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Merge branch 'develop' into patch-4

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This commit is contained in:
Leif Segen
2020-11-28 01:17:34 -06:00
committed by GitHub
parent 662ec32073 22ff67c8f8
commit cfbd1c4c43
29 changed files with 401 additions and 66 deletions
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4
freqtrade/configuration/config_validation.py
View File

@@ -137,6 +137,10 @@ def _validate_edge(conf: Dict[str, Any]) -> None:
"Edge and VolumePairList are incompatible, "
"Edge will override whatever pairs VolumePairlist selects."
)
if not conf.get('ask_strategy', {}).get('use_sell_signal', True):
raise OperationalException(
"Edge requires `use_sell_signal` to be True, otherwise no sells will happen."
)
def _validate_whitelist(conf: Dict[str, Any]) -> None:

3
freqtrade/constants.py
View File

@@ -25,7 +25,8 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'PrecisionFilter', 'PriceFilter',
'ShuffleFilter', 'SpreadFilter', 'PerformanceFilter']
'RangeStabilityFilter', 'ShuffleFilter', 'SpreadFilter',
'PerformanceFilter']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'

12
freqtrade/data/history/history_utils.py
View File

@@ -214,10 +214,9 @@ def _download_pair_history(datadir: Path,
data_handler.ohlcv_store(pair, timeframe, data=data)
return True
except Exception as e:
logger.error(
f'Failed to download history data for pair: "{pair}", timeframe: {timeframe}. '
f'Error: {e}'
except Exception:
logger.exception(
f'Failed to download history data for pair: "{pair}", timeframe: {timeframe}.'
)
return False
@@ -304,10 +303,9 @@ def _download_trades_history(exchange: Exchange,
logger.info(f"New Amount of trades: {len(trades)}")
return True
except Exception as e:
logger.error(
except Exception:
logger.exception(
f'Failed to download historic trades for pair: "{pair}". '
f'Error: {e}'
)
return False

17
freqtrade/exchange/exchange.py
View File

@@ -524,7 +524,7 @@ class Exchange:
'rate': self.get_fee(pair)
}
})
if closed_order["type"] in ["stop_loss_limit"]:
if closed_order["type"] in ["stop_loss_limit", "stop-loss-limit"]:
closed_order["info"].update({"stopPrice": closed_order["price"]})
self._dry_run_open_orders[closed_order["id"]] = closed_order
@@ -679,12 +679,25 @@ class Exchange:
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:returns List with candle (OHLCV) data
:return: List with candle (OHLCV) data
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms))
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int) -> DataFrame:
"""
Minimal wrapper around get_historic_ohlcv - converting the result into a dataframe
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:return: OHLCV DataFrame
"""
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms)
return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
async def _async_get_historic_ohlcv(self, pair: str,
timeframe: str,
since_ms: int) -> List:

14
freqtrade/exchange/kraken.py
View File

@@ -69,7 +69,8 @@ class Kraken(Exchange):
Verify stop_loss against stoploss-order value (limit or price)
Returns True if adjustment is necessary.
"""
return order['type'] == 'stop-loss' and stop_loss > float(order['price'])
return (order['type'] in ('stop-loss', 'stop-loss-limit')
and stop_loss > float(order['price']))
@retrier(retries=0)
def stoploss(self, pair: str, amount: float, stop_price: float, order_types: Dict) -> Dict:
@@ -77,8 +78,15 @@ class Kraken(Exchange):
Creates a stoploss market order.
Stoploss market orders is the only stoploss type supported by kraken.
"""
params = self._params.copy()
ordertype = "stop-loss"
if order_types.get('stoploss', 'market') == 'limit':
ordertype = "stop-loss-limit"
limit_price_pct = order_types.get('stoploss_on_exchange_limit_ratio', 0.99)
limit_rate = stop_price * limit_price_pct
params['price2'] = self.price_to_precision(pair, limit_rate)
else:
ordertype = "stop-loss"
stop_price = self.price_to_precision(pair, stop_price)
@@ -88,8 +96,6 @@ class Kraken(Exchange):
return dry_order
try:
params = self._params.copy()
amount = self.amount_to_precision(pair, amount)
order = self._api.create_order(symbol=pair, type=ordertype, side='sell',

22
freqtrade/loggers.py
View File

@@ -37,6 +37,13 @@ def _set_loggers(verbosity: int = 0, api_verbosity: str = 'info') -> None:
)
def get_existing_handlers(handlertype):
"""
Returns Existing handler or None (if the handler has not yet been added to the root handlers).
"""
return next((h for h in logging.root.handlers if isinstance(h, handlertype)), None)
def setup_logging_pre() -> None:
"""
Early setup for logging.
@@ -71,18 +78,24 @@ def setup_logging(config: Dict[str, Any]) -> None:
# config['logfilename']), which defaults to '/dev/log', applicable for most
# of the systems.
address = (s[1], int(s[2])) if len(s) > 2 else s[1] if len(s) > 1 else '/dev/log'
handler = SysLogHandler(address=address)
handler_sl = get_existing_handlers(SysLogHandler)
if handler_sl:
logging.root.removeHandler(handler_sl)
handler_sl = SysLogHandler(address=address)
# No datetime field for logging into syslog, to allow syslog
# to perform reduction of repeating messages if this is set in the
# syslog config. The messages should be equal for this.
handler.setFormatter(Formatter('%(name)s - %(levelname)s - %(message)s'))
logging.root.addHandler(handler)
handler_sl.setFormatter(Formatter('%(name)s - %(levelname)s - %(message)s'))
logging.root.addHandler(handler_sl)
elif s[0] == 'journald':
try:
from systemd.journal import JournaldLogHandler
except ImportError:
raise OperationalException("You need the systemd python package be installed in "
"order to use logging to journald.")
handler_jd = get_existing_handlers(JournaldLogHandler)
if handler_jd:
logging.root.removeHandler(handler_jd)
handler_jd = JournaldLogHandler()
# No datetime field for logging into journald, to allow syslog
# to perform reduction of repeating messages if this is set in the
@@ -90,6 +103,9 @@ def setup_logging(config: Dict[str, Any]) -> None:
handler_jd.setFormatter(Formatter('%(name)s - %(levelname)s - %(message)s'))
logging.root.addHandler(handler_jd)
else:
handler_rf = get_existing_handlers(RotatingFileHandler)
if handler_rf:
logging.root.removeHandler(handler_rf)
handler_rf = RotatingFileHandler(logfile,
maxBytes=1024 * 1024 * 10, # 10Mb
backupCount=10)

2
freqtrade/optimize/optimize_reports.py
View File

@@ -396,6 +396,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
metrics = [
('Backtesting from', strat_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)),
('Backtesting to', strat_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)),
('Max open trades', strat_results['max_open_trades']),
('', ''), # Empty line to improve readability
('Total trades', strat_results['total_trades']),
('First trade', min_trade['open_date'].strftime(DATETIME_PRINT_FORMAT)),
('First trade Pair', min_trade['pair']),

4
freqtrade/pairlist/AgeFilter.py
View File

@@ -37,7 +37,7 @@ class AgeFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True
@@ -49,7 +49,7 @@ class AgeFilter(IPairList):
return (f"{self.name} - Filtering pairs with age less than "
f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.")
def _validate_pair(self, ticker: dict) -> bool:
def _validate_pair(self, ticker: Dict) -> bool:
"""
Validate age for the ticker
:param ticker: ticker dict as returned from ccxt.load_markets()

2
freqtrade/pairlist/IPairList.py
View File

@@ -68,7 +68,7 @@ class IPairList(ABC):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""

2
freqtrade/pairlist/PrecisionFilter.py
View File

@@ -32,7 +32,7 @@ class PrecisionFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

2
freqtrade/pairlist/PriceFilter.py
View File

@@ -35,7 +35,7 @@ class PriceFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

2
freqtrade/pairlist/ShuffleFilter.py
View File

@@ -25,7 +25,7 @@ class ShuffleFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return False

2
freqtrade/pairlist/SpreadFilter.py
View File

@@ -24,7 +24,7 @@ class SpreadFilter(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

2
freqtrade/pairlist/StaticPairList.py
View File

@@ -30,7 +30,7 @@ class StaticPairList(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return False

2
freqtrade/pairlist/VolumePairList.py
View File

@@ -49,7 +49,7 @@ class VolumePairList(IPairList):
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
If no Pairlist requires tickers, an empty Dict is passed
as tickers argument to filter_pairlist
"""
return True

89
freqtrade/pairlist/rangestabilityfilter.py Normal file
View File

@@ -0,0 +1,89 @@
"""
Rate of change pairlist filter
"""
import logging
from typing import Any, Dict
import arrow
from cachetools.ttl import TTLCache
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.pairlist.IPairList import IPairList
logger = logging.getLogger(__name__)
class RangeStabilityFilter(IPairList):
def __init__(self, exchange, pairlistmanager,
config: Dict[str, Any], pairlistconfig: Dict[str, Any],
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._days = pairlistconfig.get('lookback_days', 10)
self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01)
self._refresh_period = pairlistconfig.get('refresh_period', 1440)
self._pair_cache: TTLCache = TTLCache(maxsize=100, ttl=self._refresh_period)
if self._days < 1:
raise OperationalException("RangeStabilityFilter requires lookback_days to be >= 1")
if self._days > exchange.ohlcv_candle_limit:
raise OperationalException("RangeStabilityFilter requires lookback_days to not "
"exceed exchange max request size "
f"({exchange.ohlcv_candle_limit})")
@property
def needstickers(self) -> bool:
"""
Boolean property defining if tickers are necessary.
If no Pairlist requires tickers, an empty List is passed
as tickers argument to filter_pairlist
"""
return True
def short_desc(self) -> str:
"""
Short whitelist method description - used for startup-messages
"""
return (f"{self.name} - Filtering pairs with rate of change below "
f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.")
def _validate_pair(self, ticker: Dict) -> bool:
"""
Validate trading range
:param ticker: ticker dict as returned from ccxt.load_markets()
:return: True if the pair can stay, False if it should be removed
"""
pair = ticker['symbol']
# Check symbol in cache
if pair in self._pair_cache:
return self._pair_cache[pair]
since_ms = int(arrow.utcnow()
.floor('day')
.shift(days=-self._days)
.float_timestamp) * 1000
daily_candles = self._exchange.get_historic_ohlcv_as_df(pair=pair,
timeframe='1d',
since_ms=since_ms)
result = False
if daily_candles is not None and not daily_candles.empty:
highest_high = daily_candles['high'].max()
lowest_low = daily_candles['low'].min()
pct_change = ((highest_high - lowest_low) / lowest_low) if lowest_low > 0 else 0
if pct_change >= self._min_rate_of_change:
result = True
else:
self.log_on_refresh(logger.info,
f"Removed {pair} from whitelist, "
f"because rate of change over {plural(self._days, 'day')} is "
f"{pct_change:.3f}, which is below the "
f"threshold of {self._min_rate_of_change}.")
result = False
self._pair_cache[pair] = result
return result

2
freqtrade/persistence/models.py
View File

@@ -397,7 +397,7 @@ class Trade(_DECL_BASE):
if self.is_open:
logger.info(f'{order_type.upper()}_SELL has been fulfilled for {self}.')
self.close(safe_value_fallback(order, 'average', 'price'))
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop'):
elif order_type in ('stop_loss_limit', 'stop-loss', 'stop-loss-limit', 'stop'):
self.stoploss_order_id = None
self.close_rate_requested = self.stop_loss
if self.is_open: