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Merge branch 'develop' into main_refactoring

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This commit is contained in:
hroff-1902
2019-03-28 11:10:21 +03:00
committed by GitHub
parent f5744cc9bf 146d6bf7fb
commit d5254dff7b
32 changed files with 390 additions and 117 deletions
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1
freqtrade/exchange/binance.py
View File

@@ -11,6 +11,7 @@ class Binance(Exchange):
_ft_has: Dict = {
"stoploss_on_exchange": True,
"order_time_in_force": ['gtc', 'fok', 'ioc'],
}
def get_order_book(self, pair: str, limit: int = 100) -> dict:

20
freqtrade/exchange/exchange.py
View File

@@ -13,7 +13,7 @@ import ccxt
import ccxt.async_support as ccxt_async
from pandas import DataFrame
from freqtrade import constants, OperationalException, DependencyException, TemporaryError
from freqtrade import constants, DependencyException, OperationalException, TemporaryError
from freqtrade.data.converter import parse_ticker_dataframe
logger = logging.getLogger(__name__)
@@ -21,13 +21,6 @@ logger = logging.getLogger(__name__)
API_RETRY_COUNT = 4
# Urls to exchange markets, insert quote and base with .format()
_EXCHANGE_URLS = {
ccxt.bittrex.__name__: '/Market/Index?MarketName={quote}-{base}',
ccxt.binance.__name__: '/tradeDetail.html?symbol={base}_{quote}',
}
def retrier_async(f):
async def wrapper(*args, **kwargs):
count = kwargs.pop('count', API_RETRY_COUNT)
@@ -72,8 +65,9 @@ class Exchange(object):
# Dict to specify which options each exchange implements
# TODO: this should be merged with attributes from subclasses
# To avoid having to copy/paste this to all subclasses.
_ft_has = {
_ft_has: Dict = {
"stoploss_on_exchange": False,
"order_time_in_force": ["gtc"],
}
def __init__(self, config: dict) -> None:
@@ -275,10 +269,10 @@ class Exchange(object):
"""
Checks if order time in force configured in strategy/config are supported
"""
if any(v != 'gtc' for k, v in order_time_in_force.items()):
if self.name != 'Binance':
raise OperationalException(
f'Time in force policies are not supporetd for {self.name} yet.')
if any(v not in self._ft_has["order_time_in_force"]
for k, v in order_time_in_force.items()):
raise OperationalException(
f'Time in force policies are not supported for {self.name} yet.')
def exchange_has(self, endpoint: str) -> bool:
"""

14
freqtrade/optimize/backtesting.py
View File

@@ -18,6 +18,7 @@ from freqtrade import DependencyException, constants
from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
from freqtrade.data import history
from freqtrade.data.dataprovider import DataProvider
from freqtrade.misc import file_dump_json
from freqtrade.persistence import Trade
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
@@ -64,6 +65,15 @@ class Backtesting(object):
self.config['exchange']['uid'] = ''
self.config['dry_run'] = True
self.strategylist: List[IStrategy] = []
exchange_name = self.config.get('exchange', {}).get('name', 'bittrex').title()
self.exchange = ExchangeResolver(exchange_name, self.config).exchange
self.fee = self.exchange.get_fee()
if self.config.get('runmode') != RunMode.HYPEROPT:
self.dataprovider = DataProvider(self.config, self.exchange)
IStrategy.dp = self.dataprovider
if self.config.get('strategy_list', None):
# Force one interval
self.ticker_interval = str(self.config.get('ticker_interval'))
@@ -78,15 +88,13 @@ class Backtesting(object):
self.strategylist.append(StrategyResolver(self.config).strategy)
# Load one strategy
self._set_strategy(self.strategylist[0])
exchange_name = self.config.get('exchange', {}).get('name', 'bittrex').title()
self.exchange = ExchangeResolver(exchange_name, self.config).exchange
self.fee = self.exchange.get_fee()
def _set_strategy(self, strategy):
"""
Load strategy into backtesting
"""
self.strategy = strategy
self.ticker_interval = self.config.get('ticker_interval')
self.ticker_interval_mins = constants.TICKER_INTERVAL_MINUTES[self.ticker_interval]
self.tickerdata_to_dataframe = strategy.tickerdata_to_dataframe

2
freqtrade/resolvers/strategy_resolver.py
View File

@@ -56,6 +56,8 @@ class StrategyResolver(IResolver):
("process_only_new_candles", None, False),
("order_types", None, False),
("order_time_in_force", None, False),
("stake_currency", None, False),
("stake_amount", None, False),
("use_sell_signal", False, True),
("sell_profit_only", False, True),
("ignore_roi_if_buy_signal", False, True),

32
freqtrade/rpc/rpc.py
View File

@@ -456,7 +456,37 @@ class RPC(object):
def _rpc_whitelist(self) -> Dict:
""" Returns the currently active whitelist"""
res = {'method': self._freqtrade.pairlists.name,
'length': len(self._freqtrade.pairlists.whitelist),
'length': len(self._freqtrade.active_pair_whitelist),
'whitelist': self._freqtrade.active_pair_whitelist
}
return res
def _rpc_blacklist(self, add: List[str]) -> Dict:
""" Returns the currently active blacklist"""
if add:
stake_currency = self._freqtrade.config.get('stake_currency')
for pair in add:
if (pair.endswith(stake_currency)
and pair not in self._freqtrade.pairlists.blacklist):
self._freqtrade.pairlists.blacklist.append(pair)
res = {'method': self._freqtrade.pairlists.name,
'length': len(self._freqtrade.pairlists.blacklist),
'blacklist': self._freqtrade.pairlists.blacklist,
}
return res
def _rpc_edge(self) -> List[Dict[str, Any]]:
""" Returns information related to Edge """
if not self._freqtrade.edge:
raise RPCException(f'Edge is not enabled.')
return [
{
'Pair': k,
'Winrate': v.winrate,
'Expectancy': v.expectancy,
'Stoploss': v.stoploss,
}
for k, v in self._freqtrade.edge._cached_pairs.items()
]

42
freqtrade/rpc/telegram.py
View File

@@ -4,7 +4,7 @@
This module manage Telegram communication
"""
import logging
from typing import Any, Callable, Dict
from typing import Any, Callable, Dict, List
from tabulate import tabulate
from telegram import Bot, ParseMode, ReplyKeyboardMarkup, Update
@@ -20,7 +20,7 @@ logger = logging.getLogger(__name__)
logger.debug('Included module rpc.telegram ...')
def authorized_only(command_handler: Callable[[Any, Bot, Update], None]) -> Callable[..., Any]:
def authorized_only(command_handler: Callable[..., None]) -> Callable[..., Any]:
"""
Decorator to check if the message comes from the correct chat_id
:param command_handler: Telegram CommandHandler
@@ -93,6 +93,8 @@ class Telegram(RPC):
CommandHandler('reload_conf', self._reload_conf),
CommandHandler('stopbuy', self._stopbuy),
CommandHandler('whitelist', self._whitelist),
CommandHandler('blacklist', self._blacklist, pass_args=True),
CommandHandler('edge', self._edge),
CommandHandler('help', self._help),
CommandHandler('version', self._version),
]
@@ -470,6 +472,39 @@ class Telegram(RPC):
except RPCException as e:
self._send_msg(str(e), bot=bot)
@authorized_only
def _blacklist(self, bot: Bot, update: Update, args: List[str]) -> None:
"""
Handler for /blacklist
Shows the currently active blacklist
"""
try:
blacklist = self._rpc_blacklist(args)
message = f"Blacklist contains {blacklist['length']} pairs\n"
message += f"`{', '.join(blacklist['blacklist'])}`"
logger.debug(message)
self._send_msg(message)
except RPCException as e:
self._send_msg(str(e), bot=bot)
@authorized_only
def _edge(self, bot: Bot, update: Update) -> None:
"""
Handler for /edge
Shows information related to Edge
"""
try:
edge_pairs = self._rpc_edge()
print(edge_pairs)
edge_pairs_tab = tabulate(edge_pairs, headers='keys', tablefmt='simple')
message = f'<b>Edge only validated following pairs:</b>\n<pre>{edge_pairs_tab}</pre>'
self._send_msg(message, bot=bot, parse_mode=ParseMode.HTML)
except RPCException as e:
self._send_msg(str(e), bot=bot)
@authorized_only
def _help(self, bot: Bot, update: Update) -> None:
"""
@@ -497,6 +532,9 @@ class Telegram(RPC):
"*/stopbuy:* `Stops buying, but handles open trades gracefully` \n" \
"*/reload_conf:* `Reload configuration file` \n" \
"*/whitelist:* `Show current whitelist` \n" \
"*/blacklist [pair]:* `Show current blacklist, or adds one or more pairs " \
"to the blacklist.` \n" \
"*/edge:* `Shows validated pairs by Edge if it is enabeld` \n" \
"*/help:* `This help message`\n" \
"*/version:* `Show version`"

4
freqtrade/tests/conftest.py
View File

@@ -180,6 +180,10 @@ def default_conf():
"LTC/BTC",
"XRP/BTC",
"NEO/BTC"
],
"pair_blacklist": [
"DOGE/BTC",
"HOT/BTC",
]
},
"telegram": {

22
freqtrade/tests/exchange/test_exchange.py
View File

@@ -139,6 +139,28 @@ def test_exchange_resolver(default_conf, mocker, caplog):
caplog.record_tuples)
def test_validate_order_time_in_force(default_conf, mocker, caplog):
caplog.set_level(logging.INFO)
# explicitly test bittrex, exchanges implementing other policies need seperate tests
ex = get_patched_exchange(mocker, default_conf, id="bittrex")
tif = {
"buy": "gtc",
"sell": "gtc",
}
ex.validate_order_time_in_force(tif)
tif2 = {
"buy": "fok",
"sell": "ioc",
}
with pytest.raises(OperationalException, match=r"Time in force.*not supported for .*"):
ex.validate_order_time_in_force(tif2)
# Patch to see if this will pass if the values are in the ft dict
ex._ft_has.update({"order_time_in_force": ["gtc", "fok", "ioc"]})
ex.validate_order_time_in_force(tif2)
def test_symbol_amount_prec(default_conf, mocker):
'''
Test rounds down to 4 Decimal places

2
freqtrade/tests/optimize/test_backtesting.py
View File

@@ -16,6 +16,7 @@ from freqtrade.arguments import Arguments, TimeRange
from freqtrade.data import history
from freqtrade.data.btanalysis import evaluate_result_multi
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.data.dataprovider import DataProvider
from freqtrade.optimize import get_timeframe
from freqtrade.optimize.backtesting import (Backtesting, setup_configuration,
start)
@@ -346,6 +347,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
assert callable(backtesting.strategy.tickerdata_to_dataframe)
assert callable(backtesting.advise_buy)
assert callable(backtesting.advise_sell)
assert isinstance(backtesting.strategy.dp, DataProvider)
get_fee.assert_called()
assert backtesting.fee == 0.5
assert not backtesting.strategy.order_types["stoploss_on_exchange"]

60
freqtrade/tests/rpc/test_rpc.py
View File

@@ -2,20 +2,21 @@
# pragma pylint: disable=invalid-sequence-index, invalid-name, too-many-arguments
from datetime import datetime
from unittest.mock import MagicMock, ANY, PropertyMock
from unittest.mock import ANY, MagicMock, PropertyMock
import pytest
from numpy import isnan
from freqtrade import TemporaryError, DependencyException
from freqtrade.worker import Worker
from freqtrade import DependencyException, TemporaryError
from freqtrade.edge import PairInfo
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import Trade
from freqtrade.rpc import RPC, RPCException
from freqtrade.rpc.fiat_convert import CryptoToFiatConverter
from freqtrade.state import State
from freqtrade.tests.test_freqtradebot import patch_get_signal
from freqtrade.tests.conftest import patch_coinmarketcap, patch_exchange
from freqtrade.tests.test_freqtradebot import patch_get_signal
from freqtrade.worker import Worker
# Functions for recurrent object patching
@@ -731,3 +732,54 @@ def test_rpc_whitelist_dynamic(mocker, default_conf) -> None:
assert ret['method'] == 'VolumePairList'
assert ret['length'] == 4
assert ret['whitelist'] == default_conf['exchange']['pair_whitelist']
def test_rpc_blacklist(mocker, default_conf) -> None:
patch_coinmarketcap(mocker)
patch_exchange(mocker)
mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock())
freqtradebot = FreqtradeBot(default_conf)
rpc = RPC(freqtradebot)
ret = rpc._rpc_blacklist(None)
assert ret['method'] == 'StaticPairList'
assert len(ret['blacklist']) == 2
assert ret['blacklist'] == default_conf['exchange']['pair_blacklist']
assert ret['blacklist'] == ['DOGE/BTC', 'HOT/BTC']
ret = rpc._rpc_blacklist(["ETH/BTC"])
assert ret['method'] == 'StaticPairList'
assert len(ret['blacklist']) == 3
assert ret['blacklist'] == default_conf['exchange']['pair_blacklist']
assert ret['blacklist'] == ['DOGE/BTC', 'HOT/BTC', 'ETH/BTC']
def test_rpc_edge_disabled(mocker, default_conf) -> None:
patch_coinmarketcap(mocker)
patch_exchange(mocker)
mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock())
freqtradebot = FreqtradeBot(default_conf)
rpc = RPC(freqtradebot)
with pytest.raises(RPCException, match=r'Edge is not enabled.'):
rpc._rpc_edge()
def test_rpc_edge_enabled(mocker, edge_conf) -> None:
patch_coinmarketcap(mocker)
patch_exchange(mocker)
mocker.patch('freqtrade.rpc.telegram.Telegram', MagicMock())
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
))
freqtradebot = FreqtradeBot(edge_conf)
rpc = RPC(freqtradebot)
ret = rpc._rpc_edge()
assert len(ret) == 1
assert ret[0]['Pair'] == 'E/F'
assert ret[0]['Winrate'] == 0.66
assert ret[0]['Expectancy'] == 1.71
assert ret[0]['Stoploss'] == -0.02

79
freqtrade/tests/rpc/test_rpc_telegram.py
View File

@@ -13,17 +13,17 @@ from telegram import Chat, Message, Update
from telegram.error import NetworkError
from freqtrade import __version__
from freqtrade.worker import Worker
from freqtrade.edge import PairInfo
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import Trade
from freqtrade.rpc import RPCMessageType
from freqtrade.rpc.telegram import Telegram, authorized_only
from freqtrade.strategy.interface import SellType
from freqtrade.state import State
from freqtrade.tests.conftest import (get_patched_freqtradebot, get_patched_worker, log_has,
patch_exchange)
from freqtrade.strategy.interface import SellType
from freqtrade.tests.conftest import (get_patched_freqtradebot, get_patched_worker,
log_has, patch_coinmarketcap, patch_exchange)
from freqtrade.tests.test_freqtradebot import patch_get_signal
from freqtrade.tests.conftest import patch_coinmarketcap
from freqtrade.worker import Worker
class DummyCls(Telegram):
@@ -75,7 +75,7 @@ def test_init(default_conf, mocker, caplog) -> None:
message_str = "rpc.telegram is listening for following commands: [['status'], ['profit'], " \
"['balance'], ['start'], ['stop'], ['forcesell'], ['forcebuy'], " \
"['performance'], ['daily'], ['count'], ['reload_conf'], " \
"['stopbuy'], ['whitelist'], ['help'], ['version']]"
"['stopbuy'], ['whitelist'], ['blacklist'], ['edge'], ['help'], ['version']]"
assert log_has(message_str, caplog.record_tuples)
@@ -1122,6 +1122,73 @@ def test_whitelist_dynamic(default_conf, update, mocker) -> None:
in msg_mock.call_args_list[0][0][0])
def test_blacklist_static(default_conf, update, mocker) -> None:
patch_coinmarketcap(mocker)
msg_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.rpc.telegram.Telegram',
_init=MagicMock(),
_send_msg=msg_mock
)
freqtradebot = get_patched_freqtradebot(mocker, default_conf)
telegram = Telegram(freqtradebot)
telegram._blacklist(bot=MagicMock(), update=update, args=[])
assert msg_mock.call_count == 1
assert ("Blacklist contains 2 pairs\n`DOGE/BTC, HOT/BTC`"
in msg_mock.call_args_list[0][0][0])
msg_mock.reset_mock()
telegram._blacklist(bot=MagicMock(), update=update, args=["ETH/BTC"])
assert msg_mock.call_count == 1
assert ("Blacklist contains 3 pairs\n`DOGE/BTC, HOT/BTC, ETH/BTC`"
in msg_mock.call_args_list[0][0][0])
assert freqtradebot.pairlists.blacklist == ["DOGE/BTC", "HOT/BTC", "ETH/BTC"]
def test_edge_disabled(default_conf, update, mocker) -> None:
patch_coinmarketcap(mocker)
msg_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.rpc.telegram.Telegram',
_init=MagicMock(),
_send_msg=msg_mock
)
freqtradebot = get_patched_freqtradebot(mocker, default_conf)
telegram = Telegram(freqtradebot)
telegram._edge(bot=MagicMock(), update=update)
assert msg_mock.call_count == 1
assert "Edge is not enabled." in msg_mock.call_args_list[0][0][0]
def test_edge_enabled(edge_conf, update, mocker) -> None:
patch_coinmarketcap(mocker)
msg_mock = MagicMock()
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
))
mocker.patch.multiple(
'freqtrade.rpc.telegram.Telegram',
_init=MagicMock(),
_send_msg=msg_mock
)
freqtradebot = get_patched_freqtradebot(mocker, edge_conf)
telegram = Telegram(freqtradebot)
telegram._edge(bot=MagicMock(), update=update)
assert msg_mock.call_count == 1
assert '<b>Edge only validated following pairs:</b>\n<pre>' in msg_mock.call_args_list[0][0][0]
assert 'Pair Winrate Expectancy Stoploss' in msg_mock.call_args_list[0][0][0]
def test_help_handle(default_conf, update, mocker) -> None:
patch_coinmarketcap(mocker)
msg_mock = MagicMock()

4
freqtrade/tests/strategy/test_strategy.py
View File

@@ -194,11 +194,13 @@ def test_strategy_override_ticker_interval(caplog):
config = {
'strategy': 'DefaultStrategy',
'ticker_interval': 60
'ticker_interval': 60,
'stake_currency': 'ETH'
}
resolver = StrategyResolver(config)
assert resolver.strategy.ticker_interval == 60
assert resolver.strategy.stake_currency == 'ETH'
assert ('freqtrade.resolvers.strategy_resolver',
logging.INFO,
"Override strategy 'ticker_interval' with value in config file: 60."

12
freqtrade/tests/test_freqtradebot.py
View File

@@ -13,13 +13,15 @@ import requests
from freqtrade import (DependencyException, OperationalException,
TemporaryError, constants)
from freqtrade.worker import Worker
from freqtrade.data.dataprovider import DataProvider
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import Trade
from freqtrade.rpc import RPCMessageType
from freqtrade.state import State
from freqtrade.strategy.interface import SellType, SellCheckTuple
from freqtrade.tests.conftest import log_has, log_has_re, patch_exchange, patch_edge, patch_wallet
from freqtrade.strategy.interface import SellCheckTuple, SellType
from freqtrade.tests.conftest import (log_has, log_has_re, patch_edge,
patch_exchange, patch_wallet)
from freqtrade.worker import Worker
# Functions for recurrent object patching
@@ -109,6 +111,10 @@ def test_worker_running(mocker, default_conf, caplog) -> None:
assert state is State.RUNNING
assert log_has('Changing state to: RUNNING', caplog.record_tuples)
assert mock_throttle.call_count == 1
# Check strategy is loaded, and received a dataprovider object
assert freqtrade.strategy
assert freqtrade.strategy.dp
assert isinstance(freqtrade.strategy.dp, DataProvider)
def test_worker_stopped(mocker, default_conf, caplog) -> None: