Lock pair until a new candle arrives

freqtrade/freqtradebot.py

@@ -433,7 +433,9 @@ class FreqtradeBot:
         """
         logger.debug(f"create_trade for pair {pair}")
 
-        if self.strategy.is_pair_locked(pair):
+        analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
+        if self.strategy.is_pair_locked(
+                pair, analyzed_df.iloc[-1]['date'] if len(analyzed_df) > 0 else None):
             logger.info(f"Pair {pair} is currently locked.")
             return False
 
@@ -444,7 +446,6 @@ class FreqtradeBot:
             return False
 
         # running get_signal on historical data fetched
-        analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
         (buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df)
 
         if buy and not sell:

freqtrade/strategy/interface.py

@@ -2,6 +2,7 @@
 IStrategy interface
 This module defines the interface to apply for strategies
 """
+from freqtrade.exchange.exchange import timeframe_to_next_date
 import logging
 import warnings
 from abc import ABC, abstractmethod
@@ -297,13 +298,22 @@ class IStrategy(ABC):
         if pair in self._pair_locked_until:
             del self._pair_locked_until[pair]
 
-    def is_pair_locked(self, pair: str) -> bool:
+    def is_pair_locked(self, pair: str, candle_date: datetime = None) -> bool:
         """
         Checks if a pair is currently locked
         """
         if pair not in self._pair_locked_until:
             return False
+        if not candle_date:
             return self._pair_locked_until[pair] >= datetime.now(timezone.utc)
+        else:
+            # Locking should happen until a new candle arrives
+            lock_time = timeframe_to_next_date(self.timeframe, candle_date)
+            # lock_time = candle_date + timedelta(minutes=timeframe_to_minutes(self.timeframe))
+            res = self._pair_locked_until[pair] > lock_time
+            logger.debug(f"pair time = {lock_time} - pair_lock = {self._pair_locked_until[pair]} "
+                         f"- res: {res}")
+            return res
 
     def analyze_ticker(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         """
@@ -438,12 +448,6 @@ class IStrategy(ABC):
             )
             return False, False
 
-        # Check if dataframe has new candle
-        if (arrow.utcnow() - latest_date).total_seconds() // 60 >= timeframe_minutes:
-            logger.warning('Old candle for pair %s. Last candle is %s minutes old',
-                           pair, int((arrow.utcnow() - latest_date).total_seconds() // 60))
-            return False, False
-
         (buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1
         logger.debug('trigger: %s (pair=%s) buy=%s sell=%s',
                      latest['date'], pair, str(buy), str(sell))

tests/strategy/test_interface.py

@@ -1,6 +1,7 @@
 # pragma pylint: disable=missing-docstring, C0103
 
 import logging
+from datetime import datetime, timedelta, timezone
 from unittest.mock import MagicMock
 
 import arrow
@@ -8,12 +9,12 @@ import pytest
 from pandas import DataFrame
 
 from freqtrade.configuration import TimeRange
+from freqtrade.data.dataprovider import DataProvider
 from freqtrade.data.history import load_data
 from freqtrade.exceptions import StrategyError
 from freqtrade.persistence import Trade
 from freqtrade.resolvers import StrategyResolver
 from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
-from freqtrade.data.dataprovider import DataProvider
 from tests.conftest import log_has, log_has_re
 
 from .strats.default_strategy import DefaultStrategy
@@ -87,21 +88,6 @@ def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ohlcv_his
     assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog)
 
 
-def test_get_signal_old_candle(default_conf, mocker, caplog, ohlcv_history):
-    caplog.set_level(logging.INFO)
-    # default_conf defines a 5m interval. we check interval of previous candle
-    # this is necessary as the last candle is removed (partial candles) by default
-    oldtime = arrow.utcnow().shift(minutes=-10)
-    ticks = DataFrame([{'buy': 1, 'date': oldtime}])
-    mocker.patch.object(
-        _STRATEGY, '_analyze_ticker_internal',
-        return_value=DataFrame(ticks)
-    )
-    assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'],
-                                                  ohlcv_history)
-    assert log_has('Old candle for pair xyz. Last candle is 10 minutes old', caplog)
-
-
 def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
     # default_conf defines a 5m interval. we check interval * 2 + 5m
     # this is necessary as the last candle is removed (partial candles) by default
@@ -402,6 +388,31 @@ def test_is_pair_locked(default_conf):
     strategy.unlock_pair(pair)
     assert not strategy.is_pair_locked(pair)
 
+    pair = 'BTC/USDT'
+    # Lock until 14:30
+    lock_time = datetime(2020, 5, 1, 14, 30, 0, tzinfo=timezone.utc)
+    strategy.lock_pair(pair, lock_time)
+    # Lock is in the past ...
+    assert not strategy.is_pair_locked(pair)
+    # latest candle is from 14:20, lock goes to 14:30
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-10))
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-50))
+
+    # latest candle is from 14:25 (lock should be lifted)
+    # Since this is the "new candle" available at 14:30
+    assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-4))
+
+    # Should not be locked after time expired
+    assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=10))
+
+    # Change timeframe to 15m
+    strategy.timeframe = '15m'
+    # Candle from 14:14 - lock goes until 14:30
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-16))
+    assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15, seconds=-2))
+    # Candle from 14:15 - lock goes until 14:30
+    assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15))
+
 
 def test_is_informative_pairs_callback(default_conf):
     default_conf.update({'strategy': 'TestStrategyLegacy'})