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Merge branch 'freqtrade:develop' into develop

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This commit is contained in:
lolong
2023-01-31 19:47:05 +01:00
committed by GitHub
parent 47764d52e5 5073c780d8
commit c051536411
26 changed files with 420 additions and 56 deletions
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2
freqtrade/__init__.py
View File

@@ -1,5 +1,5 @@
""" Freqtrade bot """
__version__ = '2023.1.dev'
__version__ = '2023.2.dev'
if 'dev' in __version__:
from pathlib import Path

12
freqtrade/data/dataprovider.py
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@@ -9,7 +9,7 @@ from collections import deque
from datetime import datetime, timezone
from typing import Any, Dict, List, Optional, Tuple
from pandas import DataFrame, to_timedelta
from pandas import DataFrame, Timedelta, Timestamp, to_timedelta
from freqtrade.configuration import TimeRange
from freqtrade.constants import (FULL_DATAFRAME_THRESHOLD, Config, ListPairsWithTimeframes,
@@ -206,9 +206,11 @@ class DataProvider:
existing_df, _ = self.__producer_pairs_df[producer_name][pair_key]
# CHECK FOR MISSING CANDLES
timeframe_delta = to_timedelta(timeframe) # Convert the timeframe to a timedelta for pandas
local_last = existing_df.iloc[-1]['date'] # We want the last date from our copy
incoming_first = dataframe.iloc[0]['date'] # We want the first date from the incoming
# Convert the timeframe to a timedelta for pandas
timeframe_delta: Timedelta = to_timedelta(timeframe)
local_last: Timestamp = existing_df.iloc[-1]['date'] # We want the last date from our copy
# We want the first date from the incoming
incoming_first: Timestamp = dataframe.iloc[0]['date']
# Remove existing candles that are newer than the incoming first candle
existing_df1 = existing_df[existing_df['date'] < incoming_first]
@@ -221,7 +223,7 @@ class DataProvider:
# we missed some candles between our data and the incoming
# so return False and candle_difference.
if candle_difference > 1:
return (False, candle_difference)
return (False, int(candle_difference))
if existing_df1.empty:
appended_df = dataframe
else:

4
freqtrade/data/history/idatahandler.py
View File

@@ -308,7 +308,7 @@ class IDataHandler(ABC):
timerange=timerange_startup,
candle_type=candle_type
)
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data, True):
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data):
return pairdf
else:
enddate = pairdf.iloc[-1]['date']
@@ -316,7 +316,7 @@ class IDataHandler(ABC):
if timerange_startup:
self._validate_pairdata(pair, pairdf, timeframe, candle_type, timerange_startup)
pairdf = trim_dataframe(pairdf, timerange_startup)
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data):
if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data, True):
return pairdf
# incomplete candles should only be dropped if we didn't trim the end beforehand.

12
freqtrade/exchange/binance.py
View File

@@ -28,7 +28,6 @@ class Binance(Exchange):
"trades_pagination": "id",
"trades_pagination_arg": "fromId",
"l2_limit_range": [5, 10, 20, 50, 100, 500, 1000],
"ccxt_futures_name": "swap"
}
_ft_has_futures: Dict = {
"stoploss_order_types": {"limit": "stop", "market": "stop_market"},
@@ -78,7 +77,9 @@ class Binance(Exchange):
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
f'Error in additional_exchange_init due to {e.__class__.__name__}. Message: {e}'
) from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
@@ -87,7 +88,8 @@ class Binance(Exchange):
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None
trading_mode: Optional[TradingMode] = None,
accept_fail: bool = False,
):
"""
Set's the leverage before making a trade, in order to not
@@ -150,6 +152,7 @@ class Binance(Exchange):
is_short: bool,
amount: float,
stake_amount: float,
leverage: float,
wallet_balance: float, # Or margin balance
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
@@ -159,11 +162,12 @@ class Binance(Exchange):
MARGIN: https://www.binance.com/en/support/faq/f6b010588e55413aa58b7d63ee0125ed
PERPETUAL: https://www.binance.com/en/support/faq/b3c689c1f50a44cabb3a84e663b81d93
:param exchange_name:
:param pair: Pair to calculate liquidation price for
:param open_rate: Entry price of position
:param is_short: True if the trade is a short, false otherwise
:param amount: Absolute value of position size incl. leverage (in base currency)
:param stake_amount: Stake amount - Collateral in settle currency.
:param leverage: Leverage used for this position.
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
:param margin_mode: Either ISOLATED or CROSS
:param wallet_balance: Amount of margin_mode in the wallet being used to trade

171
freqtrade/exchange/bybit.py
View File

@@ -1,9 +1,16 @@
""" Bybit exchange subclass """
import logging
from typing import Dict, List, Tuple
from datetime import datetime
from typing import Any, Dict, List, Optional, Tuple
import ccxt
from freqtrade.constants import BuySell
from freqtrade.enums import MarginMode, TradingMode
from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
from freqtrade.exchange import Exchange
from freqtrade.exchange.common import retrier
from freqtrade.exchange.exchange_utils import timeframe_to_msecs
logger = logging.getLogger(__name__)
@@ -21,17 +28,20 @@ class Bybit(Exchange):
_ft_has: Dict = {
"ohlcv_candle_limit": 1000,
"ccxt_futures_name": "linear",
"ohlcv_has_history": False,
}
_ft_has_futures: Dict = {
"ohlcv_candle_limit": 200,
"ohlcv_has_history": True,
"mark_ohlcv_timeframe": "4h",
"stoploss_on_exchange": True,
"stoploss_order_types": {"limit": "limit", "market": "market"},
}
_supported_trading_mode_margin_pairs: List[Tuple[TradingMode, MarginMode]] = [
# TradingMode.SPOT always supported and not required in this list
# (TradingMode.FUTURES, MarginMode.CROSS),
# (TradingMode.FUTURES, MarginMode.ISOLATED)
(TradingMode.FUTURES, MarginMode.ISOLATED)
]
@property
@@ -47,3 +57,158 @@ class Bybit(Exchange):
})
config.update(super()._ccxt_config)
return config
def market_is_future(self, market: Dict[str, Any]) -> bool:
main = super().market_is_future(market)
# For ByBit, we'll only support USDT markets for now.
return (
main and market['settle'] == 'USDT'
)
@retrier
def additional_exchange_init(self) -> None:
"""
Additional exchange initialization logic.
.api will be available at this point.
Must be overridden in child methods if required.
"""
try:
if self.trading_mode == TradingMode.FUTURES and not self._config['dry_run']:
position_mode = self._api.set_position_mode(False)
self._log_exchange_response('set_position_mode', position_mode)
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Error in additional_exchange_init due to {e.__class__.__name__}. Message: {e}'
) from e
except ccxt.BaseError as e:
raise OperationalException(e) from e
async def _fetch_funding_rate_history(
self,
pair: str,
timeframe: str,
limit: int,
since_ms: Optional[int] = None,
) -> List[List]:
"""
Fetch funding rate history
Necessary workaround until https://github.com/ccxt/ccxt/issues/15990 is fixed.
"""
params = {}
if since_ms:
until = since_ms + (timeframe_to_msecs(timeframe) * self._ft_has['ohlcv_candle_limit'])
params.update({'until': until})
# Funding rate
data = await self._api_async.fetch_funding_rate_history(
pair, since=since_ms,
params=params)
# Convert funding rate to candle pattern
data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
return data
def _lev_prep(self, pair: str, leverage: float, side: BuySell):
if self.trading_mode != TradingMode.SPOT:
params = {'leverage': leverage}
self.set_margin_mode(pair, self.margin_mode, accept_fail=True, params=params)
self._set_leverage(leverage, pair, accept_fail=True)
def _get_params(
self,
side: BuySell,
ordertype: str,
leverage: float,
reduceOnly: bool,
time_in_force: str = 'GTC',
) -> Dict:
params = super()._get_params(
side=side,
ordertype=ordertype,
leverage=leverage,
reduceOnly=reduceOnly,
time_in_force=time_in_force,
)
if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
params['position_idx'] = 0
return params
def dry_run_liquidation_price(
self,
pair: str,
open_rate: float, # Entry price of position
is_short: bool,
amount: float,
stake_amount: float,
leverage: float,
wallet_balance: float, # Or margin balance
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
) -> Optional[float]:
"""
Important: Must be fetching data from cached values as this is used by backtesting!
PERPETUAL:
bybit:
https://www.bybithelp.com/HelpCenterKnowledge/bybitHC_Article?language=en_US&id=000001067
Long:
Liquidation Price = (
Entry Price * (1 - Initial Margin Rate + Maintenance Margin Rate)
- Extra Margin Added/ Contract)
Short:
Liquidation Price = (
Entry Price * (1 + Initial Margin Rate - Maintenance Margin Rate)
+ Extra Margin Added/ Contract)
Implementation Note: Extra margin is currently not used.
:param pair: Pair to calculate liquidation price for
:param open_rate: Entry price of position
:param is_short: True if the trade is a short, false otherwise
:param amount: Absolute value of position size incl. leverage (in base currency)
:param stake_amount: Stake amount - Collateral in settle currency.
:param leverage: Leverage used for this position.
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
:param margin_mode: Either ISOLATED or CROSS
:param wallet_balance: Amount of margin_mode in the wallet being used to trade
Cross-Margin Mode: crossWalletBalance
Isolated-Margin Mode: isolatedWalletBalance
"""
market = self.markets[pair]
mm_ratio, _ = self.get_maintenance_ratio_and_amt(pair, stake_amount)
if self.trading_mode == TradingMode.FUTURES and self.margin_mode == MarginMode.ISOLATED:
if market['inverse']:
raise OperationalException(
"Freqtrade does not yet support inverse contracts")
initial_margin_rate = 1 / leverage
# See docstring - ignores extra margin!
if is_short:
return open_rate * (1 + initial_margin_rate - mm_ratio)
else:
return open_rate * (1 - initial_margin_rate + mm_ratio)
else:
raise OperationalException(
"Freqtrade only supports isolated futures for leverage trading")
def get_funding_fees(
self, pair: str, amount: float, is_short: bool, open_date: datetime) -> float:
"""
Fetch funding fees, either from the exchange (live) or calculates them
based on funding rate/mark price history
:param pair: The quote/base pair of the trade
:param is_short: trade direction
:param amount: Trade amount
:param open_date: Open date of the trade
:return: funding fee since open_date
:raises: ExchangeError if something goes wrong.
"""
# Bybit does not provide "applied" funding fees per position.
if self.trading_mode == TradingMode.FUTURES:
return self._fetch_and_calculate_funding_fees(
pair, amount, is_short, open_date)
return 0.0

18
freqtrade/exchange/exchange.py
View File

@@ -2484,7 +2484,8 @@ class Exchange:
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None
trading_mode: Optional[TradingMode] = None,
accept_fail: bool = False,
):
"""
Set's the leverage before making a trade, in order to not
@@ -2499,6 +2500,10 @@ class Exchange:
self._log_exchange_response('set_leverage', res)
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except ccxt.BadRequest as e:
if not accept_fail:
raise TemporaryError(
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set leverage due to {e.__class__.__name__}. Message: {e}') from e
@@ -2520,7 +2525,8 @@ class Exchange:
return open_date.minute > 0 or open_date.second > 0
@retrier
def set_margin_mode(self, pair: str, margin_mode: MarginMode, params: dict = {}):
def set_margin_mode(self, pair: str, margin_mode: MarginMode, accept_fail: bool = False,
params: dict = {}):
"""
Set's the margin mode on the exchange to cross or isolated for a specific pair
:param pair: base/quote currency pair (e.g. "ADA/USDT")
@@ -2534,6 +2540,10 @@ class Exchange:
self._log_exchange_response('set_margin_mode', res)
except ccxt.DDoSProtection as e:
raise DDosProtection(e) from e
except ccxt.BadRequest as e:
if not accept_fail:
raise TemporaryError(
f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
except (ccxt.NetworkError, ccxt.ExchangeError) as e:
raise TemporaryError(
f'Could not set margin mode due to {e.__class__.__name__}. Message: {e}') from e
@@ -2687,6 +2697,7 @@ class Exchange:
is_short: bool,
amount: float, # Absolute value of position size
stake_amount: float,
leverage: float,
wallet_balance: float,
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
@@ -2708,6 +2719,7 @@ class Exchange:
open_rate=open_rate,
is_short=is_short,
amount=amount,
leverage=leverage,
stake_amount=stake_amount,
wallet_balance=wallet_balance,
mm_ex_1=mm_ex_1,
@@ -2737,6 +2749,7 @@ class Exchange:
is_short: bool,
amount: float,
stake_amount: float,
leverage: float,
wallet_balance: float, # Or margin balance
mm_ex_1: float = 0.0, # (Binance) Cross only
upnl_ex_1: float = 0.0, # (Binance) Cross only
@@ -2758,6 +2771,7 @@ class Exchange:
:param is_short: True if the trade is a short, false otherwise
:param amount: Absolute value of position size incl. leverage (in base currency)
:param stake_amount: Stake amount - Collateral in settle currency.
:param leverage: Leverage used for this position.
:param trading_mode: SPOT, MARGIN, FUTURES, etc.
:param margin_mode: Either ISOLATED or CROSS
:param wallet_balance: Amount of margin_mode in the wallet being used to trade

3
freqtrade/exchange/kraken.py
View File

@@ -158,7 +158,8 @@ class Kraken(Exchange):
self,
leverage: float,
pair: Optional[str] = None,
trading_mode: Optional[TradingMode] = None
trading_mode: Optional[TradingMode] = None,
accept_fail: bool = False,
):
"""
Kraken set's the leverage as an option in the order object, so we need to

1
freqtrade/freqtradebot.py
View File

@@ -1789,6 +1789,7 @@ class FreqtradeBot(LoggingMixin):
is_short=trade.is_short,
amount=trade.amount,
stake_amount=trade.stake_amount,
leverage=trade.leverage,
wallet_balance=trade.stake_amount,
))

8
freqtrade/optimize/backtesting.py
View File

@@ -775,6 +775,11 @@ class Backtesting:
trade: Optional[LocalTrade] = None,
requested_rate: Optional[float] = None,
requested_stake: Optional[float] = None) -> Optional[LocalTrade]:
"""
:param trade: Trade to adjust - initial entry if None
:param requested_rate: Adjusted entry rate
:param requested_stake: Stake amount for adjusted orders (`adjust_entry_price`).
"""
current_time = row[DATE_IDX].to_pydatetime()
entry_tag = row[ENTER_TAG_IDX] if len(row) >= ENTER_TAG_IDX + 1 else None
@@ -800,7 +805,7 @@ class Backtesting:
return trade
time_in_force = self.strategy.order_time_in_force['entry']
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
if stake_amount and (not min_stake_amount or stake_amount >= min_stake_amount):
self.order_id_counter += 1
base_currency = self.exchange.get_pair_base_currency(pair)
amount_p = (stake_amount / propose_rate) * leverage
@@ -863,6 +868,7 @@ class Backtesting:
open_rate=propose_rate,
amount=amount,
stake_amount=trade.stake_amount,
leverage=trade.leverage,
wallet_balance=trade.stake_amount,
is_short=is_short,
))

2
freqtrade/optimize/hyperopt_loss/hyperopt_loss_sharpe_daily.py
View File

@@ -44,7 +44,7 @@ class SharpeHyperOptLossDaily(IHyperOptLoss):
sum_daily = (
results.resample(resample_freq, on='close_date').agg(
{"profit_ratio_after_slippage": sum}).reindex(t_index).fillna(0)
{"profit_ratio_after_slippage": 'sum'}).reindex(t_index).fillna(0)
)
total_profit = sum_daily["profit_ratio_after_slippage"] - risk_free_rate

2
freqtrade/optimize/hyperopt_loss/hyperopt_loss_sortino_daily.py
View File

@@ -46,7 +46,7 @@ class SortinoHyperOptLossDaily(IHyperOptLoss):
sum_daily = (
results.resample(resample_freq, on='close_date').agg(
{"profit_ratio_after_slippage": sum}).reindex(t_index).fillna(0)
{"profit_ratio_after_slippage": 'sum'}).reindex(t_index).fillna(0)
)
total_profit = sum_daily["profit_ratio_after_slippage"] - minimum_acceptable_return

2
freqtrade/rpc/api_server/api_ws.py
View File

@@ -90,7 +90,7 @@ async def _process_consumer_request(
elif type == RPCRequestType.ANALYZED_DF:
# Limit the amount of candles per dataframe to 'limit' or 1500
limit = min(data.get('limit', 1500), 1500) if data else None
limit = int(min(data.get('limit', 1500), 1500)) if data else None
pair = data.get('pair', None) if data else None
# For every pair in the generator, send a separate message