('date', 'date'), 1274486400, 1438214400)
# Added test for unix timestamp - BTC genesis date
assert (('date', None), 1231006505, None) == Arguments.parse_timerange('1231006505-')
assert ((None, 'date'), None, 1233360000) == Arguments.parse_timerange('-1233360000')
timerange = Arguments.parse_timerange('1231006505-1233360000')
assert timerange == (('date', 'date'), 1231006505, 1233360000)
with pytest.raises(Exception, match=r'Incorrect syntax.*'):
Arguments.parse_timerange('-')

41
freqtrade/tests/test_configuration.py
View File

@ -6,6 +6,7 @@ Unit test file for configuration.py
import json
from copy import deepcopy
from unittest.mock import MagicMock
from argparse import Namespace
import pytest
from jsonschema import ValidationError
@ -37,7 +38,7 @@ def test_load_config_invalid_pair(default_conf) -> None:
conf['exchange']['pair_whitelist'].append('ETH-BTC')
with pytest.raises(ValidationError, match=r'.*does not match.*'):
configuration = Configuration([])
configuration = Configuration(Namespace())
configuration._validate_config(conf)
@ -49,7 +50,7 @@ def test_load_config_missing_attributes(default_conf) -> None:
conf.pop('exchange')
with pytest.raises(ValidationError, match=r'.*\'exchange\' is a required property.*'):
configuration = Configuration([])
configuration = Configuration(Namespace())
configuration._validate_config(conf)
@ -61,7 +62,7 @@ def test_load_config_file(default_conf, mocker, caplog) -> None:
read_data=json.dumps(default_conf)
))
configuration = Configuration([])
configuration = Configuration(Namespace())
validated_conf = configuration._load_config_file('somefile')
assert file_mock.call_count == 1
assert validated_conf.items() >= default_conf.items()
@ -79,7 +80,7 @@ def test_load_config_max_open_trades_zero(default_conf, mocker, caplog) -> None:
read_data=json.dumps(conf)
))
Configuration([])._load_config_file('somefile')
Configuration(Namespace())._load_config_file('somefile')
assert file_mock.call_count == 1
assert log_has('Validating configuration ...', caplog.record_tuples)
@ -92,7 +93,7 @@ def test_load_config_file_exception(mocker, caplog) -> None:
'freqtrade.configuration.open',
MagicMock(side_effect=FileNotFoundError('File not found'))
)
configuration = Configuration([])
configuration = Configuration(Namespace())
with pytest.raises(SystemExit):
configuration._load_config_file('somefile')
@ -128,13 +129,13 @@ def test_load_config_with_params(default_conf, mocker) -> None:
read_data=json.dumps(default_conf)
))
args = [
arglist = [
'--dynamic-whitelist', '10',
'--strategy', 'TestStrategy',
'--strategy-path', '/some/path',
'--dry-run-db',
]
args = Arguments(args, '').get_parsed_arg()
args = Arguments(arglist, '').get_parsed_arg()
configuration = Configuration(args)
validated_conf = configuration.load_config()
@ -174,12 +175,12 @@ def test_show_info(default_conf, mocker, caplog) -> None:
read_data=json.dumps(default_conf)
))
args = [
arglist = [
'--dynamic-whitelist', '10',
'--strategy', 'TestStrategy',
'--dry-run-db'
]
args = Arguments(args, '').get_parsed_arg()
args = Arguments(arglist, '').get_parsed_arg()
configuration = Configuration(args)
configuration.get_config()
@ -202,8 +203,8 @@ def test_show_info(default_conf, mocker, caplog) -> None:
)
# Test the Dry run condition
configuration.config.update({'dry_run': False})
configuration._load_common_config(configuration.config)
configuration.config.update({'dry_run': False}) # type: ignore
configuration._load_common_config(configuration.config) # type: ignore
assert log_has(
'Dry run is disabled. (--dry_run_db ignored)',
caplog.record_tuples
@ -218,13 +219,13 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
read_data=json.dumps(default_conf)
))
args = [
arglist = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'backtesting'
]
args = Arguments(args, '').get_parsed_arg()
args = Arguments(arglist, '').get_parsed_arg()
configuration = Configuration(args)
config = configuration.get_config()
@ -235,7 +236,7 @@ def test_setup_configuration_without_arguments(mocker, default_conf, caplog) ->
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Parameter --datadir detected: {} ...'.format(config['datadir']),
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
@ -262,7 +263,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
read_data=json.dumps(default_conf)
))
args = [
arglist = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'--datadir', '/foo/bar',
@ -275,7 +276,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
'--export', '/bar/foo'
]
args = Arguments(args, '').get_parsed_arg()
args = Arguments(arglist, '').get_parsed_arg()
configuration = Configuration(args)
config = configuration.get_config()
@ -286,7 +287,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Parameter --datadir detected: {} ...'.format(config['datadir']),
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
@ -326,14 +327,14 @@ def test_hyperopt_with_arguments(mocker, default_conf, caplog) -> None:
read_data=json.dumps(default_conf)
))
args = [
arglist = [
'hyperopt',
'--epochs', '10',
'--use-mongodb',
'--spaces', 'all',
]
args = Arguments(args, '').get_parsed_arg()
args = Arguments(arglist, '').get_parsed_arg()
configuration = Configuration(args)
config = configuration.get_config()
@ -357,7 +358,7 @@ def test_check_exchange(default_conf) -> None:
Test the configuration validator with a missing attribute
"""
conf = deepcopy(default_conf)
configuration = Configuration([])
configuration = Configuration(Namespace())
# Test a valid exchange
conf.get('exchange').update({'name': 'BITTREX'})

14
freqtrade/tests/test_fiat_convert.py
View File

@ -126,6 +126,20 @@ def test_fiat_convert_get_price(mocker):
assert fiat_convert._pairs[0]._expiration is not expiration
def test_fiat_convert_same_currencies(mocker):
patch_coinmarketcap(mocker)
fiat_convert = CryptoToFiatConverter()
assert fiat_convert.get_price(crypto_symbol='USD', fiat_symbol='USD') == 1.0
def test_fiat_convert_two_FIAT(mocker):
patch_coinmarketcap(mocker)
fiat_convert = CryptoToFiatConverter()
assert fiat_convert.get_price(crypto_symbol='USD', fiat_symbol='EUR') == 0.0
def test_loadcryptomap(mocker):
patch_coinmarketcap(mocker)

2
requirements.txt
View File

@ -1,4 +1,4 @@
ccxt==1.14.119
ccxt==1.14.121
SQLAlchemy==1.2.8
python-telegram-bot==10.1.0
arrow==0.12.1

3
setup.cfg
View File

@ -2,3 +2,6 @@
#ignore =
max-line-length = 100
max-complexity = 12
[mypy]
ignore_missing_imports = True