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Change ticker interval from minutes as integer to string (1m, 5m, 1h,...)

This commit is contained in:
enenn 2018-03-24 10:21:59 +01:00
parent 616006caf8
commit db46ad6502
21 changed files with 89 additions and 70 deletions
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2
config_full.json.example
View File

@ -4,7 +4,7 @@
"stake_amount": 0.05,
"fiat_display_currency": "USD",
"dry_run": false,
"ticker_interval": 5,
"ticker_interval": "5m",
"minimal_roi": {
"40": 0.0,
"30": 0.01,

2
docs/backtesting.md
View File

@ -33,7 +33,7 @@ python3 ./freqtrade/main.py backtesting --realistic-simulation
**With 1 min tickers**
```bash
python3 ./freqtrade/main.py backtesting --realistic-simulation --ticker-interval 1
python3 ./freqtrade/main.py backtesting --realistic-simulation --ticker-interval 1m
```
**Reload your testdata files**

2
docs/bot-usage.md
View File

@ -118,7 +118,7 @@ optional arguments:
-h, --help show this help message and exit
-l, --live using live data
-i INT, --ticker-interval INT
specify ticker interval in minutes (default: 5)
specify ticker interval (default: '5m')
--realistic-simulation
uses max_open_trades from config to simulate real
world limitations

2
docs/configuration.md
View File

@ -17,7 +17,7 @@ The table below will list all configuration parameters.
| `max_open_trades` | 3 | Yes | Number of trades open your bot will have.
| `stake_currency` | BTC | Yes | Crypto-currency used for trading.
| `stake_amount` | 0.05 | Yes | Amount of crypto-currency your bot will use for each trade. Per default, the bot will use (0.05 BTC x 3) = 0.15 BTC in total will be always engaged.
| `ticker_interval` | [1, 5, 30, 60, 1440] | No | The ticker interval to use (1min, 5 min, 30 min, 1 hour or 1 day). Defaut is 5 minutes
| `ticker_interval` | [1m, 5m, 30m, 1h, 1d] | No | The ticker interval to use (1min, 5 min, 30 min, 1 hour or 1 day). Default is 5 minutes
| `fiat_display_currency` | USD | Yes | Fiat currency used to show your profits. More information below.
| `dry_run` | true | Yes | Define if the bot must be in Dry-run or production mode.
| `minimal_roi` | See below | No | Set the threshold in percent the bot will use to sell a trade. More information below. If set, this parameter will override `minimal_roi` from your strategy file.

8
freqtrade/analyze.py
View File

@ -12,6 +12,7 @@ from freqtrade.exchange import get_ticker_history
from freqtrade.logger import Logger
from freqtrade.persistence import Trade
from freqtrade.strategy.strategy import Strategy
from freqtrade.constants import Constants
class SignalType(Enum):
@ -81,7 +82,7 @@ class Analyze(object):
"""
return self.strategy.populate_sell_trend(dataframe=dataframe)
def get_ticker_interval(self) -> int:
def get_ticker_interval(self) -> str:
"""
Return ticker interval to use
:return: Ticker interval value to use
@ -100,7 +101,7 @@ class Analyze(object):
dataframe = self.populate_sell_trend(dataframe)
return dataframe
def get_signal(self, pair: str, interval: int) -> Tuple[bool, bool]:
def get_signal(self, pair: str, interval: str) -> Tuple[bool, bool]:
"""
Calculates current signal based several technical analysis indicators
:param pair: pair in format ANT/BTC
@ -137,7 +138,8 @@ class Analyze(object):
# Check if dataframe is out of date
signal_date = arrow.get(latest['date'])
if signal_date < arrow.utcnow() - timedelta(minutes=(interval + 5)):
interval_minutes = Constants.TICKER_INTERVAL_MINUTES[interval]
if signal_date < arrow.utcnow() - timedelta(minutes=(interval_minutes + 5)):
self.logger.warning(
'Outdated history for pair %s. Last tick is %s minutes old',
pair,

5
freqtrade/arguments.py
View File

@ -135,10 +135,9 @@ class Arguments(object):
def optimizer_shared_options(parser: argparse.ArgumentParser) -> None:
parser.add_argument(
'-i', '--ticker-interval',
help='specify ticker interval in minutes (1, 5, 30, 60, 1440)',
help='specify ticker interval (1m, 5m, 30m, 1h, 1d)',
dest='ticker_interval',
type=int,
metavar='INT',
type=str,
)
parser.add_argument(
'--realistic-simulation',

2
freqtrade/configuration.py
View File

@ -117,7 +117,7 @@ class Configuration(object):
if 'ticker_interval' in self.args and self.args.ticker_interval:
config.update({'ticker_interval': self.args.ticker_interval})
self.logger.info('Parameter -i/--ticker-interval detected ...')
self.logger.info('Using ticker_interval: %d ...', config.get('ticker_interval'))
self.logger.info('Using ticker_interval: %s ...', config.get('ticker_interval'))
# If -l/--live is used we add it to the configuration
if 'live' in self.args and self.args.live:

16
freqtrade/constants.py
View File

@ -16,12 +16,26 @@ class Constants(object):
RETRY_TIMEOUT = 30 # sec
DEFAULT_STRATEGY = 'default_strategy'
TICKER_INTERVAL_MINUTES = {
'1m': 1,
'5m': 5,
'15m': 15,
'30m': 30,
'1h': 60,
'2h': 120,
'4h': 240,
'6h': 360,
'12h': 720,
'1d': 1440,
'1w': 10080,
}
# Required json-schema for user specified config
CONF_SCHEMA = {
'type': 'object',
'properties': {
'max_open_trades': {'type': 'integer', 'minimum': 1},
'ticker_interval': {'type': 'integer', 'enum': [1, 5, 30, 60, 1440]},
'ticker_interval': {'type': 'string', 'enum': list(TICKER_INTERVAL_MINUTES.keys())},
'stake_currency': {'type': 'string', 'enum': ['BTC', 'ETH', 'USDT']},
'stake_amount': {'type': 'number', 'minimum': 0.0005},
'fiat_display_currency': {'type': 'string', 'enum': ['AUD', 'BRL', 'CAD', 'CHF',

15
freqtrade/optimize/__init__.py
View File

@ -27,7 +27,7 @@ def trim_tickerlist(tickerlist: List[Dict], timerange: Tuple[Tuple, int, int]) -
def load_tickerdata_file(
datadir: str, pair: str,
ticker_interval: int,
ticker_interval: str,
timerange: Optional[Tuple[Tuple, int, int]] = None) -> Optional[List[Dict]]:
"""
Load a pair from file,
@ -59,7 +59,8 @@ def load_tickerdata_file(
return pairdata
def load_data(datadir: str, ticker_interval: int,
def load_data(datadir: str,
ticker_interval: str,
pairs: Optional[List[str]] = None,
refresh_pairs: Optional[bool] = False,
timerange: Optional[Tuple[Tuple, int, int]] = None) -> Dict[str, List]:
@ -96,14 +97,14 @@ def make_testdata_path(datadir: str) -> str:
)
def download_pairs(datadir, pairs: List[str], ticker_interval: int) -> bool:
def download_pairs(datadir, pairs: List[str], ticker_interval: str) -> bool:
"""For each pairs passed in parameters, download the ticker intervals"""
for pair in pairs:
try:
download_backtesting_testdata(datadir, pair=pair, interval=ticker_interval)
except BaseException:
logger.info(
'Failed to download the pair: "%s", Interval: %s min',
'Failed to download the pair: "%s", Interval: %s',
pair,
ticker_interval
)
@ -112,7 +113,7 @@ def download_pairs(datadir, pairs: List[str], ticker_interval: int) -> bool:
# FIX: 20180110, suggest rename interval to tick_interval
def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) -> bool:
def download_backtesting_testdata(datadir: str, pair: str, interval: str = '5m') -> bool:
"""
Download the latest 1 and 5 ticker intervals from Bittrex for the pairs passed in parameters
Based on @Rybolov work: https://github.com/rybolov/freqtrade-data
@ -122,7 +123,7 @@ def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) ->
path = make_testdata_path(datadir)
logger.info(
'Download the pair: "%s", Interval: %s min',
'Download the pair: "%s", Interval: %s',
pair,
interval
)
@ -143,7 +144,7 @@ def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) ->
logger.debug("Current Start: None")
logger.debug("Current End: None")
new_data = get_ticker_history(pair=pair, tick_interval=int(interval))
new_data = get_ticker_history(pair=pair, tick_interval=interval)
for row in new_data:
if row not in data:
data.append(row)

2
freqtrade/strategy/strategy.py
View File

@ -65,7 +65,7 @@ class Strategy(object):
# Optimal stoploss designed for the strategy
self.stoploss = float(self.custom_strategy.stoploss)
self.ticker_interval = int(self.custom_strategy.ticker_interval)
self.ticker_interval = self.custom_strategy.ticker_interval
def _load_strategy(self, strategy_name: str) -> None:
"""

51
freqtrade/tests/conftest.py
View File

@ -128,31 +128,32 @@ def ticker_sell_down():
@pytest.fixture
def health():
return MagicMock(return_value={
"ETH/BTC": {
'base': 'ETH',
'active': True,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
},
"TRST/BTC": {
'base': 'TRST',
'active': True,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
},
"SWT/BTC": {
'base': 'SWT',
'active': True,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
},
"BCC/BTC": {
'base': 'BCC',
'active': False,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
}})
return MagicMock(return_value=[{
'Currency': 'BTC',
'IsActive': True,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
}, {
'Currency': 'ETH',
'IsActive': True,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
}, {
'Currency': 'TRST',
'IsActive': True,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
}, {
'Currency': 'SWT',
'IsActive': True,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
}, {
'Currency': 'BCC',
'IsActive': False,
'LastChecked': '2017-11-13T20:15:00.00',
'Notice': None
}])
@pytest.fixture

4
freqtrade/tests/optimize/test_hyperopt.py
View File

@ -416,7 +416,7 @@ def test_populate_indicators() -> None:
"""
Test Hyperopt.populate_indicators()
"""
tick = load_tickerdata_file(None, 'UNITTEST/BTC', 1)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': tick}
dataframes = _HYPEROPT.tickerdata_to_dataframe(tickerlist)
dataframe = _HYPEROPT.populate_indicators(dataframes['UNITTEST/BTC'])
@ -431,7 +431,7 @@ def test_buy_strategy_generator() -> None:
"""
Test Hyperopt.buy_strategy_generator()
"""
tick = load_tickerdata_file(None, 'UNITTEST/BTC', 1)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': tick}
dataframes = _HYPEROPT.tickerdata_to_dataframe(tickerlist)
dataframe = _HYPEROPT.populate_indicators(dataframes['UNITTEST/BTC'])

8
freqtrade/tests/optimize/test_optimize.py
View File

@ -167,7 +167,7 @@ def test_download_backtesting_testdata(ticker_history, mocker) -> None:
# Download a 1 min ticker file
file1 = 'freqtrade/tests/testdata/XEL_BTC-1m.json'
_backup_file(file1)
download_backtesting_testdata(None, pair="XEL/BTC", interval=1)
download_backtesting_testdata(None, pair="XEL/BTC", interval='1m')
assert os.path.isfile(file1) is True
_clean_test_file(file1)
@ -175,7 +175,7 @@ def test_download_backtesting_testdata(ticker_history, mocker) -> None:
file2 = 'freqtrade/tests/testdata/STORJ_BTC-5m.json'
_backup_file(file2)
download_backtesting_testdata(None, pair="STORJ/BTC", interval=5)
download_backtesting_testdata(None, pair="STORJ/BTC", interval='5m')
assert os.path.isfile(file2) is True
_clean_test_file(file2)
@ -184,8 +184,8 @@ def test_download_backtesting_testdata2(mocker) -> None:
tick = [{'T': 'bar'}, {'T': 'foo'}]
mocker.patch('freqtrade.misc.file_dump_json', return_value=None)
mocker.patch('freqtrade.optimize.__init__.get_ticker_history', return_value=tick)
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", interval=1)
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", interval=3)
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", interval='1m')
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", interval='3m')
def test_load_tickerdata_file() -> None:

2
freqtrade/tests/strategy/test_default_strategy.py
View File

@ -9,7 +9,7 @@ from freqtrade.strategy.default_strategy import DefaultStrategy, class_name
@pytest.fixture
def result():
with open('freqtrade/tests/testdata/ETH_BTC-1.json') as data_file:
with open('freqtrade/tests/testdata/ETH_BTC-1m.json') as data_file:
return Analyze.parse_ticker_dataframe(json.load(data_file))

20
freqtrade/tests/test_analyze.py
View File

@ -74,7 +74,7 @@ def test_returns_latest_buy_signal(mocker):
return_value=DataFrame([{'buy': 1, 'sell': 0, 'date': arrow.utcnow()}])
)
)
assert _ANALYZE.get_signal('ETH/BTC', 5) == (True, False)
assert _ANALYZE.get_signal('ETH/BTC', '5m') == (True, False)
mocker.patch.multiple(
'freqtrade.analyze.Analyze',
@ -82,7 +82,7 @@ def test_returns_latest_buy_signal(mocker):
return_value=DataFrame([{'buy': 0, 'sell': 1, 'date': arrow.utcnow()}])
)
)
assert _ANALYZE.get_signal('ETH/BTC', 5) == (False, True)
assert _ANALYZE.get_signal('ETH/BTC', '5m') == (False, True)
def test_returns_latest_sell_signal(mocker):
@ -94,7 +94,7 @@ def test_returns_latest_sell_signal(mocker):
)
)
assert _ANALYZE.get_signal('ETH/BTC', 5) == (False, True)
assert _ANALYZE.get_signal('ETH/BTC', '5m') == (False, True)
mocker.patch.multiple(
'freqtrade.analyze.Analyze',
@ -102,13 +102,13 @@ def test_returns_latest_sell_signal(mocker):
return_value=DataFrame([{'sell': 0, 'buy': 1, 'date': arrow.utcnow()}])
)
)
assert _ANALYZE.get_signal('ETH/BTC', 5) == (True, False)
assert _ANALYZE.get_signal('ETH/BTC', '5m') == (True, False)
def test_get_signal_empty(default_conf, mocker, caplog):
caplog.set_level(logging.INFO)
mocker.patch('freqtrade.analyze.get_ticker_history', return_value=None)
assert (False, False) == _ANALYZE.get_signal('foo', int(default_conf['ticker_interval']))
assert (False, False) == _ANALYZE.get_signal('foo', default_conf['ticker_interval'])
assert log_has('Empty ticker history for pair foo', caplog.record_tuples)
@ -121,7 +121,7 @@ def test_get_signal_exception_valueerror(default_conf, mocker, caplog):
side_effect=ValueError('xyz')
)
)
assert (False, False) == _ANALYZE.get_signal('foo', int(default_conf['ticker_interval']))
assert (False, False) == _ANALYZE.get_signal('foo', default_conf['ticker_interval'])
assert log_has('Unable to analyze ticker for pair foo: xyz', caplog.record_tuples)
@ -134,7 +134,7 @@ def test_get_signal_empty_dataframe(default_conf, mocker, caplog):
return_value=DataFrame([])
)
)
assert (False, False) == _ANALYZE.get_signal('xyz', int(default_conf['ticker_interval']))
assert (False, False) == _ANALYZE.get_signal('xyz', default_conf['ticker_interval'])
assert log_has('Empty dataframe for pair xyz', caplog.record_tuples)
@ -150,7 +150,7 @@ def test_get_signal_old_dataframe(default_conf, mocker, caplog):
return_value=DataFrame(ticks)
)
)
assert (False, False) == _ANALYZE.get_signal('xyz', int(default_conf['ticker_interval']))
assert (False, False) == _ANALYZE.get_signal('xyz', default_conf['ticker_interval'])
assert log_has(
'Outdated history for pair xyz. Last tick is 11 minutes old',
caplog.record_tuples
@ -166,7 +166,7 @@ def test_get_signal_handles_exceptions(mocker):
)
)
assert _ANALYZE.get_signal('ETH/BTC', 5) == (False, False)
assert _ANALYZE.get_signal('ETH/BTC', '5m') == (False, False)
def test_parse_ticker_dataframe(ticker_history, ticker_history_without_bv):
@ -188,7 +188,7 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
analyze = Analyze(default_conf)
timerange = ((None, 'line'), None, -100)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', 1, timerange=timerange)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': tick}
data = analyze.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 100

4
freqtrade/tests/test_arguments.py
View File

@ -106,7 +106,7 @@ def test_parse_args_backtesting_custom() -> None:
'-c', 'test_conf.json',
'backtesting',
'--live',
'--ticker-interval', '1',
'--ticker-interval', '1m',
'--refresh-pairs-cached']
call_args = Arguments(args, '').get_parsed_arg()
assert call_args.config == 'test_conf.json'
@ -114,7 +114,7 @@ def test_parse_args_backtesting_custom() -> None:
assert call_args.loglevel == logging.INFO
assert call_args.subparser == 'backtesting'
assert call_args.func is not None
assert call_args.ticker_interval == 1
assert call_args.ticker_interval == '1m'
assert call_args.refresh_pairs is True

2
freqtrade/tests/test_configuration.py
View File

@ -257,7 +257,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non
assert 'ticker_interval' in config
assert log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
assert log_has(
'Using ticker_interval: 1 ...',
'Using ticker_interval: 1m ...',
caplog.record_tuples
)

2
freqtrade/tests/test_dataframe.py
View File

@ -10,7 +10,7 @@ _pairs = ['ETH/BTC']
def load_dataframe_pair(pairs):
ld = load_data(None, ticker_interval=5, pairs=pairs)
ld = load_data(None, ticker_interval='5m', pairs=pairs)
assert isinstance(ld, dict)
assert isinstance(pairs[0], str)
dataframe = ld[pairs[0]]

2
freqtrade/tests/test_misc.py
View File

@ -50,7 +50,7 @@ def test_common_datearray(default_conf, mocker) -> None:
mocker.patch('freqtrade.strategy.strategy.Strategy', MagicMock())
analyze = Analyze(default_conf)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', 1)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': tick}
dataframes = analyze.tickerdata_to_dataframe(tickerlist)

2
freqtrade/tests/testdata/download_backtest_data.py vendored
View File

@ -17,7 +17,7 @@ parser.add_argument(
)
args = parser.parse_args(sys.argv[1:])
TICKER_INTERVALS = [1, 5] # ticker interval in minutes (currently implemented: 1 and 5)
TICKER_INTERVALS = ['1m', '5m'] # ticker interval in minutes (currently implemented: 1 and 5)
PAIRS = []
if args.pair:

6
scripts/plot_profit.py
View File

@ -25,6 +25,7 @@ from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
from freqtrade.analyze import Analyze
from freqtrade.logger import Logger
from freqtrade.constants import Constants
import freqtrade.optimize as optimize
import freqtrade.misc as misc
@ -187,11 +188,12 @@ def plot_profit(args: Namespace) -> None:
plot(fig, filename='freqtrade-profit-plot.html')
def define_index(min_date: int, max_date: int, interval: int) -> int:
def define_index(min_date: int, max_date: int, interval: str) -> int:
"""
Return the index of a specific date
"""
return int((max_date - min_date) / (interval * 60))
interval_minutes = Constants.TICKER_INTERVAL_MINUTES[interval]
return int((max_date - min_date) / (interval_minutes * 60))
def plot_parse_args(args: List[str]) -> Namespace: