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Merge branch 'develop' into pr/TreborNamor/5607

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Matthias
2021-10-24 08:55:10 +02:00
parent ca973c05d1 b4bedc22d7
commit dffb4c5d53
75 changed files with 2416 additions and 1389 deletions
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4
freqtrade/commands/__init__.py
View File

@@ -8,8 +8,8 @@ Note: Be careful with file-scoped imports in these subfiles.
"""
from freqtrade.commands.arguments import Arguments
from freqtrade.commands.build_config_commands import start_new_config
from freqtrade.commands.data_commands import (start_convert_data, start_download_data,
start_list_data)
from freqtrade.commands.data_commands import (start_convert_data, start_convert_trades,
start_download_data, start_list_data)
from freqtrade.commands.deploy_commands import (start_create_userdir, start_install_ui,
start_new_strategy)
from freqtrade.commands.hyperopt_commands import start_hyperopt_list, start_hyperopt_show

45
freqtrade/commands/arguments.py
View File

@@ -23,7 +23,8 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
"enable_protections", "dry_run_wallet", "timeframe_detail",
"strategy_list", "export", "exportfilename"]
"strategy_list", "export", "exportfilename",
"backtest_breakdown"]
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"position_stacking", "use_max_market_positions",
@@ -31,7 +32,8 @@ ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"epochs", "spaces", "print_all",
"print_colorized", "print_json", "hyperopt_jobs",
"hyperopt_random_state", "hyperopt_min_trades",
"hyperopt_loss", "disableparamexport"]
"hyperopt_loss", "disableparamexport",
"hyperopt_ignore_missing_space"]
ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]
@@ -58,11 +60,13 @@ ARGS_BUILD_STRATEGY = ["user_data_dir", "strategy", "template"]
ARGS_CONVERT_DATA = ["pairs", "format_from", "format_to", "erase"]
ARGS_CONVERT_DATA_OHLCV = ARGS_CONVERT_DATA + ["timeframes"]
ARGS_CONVERT_TRADES = ["pairs", "timeframes", "exchange", "dataformat_ohlcv", "dataformat_trades"]
ARGS_LIST_DATA = ["exchange", "dataformat_ohlcv", "pairs"]
ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "timerange",
"download_trades", "exchange", "timeframes", "erase", "dataformat_ohlcv",
"dataformat_trades"]
ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "include_inactive",
"timerange", "download_trades", "exchange", "timeframes",
"erase", "dataformat_ohlcv", "dataformat_trades"]
ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit",
"db_url", "trade_source", "export", "exportfilename",
@@ -71,7 +75,7 @@ ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit",
ARGS_PLOT_PROFIT = ["pairs", "timerange", "export", "exportfilename", "db_url",
"trade_source", "timeframe", "plot_auto_open"]
ARGS_INSTALL_UI = ["erase_ui_only"]
ARGS_INSTALL_UI = ["erase_ui_only", 'ui_version']
ARGS_SHOW_TRADES = ["db_url", "trade_ids", "print_json"]
@@ -86,12 +90,12 @@ ARGS_HYPEROPT_LIST = ["hyperopt_list_best", "hyperopt_list_profitable",
ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperopt_show_index",
"print_json", "hyperoptexportfilename", "hyperopt_show_no_header",
"disableparamexport"]
"disableparamexport", "backtest_breakdown"]
NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes",
"list-markets", "list-pairs", "list-strategies", "list-data",
"hyperopt-list", "hyperopt-show",
"plot-dataframe", "plot-profit", "show-trades"]
"plot-dataframe", "plot-profit", "show-trades", "trades-to-ohlcv"]
NO_CONF_ALLOWED = ["create-userdir", "list-exchanges", "new-strategy"]
@@ -169,14 +173,14 @@ class Arguments:
self.parser = argparse.ArgumentParser(description='Free, open source crypto trading bot')
self._build_args(optionlist=['version'], parser=self.parser)
from freqtrade.commands import (start_backtesting, start_convert_data, start_create_userdir,
start_download_data, start_edge, start_hyperopt,
start_hyperopt_list, start_hyperopt_show, start_install_ui,
start_list_data, start_list_exchanges, start_list_markets,
start_list_strategies, start_list_timeframes,
start_new_config, start_new_strategy, start_plot_dataframe,
start_plot_profit, start_show_trades, start_test_pairlist,
start_trading, start_webserver)
from freqtrade.commands import (start_backtesting, start_convert_data, start_convert_trades,
start_create_userdir, start_download_data, start_edge,
start_hyperopt, start_hyperopt_list, start_hyperopt_show,
start_install_ui, start_list_data, start_list_exchanges,
start_list_markets, start_list_strategies,
start_list_timeframes, start_new_config, start_new_strategy,
start_plot_dataframe, start_plot_profit, start_show_trades,
start_test_pairlist, start_trading, start_webserver)
subparsers = self.parser.add_subparsers(dest='command',
# Use custom message when no subhandler is added
@@ -236,6 +240,15 @@ class Arguments:
convert_trade_data_cmd.set_defaults(func=partial(start_convert_data, ohlcv=False))
self._build_args(optionlist=ARGS_CONVERT_DATA, parser=convert_trade_data_cmd)
# Add trades-to-ohlcv subcommand
convert_trade_data_cmd = subparsers.add_parser(
'trades-to-ohlcv',
help='Convert trade data to OHLCV data.',
parents=[_common_parser],
)
convert_trade_data_cmd.set_defaults(func=start_convert_trades)
self._build_args(optionlist=ARGS_CONVERT_TRADES, parser=convert_trade_data_cmd)
# Add list-data subcommand
list_data_cmd = subparsers.add_parser(
'list-data',

3
freqtrade/commands/build_config_commands.py
View File

@@ -163,7 +163,8 @@ def ask_user_config() -> Dict[str, Any]:
{
"type": "text",
"name": "api_server_listen_addr",
"message": "Insert Api server Listen Address (best left untouched default!)",
"message": ("Insert Api server Listen Address (0.0.0.0 for docker, "
"otherwise best left untouched)"),
"default": "127.0.0.1",
"when": lambda x: x['api_server']
},

27
freqtrade/commands/cli_options.py
View File

@@ -193,6 +193,12 @@ AVAILABLE_CLI_OPTIONS = {
type=float,
metavar='FLOAT',
),
"backtest_breakdown": Arg(
'--breakdown',
help='Show backtesting breakdown per [day, week, month].',
nargs='+',
choices=constants.BACKTEST_BREAKDOWNS
),
# Edge
"stoploss_range": Arg(
'--stoplosses',
@@ -355,6 +361,11 @@ AVAILABLE_CLI_OPTIONS = {
type=check_int_positive,
metavar='INT',
),
"include_inactive": Arg(
'--include-inactive-pairs',
help='Also download data from inactive pairs.',
action='store_true',
),
"new_pairs_days": Arg(
'--new-pairs-days',
help='Download data of new pairs for given number of days. Default: `%(default)s`.',
@@ -381,12 +392,12 @@ AVAILABLE_CLI_OPTIONS = {
),
"dataformat_ohlcv": Arg(
'--data-format-ohlcv',
help='Storage format for downloaded candle (OHLCV) data. (default: `%(default)s`).',
help='Storage format for downloaded candle (OHLCV) data. (default: `json`).',
choices=constants.AVAILABLE_DATAHANDLERS,
),
"dataformat_trades": Arg(
'--data-format-trades',
help='Storage format for downloaded trades data. (default: `%(default)s`).',
help='Storage format for downloaded trades data. (default: `jsongz`).',
choices=constants.AVAILABLE_DATAHANDLERS,
),
"exchange": Arg(
@@ -414,6 +425,12 @@ AVAILABLE_CLI_OPTIONS = {
action='store_true',
default=False,
),
"ui_version": Arg(
'--ui-version',
help=('Specify a specific version of FreqUI to install. '
'Not specifying this installs the latest version.'),
type=str,
),
# Templating options
"template": Arg(
'--template',
@@ -552,4 +569,10 @@ AVAILABLE_CLI_OPTIONS = {
help='Do not print epoch details header.',
action='store_true',
),
"hyperopt_ignore_missing_space": Arg(
"--ignore-missing-spaces", "--ignore-unparameterized-spaces",
help=("Suppress errors for any requested Hyperopt spaces "
"that do not contain any parameters."),
action="store_true",
),
}

44
freqtrade/commands/data_commands.py
View File

@@ -11,6 +11,7 @@ from freqtrade.data.history import (convert_trades_to_ohlcv, refresh_backtest_oh
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.exchange.exchange import market_is_active
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
from freqtrade.resolvers import ExchangeResolver
@@ -47,11 +48,13 @@ def start_download_data(args: Dict[str, Any]) -> None:
# Init exchange
exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config, validate=False)
markets = [p for p, m in exchange.markets.items() if market_is_active(m)
or config.get('include_inactive')]
expanded_pairs = expand_pairlist(config['pairs'], markets)
# Manual validations of relevant settings
if not config['exchange'].get('skip_pair_validation', False):
exchange.validate_pairs(config['pairs'])
expanded_pairs = expand_pairlist(config['pairs'], list(exchange.markets))
exchange.validate_pairs(expanded_pairs)
logger.info(f"About to download pairs: {expanded_pairs}, "
f"intervals: {config['timeframes']} to {config['datadir']}")
@@ -89,6 +92,41 @@ def start_download_data(args: Dict[str, Any]) -> None:
f"on exchange {exchange.name}.")
def start_convert_trades(args: Dict[str, Any]) -> None:
config = setup_utils_configuration(args, RunMode.UTIL_EXCHANGE)
timerange = TimeRange()
# Remove stake-currency to skip checks which are not relevant for datadownload
config['stake_currency'] = ''
if 'pairs' not in config:
raise OperationalException(
"Downloading data requires a list of pairs. "
"Please check the documentation on how to configure this.")
# Init exchange
exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config, validate=False)
# Manual validations of relevant settings
if not config['exchange'].get('skip_pair_validation', False):
exchange.validate_pairs(config['pairs'])
expanded_pairs = expand_pairlist(config['pairs'], list(exchange.markets))
logger.info(f"About to Convert pairs: {expanded_pairs}, "
f"intervals: {config['timeframes']} to {config['datadir']}")
for timeframe in config['timeframes']:
exchange.validate_timeframes(timeframe)
# Convert downloaded trade data to different timeframes
convert_trades_to_ohlcv(
pairs=expanded_pairs, timeframes=config['timeframes'],
datadir=config['datadir'], timerange=timerange, erase=bool(config.get('erase')),
data_format_ohlcv=config['dataformat_ohlcv'],
data_format_trades=config['dataformat_trades'],
)
def start_convert_data(args: Dict[str, Any], ohlcv: bool = True) -> None:
"""
Convert data from one format to another

16
freqtrade/commands/deploy_commands.py
View File

@@ -128,7 +128,7 @@ def download_and_install_ui(dest_folder: Path, dl_url: str, version: str):
f.write(version)
def get_ui_download_url() -> Tuple[str, str]:
def get_ui_download_url(version: Optional[str] = None) -> Tuple[str, str]:
base_url = 'https://api.github.com/repos/freqtrade/frequi/'
# Get base UI Repo path
@@ -136,8 +136,16 @@ def get_ui_download_url() -> Tuple[str, str]:
resp.raise_for_status()
r = resp.json()
latest_version = r[0]['name']
assets = r[0].get('assets', [])
if version:
tmp = [x for x in r if x['name'] == version]
if tmp:
latest_version = tmp[0]['name']
assets = tmp[0].get('assets', [])
else:
raise ValueError("UI-Version not found.")
else:
latest_version = r[0]['name']
assets = r[0].get('assets', [])
dl_url = ''
if assets and len(assets) > 0:
dl_url = assets[0]['browser_download_url']
@@ -156,7 +164,7 @@ def start_install_ui(args: Dict[str, Any]) -> None:
dest_folder = Path(__file__).parents[1] / 'rpc/api_server/ui/installed/'
# First make sure the assets are removed.
dl_url, latest_version = get_ui_download_url()
dl_url, latest_version = get_ui_download_url(args.get('ui_version'))
curr_version = read_ui_version(dest_folder)
if curr_version == latest_version and not args.get('erase_ui_only'):

2
freqtrade/commands/hyperopt_commands.py
View File

@@ -96,7 +96,7 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
if 'strategy_name' in metrics:
strategy_name = metrics['strategy_name']
show_backtest_result(strategy_name, metrics,
metrics['stake_currency'])
metrics['stake_currency'], config.get('backtest_breakdown', []))
HyperoptTools.try_export_params(config, strategy_name, val)

10
freqtrade/configuration/configuration.py
View File

@@ -269,8 +269,12 @@ class Configuration:
self._args_to_config(config, argname='export',
logstring='Parameter --export detected: {} ...')
self._args_to_config(config, argname='backtest_breakdown',
logstring='Parameter --breakdown detected ...')
self._args_to_config(config, argname='disableparamexport',
logstring='Parameter --disableparamexport detected: {} ...')
# Edge section:
if 'stoploss_range' in self.args and self.args["stoploss_range"]:
txt_range = eval(self.args["stoploss_range"])
@@ -369,6 +373,9 @@ class Configuration:
self._args_to_config(config, argname='hyperopt_show_no_header',
logstring='Parameter --no-header detected: {}')
self._args_to_config(config, argname="hyperopt_ignore_missing_space",
logstring="Paramter --ignore-missing-space detected: {}")
def _process_plot_options(self, config: Dict[str, Any]) -> None:
self._args_to_config(config, argname='pairs',
@@ -404,6 +411,9 @@ class Configuration:
self._args_to_config(config, argname='days',
logstring='Detected --days: {}')
self._args_to_config(config, argname='include_inactive',
logstring='Detected --include-inactive-pairs: {}')
self._args_to_config(config, argname='download_trades',
logstring='Detected --dl-trades: {}')

8
freqtrade/constants.py
View File

@@ -25,13 +25,15 @@ ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
'CalmarHyperOptLoss', 'CalmarHyperOptLossDaily']
'CalmarHyperOptLoss', 'CalmarHyperOptLossDaily',
'MaxDrawDownHyperOptLoss']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter',
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
BACKTEST_BREAKDOWNS = ['day', 'week', 'month']
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'
MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
@@ -144,6 +146,10 @@ CONF_SCHEMA = {
'sell_profit_offset': {'type': 'number'},
'ignore_roi_if_buy_signal': {'type': 'boolean'},
'ignore_buying_expired_candle_after': {'type': 'number'},
'backtest_breakdown': {
'type': 'array',
'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}
},
'bot_name': {'type': 'string'},
'unfilledtimeout': {
'type': 'object',

2
freqtrade/exchange/common.py
View File

@@ -16,8 +16,6 @@ API_FETCH_ORDER_RETRY_COUNT = 5
BAD_EXCHANGES = {
"bitmex": "Various reasons.",
"bitstamp": "Does not provide history. "
"Details in https://github.com/freqtrade/freqtrade/issues/1983",
"phemex": "Does not provide history. ",
"poloniex": "Does not provide fetch_order endpoint to fetch both open and closed orders.",
}

6
freqtrade/exchange/exchange.py
View File

@@ -480,7 +480,7 @@ class Exchange:
if startup_candles + 5 > candle_limit:
raise OperationalException(
f"This strategy requires {startup_candles} candles to start. "
f"{self.name} only provides {candle_limit} for {timeframe}.")
f"{self.name} only provides {candle_limit - 5} for {timeframe}.")
def exchange_has(self, endpoint: str) -> bool:
"""
@@ -523,7 +523,7 @@ class Exchange:
precision = self.markets[pair]['precision']['price']
missing = price % precision
if missing != 0:
price = price - missing + precision
price = round(price - missing + precision, 10)
else:
symbol_prec = self.markets[pair]['precision']['price']
big_price = price * pow(10, symbol_prec)
@@ -1058,7 +1058,7 @@ class Exchange:
ticker_rate = ticker[conf_strategy['price_side']]
if ticker['last'] and ticker_rate:
if side == 'buy' and ticker_rate > ticker['last']:
balance = conf_strategy['ask_last_balance']
balance = conf_strategy.get('ask_last_balance', 0.0)
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)
elif side == 'sell' and ticker_rate < ticker['last']:
balance = conf_strategy.get('bid_last_balance', 0.0)

8
freqtrade/exchange/gateio.py
View File

@@ -2,6 +2,7 @@
import logging
from typing import Dict
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Exchange
@@ -23,3 +24,10 @@ class Gateio(Exchange):
}
_headers = {'X-Gate-Channel-Id': 'freqtrade'}
def validate_ordertypes(self, order_types: Dict) -> None:
super().validate_ordertypes(order_types)
if any(v == 'market' for k, v in order_types.items()):
raise OperationalException(
f'Exchange {self.name} does not support market orders.')

4
freqtrade/freqtradebot.py
View File

@@ -139,7 +139,7 @@ class FreqtradeBot(LoggingMixin):
# Only update open orders on startup
# This will update the database after the initial migration
self.update_open_orders()
self.startup_update_open_orders()
def process(self) -> None:
"""
@@ -237,7 +237,7 @@ class FreqtradeBot(LoggingMixin):
open_trades = len(Trade.get_open_trades())
return max(0, self.config['max_open_trades'] - open_trades)
def update_open_orders(self):
def startup_update_open_orders(self):
"""
Updates open orders based on order list kept in the database.
Mainly updates the state of orders - but may also close trades

3
freqtrade/optimize/hyperopt.py
View File

@@ -45,7 +45,7 @@ progressbar.streams.wrap_stdout()
logger = logging.getLogger(__name__)
INITIAL_POINTS = 5
INITIAL_POINTS = 30
# Keep no more than SKOPT_MODEL_QUEUE_SIZE models
# in the skopt model queue, to optimize memory consumption
@@ -258,6 +258,7 @@ class Hyperopt:
if HyperoptTools.has_space(self.config, 'trailing'):
logger.debug("Hyperopt has 'trailing' space")
self.trailing_space = self.custom_hyperopt.trailing_space()
self.dimensions = (self.buy_space + self.sell_space + self.protection_space
+ self.roi_space + self.stoploss_space + self.trailing_space)

27
freqtrade/optimize/hyperopt_auto.py
View File

@@ -3,6 +3,7 @@ HyperOptAuto class.
This module implements a convenience auto-hyperopt class, which can be used together with strategies
that implement IHyperStrategy interface.
"""
import logging
from contextlib import suppress
from typing import Callable, Dict, List
@@ -15,12 +16,19 @@ with suppress(ImportError):
from freqtrade.optimize.hyperopt_interface import EstimatorType, IHyperOpt
def _format_exception_message(space: str) -> str:
raise OperationalException(
f"The '{space}' space is included into the hyperoptimization "
f"but no parameter for this space was not found in your Strategy. "
f"Please make sure to have parameters for this space enabled for optimization "
f"or remove the '{space}' space from hyperoptimization.")
logger = logging.getLogger(__name__)
def _format_exception_message(space: str, ignore_missing_space: bool) -> None:
msg = (f"The '{space}' space is included into the hyperoptimization "
f"but no parameter for this space was not found in your Strategy. "
)
if ignore_missing_space:
logger.warning(msg + "This space will be ignored.")
else:
raise OperationalException(
msg + f"Please make sure to have parameters for this space enabled for optimization "
f"or remove the '{space}' space from hyperoptimization.")
class HyperOptAuto(IHyperOpt):
@@ -48,13 +56,16 @@ class HyperOptAuto(IHyperOpt):
if attr.optimize:
yield attr.get_space(attr_name)
def _get_indicator_space(self, category):
def _get_indicator_space(self, category) -> List:
# TODO: is this necessary, or can we call "generate_space" directly?
indicator_space = list(self._generate_indicator_space(category))
if len(indicator_space) > 0:
return indicator_space
else:
_format_exception_message(category)
_format_exception_message(
category,
self.config.get("hyperopt_ignore_missing_space", False))
return []
def buy_indicator_space(self) -> List['Dimension']:
return self._get_indicator_space('buy')

41
freqtrade/optimize/hyperopt_loss_max_drawdown.py Normal file
View File

@@ -0,0 +1,41 @@
"""
MaxDrawDownHyperOptLoss
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from datetime import datetime
from pandas import DataFrame
from freqtrade.data.btanalysis import calculate_max_drawdown
from freqtrade.optimize.hyperopt import IHyperOptLoss
class MaxDrawDownHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation optimizes for max draw down and profit
Less max drawdown more profit -> Lower return value
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime,
*args, **kwargs) -> float:
"""
Objective function.
Uses profit ratio weighted max_drawdown when drawdown is available.
Otherwise directly optimizes profit ratio.
"""
total_profit = results['profit_abs'].sum()
try:
max_drawdown = calculate_max_drawdown(results, value_col='profit_abs')
except ValueError:
# No losing trade, therefore no drawdown.
return -total_profit
return -total_profit / max_drawdown[0]

87
freqtrade/optimize/optimize_reports.py
View File

@@ -4,7 +4,7 @@ from pathlib import Path
from typing import Any, Dict, List, Union
from numpy import int64
from pandas import DataFrame
from pandas import DataFrame, to_datetime
from tabulate import tabulate
from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
@@ -189,7 +189,6 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
def generate_edge_table(results: dict) -> str:
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', 'd', 'd')
tabular_data = []
headers = ['Pair', 'Stoploss', 'Win Rate', 'Risk Reward Ratio',
@@ -214,6 +213,41 @@ def generate_edge_table(results: dict) -> str:
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def _get_resample_from_period(period: str) -> str:
if period == 'day':
return '1d'
if period == 'week':
return '1w'
if period == 'month':
return '1M'
raise ValueError(f"Period {period} is not supported.")
def generate_periodic_breakdown_stats(trade_list: List, period: str) -> List[Dict[str, Any]]:
results = DataFrame.from_records(trade_list)
if len(results) == 0:
return []
results['close_date'] = to_datetime(results['close_date'], utc=True)
resample_period = _get_resample_from_period(period)
resampled = results.resample(resample_period, on='close_date')
stats = []
for name, day in resampled:
profit_abs = day['profit_abs'].sum().round(10)
wins = sum(day['profit_abs'] > 0)
draws = sum(day['profit_abs'] == 0)
loses = sum(day['profit_abs'] < 0)
stats.append(
{
'date': name.strftime('%d/%m/%Y'),
'profit_abs': profit_abs,
'wins': wins,
'draws': draws,
'loses': loses
}
)
return stats
def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
""" Generate overall trade statistics """
if len(results) == 0:
@@ -329,7 +363,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
results['open_timestamp'] = results['open_date'].view(int64) // 1e6
results['close_timestamp'] = results['close_date'].view(int64) // 1e6
backtest_days = (max_date - min_date).days
backtest_days = (max_date - min_date).days or 1
strat_stats = {
'trades': results.to_dict(orient='records'),
'locks': [lock.to_json() for lock in content['locks']],
@@ -338,6 +372,8 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'results_per_pair': pair_results,
'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results,
# 'days_breakdown_stats': days_breakdown_stats,
'total_trades': len(results),
'total_volume': float(results['stake_amount'].sum()),
'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0,
@@ -354,7 +390,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'backtest_run_start_ts': content['backtest_start_time'],
'backtest_run_end_ts': content['backtest_end_time'],
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0,
'trades_per_day': round(len(results) / backtest_days, 2),
'market_change': market_change,
'pairlist': list(btdata.keys()),
'stake_amount': config['stake_amount'],
@@ -506,6 +542,28 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_periodic_breakdown(days_breakdown_stats: List[Dict[str, Any]],
stake_currency: str, period: str) -> str:
"""
Generate small table with Backtest results by days
:param days_breakdown_stats: Days breakdown metrics
:param stake_currency: Stakecurrency used
:return: pretty printed table with tabulate as string
"""
headers = [
period.capitalize(),
f'Tot Profit {stake_currency}',
'Wins',
'Draws',
'Losses',
]
output = [[
d['date'], round_coin_value(d['profit_abs'], stake_currency, False),
d['wins'], d['draws'], d['loses'],
] for d in days_breakdown_stats]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_strategy(strategy_results, stake_currency: str) -> str:
"""
Generate summary table per strategy
@@ -557,7 +615,10 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2):}%"),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{round(strat_results['profit_total'] / strat_results['backtest_days'] * 100, 2)}%"),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],
@@ -614,7 +675,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
return message
def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str):
def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str,
backtest_breakdown=[]):
"""
Print results for one strategy
"""
@@ -636,6 +698,15 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
for period in backtest_breakdown:
days_breakdown_stats = generate_periodic_breakdown_stats(
trade_list=results['trades'], period=period)
table = text_table_periodic_breakdown(days_breakdown_stats=days_breakdown_stats,
stake_currency=stake_currency, period=period)
if isinstance(table, str) and len(table) > 0:
print(f' {period.upper()} BREAKDOWN '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_add_metrics(results)
if isinstance(table, str) and len(table) > 0:
print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '='))
@@ -650,7 +721,9 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
stake_currency = config['stake_currency']
for strategy, results in backtest_stats['strategy'].items():
show_backtest_result(strategy, results, stake_currency)
show_backtest_result(
strategy, results, stake_currency,
config.get('backtest_breakdown', []))
if len(backtest_stats['strategy']) > 1:
# Print Strategy summary table

9
freqtrade/plugins/pairlist/PerformanceFilter.py
View File

@@ -21,6 +21,7 @@ class PerformanceFilter(IPairList):
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
self._minutes = pairlistconfig.get('minutes', 0)
self._min_profit = pairlistconfig.get('min_profit', None)
@property
def needstickers(self) -> bool:
@@ -68,6 +69,14 @@ class PerformanceFilter(IPairList):
sorted_df = list_df.merge(performance, on='pair', how='left')\
.fillna(0).sort_values(by=['count', 'pair'], ascending=True)\
.sort_values(by=['profit'], ascending=False)
if self._min_profit is not None:
removed = sorted_df[sorted_df['profit'] < self._min_profit]
for _, row in removed.iterrows():
self.log_once(
f"Removing pair {row['pair']} since {row['profit']} is "
f"below {self._min_profit}", logger.info)
sorted_df = sorted_df[sorted_df['profit'] >= self._min_profit]
pairlist = sorted_df['pair'].tolist()
return pairlist

12
freqtrade/plugins/pairlist/StaticPairList.py
View File

@@ -4,9 +4,9 @@ Static Pair List provider
Provides pair white list as it configured in config
"""
import logging
from copy import deepcopy
from typing import Any, Dict, List
from freqtrade.exceptions import OperationalException
from freqtrade.plugins.pairlist.IPairList import IPairList
@@ -20,10 +20,6 @@ class StaticPairList(IPairList):
pairlist_pos: int) -> None:
super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
if self._pairlist_pos != 0:
raise OperationalException(f"{self.name} can only be used in the first position "
"in the list of Pairlist Handlers.")
self._allow_inactive = self._pairlistconfig.get('allow_inactive', False)
@property
@@ -64,4 +60,8 @@ class StaticPairList(IPairList):
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
return pairlist
pairlist_ = deepcopy(pairlist)
for pair in self._config['exchange']['pair_whitelist']:
if pair not in pairlist_:
pairlist_.append(pair)
return pairlist_

4
freqtrade/resolvers/iresolver.py
View File

@@ -91,7 +91,7 @@ class IResolver:
logger.debug(f"Searching for {cls.object_type.__name__} {object_name} in '{directory}'")
for entry in directory.iterdir():
# Only consider python files
if not str(entry).endswith('.py'):
if entry.suffix != '.py':
logger.debug('Ignoring %s', entry)
continue
if entry.is_symlink() and not entry.is_file():
@@ -169,7 +169,7 @@ class IResolver:
objects = []
for entry in directory.iterdir():
# Only consider python files
if not str(entry).endswith('.py'):
if entry.suffix != '.py':
logger.debug('Ignoring %s', entry)
continue
module_path = entry.resolve()

5
freqtrade/rpc/api_server/api_schemas.py
View File

@@ -347,3 +347,8 @@ class BacktestResponse(BaseModel):
trade_count: Optional[float]
# TODO: Properly type backtestresult...
backtest_result: Optional[Dict[str, Any]]
class SysInfo(BaseModel):
cpu_pct: List[float]
ram_pct: float

8
freqtrade/rpc/api_server/api_v1.py
View File

@@ -18,7 +18,8 @@ from freqtrade.rpc.api_server.api_schemas import (AvailablePairs, Balances, Blac
OpenTradeSchema, PairHistory, PerformanceEntry,
Ping, PlotConfig, Profit, ResultMsg, ShowConfig,
Stats, StatusMsg, StrategyListResponse,
StrategyResponse, Version, WhitelistResponse)
StrategyResponse, SysInfo, Version,
WhitelistResponse)
from freqtrade.rpc.api_server.deps import get_config, get_rpc, get_rpc_optional
from freqtrade.rpc.rpc import RPCException
@@ -259,3 +260,8 @@ def list_available_pairs(timeframe: Optional[str] = None, stake_currency: Option
'pair_interval': pair_interval,
}
return result
@router.get('/sysinfo', response_model=SysInfo, tags=['info'])
def sysinfo():
return RPC._rpc_sysinfo()

9
freqtrade/rpc/api_server/deps.py
View File

@@ -1,5 +1,6 @@
from typing import Any, Dict, Optional
from typing import Any, Dict, Iterator, Optional
from freqtrade.persistence import Trade
from freqtrade.rpc.rpc import RPC, RPCException
from .webserver import ApiServer
@@ -11,10 +12,12 @@ def get_rpc_optional() -> Optional[RPC]:
return None
def get_rpc() -> Optional[RPC]:
def get_rpc() -> Optional[Iterator[RPC]]:
_rpc = get_rpc_optional()
if _rpc:
return _rpc
Trade.query.session.rollback()
yield _rpc
Trade.query.session.rollback()
else:
raise RPCException('Bot is not in the correct state')

8
freqtrade/rpc/rpc.py
View File

@@ -8,6 +8,7 @@ from math import isnan
from typing import Any, Dict, List, Optional, Tuple, Union
import arrow
import psutil
from numpy import NAN, inf, int64, mean
from pandas import DataFrame
@@ -870,3 +871,10 @@ class RPC:
'subplots' not in self._freqtrade.strategy.plot_config):
self._freqtrade.strategy.plot_config['subplots'] = {}
return self._freqtrade.strategy.plot_config
@staticmethod
def _rpc_sysinfo() -> Dict[str, Any]:
return {
"cpu_pct": psutil.cpu_percent(interval=1, percpu=True),
"ram_pct": psutil.virtual_memory().percent
}

4
freqtrade/rpc/telegram.py
View File

@@ -25,6 +25,7 @@ from freqtrade.constants import DUST_PER_COIN
from freqtrade.enums import RPCMessageType
from freqtrade.exceptions import OperationalException
from freqtrade.misc import chunks, plural, round_coin_value
from freqtrade.persistence import Trade
from freqtrade.rpc import RPC, RPCException, RPCHandler
@@ -59,7 +60,8 @@ def authorized_only(command_handler: Callable[..., None]) -> Callable[..., Any]:
update.message.chat_id
)
return wrapper
# Rollback session to avoid getting data stored in a transaction.
Trade.query.session.rollback()
logger.debug(
'Executing handler: %s for chat_id: %s',
command_handler.__name__,

7
freqtrade/templates/subtemplates/exchange_binance.j2
View File

@@ -2,11 +2,8 @@
"name": "{{ exchange_name | lower }}",
"key": "{{ exchange_key }}",
"secret": "{{ exchange_secret }}",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 200
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
],
"pair_blacklist": [

6
freqtrade/templates/subtemplates/exchange_generic.j2
View File

@@ -2,10 +2,8 @@
"name": "{{ exchange_name | lower }}",
"key": "{{ exchange_key }}",
"secret": "{{ exchange_secret }}",
"ccxt_config": {"enableRateLimit": true},
"ccxt_async_config": {
"enableRateLimit": true
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
],

10
freqtrade/templates/subtemplates/exchange_kucoin.j2
View File

@@ -3,14 +3,8 @@
"key": "{{ exchange_key }}",
"secret": "{{ exchange_secret }}",
"password": "{{ exchange_key_password }}",
"ccxt_config": {
"enableRateLimit": true
"rateLimit": 200
},
"ccxt_async_config": {
"enableRateLimit": true,
"rateLimit": 200
},
"ccxt_config": {},
"ccxt_async_config": {},
"pair_whitelist": [
],
"pair_blacklist": [

8
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@@ -32,8 +32,7 @@ def custom_stake_amount(self, pair: str, current_time: 'datetime', current_rate:
use_custom_stoploss = True
def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime',
current_rate: float, current_profit: float, dataframe: DataFrame,
**kwargs) -> float:
current_rate: float, current_profit: float, **kwargs) -> float:
"""
Custom stoploss logic, returning the new distance relative to current_rate (as ratio).
e.g. returning -0.05 would create a stoploss 5% below current_rate.
@@ -44,14 +43,13 @@ def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime',
When not implemented by a strategy, returns the initial stoploss value
Only called when use_custom_stoploss is set to True.
:param pair: Pair that's about to be sold.
:param pair: Pair that's currently analyzed
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param dataframe: Analyzed dataframe for this pair. Can contain future data in backtesting.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New stoploss value, relative to the currentrate
:return float: New stoploss value, relative to the current_rate
"""
return self.stoploss

10
freqtrade/vendor/qtpylib/indicators.py vendored
View File

@@ -339,11 +339,13 @@ def vwap(bars):
(input can be pandas series or numpy array)
bars are usually mid [ (h+l)/2 ] or typical [ (h+l+c)/3 ]
"""
typical = ((bars['high'] + bars['low'] + bars['close']) / 3).values
volume = bars['volume'].values
raise ValueError("using `qtpylib.vwap` facilitates lookahead bias. Please use "
"`qtpylib.rolling_vwap` instead, which calculates vwap in a rolling manner.")
# typical = ((bars['high'] + bars['low'] + bars['close']) / 3).values
# volume = bars['volume'].values
return pd.Series(index=bars.index,
data=np.cumsum(volume * typical) / np.cumsum(volume))
# return pd.Series(index=bars.index,
# data=np.cumsum(volume * typical) / np.cumsum(volume))
# ---------------------------------------------