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Merge pull request #6312 from freqtrade/short_informative_decorator

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Short informative decorator
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Matthias 2022-01-30 15:33:52 +01:00 committed by GitHub
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5 changed files with 69 additions and 45 deletions
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11
freqtrade/data/dataprovider.py
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@ -78,8 +78,9 @@ class DataProvider:
:param timeframe: timeframe to get data for :param timeframe: timeframe to get data for
:param candle_type: '', mark, index, premiumIndex, or funding_rate :param candle_type: '', mark, index, premiumIndex, or funding_rate
""" """
candleType = CandleType.from_string(candle_type) _candle_type = CandleType.from_string(
saved_pair = (pair, str(timeframe), candleType) candle_type) if candle_type != '' else self._config['candle_type_def']
saved_pair = (pair, str(timeframe), _candle_type)
if saved_pair not in self.__cached_pairs_backtesting: if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get( timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange'))) 'timerange') is None else str(self._config.get('timerange')))
@ -93,7 +94,7 @@ class DataProvider:
datadir=self._config['datadir'], datadir=self._config['datadir'],
timerange=timerange, timerange=timerange,
data_format=self._config.get('dataformat_ohlcv', 'json'), data_format=self._config.get('dataformat_ohlcv', 'json'),
candle_type=candleType, candle_type=_candle_type,
) )
return self.__cached_pairs_backtesting[saved_pair].copy() return self.__cached_pairs_backtesting[saved_pair].copy()
@ -221,8 +222,10 @@ class DataProvider:
if self._exchange is None: if self._exchange is None:
raise OperationalException(NO_EXCHANGE_EXCEPTION) raise OperationalException(NO_EXCHANGE_EXCEPTION)
if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE): if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
_candle_type = CandleType.from_string(
candle_type) if candle_type != '' else self._config['candle_type_def']
return self._exchange.klines( return self._exchange.klines(
(pair, timeframe or self._config['timeframe'], CandleType.from_string(candle_type)), (pair, timeframe or self._config['timeframe'], _candle_type),
copy=copy copy=copy
) )
else: else:

19
freqtrade/strategy/informative_decorator.py
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@ -1,4 +1,5 @@
from typing import Any, Callable, NamedTuple, Optional, Union from dataclasses import dataclass
from typing import Any, Callable, Optional, Union
from pandas import DataFrame from pandas import DataFrame
@ -10,16 +11,19 @@ from freqtrade.strategy.strategy_helper import merge_informative_pair
PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame]
class InformativeData(NamedTuple): @dataclass
class InformativeData:
asset: Optional[str] asset: Optional[str]
timeframe: str timeframe: str
fmt: Union[str, Callable[[Any], str], None] fmt: Union[str, Callable[[Any], str], None]
ffill: bool ffill: bool
candle_type: CandleType candle_type: Optional[CandleType]
def informative(timeframe: str, asset: str = '', def informative(timeframe: str, asset: str = '',
fmt: Optional[Union[str, Callable[[Any], str]]] = None, fmt: Optional[Union[str, Callable[[Any], str]]] = None,
*,
candle_type: Optional[CandleType] = None,
ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]:
""" """
A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to
@ -54,12 +58,11 @@ def informative(timeframe: str, asset: str = '',
_timeframe = timeframe _timeframe = timeframe
_fmt = fmt _fmt = fmt
_ffill = ffill _ffill = ffill
_candle_type = CandleType.from_string(candle_type) if candle_type else None
def decorator(fn: PopulateIndicators): def decorator(fn: PopulateIndicators):
informative_pairs = getattr(fn, '_ft_informative', []) informative_pairs = getattr(fn, '_ft_informative', [])
# TODO-lev: Add candle_type to InformativeData informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill, _candle_type))
informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill,
CandleType.SPOT))
setattr(fn, '_ft_informative', informative_pairs) setattr(fn, '_ft_informative', informative_pairs)
return fn return fn
return decorator return decorator
@ -76,6 +79,8 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata:
asset = inf_data.asset or '' asset = inf_data.asset or ''
timeframe = inf_data.timeframe timeframe = inf_data.timeframe
fmt = inf_data.fmt fmt = inf_data.fmt
candle_type = inf_data.candle_type
config = strategy.config config = strategy.config
if asset: if asset:
@ -102,7 +107,7 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata:
fmt = '{base}_{quote}_' + fmt # Informatives of other pairs fmt = '{base}_{quote}_' + fmt # Informatives of other pairs
inf_metadata = {'pair': asset, 'timeframe': timeframe} inf_metadata = {'pair': asset, 'timeframe': timeframe}
inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe, candle_type)
inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata)
formatter: Any = None formatter: Any = None

14
freqtrade/strategy/interface.py
View File

@ -147,7 +147,8 @@ class IStrategy(ABC, HyperStrategyMixin):
cls_method = getattr(self.__class__, attr_name) cls_method = getattr(self.__class__, attr_name)
if not callable(cls_method): if not callable(cls_method):
continue continue
informative_data_list = getattr(cls_method, '_ft_informative', None) informative_data_list = getattr(
cls_method, '_ft_informative', None)
if not isinstance(informative_data_list, list): if not isinstance(informative_data_list, list):
# Type check is required because mocker would return a mock object that evaluates to # Type check is required because mocker would return a mock object that evaluates to
# True, confusing this code. # True, confusing this code.
@ -157,6 +158,8 @@ class IStrategy(ABC, HyperStrategyMixin):
if timeframe_to_minutes(informative_data.timeframe) < strategy_timeframe_minutes: if timeframe_to_minutes(informative_data.timeframe) < strategy_timeframe_minutes:
raise OperationalException('Informative timeframe must be equal or higher than ' raise OperationalException('Informative timeframe must be equal or higher than '
'strategy timeframe!') 'strategy timeframe!')
if not informative_data.candle_type:
informative_data.candle_type = config['candle_type_def']
self._ft_informative.append((informative_data, cls_method)) self._ft_informative.append((informative_data, cls_method))
@abstractmethod @abstractmethod
@ -465,14 +468,17 @@ class IStrategy(ABC, HyperStrategyMixin):
# Compatibility code for 2 tuple informative pairs # Compatibility code for 2 tuple informative pairs
informative_pairs = [ informative_pairs = [
(p[0], p[1], CandleType.from_string(p[2]) if len( (p[0], p[1], CandleType.from_string(p[2]) if len(
p) > 2 else self.config.get('candle_type_def', CandleType.SPOT)) p) > 2 and p[2] != '' else self.config.get('candle_type_def', CandleType.SPOT))
for p in informative_pairs] for p in informative_pairs]
for inf_data, _ in self._ft_informative: for inf_data, _ in self._ft_informative:
# Get default candle type if not provided explicitly.
candle_type = (inf_data.candle_type if inf_data.candle_type
else self.config.get('candle_type_def', CandleType.SPOT))
if inf_data.asset: if inf_data.asset:
pair_tf = ( pair_tf = (
_format_pair_name(self.config, inf_data.asset), _format_pair_name(self.config, inf_data.asset),
inf_data.timeframe, inf_data.timeframe,
inf_data.candle_type candle_type,
) )
informative_pairs.append(pair_tf) informative_pairs.append(pair_tf)
else: else:
@ -480,7 +486,7 @@ class IStrategy(ABC, HyperStrategyMixin):
raise OperationalException('@informative decorator with unspecified asset ' raise OperationalException('@informative decorator with unspecified asset '
'requires DataProvider instance.') 'requires DataProvider instance.')
for pair in self.dp.current_whitelist(): for pair in self.dp.current_whitelist():
informative_pairs.append((pair, inf_data.timeframe, inf_data.candle_type)) informative_pairs.append((pair, inf_data.timeframe, candle_type))
return list(set(informative_pairs)) return list(set(informative_pairs))
def get_strategy_name(self) -> str: def get_strategy_name(self) -> str:

8
tests/strategy/strats/informative_decorator_strategy.py
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@ -20,7 +20,11 @@ class InformativeDecoratorTest(IStrategy):
def informative_pairs(self): def informative_pairs(self):
# Intentionally return 2 tuples, must be converted to 3 in compatibility code # Intentionally return 2 tuples, must be converted to 3 in compatibility code
return [('NEO/USDT', '5m')] return [
('NEO/USDT', '5m'),
('NEO/USDT', '15m', ''),
('NEO/USDT', '2h', 'futures'),
]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe['buy'] = 0 dataframe['buy'] = 0
@ -44,7 +48,7 @@ class InformativeDecoratorTest(IStrategy):
return dataframe return dataframe
# Quote currency different from stake currency test. # Quote currency different from stake currency test.
@informative('1h', 'ETH/BTC') @informative('1h', 'ETH/BTC', candle_type='spot')
def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe['rsi'] = 14 dataframe['rsi'] = 14
return dataframe return dataframe

62
tests/strategy/test_strategy_helpers.py
View File

@ -6,6 +6,7 @@ import pytest
from freqtrade.data.dataprovider import DataProvider from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import CandleType from freqtrade.enums import CandleType
from freqtrade.resolvers.strategy_resolver import StrategyResolver
from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open, from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open,
timeframe_to_minutes) timeframe_to_minutes)
from tests.conftest import get_patched_exchange from tests.conftest import get_patched_exchange
@ -171,29 +172,31 @@ def test_stoploss_from_absolute():
assert pytest.approx(stoploss_from_absolute(100, 1, True)) == 1 assert pytest.approx(stoploss_from_absolute(100, 1, True)) == 1
# TODO-lev: @pytest.mark.parametrize('candle_type', ['mark', '']) @pytest.mark.parametrize('trading_mode', ['futures', 'spot'])
def test_informative_decorator(mocker, default_conf): def test_informative_decorator(mocker, default_conf_usdt, trading_mode):
candle_def = CandleType.get_default(trading_mode)
default_conf_usdt['candle_type_def'] = candle_def
test_data_5m = generate_test_data('5m', 40) test_data_5m = generate_test_data('5m', 40)
test_data_30m = generate_test_data('30m', 40) test_data_30m = generate_test_data('30m', 40)
test_data_1h = generate_test_data('1h', 40) test_data_1h = generate_test_data('1h', 40)
data = { data = {
('XRP/USDT', '5m', CandleType.SPOT): test_data_5m, ('XRP/USDT', '5m', candle_def): test_data_5m,
('XRP/USDT', '30m', CandleType.SPOT): test_data_30m, ('XRP/USDT', '30m', candle_def): test_data_30m,
('XRP/USDT', '1h', CandleType.SPOT): test_data_1h, ('XRP/USDT', '1h', candle_def): test_data_1h,
('LTC/USDT', '5m', CandleType.SPOT): test_data_5m, ('LTC/USDT', '5m', candle_def): test_data_5m,
('LTC/USDT', '30m', CandleType.SPOT): test_data_30m, ('LTC/USDT', '30m', candle_def): test_data_30m,
('LTC/USDT', '1h', CandleType.SPOT): test_data_1h, ('LTC/USDT', '1h', candle_def): test_data_1h,
('NEO/USDT', '30m', CandleType.SPOT): test_data_30m, ('NEO/USDT', '30m', candle_def): test_data_30m,
('NEO/USDT', '5m', CandleType.SPOT): test_data_5m, ('NEO/USDT', '5m', CandleType.SPOT): test_data_5m, # Explicit request with '' as candletype
('NEO/USDT', '1h', CandleType.SPOT): test_data_1h, ('NEO/USDT', '15m', candle_def): test_data_5m, # Explicit request with '' as candletype
('ETH/USDT', '1h', CandleType.SPOT): test_data_1h, ('NEO/USDT', '1h', candle_def): test_data_1h,
('ETH/USDT', '30m', CandleType.SPOT): test_data_30m, ('ETH/USDT', '1h', candle_def): test_data_1h,
('ETH/BTC', '1h', CandleType.SPOT): test_data_1h, ('ETH/USDT', '30m', candle_def): test_data_30m,
('ETH/BTC', '1h', CandleType.SPOT): test_data_1h, # Explicitly selected as spot
} }
from .strats.informative_decorator_strategy import InformativeDecoratorTest default_conf_usdt['strategy'] = 'InformativeDecoratorTest'
default_conf['stake_currency'] = 'USDT' strategy = StrategyResolver.load_strategy(default_conf_usdt)
strategy = InformativeDecoratorTest(config=default_conf) exchange = get_patched_exchange(mocker, default_conf_usdt)
exchange = get_patched_exchange(mocker, default_conf)
strategy.dp = DataProvider({}, exchange, None) strategy.dp = DataProvider({}, exchange, None)
mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[ mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[
'XRP/USDT', 'LTC/USDT', 'NEO/USDT' 'XRP/USDT', 'LTC/USDT', 'NEO/USDT'
@ -201,26 +204,29 @@ def test_informative_decorator(mocker, default_conf):
assert len(strategy._ft_informative) == 6 # Equal to number of decorators used assert len(strategy._ft_informative) == 6 # Equal to number of decorators used
informative_pairs = [ informative_pairs = [
('XRP/USDT', '1h', CandleType.SPOT), ('XRP/USDT', '1h', candle_def),
('LTC/USDT', '1h', CandleType.SPOT), ('LTC/USDT', '1h', candle_def),
('XRP/USDT', '30m', CandleType.SPOT), ('XRP/USDT', '30m', candle_def),
('LTC/USDT', '30m', CandleType.SPOT), ('LTC/USDT', '30m', candle_def),
('NEO/USDT', '1h', CandleType.SPOT), ('NEO/USDT', '1h', candle_def),
('NEO/USDT', '30m', CandleType.SPOT), ('NEO/USDT', '30m', candle_def),
('NEO/USDT', '5m', CandleType.SPOT), ('NEO/USDT', '5m', candle_def),
('ETH/BTC', '1h', CandleType.SPOT), ('NEO/USDT', '15m', candle_def),
('ETH/USDT', '30m', CandleType.SPOT)] ('NEO/USDT', '2h', CandleType.FUTURES),
('ETH/BTC', '1h', CandleType.SPOT), # One candle remains as spot
('ETH/USDT', '30m', candle_def)]
for inf_pair in informative_pairs: for inf_pair in informative_pairs:
assert inf_pair in strategy.gather_informative_pairs() assert inf_pair in strategy.gather_informative_pairs()
def test_historic_ohlcv(pair, timeframe, candle_type): def test_historic_ohlcv(pair, timeframe, candle_type):
return data[ return data[
(pair, timeframe or strategy.timeframe, CandleType.from_string(candle_type))].copy() (pair, timeframe or strategy.timeframe, CandleType.from_string(candle_type))].copy()
mocker.patch('freqtrade.data.dataprovider.DataProvider.historic_ohlcv', mocker.patch('freqtrade.data.dataprovider.DataProvider.historic_ohlcv',
side_effect=test_historic_ohlcv) side_effect=test_historic_ohlcv)
analyzed = strategy.advise_all_indicators( analyzed = strategy.advise_all_indicators(
{p: data[(p, strategy.timeframe, CandleType.SPOT)] for p in ('XRP/USDT', 'LTC/USDT')}) {p: data[(p, strategy.timeframe, candle_def)] for p in ('XRP/USDT', 'LTC/USDT')})
expected_columns = [ expected_columns = [
'rsi_1h', 'rsi_30m', # Stacked informative decorators 'rsi_1h', 'rsi_30m', # Stacked informative decorators
'neo_usdt_rsi_1h', # NEO 1h informative 'neo_usdt_rsi_1h', # NEO 1h informative