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Merge branch 'freqtrade:develop' into develop

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This commit is contained in:
hippocritical
2023-04-10 08:26:51 +02:00
committed by GitHub
parent 0fb155d6ee 6833059c70
commit e5e63d5bee
25 changed files with 98 additions and 73 deletions
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13
freqtrade/exchange/exchange.py
View File

@@ -60,6 +60,7 @@ class Exchange:
# or by specifying them in the configuration.
_ft_has_default: Dict = {
"stoploss_on_exchange": False,
"stop_price_param": "stopPrice",
"order_time_in_force": ["GTC"],
"ohlcv_params": {},
"ohlcv_candle_limit": 500,
@@ -1115,11 +1116,11 @@ class Exchange:
"""
if not self._ft_has.get('stoploss_on_exchange'):
raise OperationalException(f"stoploss is not implemented for {self.name}.")
price_param = self._ft_has['stop_price_param']
return (
order.get('stopPrice', None) is None
or ((side == "sell" and stop_loss > float(order['stopPrice'])) or
(side == "buy" and stop_loss < float(order['stopPrice'])))
order.get(price_param, None) is None
or ((side == "sell" and stop_loss > float(order[price_param])) or
(side == "buy" and stop_loss < float(order[price_param])))
)
def _get_stop_order_type(self, user_order_type) -> Tuple[str, str]:
@@ -1159,8 +1160,8 @@ class Exchange:
def _get_stop_params(self, side: BuySell, ordertype: str, stop_price: float) -> Dict:
params = self._params.copy()
# Verify if stopPrice works for your exchange!
params.update({'stopPrice': stop_price})
# Verify if stopPrice works for your exchange, else configure stop_price_param
params.update({self._ft_has['stop_price_param']: stop_price})
return params
@retrier(retries=0)

20
freqtrade/exchange/okx.py
View File

@@ -28,6 +28,7 @@ class Okx(Exchange):
"funding_fee_timeframe": "8h",
"stoploss_order_types": {"limit": "limit"},
"stoploss_on_exchange": True,
"stop_price_param": "stopLossPrice",
}
_ft_has_futures: Dict = {
"tickers_have_quoteVolume": False,
@@ -162,29 +163,12 @@ class Okx(Exchange):
return pair_tiers[-1]['maxNotional'] / leverage
def _get_stop_params(self, side: BuySell, ordertype: str, stop_price: float) -> Dict:
params = self._params.copy()
# Verify if stopPrice works for your exchange!
params.update({'stopLossPrice': stop_price})
params = super()._get_stop_params(side, ordertype, stop_price)
if self.trading_mode == TradingMode.FUTURES and self.margin_mode:
params['tdMode'] = self.margin_mode.value
params['posSide'] = self._get_posSide(side, True)
return params
def stoploss_adjust(self, stop_loss: float, order: Dict, side: str) -> bool:
"""
OKX uses non-default stoploss price naming.
"""
if not self._ft_has.get('stoploss_on_exchange'):
raise OperationalException(f"stoploss is not implemented for {self.name}.")
return (
order.get('stopLossPrice', None) is None
or ((side == "sell" and stop_loss > float(order['stopLossPrice'])) or
(side == "buy" and stop_loss < float(order['stopLossPrice'])))
)
def fetch_stoploss_order(self, order_id: str, pair: str, params: Dict = {}) -> Dict:
if self._config['dry_run']:
return self.fetch_dry_run_order(order_id)

8
freqtrade/freqai/data_kitchen.py
View File

@@ -1291,7 +1291,7 @@ class FreqaiDataKitchen:
return dataframe
def use_strategy_to_populate_indicators(
def use_strategy_to_populate_indicators( # noqa: C901
self,
strategy: IStrategy,
corr_dataframes: dict = {},
@@ -1362,12 +1362,12 @@ class FreqaiDataKitchen:
dataframe = self.populate_features(dataframe.copy(), corr_pair, strategy,
corr_dataframes, base_dataframes, True)
dataframe = strategy.set_freqai_targets(dataframe.copy(), metadata=metadata)
if self.live:
dataframe = strategy.set_freqai_targets(dataframe.copy(), metadata=metadata)
dataframe = self.remove_special_chars_from_feature_names(dataframe)
self.get_unique_classes_from_labels(dataframe)
dataframe = self.remove_special_chars_from_feature_names(dataframe)
if self.config.get('reduce_df_footprint', False):
dataframe = reduce_dataframe_footprint(dataframe)

8
freqtrade/freqai/freqai_interface.py
View File

@@ -306,7 +306,7 @@ class IFreqaiModel(ABC):
if check_features:
self.dd.load_metadata(dk)
dataframe_dummy_features = self.dk.use_strategy_to_populate_indicators(
strategy, prediction_dataframe=dataframe.tail(1), pair=metadata["pair"]
strategy, prediction_dataframe=dataframe.tail(1), pair=pair
)
dk.find_features(dataframe_dummy_features)
self.check_if_feature_list_matches_strategy(dk)
@@ -316,7 +316,7 @@ class IFreqaiModel(ABC):
else:
if populate_indicators:
dataframe = self.dk.use_strategy_to_populate_indicators(
strategy, prediction_dataframe=dataframe, pair=metadata["pair"]
strategy, prediction_dataframe=dataframe, pair=pair
)
populate_indicators = False
@@ -332,6 +332,10 @@ class IFreqaiModel(ABC):
dataframe_train = dk.slice_dataframe(tr_train, dataframe_base_train)
dataframe_backtest = dk.slice_dataframe(tr_backtest, dataframe_base_backtest)
dataframe_train = dk.remove_special_chars_from_feature_names(dataframe_train)
dataframe_backtest = dk.remove_special_chars_from_feature_names(dataframe_backtest)
dk.get_unique_classes_from_labels(dataframe_train)
if not self.model_exists(dk):
dk.find_features(dataframe_train)
dk.find_labels(dataframe_train)

12
freqtrade/freqtradebot.py
View File

@@ -1483,8 +1483,8 @@ class FreqtradeBot(LoggingMixin):
return False
try:
order = self.exchange.cancel_order_with_result(order['id'], trade.pair,
trade.amount)
order = self.exchange.cancel_order_with_result(
order['id'], trade.pair, trade.amount)
except InvalidOrderException:
logger.exception(
f"Could not cancel {trade.exit_side} order {trade.open_order_id}")
@@ -1496,17 +1496,18 @@ class FreqtradeBot(LoggingMixin):
# Order might be filled above in odd timing issues.
if order.get('status') in ('canceled', 'cancelled'):
trade.exit_reason = None
trade.open_order_id = None
else:
trade.exit_reason = exit_reason_prev
cancelled = True
else:
reason = constants.CANCEL_REASON['CANCELLED_ON_EXCHANGE']
trade.exit_reason = None
trade.open_order_id = None
self.update_trade_state(trade, trade.open_order_id, order)
logger.info(f'{trade.exit_side.capitalize()} order {reason} for {trade}.')
trade.open_order_id = None
trade.close_rate = None
trade.close_rate_requested = None
@@ -1786,9 +1787,8 @@ class FreqtradeBot(LoggingMixin):
if not stoploss_order:
logger.info(f'Found open order for {trade}')
try:
order = action_order or self.exchange.fetch_order_or_stoploss_order(order_id,
trade.pair,
stoploss_order)
order = action_order or self.exchange.fetch_order_or_stoploss_order(
order_id, trade.pair, stoploss_order)
except InvalidOrderException as exception:
logger.warning('Unable to fetch order %s: %s', order_id, exception)
return False

15
freqtrade/optimize/hyperopt_tools.py
View File

@@ -23,6 +23,8 @@ logger = logging.getLogger(__name__)
NON_OPT_PARAM_APPENDIX = " # value loaded from strategy"
HYPER_PARAMS_FILE_FORMAT = rapidjson.NM_NATIVE | rapidjson.NM_NAN
def hyperopt_serializer(x):
if isinstance(x, np.integer):
@@ -76,9 +78,18 @@ class HyperoptTools():
with filename.open('w') as f:
rapidjson.dump(final_params, f, indent=2,
default=hyperopt_serializer,
number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN
number_mode=HYPER_PARAMS_FILE_FORMAT
)
@staticmethod
def load_params(filename: Path) -> Dict:
"""
Load parameters from file
"""
with filename.open('r') as f:
params = rapidjson.load(f, number_mode=HYPER_PARAMS_FILE_FORMAT)
return params
@staticmethod
def try_export_params(config: Config, strategy_name: str, params: Dict):
if params.get(FTHYPT_FILEVERSION, 1) >= 2 and not config.get('disableparamexport', False):
@@ -189,7 +200,7 @@ class HyperoptTools():
for s in ['buy', 'sell', 'protection',
'roi', 'stoploss', 'trailing', 'max_open_trades']:
HyperoptTools._params_update_for_json(result_dict, params, non_optimized, s)
print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
print(rapidjson.dumps(result_dict, default=str, number_mode=HYPER_PARAMS_FILE_FORMAT))
else:
HyperoptTools._params_pretty_print(params, 'buy', "Buy hyperspace params:",

14
freqtrade/optimize/optimize_reports.py
View File

@@ -865,6 +865,11 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_bt_results(results['left_open_trades'], stake_currency=stake_currency)
if isinstance(table, str) and len(table) > 0:
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
if (results.get('results_per_enter_tag') is not None
or results.get('results_per_buy_tag') is not None):
# results_per_buy_tag is deprecated and should be removed 2 versions after short golive.
@@ -884,11 +889,6 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' EXIT REASON STATS '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_bt_results(results['left_open_trades'], stake_currency=stake_currency)
if isinstance(table, str) and len(table) > 0:
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)
@@ -917,11 +917,11 @@ def show_backtest_results(config: Config, backtest_stats: Dict):
strategy, results, stake_currency,
config.get('backtest_breakdown', []))
if len(backtest_stats['strategy']) > 1:
if len(backtest_stats['strategy']) > 0:
# Print Strategy summary table
table = text_table_strategy(backtest_stats['strategy_comparison'], stake_currency)
print(f"{results['backtest_start']} -> {results['backtest_end']} |"
print(f"Backtested {results['backtest_start']} -> {results['backtest_end']} |"
f" Max open trades : {results['max_open_trades']}")
print(' STRATEGY SUMMARY '.center(len(table.splitlines()[0]), '='))
print(table)

2
freqtrade/rpc/api_server/uvicorn_threaded.py
View File

@@ -55,7 +55,7 @@ class UvicornServer(uvicorn.Server):
@contextlib.contextmanager
def run_in_thread(self):
self.thread = threading.Thread(target=self.run)
self.thread = threading.Thread(target=self.run, name='FTUvicorn')
self.thread.start()
while not self.started:
time.sleep(1e-3)

5
freqtrade/strategy/hyper.py
View File

@@ -8,7 +8,7 @@ from typing import Any, Dict, Iterator, List, Optional, Tuple, Type, Union
from freqtrade.constants import Config
from freqtrade.exceptions import OperationalException
from freqtrade.misc import deep_merge_dicts, json_load
from freqtrade.misc import deep_merge_dicts
from freqtrade.optimize.hyperopt_tools import HyperoptTools
from freqtrade.strategy.parameters import BaseParameter
@@ -124,8 +124,7 @@ class HyperStrategyMixin:
if filename.is_file():
logger.info(f"Loading parameters from file {filename}")
try:
with filename.open('r') as f:
params = json_load(f)
params = HyperoptTools.load_params(filename)
if params.get('strategy_name') != self.__class__.__name__:
raise OperationalException('Invalid parameter file provided.')
return params