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Merge branch 'develop' into feat_readjust_entry

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This commit is contained in:
eSeR1805
2022-04-16 15:20:50 +03:00
parent 237d116d8c 4019c05fee
commit d65b64a46f
35 changed files with 247 additions and 110 deletions
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2
freqtrade/configuration/PeriodicCache.py
View File

@@ -16,4 +16,4 @@ class PeriodicCache(TTLCache):
return ts - offset
# Init with smlight offset
super().__init__(maxsize=maxsize, ttl=ttl-1e-5, timer=local_timer, getsizeof=getsizeof)
super().__init__(maxsize=maxsize, ttl=ttl - 1e-5, timer=local_timer, getsizeof=getsizeof)

2
freqtrade/configuration/load_config.py
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@@ -31,7 +31,7 @@ def log_config_error_range(path: str, errmsg: str) -> str:
offset = int(offsetlist[0])
text = Path(path).read_text()
# Fetch an offset of 80 characters around the error line
subtext = text[offset-min(80, offset):offset+80]
subtext = text[offset - min(80, offset):offset + 80]
segments = subtext.split('\n')
if len(segments) > 3:
# Remove first and last lines, to avoid odd truncations

37
freqtrade/data/btanalysis.py
View File

@@ -149,7 +149,14 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]:
return data
def _load_and_merge_backtest_result(strategy_name: str, filename: Path, results: Dict[str, Any]):
def load_and_merge_backtest_result(strategy_name: str, filename: Path, results: Dict[str, Any]):
"""
Load one strategy from multi-strategy result
and merge it with results
:param strategy_name: Name of the strategy contained in the result
:param filename: Backtest-result-filename to load
:param results: dict to merge the result to.
"""
bt_data = load_backtest_stats(filename)
for k in ('metadata', 'strategy'):
results[k][strategy_name] = bt_data[k][strategy_name]
@@ -160,6 +167,30 @@ def _load_and_merge_backtest_result(strategy_name: str, filename: Path, results:
break
def _get_backtest_files(dirname: Path) -> List[Path]:
return list(reversed(sorted(dirname.glob('backtest-result-*-[0-9][0-9].json'))))
def get_backtest_resultlist(dirname: Path):
"""
Get list of backtest results read from metadata files
"""
results = []
for filename in _get_backtest_files(dirname):
metadata = load_backtest_metadata(filename)
if not metadata:
continue
for s, v in metadata.items():
results.append({
'filename': filename.name,
'strategy': s,
'run_id': v['run_id'],
'backtest_start_time': v['backtest_start_time'],
})
return results
def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, str],
min_backtest_date: datetime = None) -> Dict[str, Any]:
"""
@@ -179,7 +210,7 @@ def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, s
}
# Weird glob expression here avoids including .meta.json files.
for filename in reversed(sorted(dirname.glob('backtest-result-*-[0-9][0-9].json'))):
for filename in _get_backtest_files(dirname):
metadata = load_backtest_metadata(filename)
if not metadata:
# Files are sorted from newest to oldest. When file without metadata is encountered it
@@ -202,7 +233,7 @@ def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, s
if strategy_metadata['run_id'] == run_id:
del run_ids[strategy_name]
_load_and_merge_backtest_result(strategy_name, filename, results)
load_and_merge_backtest_result(strategy_name, filename, results)
if len(run_ids) == 0:
break

4
freqtrade/exchange/exchange.py
View File

@@ -651,7 +651,7 @@ class Exchange:
Re-implementation of ccxt internal methods - ensuring we can test the result is correct
based on our definitions.
"""
if self.markets[pair]['precision']['amount']:
if self.markets[pair]['precision']['amount'] is not None:
amount = float(decimal_to_precision(amount, rounding_mode=TRUNCATE,
precision=self.markets[pair]['precision']['amount'],
counting_mode=self.precisionMode,
@@ -2177,7 +2177,7 @@ class Exchange:
lev = tier['lev']
if tier_index < len(pair_tiers) - 1:
next_tier = pair_tiers[tier_index+1]
next_tier = pair_tiers[tier_index + 1]
next_floor = next_tier['min'] / next_tier['lev']
if next_floor > stake_amount: # Next tier min too high for stake amount
return min((tier['max'] / stake_amount), lev)

6
freqtrade/leverage/interest.py
View File

@@ -31,13 +31,13 @@ def interest(
"""
exchange_name = exchange_name.lower()
if exchange_name == "binance":
return borrowed * rate * ceil(hours)/twenty_four
return borrowed * rate * ceil(hours) / twenty_four
elif exchange_name == "kraken":
# Rounded based on https://kraken-fees-calculator.github.io/
return borrowed * rate * (one+ceil(hours/four))
return borrowed * rate * (one + ceil(hours / four))
elif exchange_name == "ftx":
# As Explained under #Interest rates section in
# https://help.ftx.com/hc/en-us/articles/360053007671-Spot-Margin-Trading-Explainer
return borrowed * rate * ceil(hours)/twenty_four
return borrowed * rate * ceil(hours) / twenty_four
else:
raise OperationalException(f"Leverage not available on {exchange_name} with freqtrade")

2
freqtrade/misc.py
View File

@@ -126,7 +126,7 @@ def format_ms_time(date: int) -> str:
convert MS date to readable format.
: epoch-string in ms
"""
return datetime.fromtimestamp(date/1000.0).strftime('%Y-%m-%dT%H:%M:%S')
return datetime.fromtimestamp(date / 1000.0).strftime('%Y-%m-%dT%H:%M:%S')
def deep_merge_dicts(source, destination, allow_null_overrides: bool = True):

10
freqtrade/optimize/hyperopt_tools.py
View File

@@ -390,8 +390,8 @@ class HyperoptTools():
lambda x: '{} {}'.format(
round_coin_value(x['Total profit'], stake_currency, keep_trailing_zeros=True),
f"({x['Profit']:,.2%})".rjust(10, ' ')
).rjust(25+len(stake_currency))
if x['Total profit'] != 0.0 else '--'.rjust(25+len(stake_currency)),
).rjust(25 + len(stake_currency))
if x['Total profit'] != 0.0 else '--'.rjust(25 + len(stake_currency)),
axis=1
)
trials = trials.drop(columns=['Total profit'])
@@ -399,11 +399,11 @@ class HyperoptTools():
if print_colorized:
for i in range(len(trials)):
if trials.loc[i]['is_profit']:
for j in range(len(trials.loc[i])-3):
for j in range(len(trials.loc[i]) - 3):
trials.iat[i, j] = "{}{}{}".format(Fore.GREEN,
str(trials.loc[i][j]), Fore.RESET)
if trials.loc[i]['is_best'] and highlight_best:
for j in range(len(trials.loc[i])-3):
for j in range(len(trials.loc[i]) - 3):
trials.iat[i, j] = "{}{}{}".format(Style.BRIGHT,
str(trials.loc[i][j]), Style.RESET_ALL)
@@ -459,7 +459,7 @@ class HyperoptTools():
'loss', 'is_initial_point', 'is_best']
perc_multi = 100
param_metrics = [("params_dict."+param) for param in results[0]['params_dict'].keys()]
param_metrics = [("params_dict." + param) for param in results[0]['params_dict'].keys()]
trials = trials[base_metrics + param_metrics]
base_columns = ['Best', 'Epoch', 'Trades', 'Avg profit', 'Median profit', 'Total profit',

8
freqtrade/persistence/models.py
View File

@@ -360,7 +360,7 @@ class LocalTrade():
if self.has_no_leverage:
return 0.0
elif not self.is_short:
return (self.amount * self.open_rate) * ((self.leverage-1)/self.leverage)
return (self.amount * self.open_rate) * ((self.leverage - 1) / self.leverage)
else:
return self.amount
@@ -747,7 +747,7 @@ class LocalTrade():
now = (self.close_date or datetime.now(timezone.utc)).replace(tzinfo=None)
sec_per_hour = Decimal(3600)
total_seconds = Decimal((now - open_date).total_seconds())
hours = total_seconds/sec_per_hour or zero
hours = total_seconds / sec_per_hour or zero
rate = Decimal(interest_rate or self.interest_rate)
borrowed = Decimal(self.borrowed)
@@ -861,9 +861,9 @@ class LocalTrade():
return 0.0
else:
if self.is_short:
profit_ratio = (1 - (close_trade_value/self.open_trade_value)) * leverage
profit_ratio = (1 - (close_trade_value / self.open_trade_value)) * leverage
else:
profit_ratio = ((close_trade_value/self.open_trade_value) - 1) * leverage
profit_ratio = ((close_trade_value / self.open_trade_value) - 1) * leverage
return float(f"{profit_ratio:.8f}")

2
freqtrade/plugins/pairlist/VolatilityFilter.py
View File

@@ -107,7 +107,7 @@ class VolatilityFilter(IPairList):
returns = (np.log(daily_candles.close / daily_candles.close.shift(-1)))
returns.fillna(0, inplace=True)
volatility_series = returns.rolling(window=self._days).std()*np.sqrt(self._days)
volatility_series = returns.rolling(window=self._days).std() * np.sqrt(self._days)
volatility_avg = volatility_series.mean()
if self._min_volatility <= volatility_avg <= self._max_volatility:

32
freqtrade/rpc/api_server/api_backtest.py
View File

@@ -1,13 +1,16 @@
import asyncio
import logging
from copy import deepcopy
from typing import Any, Dict, List
from fastapi import APIRouter, BackgroundTasks, Depends
from freqtrade.configuration.config_validation import validate_config_consistency
from freqtrade.data.btanalysis import get_backtest_resultlist, load_and_merge_backtest_result
from freqtrade.enums import BacktestState
from freqtrade.exceptions import DependencyException
from freqtrade.rpc.api_server.api_schemas import BacktestRequest, BacktestResponse
from freqtrade.rpc.api_server.api_schemas import (BacktestHistoryEntry, BacktestRequest,
BacktestResponse)
from freqtrade.rpc.api_server.deps import get_config, is_webserver_mode
from freqtrade.rpc.api_server.webserver import ApiServer
from freqtrade.rpc.rpc import RPCException
@@ -200,3 +203,30 @@ def api_backtest_abort(ws_mode=Depends(is_webserver_mode)):
"progress": 0,
"status_msg": "Backtest ended",
}
@router.get('/backtest/history', response_model=List[BacktestHistoryEntry], tags=['webserver', 'backtest'])
def api_backtest_history(config=Depends(get_config), ws_mode=Depends(is_webserver_mode)):
# Get backtest result history, read from metadata files
return get_backtest_resultlist(config['user_data_dir'] / 'backtest_results')
@router.get('/backtest/history/result', response_model=BacktestResponse, tags=['webserver', 'backtest'])
def api_backtest_history_result(filename: str, strategy: str, config=Depends(get_config), ws_mode=Depends(is_webserver_mode)):
# Get backtest result history, read from metadata files
fn = config['user_data_dir'] / 'backtest_results' / filename
results: Dict[str, Any] = {
'metadata': {},
'strategy': {},
'strategy_comparison': [],
}
load_and_merge_backtest_result(strategy, fn, results)
return {
"status": "ended",
"running": False,
"step": "",
"progress": 1,
"status_msg": "Historic result",
"backtest_result": results,
}

7
freqtrade/rpc/api_server/api_schemas.py
View File

@@ -421,6 +421,13 @@ class BacktestResponse(BaseModel):
backtest_result: Optional[Dict[str, Any]]
class BacktestHistoryEntry(BaseModel):
filename: str
strategy: str
run_id: str
backtest_start_time: int
class SysInfo(BaseModel):
cpu_pct: List[float]
ram_pct: float

3
freqtrade/rpc/api_server/api_v1.py
View File

@@ -35,7 +35,8 @@ logger = logging.getLogger(__name__)
# 1.13: forcebuy supports stake_amount
# versions 2.xx -> futures/short branch
# 2.14: Add entry/exit orders to trade response
API_VERSION = 2.14
# 2.15: Add backtest history endpoints
API_VERSION = 2.15
# Public API, requires no auth.
router_public = APIRouter()

11
freqtrade/rpc/telegram.py
View File

@@ -387,7 +387,7 @@ class Telegram(RPCHandler):
else:
return "\N{CROSS MARK}"
def _prepare_entry_details(self, filled_orders: List, base_currency: str, is_open: bool):
def _prepare_entry_details(self, filled_orders: List, quote_currency: str, is_open: bool):
"""
Prepare details of trade with entry adjustment enabled
"""
@@ -405,7 +405,7 @@ class Telegram(RPCHandler):
if x == 0:
lines.append(f"*Entry #{x+1}:*")
lines.append(
f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {base_currency})")
f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})")
lines.append(f"*Average Entry Price:* {cur_entry_average}")
else:
sumA = 0
@@ -419,7 +419,8 @@ class Telegram(RPCHandler):
if prev_avg_price:
minus_on_entry = (cur_entry_average - prev_avg_price) / prev_avg_price
dur_entry = cur_entry_datetime - arrow.get(filled_orders[x-1]["order_filled_date"])
dur_entry = cur_entry_datetime - arrow.get(
filled_orders[x - 1]["order_filled_date"])
days = dur_entry.days
hours, remainder = divmod(dur_entry.seconds, 3600)
minutes, seconds = divmod(remainder, 60)
@@ -428,7 +429,7 @@ class Telegram(RPCHandler):
lines.append("({})".format(cur_entry_datetime
.humanize(granularity=["day", "hour", "minute"])))
lines.append(
f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {base_currency})")
f"*Entry Amount:* {cur_entry_amount} ({order['cost']:.8f} {quote_currency})")
lines.append(f"*Average Entry Price:* {cur_entry_average} "
f"({price_to_1st_entry:.2%} from 1st entry rate)")
lines.append(f"*Order filled at:* {order['order_filled_date']}")
@@ -471,7 +472,7 @@ class Telegram(RPCHandler):
"*Current Pair:* {pair}",
"*Direction:* " + ("`Short`" if r.get('is_short') else "`Long`"),
"*Leverage:* `{leverage}`" if r.get('leverage') else "",
"*Amount:* `{amount} ({stake_amount} {base_currency})`",
"*Amount:* `{amount} ({stake_amount} {quote_currency})`",
"*Enter Tag:* `{enter_tag}`" if r['enter_tag'] else "",
"*Exit Reason:* `{exit_reason}`" if r['exit_reason'] else "",
]

26
freqtrade/strategy/interface.py
View File

@@ -206,18 +206,18 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
pass
def check_buy_timeout(self, pair: str, trade: Trade, order: dict,
def check_buy_timeout(self, pair: str, trade: Trade, order: Order,
current_time: datetime, **kwargs) -> bool:
"""
DEPRECATED: Please use `check_entry_timeout` instead.
"""
return False
def check_entry_timeout(self, pair: str, trade: Trade, order: dict,
def check_entry_timeout(self, pair: str, trade: Trade, order: Order,
current_time: datetime, **kwargs) -> bool:
"""
Check entry timeout function callback.
This method can be used to override the enter-timeout.
This method can be used to override the entry-timeout.
It is called whenever a limit entry order has been created,
and is not yet fully filled.
Configuration options in `unfilledtimeout` will be verified before this,
@@ -225,8 +225,8 @@ class IStrategy(ABC, HyperStrategyMixin):
When not implemented by a strategy, this simply returns False.
:param pair: Pair the trade is for
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param trade: Trade object.
:param order: Order object.
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the entry order is cancelled.
@@ -234,30 +234,30 @@ class IStrategy(ABC, HyperStrategyMixin):
return self.check_buy_timeout(
pair=pair, trade=trade, order=order, current_time=current_time)
def check_sell_timeout(self, pair: str, trade: Trade, order: dict,
def check_sell_timeout(self, pair: str, trade: Trade, order: Order,
current_time: datetime, **kwargs) -> bool:
"""
DEPRECATED: Please use `check_exit_timeout` instead.
"""
return False
def check_exit_timeout(self, pair: str, trade: Trade, order: dict,
def check_exit_timeout(self, pair: str, trade: Trade, order: Order,
current_time: datetime, **kwargs) -> bool:
"""
Check sell timeout function callback.
Check exit timeout function callback.
This method can be used to override the exit-timeout.
It is called whenever a (long) limit sell order or (short) limit buy
has been created, and is not yet fully filled.
It is called whenever a limit exit order has been created,
and is not yet fully filled.
Configuration options in `unfilledtimeout` will be verified before this,
so ensure to set these timeouts high enough.
When not implemented by a strategy, this simply returns False.
:param pair: Pair the trade is for
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param trade: Trade object.
:param order: Order object
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the (long)sell/(short)buy-order is cancelled.
:return bool: When True is returned, then the exit-order is cancelled.
"""
return self.check_sell_timeout(
pair=pair, trade=trade, order=order, current_time=current_time)

4
freqtrade/strategy/strategy_helper.py
View File

@@ -93,9 +93,9 @@ def stoploss_from_open(
return 1
if is_short is True:
stoploss = -1+((1-open_relative_stop)/(1-current_profit))
stoploss = -1 + ((1 - open_relative_stop) / (1 - current_profit))
else:
stoploss = 1-((1+open_relative_stop)/(1+current_profit))
stoploss = 1 - ((1 + open_relative_stop) / (1 + current_profit))
# negative stoploss values indicate the requested stop price is higher/lower
# (long/short) than the current price

18
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@@ -191,7 +191,8 @@ def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount:
"""
return True
def check_entry_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
def check_entry_timeout(self, pair: str, trade: 'Trade', order: 'Order',
current_time: datetime, **kwargs) -> bool:
"""
Check entry timeout function callback.
This method can be used to override the entry-timeout.
@@ -204,14 +205,16 @@ def check_entry_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs)
When not implemented by a strategy, this simply returns False.
:param pair: Pair the trade is for
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param trade: Trade object.
:param order: Order object.
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the buy-order is cancelled.
:return bool: When True is returned, then the entry order is cancelled.
"""
return False
def check_exit_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -> bool:
def check_exit_timeout(self, pair: str, trade: 'Trade', order: 'Order',
current_time: datetime, **kwargs) -> bool:
"""
Check exit timeout function callback.
This method can be used to override the exit-timeout.
@@ -224,8 +227,9 @@ def check_exit_timeout(self, pair: str, trade: 'Trade', order: dict, **kwargs) -
When not implemented by a strategy, this simply returns False.
:param pair: Pair the trade is for
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param trade: Trade object.
:param order: Order object.
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the exit-order is cancelled.
"""