Merge branch 'develop' into feat/short
This commit is contained in:
commit
ce0593c0e1
@ -204,9 +204,8 @@ There are several methods to configure how much of the stake currency the bot wi
|
||||
#### Minimum trade stake
|
||||
|
||||
The minimum stake amount will depend on exchange and pair and is usually listed in the exchange support pages.
|
||||
Assuming the minimum tradable amount for XRP/USD is 20 XRP (given by the exchange), and the price is 0.6$.
|
||||
|
||||
The minimum stake amount to buy this pair is, therefore, `20 * 0.6 ~= 12`.
|
||||
Assuming the minimum tradable amount for XRP/USD is 20 XRP (given by the exchange), and the price is 0.6$, the minimum stake amount to buy this pair is `20 * 0.6 ~= 12`.
|
||||
This exchange has also a limit on USD - where all orders must be > 10$ - which however does not apply in this case.
|
||||
|
||||
To guarantee safe execution, freqtrade will not allow buying with a stake-amount of 10.1$, instead, it'll make sure that there's enough space to place a stoploss below the pair (+ an offset, defined by `amount_reserve_percent`, which defaults to 5%).
|
||||
|
@ -292,7 +292,7 @@ If the trading range over the last 10 days is <1% or >99%, remove the pair from
|
||||
|
||||
#### VolatilityFilter
|
||||
|
||||
Volatility is the degree of historical variation of a pairs over time, is is measured by the standard deviation of logarithmic daily returns. Returns are assumed to be normally distributed, although actual distribution might be different. In a normal distribution, 68% of observations fall within one standard deviation and 95% of observations fall within two standard deviations. Assuming a volatility of 0.05 means that the expected returns for 20 out of 30 days is expected to be less than 5% (one standard deviation). Volatility is a positive ratio of the expected deviation of return and can be greater than 1.00. Please refer to the wikipedia definition of [`volatility`](https://en.wikipedia.org/wiki/Volatility_(finance)).
|
||||
Volatility is the degree of historical variation of a pairs over time, it is measured by the standard deviation of logarithmic daily returns. Returns are assumed to be normally distributed, although actual distribution might be different. In a normal distribution, 68% of observations fall within one standard deviation and 95% of observations fall within two standard deviations. Assuming a volatility of 0.05 means that the expected returns for 20 out of 30 days is expected to be less than 5% (one standard deviation). Volatility is a positive ratio of the expected deviation of return and can be greater than 1.00. Please refer to the wikipedia definition of [`volatility`](https://en.wikipedia.org/wiki/Volatility_(finance)).
|
||||
|
||||
This filter removes pairs if the average volatility over a `lookback_days` days is below `min_volatility` or above `max_volatility`. Since this is a filter that requires additional data, the results are cached for `refresh_period`.
|
||||
|
||||
|
@ -70,7 +70,7 @@ class Backtesting:
|
||||
self.all_results: Dict[str, Dict] = {}
|
||||
self._exchange_name = self.config['exchange']['name']
|
||||
self.exchange = ExchangeResolver.load_exchange(self._exchange_name, self.config)
|
||||
self.dataprovider = DataProvider(self.config, None)
|
||||
self.dataprovider = DataProvider(self.config, self.exchange)
|
||||
|
||||
if self.config.get('strategy_list', None):
|
||||
for strat in list(self.config['strategy_list']):
|
||||
|
@ -144,6 +144,7 @@ class OrderTypes(BaseModel):
|
||||
|
||||
class ShowConfig(BaseModel):
|
||||
version: str
|
||||
api_version: float
|
||||
dry_run: bool
|
||||
trading_mode: str
|
||||
short_allowed: bool
|
||||
|
@ -26,6 +26,11 @@ from freqtrade.rpc.rpc import RPCException
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
# API version
|
||||
# Pre-1.1, no version was provided
|
||||
# Version increments should happen in "small" steps (1.1, 1.12, ...) unless big changes happen.
|
||||
API_VERSION = 1.1
|
||||
|
||||
# Public API, requires no auth.
|
||||
router_public = APIRouter()
|
||||
# Private API, protected by authentication
|
||||
@ -117,7 +122,9 @@ def show_config(rpc: Optional[RPC] = Depends(get_rpc_optional), config=Depends(g
|
||||
state = ''
|
||||
if rpc:
|
||||
state = rpc._freqtrade.state
|
||||
return RPC._rpc_show_config(config, state)
|
||||
resp = RPC._rpc_show_config(config, state)
|
||||
resp['api_version'] = API_VERSION
|
||||
return resp
|
||||
|
||||
|
||||
@router.post('/forcebuy', response_model=ForceBuyResponse, tags=['trading'])
|
||||
|
@ -274,11 +274,11 @@ class Telegram(RPCHandler):
|
||||
f"*Buy Tag:* `{msg['buy_tag']}`\n"
|
||||
f"*Sell Reason:* `{msg['sell_reason']}`\n"
|
||||
f"*Duration:* `{msg['duration']} ({msg['duration_min']:.1f} min)`\n"
|
||||
f"*Amount:* `{msg['amount']:.8f}`\n")
|
||||
f"*Amount:* `{msg['amount']:.8f}`\n"
|
||||
f"*Open Rate:* `{msg['open_rate']:.8f}`\n")
|
||||
|
||||
if msg['type'] == RPCMessageType.SELL:
|
||||
message += (f"*Open Rate:* `{msg['open_rate']:.8f}`\n"
|
||||
f"*Current Rate:* `{msg['current_rate']:.8f}`\n"
|
||||
message += (f"*Current Rate:* `{msg['current_rate']:.8f}`\n"
|
||||
f"*Close Rate:* `{msg['limit']:.8f}`")
|
||||
|
||||
elif msg['type'] == RPCMessageType.SELL_FILL:
|
||||
|
@ -80,12 +80,11 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata:
|
||||
# Not specifying an asset will define informative dataframe for current pair.
|
||||
asset = metadata['pair']
|
||||
|
||||
if '/' in asset:
|
||||
base, quote = asset.split('/')
|
||||
else:
|
||||
# When futures are supported this may need reevaluation.
|
||||
# base, quote = asset, ''
|
||||
raise OperationalException('Not implemented.')
|
||||
market = strategy.dp.market(asset)
|
||||
if market is None:
|
||||
raise OperationalException(f'Market {asset} is not available.')
|
||||
base = market['base']
|
||||
quote = market['quote']
|
||||
|
||||
# Default format. This optimizes for the common case: informative pairs using same stake
|
||||
# currency. When quote currency matches stake currency, column name will omit base currency.
|
||||
|
@ -20,7 +20,7 @@ time-machine==2.4.0
|
||||
nbconvert==6.3.0
|
||||
|
||||
# mypy types
|
||||
types-cachetools==4.2.4
|
||||
types-cachetools==4.2.5
|
||||
types-filelock==3.2.1
|
||||
types-requests==2.26.0
|
||||
types-tabulate==0.8.3
|
||||
|
@ -5,7 +5,7 @@
|
||||
scipy==1.7.2
|
||||
scikit-learn==1.0.1
|
||||
scikit-optimize==0.9.0
|
||||
filelock==3.3.2
|
||||
filelock==3.4.0
|
||||
joblib==1.1.0
|
||||
psutil==5.8.0
|
||||
progressbar2==3.55.0
|
||||
|
@ -1,5 +1,5 @@
|
||||
# Include all requirements to run the bot.
|
||||
-r requirements.txt
|
||||
|
||||
plotly==5.3.1
|
||||
plotly==5.4.0
|
||||
|
||||
|
@ -2,10 +2,10 @@ numpy==1.21.4
|
||||
pandas==1.3.4
|
||||
pandas-ta==0.3.14b
|
||||
|
||||
ccxt==1.61.24
|
||||
ccxt==1.61.92
|
||||
# Pin cryptography for now due to rust build errors with piwheels
|
||||
cryptography==35.0.0
|
||||
aiohttp==3.7.4.post0
|
||||
cryptography==36.0.0
|
||||
aiohttp==3.8.1
|
||||
SQLAlchemy==1.4.27
|
||||
python-telegram-bot==13.8.1
|
||||
arrow==1.2.1
|
||||
|
@ -541,6 +541,8 @@ def test_api_show_config(botclient):
|
||||
assert 'ask_strategy' in response
|
||||
assert 'unfilledtimeout' in response
|
||||
assert 'version' in response
|
||||
assert 'api_version' in response
|
||||
assert 1.1 <= response['api_version'] <= 1.2
|
||||
|
||||
|
||||
def test_api_daily(botclient, mocker, ticker, fee, markets):
|
||||
|
@ -1847,6 +1847,7 @@ def test_send_msg_sell_fill_notification(default_conf, mocker) -> None:
|
||||
'*Sell Reason:* `stop_loss`\n'
|
||||
'*Duration:* `1 day, 2:30:00 (1590.0 min)`\n'
|
||||
'*Amount:* `1333.33333333`\n'
|
||||
'*Open Rate:* `0.00007500`\n'
|
||||
'*Close Rate:* `0.00003201`'
|
||||
)
|
||||
|
||||
|
@ -19,7 +19,7 @@ class InformativeDecoratorTest(IStrategy):
|
||||
startup_candle_count: int = 20
|
||||
|
||||
def informative_pairs(self):
|
||||
return [('BTC/USDT', '5m')]
|
||||
return [('NEO/USDT', '5m')]
|
||||
|
||||
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
dataframe['buy'] = 0
|
||||
@ -37,8 +37,8 @@ class InformativeDecoratorTest(IStrategy):
|
||||
return dataframe
|
||||
|
||||
# Simple informative test.
|
||||
@informative('1h', 'BTC/{stake}')
|
||||
def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
@informative('1h', 'NEO/{stake}')
|
||||
def populate_indicators_neo_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
dataframe['rsi'] = 14
|
||||
return dataframe
|
||||
|
||||
@ -49,7 +49,7 @@ class InformativeDecoratorTest(IStrategy):
|
||||
return dataframe
|
||||
|
||||
# Formatting test.
|
||||
@informative('30m', 'BTC/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}')
|
||||
@informative('30m', 'NEO/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}')
|
||||
def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
dataframe['rsi'] = 14
|
||||
return dataframe
|
||||
@ -67,7 +67,7 @@ class InformativeDecoratorTest(IStrategy):
|
||||
dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h']
|
||||
|
||||
# Mixing manual informative pairs with decorators.
|
||||
informative = self.dp.get_pair_dataframe('BTC/USDT', '5m')
|
||||
informative = self.dp.get_pair_dataframe('NEO/USDT', '5m')
|
||||
informative['rsi'] = 14
|
||||
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True)
|
||||
|
||||
|
@ -7,6 +7,7 @@ import pytest
|
||||
from freqtrade.data.dataprovider import DataProvider
|
||||
from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open,
|
||||
timeframe_to_minutes)
|
||||
from tests.conftest import get_patched_exchange
|
||||
|
||||
|
||||
def generate_test_data(timeframe: str, size: int, start: str = '2020-07-05'):
|
||||
@ -155,9 +156,9 @@ def test_informative_decorator(mocker, default_conf):
|
||||
('LTC/USDT', '5m'): test_data_5m,
|
||||
('LTC/USDT', '30m'): test_data_30m,
|
||||
('LTC/USDT', '1h'): test_data_1h,
|
||||
('BTC/USDT', '30m'): test_data_30m,
|
||||
('BTC/USDT', '5m'): test_data_5m,
|
||||
('BTC/USDT', '1h'): test_data_1h,
|
||||
('NEO/USDT', '30m'): test_data_30m,
|
||||
('NEO/USDT', '5m'): test_data_5m,
|
||||
('NEO/USDT', '1h'): test_data_1h,
|
||||
('ETH/USDT', '1h'): test_data_1h,
|
||||
('ETH/USDT', '30m'): test_data_30m,
|
||||
('ETH/BTC', '1h'): test_data_1h,
|
||||
@ -165,15 +166,16 @@ def test_informative_decorator(mocker, default_conf):
|
||||
from .strats.informative_decorator_strategy import InformativeDecoratorTest
|
||||
default_conf['stake_currency'] = 'USDT'
|
||||
strategy = InformativeDecoratorTest(config=default_conf)
|
||||
strategy.dp = DataProvider({}, None, None)
|
||||
exchange = get_patched_exchange(mocker, default_conf)
|
||||
strategy.dp = DataProvider({}, exchange, None)
|
||||
mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[
|
||||
'XRP/USDT', 'LTC/USDT', 'BTC/USDT'
|
||||
'XRP/USDT', 'LTC/USDT', 'NEO/USDT'
|
||||
])
|
||||
|
||||
assert len(strategy._ft_informative) == 6 # Equal to number of decorators used
|
||||
informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'),
|
||||
('LTC/USDT', '30m'), ('BTC/USDT', '1h'), ('BTC/USDT', '30m'),
|
||||
('BTC/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')]
|
||||
('LTC/USDT', '30m'), ('NEO/USDT', '1h'), ('NEO/USDT', '30m'),
|
||||
('NEO/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')]
|
||||
for inf_pair in informative_pairs:
|
||||
assert inf_pair in strategy.gather_informative_pairs()
|
||||
|
||||
@ -186,8 +188,8 @@ def test_informative_decorator(mocker, default_conf):
|
||||
{p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')})
|
||||
expected_columns = [
|
||||
'rsi_1h', 'rsi_30m', # Stacked informative decorators
|
||||
'btc_usdt_rsi_1h', # BTC 1h informative
|
||||
'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting
|
||||
'neo_usdt_rsi_1h', # NEO 1h informative
|
||||
'rsi_NEO_USDT_neo_usdt_NEO/USDT_30m', # Column formatting
|
||||
'rsi_from_callable', # Custom column formatter
|
||||
'eth_btc_rsi_1h', # Quote currency not matching stake currency
|
||||
'rsi', 'rsi_less', # Non-informative columns
|
||||
|
Loading…
Reference in New Issue
Block a user