adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'develop' into feat/short

Browse Source
This commit is contained in:
Sam Germain 2021-10-13 17:56:40 -06:00
commit bd488cc086
38 changed files with 329 additions and 162 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

6
README.md
View File

@ -53,7 +53,7 @@ Please find the complete documentation on our [website](https://www.freqtrade.io
- [x] **Dry-run**: Run the bot without paying money.
- [x] **Backtesting**: Run a simulation of your buy/sell strategy.
- [x] **Strategy Optimization by machine learning**: Use machine learning to optimize your buy/sell strategy parameters with real exchange data.
- [x] **Edge position sizing** Calculate your win rate, risk reward ratio, the best stoploss and adjust your position size before taking a position for each specific market. [Learn more](https://www.freqtrade.io/en/latest/edge/).
- [x] **Edge position sizing** Calculate your win rate, risk reward ratio, the best stoploss and adjust your position size before taking a position for each specific market. [Learn more](https://www.freqtrade.io/en/stable/edge/).
- [x] **Whitelist crypto-currencies**: Select which crypto-currency you want to trade or use dynamic whitelists.
- [x] **Blacklist crypto-currencies**: Select which crypto-currency you want to avoid.
- [x] **Manageable via Telegram**: Manage the bot with Telegram.
@ -66,12 +66,12 @@ Please find the complete documentation on our [website](https://www.freqtrade.io
Freqtrade provides a Linux/macOS script to install all dependencies and help you to configure the bot.
```bash
git clone -b develop https://github.com/freqtrade/freqtrade.git
git clone -b develop https://github.com/freqtrade/freqtrade.git
cd freqtrade
./setup.sh --install
```
For any other type of installation please refer to [Installation doc](https://www.freqtrade.io/en/latest/installation/).
For any other type of installation please refer to [Installation doc](https://www.freqtrade.io/en/stable/installation/).
## Basic Usage

4
config_examples/config_binance.example.json
View File

@ -28,10 +28,8 @@
"name": "binance",
"key": "your_exchange_key",
"secret": "your_exchange_secret",
"ccxt_config": {"enableRateLimit": true},
"ccxt_config": {},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 200
},
"pair_whitelist": [
"ALGO/BTC",

7
config_examples/config_ftx.example.json
View File

@ -28,11 +28,8 @@
"name": "ftx",
"key": "your_exchange_key",
"secret": "your_exchange_secret",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 50
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
"BTC/USD",
"ETH/USD",

8
config_examples/config_full.example.json
View File

@ -84,12 +84,8 @@
"key": "your_exchange_key",
"secret": "your_exchange_secret",
"password": "",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 500,
"aiohttp_trust_env": false
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
"ALGO/BTC",
"ATOM/BTC",

4
config_examples/config_kraken.example.json
View File

@ -28,10 +28,8 @@
"name": "kraken",
"key": "your_exchange_key",
"secret": "your_exchange_key",
"ccxt_config": {"enableRateLimit": true},
"ccxt_config": {},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 1000
},
"pair_whitelist": [
"ADA/EUR",

6
docker-compose.yml
View File

@ -15,10 +15,10 @@ services:
volumes:
- "./user_data:/freqtrade/user_data"
# Expose api on port 8080 (localhost only)
# Please read the https://www.freqtrade.io/en/latest/rest-api/ documentation
# Please read the https://www.freqtrade.io/en/stable/rest-api/ documentation
# before enabling this.
# ports:
# - "127.0.0.1:8080:8080"
ports:
- "127.0.0.1:8080:8080"
# Default command used when running `docker compose up`
command: >
trade

39
docs/configuration.md
View File

@ -447,45 +447,6 @@ The possible values are: `gtc` (default), `fok` or `ioc`.
This is ongoing work. For now, it is supported only for binance and kucoin.
Please don't change the default value unless you know what you are doing and have researched the impact of using different values for your particular exchange.
### Exchange configuration
Freqtrade is based on [CCXT library](https://github.com/ccxt/ccxt) that supports over 100 cryptocurrency
exchange markets and trading APIs. The complete up-to-date list can be found in the
[CCXT repo homepage](https://github.com/ccxt/ccxt/tree/master/python).
However, the bot was tested by the development team with only Bittrex, Binance and Kraken,
so these are the only officially supported exchanges:
- [Bittrex](https://bittrex.com/): "bittrex"
- [Binance](https://www.binance.com/): "binance"
- [Kraken](https://kraken.com/): "kraken"
Feel free to test other exchanges and submit your PR to improve the bot.
Some exchanges require special configuration, which can be found on the [Exchange-specific Notes](exchanges.md) documentation page.
#### Sample exchange configuration
A exchange configuration for "binance" would look as follows:
```json
"exchange": {
"name": "binance",
"key": "your_exchange_key",
"secret": "your_exchange_secret",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 200
},
```
This configuration enables binance, as well as rate-limiting to avoid bans from the exchange.
`"rateLimit": 200` defines a wait-event of 0.2s between each call. This can also be completely disabled by setting `"enableRateLimit"` to false.
!!! Note
Optimal settings for rate-limiting depend on the exchange and the size of the whitelist, so an ideal parameter will vary on many other settings.
We try to provide sensible defaults per exchange where possible, if you encounter bans please make sure that `"enableRateLimit"` is enabled and increase the `"rateLimit"` parameter step by step.
### What values can be used for fiat_display_currency?
The `fiat_display_currency` configuration parameter sets the base currency to use for the

55
docs/docker_quickstart.md
View File

@ -70,6 +70,18 @@ docker-compose up -d
!!! Warning "Default configuration"
While the configuration generated will be mostly functional, you will still need to verify that all options correspond to what you want (like Pricing, pairlist, ...) before starting the bot.
#### Accessing the UI
If you've selected to enable FreqUI in the `new-config` step, you will have freqUI available at port `localhost:8080`.
You can now access the UI by typing localhost:8080 in your browser.
??? Note "UI Access on a remote servers"
If you're running on a VPS, you should consider using either a ssh tunnel, or setup a VPN (openVPN, wireguard) to connect to your bot.
This will ensure that freqUI is not directly exposed to the internet, which is not recommended for security reasons (freqUI does not support https out of the box).
Setup of these tools is not part of this tutorial, however many good tutorials can be found on the internet.
Please also read the [API configuration with docker](rest-api.md#configuration-with-docker) section to learn more about this configuration.
#### Monitoring the bot
You can check for running instances with `docker-compose ps`.
@ -148,27 +160,9 @@ You'll then also need to modify the `docker-compose.yml` file and uncomment the
dockerfile: "./Dockerfile.<yourextension>"
```
You can then run `docker-compose build` to build the docker image, and run it using the commands described above.
You can then run `docker-compose build --pull` to build the docker image, and run it using the commands described above.
### Troubleshooting
#### Docker on Windows
* Error: `"Timestamp for this request is outside of the recvWindow."`
* The market api requests require a synchronized clock but the time in the docker container shifts a bit over time into the past.
To fix this issue temporarily you need to run `wsl --shutdown` and restart docker again (a popup on windows 10 will ask you to do so).
A permanent solution is either to host the docker container on a linux host or restart the wsl from time to time with the scheduler.
```
taskkill /IM "Docker Desktop.exe" /F
wsl --shutdown
start "" "C:\Program Files\Docker\Docker\Docker Desktop.exe"
```
!!! Warning
Due to the above, we do not recommend the usage of docker on windows for production setups, but only for experimentation, datadownload and backtesting.
Best use a linux-VPS for running freqtrade reliably.
## Plotting with docker-compose
### Plotting with docker-compose
Commands `freqtrade plot-profit` and `freqtrade plot-dataframe` ([Documentation](plotting.md)) are available by changing the image to `*_plot` in your docker-compose.yml file.
You can then use these commands as follows:
@ -179,7 +173,7 @@ docker-compose run --rm freqtrade plot-dataframe --strategy AwesomeStrategy -p B
The output will be stored in the `user_data/plot` directory, and can be opened with any modern browser.
## Data analysis using docker compose
### Data analysis using docker compose
Freqtrade provides a docker-compose file which starts up a jupyter lab server.
You can run this server using the following command:
@ -196,3 +190,22 @@ Since part of this image is built on your machine, it is recommended to rebuild
``` bash
docker-compose -f docker/docker-compose-jupyter.yml build --no-cache
```
## Troubleshooting
### Docker on Windows
* Error: `"Timestamp for this request is outside of the recvWindow."`
* The market api requests require a synchronized clock but the time in the docker container shifts a bit over time into the past.
To fix this issue temporarily you need to run `wsl --shutdown` and restart docker again (a popup on windows 10 will ask you to do so).
A permanent solution is either to host the docker container on a linux host or restart the wsl from time to time with the scheduler.
``` bash
taskkill /IM "Docker Desktop.exe" /F
wsl --shutdown
start "" "C:\Program Files\Docker\Docker\Docker Desktop.exe"
```
!!! Warning
Due to the above, we do not recommend the usage of docker on windows for production setups, but only for experimentation, datadownload and backtesting.
Best use a linux-VPS for running freqtrade reliably.

50
docs/exchanges.md
View File

@ -2,6 +2,56 @@
This page combines common gotchas and informations which are exchange-specific and most likely don't apply to other exchanges.
## Exchange configuration
Freqtrade is based on [CCXT library](https://github.com/ccxt/ccxt) that supports over 100 cryptocurrency
exchange markets and trading APIs. The complete up-to-date list can be found in the
[CCXT repo homepage](https://github.com/ccxt/ccxt/tree/master/python).
However, the bot was tested by the development team with only a few exchanges.
A current list of these can be found in the "Home" section of this documentation.
Feel free to test other exchanges and submit your feedback or PR to improve the bot or confirm exchanges that work flawlessly..
Some exchanges require special configuration, which can be found below.
### Sample exchange configuration
A exchange configuration for "binance" would look as follows:
```json
"exchange": {
"name": "binance",
"key": "your_exchange_key",
"secret": "your_exchange_secret",
"ccxt_config": {},
"ccxt_async_config": {},
// ...
```
### Setting rate limits
Usually, rate limits set by CCXT are reliable and work well.
In case of problems related to rate-limits (usually DDOS Exceptions in your logs), it's easy to change rateLimit settings to other values.
```json
"exchange": {
"name": "kraken",
"key": "your_exchange_key",
"secret": "your_exchange_secret",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 3100
},
```
This configuration enables kraken, as well as rate-limiting to avoid bans from the exchange.
`"rateLimit": 3100` defines a wait-event of 0.2s between each call. This can also be completely disabled by setting `"enableRateLimit"` to false.
!!! Note
Optimal settings for rate-limiting depend on the exchange and the size of the whitelist, so an ideal parameter will vary on many other settings.
We try to provide sensible defaults per exchange where possible, if you encounter bans please make sure that `"enableRateLimit"` is enabled and increase the `"rateLimit"` parameter step by step.
## Binance
Binance supports [time_in_force](configuration.md#understand-order_time_in_force).

16
docs/faq.md
View File

@ -54,9 +54,11 @@ you can't say much from few trades.
Yes. You can edit your config and use the `/reload_config` command to reload the configuration. The bot will stop, reload the configuration and strategy and will restart with the new configuration and strategy.
### I want to improve the bot with a new strategy
### I want to use incomplete candles
That's great. We have a nice backtesting and hyperoptimization setup. See the tutorial [here|Testing-new-strategies-with-Hyperopt](bot-usage.md#hyperopt-commands).
Freqtrade will not provide incomplete candles to strategies. Using incomplete candles will lead to repainting and consequently to strategies with "ghost" buys, which are impossible to both backtest, and verify after they happened.
You can use "current" market data by using the [dataprovider](strategy-customization.md#orderbookpair-maximum)'s orderbook or ticker methods - which however cannot be used during backtesting.
### Is there a setting to only SELL the coins being held and not perform anymore BUYS?
@ -82,11 +84,11 @@ Currently known to happen for US Bittrex users.
Read [the Bittrex section about restricted markets](exchanges.md#restricted-markets) for more information.
### I'm getting the "Exchange Bittrex does not support market orders." message and cannot run my strategy
### I'm getting the "Exchange XXX does not support market orders." message and cannot run my strategy
As the message says, Bittrex does not support market orders and you have one of the [order types](configuration.md/#understand-order_types) set to "market". Your strategy was probably written with other exchanges in mind and sets "market" orders for "stoploss" orders, which is correct and preferable for most of the exchanges supporting market orders (but not for Bittrex).
As the message says, your exchange does not support market orders and you have one of the [order types](configuration.md/#understand-order_types) set to "market". Your strategy was probably written with other exchanges in mind and sets "market" orders for "stoploss" orders, which is correct and preferable for most of the exchanges supporting market orders (but not for Bittrex and Gate.io).
To fix it for Bittrex, redefine order types in the strategy to use "limit" instead of "market":
To fix this, redefine order types in the strategy to use "limit" instead of "market":
```
order_types = {
@ -136,6 +138,8 @@ On Windows, the `--logfile` option is also supported by Freqtrade and you can us
> type \path\to\mylogfile.log | findstr "something"
```
## Hyperopt module
### Why does freqtrade not have GPU support?
First of all, most indicator libraries don't have GPU support - as such, there would be little benefit for indicator calculations.
@ -152,8 +156,6 @@ The benefit of using GPU would therefore be pretty slim - and will not justify t
There is however nothing preventing you from using GPU-enabled indicators within your strategy if you think you must have this - you will however probably be disappointed by the slim gain that will give you (compared to the complexity).
## Hyperopt module
### How many epochs do I need to get a good Hyperopt result?
Per default Hyperopt called without the `-e`/`--epochs` command line option will only

18
docs/hyperopt.md
View File

@ -60,7 +60,7 @@ optional arguments:
Specify what timerange of data to use.
--data-format-ohlcv {json,jsongz,hdf5}
Storage format for downloaded candle (OHLCV) data.
(default: `None`).
(default: `json`).
--max-open-trades INT
Override the value of the `max_open_trades`
configuration setting.
@ -114,7 +114,8 @@ optional arguments:
Hyperopt-loss-functions are:
ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
SharpeHyperOptLoss, SharpeHyperOptLossDaily,
SortinoHyperOptLoss, SortinoHyperOptLossDaily
SortinoHyperOptLoss, SortinoHyperOptLossDaily,
MaxDrawDownHyperOptLoss
--disable-param-export
Disable automatic hyperopt parameter export.
@ -512,12 +513,13 @@ This class should be in its own file within the `user_data/hyperopts/` directory
Currently, the following loss functions are builtin:
* `ShortTradeDurHyperOptLoss` (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
* `OnlyProfitHyperOptLoss` (which takes only amount of profit into consideration)
* `SharpeHyperOptLoss` (optimizes Sharpe Ratio calculated on trade returns relative to standard deviation)
* `SharpeHyperOptLossDaily` (optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation)
* `SortinoHyperOptLoss` (optimizes Sortino Ratio calculated on trade returns relative to **downside** standard deviation)
* `SortinoHyperOptLossDaily` (optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation)
* `ShortTradeDurHyperOptLoss` - (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
* `OnlyProfitHyperOptLoss` - takes only amount of profit into consideration.
* `SharpeHyperOptLoss` - optimizes Sharpe Ratio calculated on trade returns relative to standard deviation.
* `SharpeHyperOptLossDaily` - optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation.
* `SortinoHyperOptLoss` - optimizes Sortino Ratio calculated on trade returns relative to **downside** standard deviation.
* `SortinoHyperOptLossDaily` - optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation.
* `MaxDrawDownHyperOptLoss` - Optimizes Maximum drawdown.
Creation of a custom loss function is covered in the [Advanced Hyperopt](advanced-hyperopt.md) part of the documentation.

7
docs/installation.md
View File

@ -113,6 +113,13 @@ git checkout develop
You may later switch between branches at any time with the `git checkout stable`/`git checkout develop` commands.
??? Note "Install from pypi"
An alternative way to install Freqtrade is from [pypi](https://pypi.org/project/freqtrade/). The downside is that this method requires ta-lib to be correctly installed beforehand, and is therefore currently not the recommended way to install Freqtrade.
``` bash
pip install freqtrade
```
------
## Script Installation

4
docs/requirements-docs.txt
View File

@ -1,4 +1,4 @@
mkdocs==1.2.2
mkdocs-material==7.3.0
mkdocs-material==7.3.2
mdx_truly_sane_lists==1.2
pymdown-extensions==8.2
pymdown-extensions==9.0

2
docs/rest-api.md
View File

@ -78,7 +78,7 @@ If you run your bot using docker, you'll need to have the bot listen to incoming
},
```
Uncomment the following from your docker-compose file:
Make sure that the following 2 lines are available in your docker-compose file:
```yml
ports:

2
freqtrade/commands/arguments.py
View File

@ -73,7 +73,7 @@ ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit",
ARGS_PLOT_PROFIT = ["pairs", "timerange", "export", "exportfilename", "db_url",
"trade_source", "timeframe", "plot_auto_open"]
ARGS_INSTALL_UI = ["erase_ui_only"]
ARGS_INSTALL_UI = ["erase_ui_only", 'ui_version']
ARGS_SHOW_TRADES = ["db_url", "trade_ids", "print_json"]

3
freqtrade/commands/build_config_commands.py
View File

@ -163,7 +163,8 @@ def ask_user_config() -> Dict[str, Any]:
{
"type": "text",
"name": "api_server_listen_addr",
"message": "Insert Api server Listen Address (best left untouched default!)",
"message": ("Insert Api server Listen Address (0.0.0.0 for docker, "
"otherwise best left untouched)"),
"default": "127.0.0.1",
"when": lambda x: x['api_server']
},

6
freqtrade/commands/cli_options.py
View File

@ -414,6 +414,12 @@ AVAILABLE_CLI_OPTIONS = {
action='store_true',
default=False,
),
"ui_version": Arg(
'--ui-version',
help=('Specify a specific version of FreqUI to install. '
'Not specifying this installs the latest version.'),
type=str,
),
# Templating options
"template": Arg(
'--template',

16
freqtrade/commands/deploy_commands.py
View File

@ -128,7 +128,7 @@ def download_and_install_ui(dest_folder: Path, dl_url: str, version: str):
f.write(version)
def get_ui_download_url() -> Tuple[str, str]:
def get_ui_download_url(version: Optional[str] = None) -> Tuple[str, str]:
base_url = 'https://api.github.com/repos/freqtrade/frequi/'
# Get base UI Repo path
@ -136,8 +136,16 @@ def get_ui_download_url() -> Tuple[str, str]:
resp.raise_for_status()
r = resp.json()
latest_version = r[0]['name']
assets = r[0].get('assets', [])
if version:
tmp = [x for x in r if x['name'] == version]
if tmp:
latest_version = tmp[0]['name']
assets = tmp[0].get('assets', [])
else:
raise ValueError("UI-Version not found.")
else:
latest_version = r[0]['name']
assets = r[0].get('assets', [])
dl_url = ''
if assets and len(assets) > 0:
dl_url = assets[0]['browser_download_url']
@ -156,7 +164,7 @@ def start_install_ui(args: Dict[str, Any]) -> None:
dest_folder = Path(__file__).parents[1] / 'rpc/api_server/ui/installed/'
# First make sure the assets are removed.
dl_url, latest_version = get_ui_download_url()
dl_url, latest_version = get_ui_download_url(args.get('ui_version'))
curr_version = read_ui_version(dest_folder)
if curr_version == latest_version and not args.get('erase_ui_only'):

3
freqtrade/constants.py
View File

@ -24,7 +24,8 @@ ORDERTYPE_POSSIBILITIES = ['limit', 'market']
ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily']
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
'MaxDrawDownHyperOptLoss']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter',

6
freqtrade/exchange/exchange.py
View File

@ -507,7 +507,7 @@ class Exchange:
if startup_candles + 5 > candle_limit:
raise OperationalException(
f"This strategy requires {startup_candles} candles to start. "
f"{self.name} only provides {candle_limit} for {timeframe}.")
f"{self.name} only provides {candle_limit - 5} for {timeframe}.")
def validate_trading_mode_and_collateral(
self,
@ -569,7 +569,7 @@ class Exchange:
precision = self.markets[pair]['precision']['price']
missing = price % precision
if missing != 0:
price = price - missing + precision
price = round(price - missing + precision, 10)
else:
symbol_prec = self.markets[pair]['precision']['price']
big_price = price * pow(10, symbol_prec)
@ -1128,7 +1128,7 @@ class Exchange:
ticker_rate = ticker[conf_strategy['price_side']]
if ticker['last'] and ticker_rate:
if side == 'buy' and ticker_rate > ticker['last']:
balance = conf_strategy['ask_last_balance']
balance = conf_strategy.get('ask_last_balance', 0.0)
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
elif side == 'sell' and ticker_rate < ticker['last']:
balance = conf_strategy.get('bid_last_balance', 0.0)

8
freqtrade/exchange/gateio.py
View File

@ -2,6 +2,7 @@
import logging
from typing import Dict, List
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Exchange
@ -25,3 +26,10 @@ class Gateio(Exchange):
_headers = {'X-Gate-Channel-Id': 'freqtrade'}
funding_fee_times: List[int] = [0, 8, 16] # hours of the day
def validate_ordertypes(self, order_types: Dict) -> None:
super().validate_ordertypes(order_types)
if any(v == 'market' for k, v in order_types.items()):
raise OperationalException(
f'Exchange {self.name} does not support market orders.')

41
freqtrade/optimize/hyperopt_loss_max_drawdown.py Normal file
View File

@ -0,0 +1,41 @@
"""
MaxDrawDownHyperOptLoss
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from datetime import datetime
from pandas import DataFrame
from freqtrade.data.btanalysis import calculate_max_drawdown
from freqtrade.optimize.hyperopt import IHyperOptLoss
class MaxDrawDownHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation optimizes for max draw down and profit
Less max drawdown more profit -> Lower return value
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime,
*args, **kwargs) -> float:
"""
Objective function.
Uses profit ratio weighted max_drawdown when drawdown is available.
Otherwise directly optimizes profit ratio.
"""
total_profit = results['profit_abs'].sum()
try:
max_drawdown = calculate_max_drawdown(results, value_col='profit_abs')
except ValueError:
# No losing trade, therefore no drawdown.
return -total_profit
return -total_profit / max_drawdown[0]

5
freqtrade/rpc/api_server/api_schemas.py
View File

@ -347,3 +347,8 @@ class BacktestResponse(BaseModel):
trade_count: Optional[float]
# TODO: Properly type backtestresult...
backtest_result: Optional[Dict[str, Any]]
class SysInfo(BaseModel):
cpu_pct: List[float]
ram_pct: float

8
freqtrade/rpc/api_server/api_v1.py
View File

@ -18,7 +18,8 @@ from freqtrade.rpc.api_server.api_schemas import (AvailablePairs, Balances, Blac
OpenTradeSchema, PairHistory, PerformanceEntry,
Ping, PlotConfig, Profit, ResultMsg, ShowConfig,
Stats, StatusMsg, StrategyListResponse,
StrategyResponse, Version, WhitelistResponse)
StrategyResponse, SysInfo, Version,
WhitelistResponse)
from freqtrade.rpc.api_server.deps import get_config, get_rpc, get_rpc_optional
from freqtrade.rpc.rpc import RPCException
@ -259,3 +260,8 @@ def list_available_pairs(timeframe: Optional[str] = None, stake_currency: Option
'pair_interval': pair_interval,
}
return result
@router.get('/sysinfo', response_model=SysInfo, tags=['info'])
def sysinfo():
return RPC._rpc_sysinfo()

8
freqtrade/rpc/rpc.py
View File

@ -8,6 +8,7 @@ from math import isnan
from typing import Any, Dict, List, Optional, Tuple, Union
import arrow
import psutil
from numpy import NAN, inf, int64, mean
from pandas import DataFrame
@ -871,3 +872,10 @@ class RPC:
'subplots' not in self._freqtrade.strategy.plot_config):
self._freqtrade.strategy.plot_config['subplots'] = {}
return self._freqtrade.strategy.plot_config
@staticmethod
def _rpc_sysinfo() -> Dict[str, Any]:
return {
"cpu_pct": psutil.cpu_percent(interval=1, percpu=True),
"ram_pct": psutil.virtual_memory().percent
}

7
freqtrade/templates/subtemplates/exchange_binance.j2
View File

@ -2,11 +2,8 @@
"name": "{{ exchange_name | lower }}",
"key": "{{ exchange_key }}",
"secret": "{{ exchange_secret }}",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 200
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
],
"pair_blacklist": [

6
freqtrade/templates/subtemplates/exchange_generic.j2
View File

@ -2,10 +2,8 @@
"name": "{{ exchange_name | lower }}",
"key": "{{ exchange_key }}",
"secret": "{{ exchange_secret }}",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
],

10
freqtrade/templates/subtemplates/exchange_kucoin.j2
View File

@ -3,14 +3,8 @@
"key": "{{ exchange_key }}",
"secret": "{{ exchange_secret }}",
"password": "{{ exchange_key_password }}",
"ccxt_config": {
"enableRateLimit": true,
"rateLimit": 200
},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 200
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
],
"pair_blacklist": [

8
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@ -32,8 +32,7 @@ def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: f
use_custom_stoploss = True
def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime',
current_rate: float, current_profit: float, dataframe: DataFrame,
**kwargs) -> float:
current_rate: float, current_profit: float, **kwargs) -> float:
"""
Custom stoploss logic, returning the new distance relative to current_rate (as ratio).
e.g. returning -0.05 would create a stoploss 5% below current_rate.
@ -44,14 +43,13 @@ def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime',
When not implemented by a strategy, returns the initial stoploss value
Only called when use_custom_stoploss is set to True.
:param pair: Pair that's about to be sold.
:param pair: Pair that's currently analyzed
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param dataframe: Analyzed dataframe for this pair. Can contain future data in backtesting.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New stoploss value, relative to the currentrate
:return float: New stoploss value, relative to the current_rate
"""
return self.stoploss

11
requirements-dev.txt
View File

@ -4,13 +4,12 @@
-r requirements-hyperopt.txt
coveralls==3.2.0
flake8==3.9.2
flake8-type-annotations==0.1.0
flake8-tidy-imports==4.4.1
flake8==4.0.0
flake8-tidy-imports==4.5.0
mypy==0.910
pytest==6.2.5
pytest-asyncio==0.15.1
pytest-cov==2.12.1
pytest-cov==3.0.0
pytest-mock==3.6.1
pytest-random-order==1.0.4
isort==5.9.3
@ -21,7 +20,7 @@ time-machine==2.4.0
nbconvert==6.2.0
# mypy types
types-cachetools==4.2.0
types-filelock==0.1.5
types-cachetools==4.2.2
types-filelock==3.2.0
types-requests==2.25.9
types-tabulate==0.8.2

8
requirements-hyperopt.txt
View File

@ -3,9 +3,9 @@
# Required for hyperopt
scipy==1.7.1
scikit-learn==0.24.2
scikit-optimize==0.8.1
filelock==3.0.12
joblib==1.0.1
scikit-learn==1.0
scikit-optimize==0.9.0
filelock==3.3.0
joblib==1.1.0
psutil==5.8.0
progressbar2==3.53.3

17
requirements.txt
View File

@ -2,25 +2,25 @@ numpy==1.21.2
pandas==1.3.3
pandas-ta==0.3.14b
ccxt==1.57.3
ccxt==1.57.94
# Pin cryptography for now due to rust build errors with piwheels
cryptography==3.4.8
cryptography==35.0.0
aiohttp==3.7.4.post0
SQLAlchemy==1.4.25
python-telegram-bot==13.7
arrow==1.1.1
arrow==1.2.0
cachetools==4.2.2
requests==2.26.0
urllib3==1.26.7
wrapt==1.12.1
jsonschema==3.2.0
wrapt==1.13.1
jsonschema==4.1.0
TA-Lib==0.4.21
technical==1.3.0
tabulate==0.8.9
pycoingecko==2.2.0
jinja2==3.0.1
jinja2==3.0.2
tables==3.6.1
blosc==1.10.4
blosc==1.10.6
# find first, C search in arrays
py_find_1st==1.1.5
@ -34,8 +34,9 @@ sdnotify==0.3.2
# API Server
fastapi==0.68.1
uvicorn==0.15.0
pyjwt==2.1.0
pyjwt==2.2.0
aiofiles==0.7.0
psutil==5.8.0
# Support for colorized terminal output
colorama==0.4.4

7
scripts/rest_client.py
View File

@ -334,6 +334,13 @@ class FtRestClient():
"timerange": timerange if timerange else '',
})
def sysinfo(self):
"""Provides system information (CPU, RAM usage)
:return: json object
"""
return self._get("sysinfo")
def add_arguments():
parser = argparse.ArgumentParser()

27
tests/commands/test_commands.py
View File

@ -605,16 +605,33 @@ def test_get_ui_download_url(mocker):
def test_get_ui_download_url_direct(mocker):
response = MagicMock()
response.json = MagicMock(
side_effect=[[{
'assets_url': 'http://whatever.json',
'name': '0.0.1',
'assets': [{'browser_download_url': 'http://download11.zip'}]}]])
return_value=[
{
'assets_url': 'http://whatever.json',
'name': '0.0.2',
'assets': [{'browser_download_url': 'http://download22.zip'}]
},
{
'assets_url': 'http://whatever.json',
'name': '0.0.1',
'assets': [{'browser_download_url': 'http://download1.zip'}]
},
])
get_mock = mocker.patch("freqtrade.commands.deploy_commands.requests.get",
return_value=response)
x, last_version = get_ui_download_url()
assert get_mock.call_count == 1
assert last_version == '0.0.2'
assert x == 'http://download22.zip'
get_mock.reset_mock()
response.json.reset_mock()
x, last_version = get_ui_download_url('0.0.1')
assert last_version == '0.0.1'
assert x == 'http://download11.zip'
assert x == 'http://download1.zip'
with pytest.raises(ValueError, match="UI-Version not found."):
x, last_version = get_ui_download_url('0.0.3')
def test_download_data_keyboardInterrupt(mocker, caplog, markets):

15
tests/exchange/test_exchange.py
View File

@ -277,6 +277,7 @@ def test_amount_to_precision(default_conf, mocker, amount, precision_mode, preci
(234.43, 4, 0.5, 234.5),
(234.53, 4, 0.5, 235.0),
(0.891534, 4, 0.0001, 0.8916),
(64968.89, 4, 0.01, 64968.89),
])
def test_price_to_precision(default_conf, mocker, price, precision_mode, precision, expected):
@ -295,7 +296,7 @@ def test_price_to_precision(default_conf, mocker, price, precision_mode, precisi
PropertyMock(return_value=precision_mode))
pair = 'ETH/BTC'
assert pytest.approx(exchange.price_to_precision(pair, price)) == expected
assert exchange.price_to_precision(pair, price) == expected
@pytest.mark.parametrize("price,precision_mode,precision,expected", [
@ -1895,6 +1896,7 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
('ask', 20, 19, 10, 0.3, 17), # Between ask and last
('ask', 5, 6, 10, 1.0, 5), # last bigger than ask
('ask', 5, 6, 10, 0.5, 5), # last bigger than ask
('ask', 20, 19, 10, None, 20), # ask_last_balance missing
('ask', 10, 20, None, 0.5, 10), # last not available - uses ask
('ask', 4, 5, None, 0.5, 4), # last not available - uses ask
('ask', 4, 5, None, 1, 4), # last not available - uses ask
@ -1905,6 +1907,7 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
('bid', 21, 20, 10, 0.7, 13), # Between bid and last
('bid', 21, 20, 10, 0.3, 17), # Between bid and last
('bid', 6, 5, 10, 1.0, 5), # last bigger than bid
('bid', 21, 20, 10, None, 20), # ask_last_balance missing
('bid', 6, 5, 10, 0.5, 5), # last bigger than bid
('bid', 21, 20, None, 0.5, 20), # last not available - uses bid
('bid', 6, 5, None, 0.5, 5), # last not available - uses bid
@ -1914,7 +1917,10 @@ def test_fetch_l2_order_book_exception(default_conf, mocker, exchange_name):
def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['bid_strategy']['ask_last_balance'] = last_ab
if last_ab is None:
del default_conf['bid_strategy']['ask_last_balance']
else:
default_conf['bid_strategy']['ask_last_balance'] = last_ab
default_conf['bid_strategy']['price_side'] = side
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
@ -1939,6 +1945,7 @@ def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
('bid', 12.0, 11.2, 10.5, 1.0, 11.2), # Last smaller than bid - uses bid
('bid', 12.0, 11.2, 10.5, 0.5, 11.2), # Last smaller than bid - uses bid
('bid', 0.003, 0.002, 0.005, 0.0, 0.002),
('bid', 0.003, 0.002, 0.005, None, 0.002),
('ask', 12.0, 11.0, 12.5, 0.0, 12.0), # full ask side
('ask', 12.0, 11.0, 12.5, 1.0, 12.5), # full last side
('ask', 12.0, 11.0, 12.5, 0.5, 12.25), # between bid and lat
@ -1949,13 +1956,15 @@ def test_get_buy_rate(mocker, default_conf, caplog, side, ask, bid,
('ask', 10.11, 11.2, 11.0, 0.0, 10.11),
('ask', 0.001, 0.002, 11.0, 0.0, 0.001),
('ask', 0.006, 1.0, 11.0, 0.0, 0.006),
('ask', 0.006, 1.0, 11.0, None, 0.006),
])
def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['ask_strategy']['price_side'] = side
default_conf['ask_strategy']['bid_last_balance'] = last_ab
if last_ab is not None:
default_conf['ask_strategy']['bid_last_balance'] = last_ab
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'bid': bid, 'last': last})
pair = "ETH/BTC"

28
tests/exchange/test_gateio.py Normal file
View File

@ -0,0 +1,28 @@
import pytest
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Gateio
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
def test_validate_order_types_gateio(default_conf, mocker):
default_conf['exchange']['name'] = 'gateio'
mocker.patch('freqtrade.exchange.Exchange._init_ccxt')
mocker.patch('freqtrade.exchange.Exchange._load_markets', return_value={})
mocker.patch('freqtrade.exchange.Exchange.validate_pairs')
mocker.patch('freqtrade.exchange.Exchange.validate_timeframes')
mocker.patch('freqtrade.exchange.Exchange.validate_stakecurrency')
mocker.patch('freqtrade.exchange.Exchange.name', 'Bittrex')
exch = ExchangeResolver.load_exchange('gateio', default_conf, True)
assert isinstance(exch, Gateio)
default_conf['order_types'] = {
'buy': 'market',
'sell': 'limit',
'stoploss': 'market',
'stoploss_on_exchange': False
}
with pytest.raises(OperationalException,
match=r'Exchange .* does not support market orders.'):
ExchangeResolver.load_exchange('gateio', default_conf, True)

5
tests/optimize/test_hyperoptloss.py
View File

@ -84,13 +84,14 @@ def test_loss_calculation_has_limited_profit(hyperopt_conf, hyperopt_results) ->
"SortinoHyperOptLossDaily",
"SharpeHyperOptLoss",
"SharpeHyperOptLossDaily",
"MaxDrawDownHyperOptLoss",
])
def test_loss_functions_better_profits(default_conf, hyperopt_results, lossfunction) -> None:
results_over = hyperopt_results.copy()
results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2
results_over['profit_abs'] = hyperopt_results['profit_abs'] * 2 + 0.2
results_over['profit_ratio'] = hyperopt_results['profit_ratio'] * 2
results_under = hyperopt_results.copy()
results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2
results_under['profit_abs'] = hyperopt_results['profit_abs'] / 2 - 0.2
results_under['profit_ratio'] = hyperopt_results['profit_ratio'] / 2
default_conf.update({'hyperopt_loss': lossfunction})

10
tests/rpc/test_rpc_apiserver.py
View File

@ -1272,6 +1272,16 @@ def test_list_available_pairs(botclient):
assert len(rc.json()['pair_interval']) == 1
def test_sysinfo(botclient):
ftbot, client = botclient
rc = client_get(client, f"{BASE_URI}/sysinfo")
assert_response(rc)
result = rc.json()
assert 'cpu_pct' in result
assert 'ram_pct' in result
def test_api_backtesting(botclient, mocker, fee, caplog):
ftbot, client = botclient
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)