adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Use candle_type_def where possible

Browse Source
This commit is contained in:
Matthias
2021-12-08 14:10:08 +01:00
parent 222c293602
commit d89cbda7b8
9 changed files with 28 additions and 22 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
freqtrade/configuration/configuration.py
View File

@@ -14,6 +14,7 @@ from freqtrade.configuration.directory_operations import create_datadir, create_
from freqtrade.configuration.environment_vars import enironment_vars_to_dict
from freqtrade.configuration.load_config import load_config_file, load_file
from freqtrade.enums import NON_UTIL_MODES, TRADING_MODES, RunMode
from freqtrade.enums.candletype import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.loggers import setup_logging
from freqtrade.misc import deep_merge_dicts, parse_db_uri_for_logging
@@ -433,6 +434,7 @@ class Configuration:
logstring='Detected --new-pairs-days: {}')
self._args_to_config(config, argname='trading_mode',
logstring='Detected --trading-mode: {}')
config['candle_type_def'] = CandleType.get_default(config.get('trading_mode', 'spot'))
self._args_to_config(config, argname='candle_types',
logstring='Detected --candle-types: {}')

2
freqtrade/data/history/history_utils.py
View File

@@ -260,7 +260,7 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
"""
pairs_not_available = []
data_handler = get_datahandler(datadir, data_format)
candle_type = CandleType.FUTURES if trading_mode == 'futures' else CandleType.SPOT_
candle_type = CandleType.get_default(trading_mode)
for idx, pair in enumerate(pairs, start=1):
if pair not in exchange.markets:
pairs_not_available.append(pair)

7
freqtrade/plugins/pairlist/AgeFilter.py
View File

@@ -10,7 +10,6 @@ from pandas import DataFrame
from freqtrade.configuration import PeriodicCache
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.plugins.pairlist.IPairList import IPairList
@@ -74,7 +73,7 @@ class AgeFilter(IPairList):
:return: new allowlist
"""
needed_pairs: ListPairsWithTimeframes = [
(p, '1d', CandleType.SPOT_) for p in pairlist
(p, '1d', self._config['candle_type_def']) for p in pairlist
if p not in self._symbolsChecked and p not in self._symbolsCheckFailed]
if not needed_pairs:
# Remove pairs that have been removed before
@@ -90,8 +89,8 @@ class AgeFilter(IPairList):
candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False)
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1d', CandleType.SPOT_)] if (
p, '1d', CandleType.SPOT_) in candles else None
daily_candles = candles[(p, '1d', self._config['candle_type_def'])] if (
p, '1d', self._config['candle_type_def']) in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
self.log_once(f"Validated {len(pairlist)} pairs.", logger.info)

7
freqtrade/plugins/pairlist/VolatilityFilter.py
View File

@@ -12,7 +12,6 @@ from cachetools.ttl import TTLCache
from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.plugins.pairlist.IPairList import IPairList
@@ -70,7 +69,7 @@ class VolatilityFilter(IPairList):
:return: new allowlist
"""
needed_pairs: ListPairsWithTimeframes = [
(p, '1d', CandleType.SPOT_) for p in pairlist if p not in self._pair_cache]
(p, '1d', self._config['candle_type_def']) for p in pairlist if p not in self._pair_cache]
since_ms = (arrow.utcnow()
.floor('day')
@@ -84,8 +83,8 @@ class VolatilityFilter(IPairList):
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1d', CandleType.SPOT_)] if (
p, '1d', CandleType.SPOT_) in candles else None
daily_candles = candles[(p, '1d', self._config['candle_type_def'])] if (
p, '1d', self._config['candle_type_def']) in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
return pairlist

10
freqtrade/plugins/pairlist/VolumePairList.py
View File

@@ -11,7 +11,6 @@ import arrow
from cachetools.ttl import TTLCache
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.misc import format_ms_time
@@ -45,6 +44,7 @@ class VolumePairList(IPairList):
self._lookback_days = self._pairlistconfig.get('lookback_days', 0)
self._lookback_timeframe = self._pairlistconfig.get('lookback_timeframe', '1d')
self._lookback_period = self._pairlistconfig.get('lookback_period', 0)
self._def_candletype = self._config['candle_type_def']
if (self._lookback_days > 0) & (self._lookback_period > 0):
raise OperationalException(
@@ -162,7 +162,7 @@ class VolumePairList(IPairList):
f"{self._lookback_timeframe}, starting from {format_ms_time(since_ms)} "
f"till {format_ms_time(to_ms)}", logger.info)
needed_pairs: ListPairsWithTimeframes = [
(p, self._lookback_timeframe, CandleType.SPOT_) for p in
(p, self._lookback_timeframe, self._def_candletype) for p in
[s['symbol'] for s in filtered_tickers]
if p not in self._pair_cache
]
@@ -175,8 +175,10 @@ class VolumePairList(IPairList):
)
for i, p in enumerate(filtered_tickers):
pair_candles = candles[
(p['symbol'], self._lookback_timeframe, CandleType.SPOT_)
] if (p['symbol'], self._lookback_timeframe, CandleType.SPOT_) in candles else None
(p['symbol'], self._lookback_timeframe, self._def_candletype)
] if (
p['symbol'], self._lookback_timeframe, self._def_candletype
) in candles else None
# in case of candle data calculate typical price and quoteVolume for candle
if pair_candles is not None and not pair_candles.empty:
pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']

7
freqtrade/plugins/pairlist/rangestabilityfilter.py
View File

@@ -10,7 +10,6 @@ from cachetools.ttl import TTLCache
from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.plugins.pairlist.IPairList import IPairList
@@ -68,7 +67,7 @@ class RangeStabilityFilter(IPairList):
:return: new allowlist
"""
needed_pairs: ListPairsWithTimeframes = [
(p, '1d', CandleType.SPOT_) for p in pairlist if p not in self._pair_cache]
(p, '1d', self._config['candle_type_def']) for p in pairlist if p not in self._pair_cache]
since_ms = (arrow.utcnow()
.floor('day')
@@ -82,8 +81,8 @@ class RangeStabilityFilter(IPairList):
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1d', CandleType.SPOT_)] if (
p, '1d', CandleType.SPOT_) in candles else None
daily_candles = candles[(p, '1d', self._config['candle_type_def'])] if (
p, '1d', self._config['candle_type_def']) in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
return pairlist

5
freqtrade/strategy/informative_decorator.py
View File

@@ -15,7 +15,7 @@ class InformativeData(NamedTuple):
timeframe: str
fmt: Union[str, Callable[[Any], str], None]
ffill: bool
candle_type: CandleType = CandleType.SPOT_
candle_type: CandleType
def informative(timeframe: str, asset: str = '',
@@ -58,7 +58,8 @@ def informative(timeframe: str, asset: str = '',
def decorator(fn: PopulateIndicators):
informative_pairs = getattr(fn, '_ft_informative', [])
# TODO-lev: Add candle_type to InformativeData
informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill))
informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill,
CandleType.SPOT_))
setattr(fn, '_ft_informative', informative_pairs)
return fn
return decorator

8
freqtrade/strategy/interface.py
View File

@@ -424,7 +424,8 @@ class IStrategy(ABC, HyperStrategyMixin):
informative_pairs = self.informative_pairs()
# Compatibility code for 2 tuple informative pairs
informative_pairs = [
(p[0], p[1], CandleType.from_string(p[2]) if len(p) > 2 else CandleType.SPOT_)
(p[0], p[1], CandleType.from_string(p[2]) if len(
p) > 2 else self.config['candle_type_def'])
for p in informative_pairs]
for inf_data, _ in self._ft_informative:
if inf_data.asset:
@@ -530,8 +531,9 @@ class IStrategy(ABC, HyperStrategyMixin):
dataframe = self.analyze_ticker(dataframe, metadata)
self._last_candle_seen_per_pair[pair] = dataframe.iloc[-1]['date']
if self.dp:
self.dp._set_cached_df(pair, self.timeframe, dataframe, CandleType.SPOT_)
# TODO-lev: CandleType should be set conditionally
self.dp._set_cached_df(
pair, self.timeframe, dataframe,
candle_type=self.config['candle_type_def'])
else:
logger.debug("Skipping TA Analysis for already analyzed candle")
dataframe[SignalType.ENTER_LONG.value] = 0

2
tests/conftest.py
View File

@@ -19,6 +19,7 @@ from freqtrade.commands import Arguments
from freqtrade.data.converter import ohlcv_to_dataframe
from freqtrade.edge import PairInfo
from freqtrade.enums import Collateral, RunMode, TradingMode
from freqtrade.enums.candletype import CandleType
from freqtrade.enums.signaltype import SignalDirection
from freqtrade.exchange import Exchange
from freqtrade.freqtradebot import FreqtradeBot
@@ -459,6 +460,7 @@ def get_default_conf(testdatadir):
"disableparamexport": True,
"internals": {},
"export": "none",
"candle_type_def": CandleType.SPOT,
}
return configuration