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Merge branch 'develop' into kraken_support

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iuvbio 2019-02-17 15:21:14 +01:00
commit dd2522d8d0
5 changed files with 40 additions and 56 deletions
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1
config_full.json.example
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@ -3,6 +3,7 @@
"stake_currency": "BTC",
"stake_amount": 0.05,
"fiat_display_currency": "USD",
"amount_reserve_percent" : 0.05,
"dry_run": false,
"ticker_interval": "5m",
"trailing_stop": false,

1
docs/configuration.md
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@ -16,6 +16,7 @@ Mandatory Parameters are marked as **Required**.
| `max_open_trades` | 3 | **Required.** Number of trades open your bot will have. If -1 then it is ignored (i.e. potentially unlimited open trades)
| `stake_currency` | BTC | **Required.** Crypto-currency used for trading.
| `stake_amount` | 0.05 | **Required.** 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. Set it to `"unlimited"` to allow the bot to use all available balance.
| `amount_reserve_percent` | 0.05 | Reserve some amount in min pair stake amount. Default is 5%. The bot will reserve `amount_reserve_percent` + stop-loss value when calculating min pair stake amount in order to avoid possible trade refusals.
| `ticker_interval` | [1m, 5m, 30m, 1h, 1d] | The ticker interval to use (1min, 5 min, 30 min, 1 hour or 1 day). Default is 5 minutes. [Strategy Override](#parameters-in-strategy).
| `fiat_display_currency` | USD | **Required.** Fiat currency used to show your profits. More information below.
| `dry_run` | true | **Required.** Define if the bot must be in Dry-run or production mode.

36
freqtrade/freqtradebot.py
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@ -211,19 +211,11 @@ class FreqtradeBot(object):
self.state = State.STOPPED
return state_changed
def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float:
def get_target_bid(self, pair: str) -> float:
"""
Calculates bid target between current ask price and last price
:param ticker: Ticker to use for getting Ask and Last Price
:return: float: Price
"""
if ticker['ask'] < ticker['last']:
ticker_rate = ticker['ask']
else:
balance = self.config['bid_strategy']['ask_last_balance']
ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
used_rate = ticker_rate
config_bid_strategy = self.config.get('bid_strategy', {})
if 'use_order_book' in config_bid_strategy and\
config_bid_strategy.get('use_order_book', False):
@ -233,15 +225,16 @@ class FreqtradeBot(object):
logger.debug('order_book %s', order_book)
# top 1 = index 0
order_book_rate = order_book['bids'][order_book_top - 1][0]
# if ticker has lower rate, then use ticker ( usefull if down trending )
logger.info('...top %s order book buy rate %0.8f', order_book_top, order_book_rate)
if ticker_rate < order_book_rate:
logger.info('...using ticker rate instead %0.8f', ticker_rate)
used_rate = ticker_rate
else:
used_rate = order_book_rate
used_rate = order_book_rate
else:
logger.info('Using Last Ask / Last Price')
ticker = self.exchange.get_ticker(pair)
if ticker['ask'] < ticker['last']:
ticker_rate = ticker['ask']
else:
balance = self.config['bid_strategy']['ask_last_balance']
ticker_rate = ticker['ask'] + balance * (ticker['last'] - ticker['ask'])
used_rate = ticker_rate
return used_rate
@ -304,7 +297,8 @@ class FreqtradeBot(object):
if not min_stake_amounts:
return None
amount_reserve_percent = 1 - 0.05 # reserve 5% + stoploss
# reserve some percent defined in config (5% default) + stoploss
amount_reserve_percent = 1.0 - self.config.get('amount_reserve_percent', 0.05)
if self.strategy.stoploss is not None:
amount_reserve_percent += self.strategy.stoploss
# it should not be more than 50%
@ -387,7 +381,7 @@ class FreqtradeBot(object):
buy_limit_requested = price
else:
# Calculate amount
buy_limit_requested = self.get_target_bid(pair, self.exchange.get_ticker(pair))
buy_limit_requested = self.get_target_bid(pair)
min_stake_amount = self._get_min_pair_stake_amount(pair_s, buy_limit_requested)
if min_stake_amount is not None and min_stake_amount > stake_amount:
@ -587,7 +581,6 @@ class FreqtradeBot(object):
raise ValueError(f'Attempt to handle closed trade: {trade}')
logger.debug('Handling %s ...', trade)
sell_rate = self.exchange.get_ticker(trade.pair)['bid']
(buy, sell) = (False, False)
experimental = self.config.get('experimental', {})
@ -607,18 +600,15 @@ class FreqtradeBot(object):
for i in range(order_book_min, order_book_max + 1):
order_book_rate = order_book['asks'][i - 1][0]
# if orderbook has higher rate (high profit),
# use orderbook, otherwise just use bids rate
logger.info(' order book asks top %s: %0.8f', i, order_book_rate)
if sell_rate < order_book_rate:
sell_rate = order_book_rate
sell_rate = order_book_rate
if self.check_sell(trade, sell_rate, buy, sell):
return True
else:
logger.debug('checking sell')
sell_rate = self.exchange.get_ticker(trade.pair)['bid']
if self.check_sell(trade, sell_rate, buy, sell):
return True

52
freqtrade/tests/test_freqtradebot.py
View File

@ -841,22 +841,27 @@ def test_process_informative_pairs_added(default_conf, ticker, markets, mocker)
def test_balance_fully_ask_side(mocker, default_conf) -> None:
default_conf['bid_strategy']['ask_last_balance'] = 0.0
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_ticker',
MagicMock(return_value={'ask': 20, 'last': 10}))
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 20
assert freqtrade.get_target_bid('ETH/BTC') == 20
def test_balance_fully_last_side(mocker, default_conf) -> None:
default_conf['bid_strategy']['ask_last_balance'] = 1.0
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_ticker',
MagicMock(return_value={'ask': 20, 'last': 10}))
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 20, 'last': 10}) == 10
assert freqtrade.get_target_bid('ETH/BTC') == 10
def test_balance_bigger_last_ask(mocker, default_conf) -> None:
default_conf['bid_strategy']['ask_last_balance'] = 1.0
freqtrade = get_patched_freqtradebot(mocker, default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 5, 'last': 10}) == 5
mocker.patch('freqtrade.exchange.Exchange.get_ticker',
MagicMock(return_value={'ask': 5, 'last': 10}))
assert freqtrade.get_target_bid('ETH/BTC') == 5
def test_execute_buy(mocker, default_conf, fee, markets, limit_buy_order) -> None:
@ -2813,10 +2818,13 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets)
instead of the ask rate
"""
patch_exchange(mocker)
ticker_mock = MagicMock(return_value={'ask': 0.045, 'last': 0.046})
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_markets=markets,
get_order_book=order_book_l2
get_order_book=order_book_l2,
get_ticker=ticker_mock,
)
default_conf['exchange']['name'] = 'binance'
default_conf['bid_strategy']['use_order_book'] = True
@ -2825,7 +2833,8 @@ def test_order_book_bid_strategy1(mocker, default_conf, order_book_l2, markets)
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.045, 'last': 0.046}) == 0.043935
assert freqtrade.get_target_bid('ETH/BTC') == 0.043935
assert ticker_mock.call_count == 0
def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets) -> None:
@ -2834,10 +2843,13 @@ def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets)
instead of the order book rate (even if enabled)
"""
patch_exchange(mocker)
ticker_mock = MagicMock(return_value={'ask': 0.042, 'last': 0.046})
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_markets=markets,
get_order_book=order_book_l2
get_order_book=order_book_l2,
get_ticker=ticker_mock,
)
default_conf['exchange']['name'] = 'binance'
default_conf['bid_strategy']['use_order_book'] = True
@ -2846,29 +2858,9 @@ def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets)
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.042, 'last': 0.046}) == 0.042
def test_order_book_bid_strategy3(default_conf, mocker, order_book_l2, markets) -> None:
"""
test if function get_target_bid will return ask rate instead
of the order book rate
"""
patch_exchange(mocker)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_markets=markets,
get_order_book=order_book_l2
)
default_conf['exchange']['name'] = 'binance'
default_conf['bid_strategy']['use_order_book'] = True
default_conf['bid_strategy']['order_book_top'] = 1
default_conf['bid_strategy']['ask_last_balance'] = 0
default_conf['telegram']['enabled'] = False
freqtrade = FreqtradeBot(default_conf)
assert freqtrade.get_target_bid('ETH/BTC', {'ask': 0.03, 'last': 0.029}) == 0.03
# ordrebook shall be used even if tickers would be lower.
assert freqtrade.get_target_bid('ETH/BTC', ) != 0.042
assert ticker_mock.call_count == 0
def test_check_depth_of_market_buy(default_conf, mocker, order_book_l2, markets) -> None:

6
requirements.txt
View File

@ -1,5 +1,5 @@
ccxt==1.18.234
SQLAlchemy==1.2.17
ccxt==1.18.243
SQLAlchemy==1.2.18
python-telegram-bot==11.1.0
arrow==0.13.1
cachetools==3.1.0
@ -9,7 +9,7 @@ wrapt==1.11.1
numpy==1.16.1
pandas==0.24.1
scikit-learn==0.20.2
joblib==0.13.1
joblib==0.13.2
scipy==1.2.1
jsonschema==2.6.0
TA-Lib==0.4.17