diff --git a/CONTRIBUTING.md b/CONTRIBUTING.md index 72c04e151..a087103c6 100644 --- a/CONTRIBUTING.md +++ b/CONTRIBUTING.md @@ -114,6 +114,6 @@ Contributors may be given commit privileges. Preference will be given to those w 1. Access to resources for cross-platform development and testing. 1. Time to devote to the project regularly. -Beeing a Committer does not grant write permission on `develop` or `master` for security reasons (Users trust FreqTrade with their Exchange API keys). +Being a Committer does not grant write permission on `develop` or `master` for security reasons (Users trust FreqTrade with their Exchange API keys). -After beeing Committer for some time, a Committer may be named Core Committer and given full repository access. +After being Committer for some time, a Committer may be named Core Committer and given full repository access. diff --git a/Dockerfile b/Dockerfile index 5b69f55a2..dc9b04403 100644 --- a/Dockerfile +++ b/Dockerfile @@ -1,4 +1,4 @@ -FROM python:3.7.4-slim-stretch +FROM python:3.7.5-slim-stretch RUN apt-get update \ && apt-get -y install curl build-essential libssl-dev \ @@ -16,9 +16,9 @@ RUN cd /tmp && /tmp/install_ta-lib.sh && rm -r /tmp/*ta-lib* ENV LD_LIBRARY_PATH /usr/local/lib # Install dependencies -COPY requirements.txt requirements-common.txt /freqtrade/ +COPY requirements.txt requirements-common.txt requirements-hyperopt.txt /freqtrade/ RUN pip install numpy --no-cache-dir \ - && pip install -r requirements.txt --no-cache-dir + && pip install -r requirements-hyperopt.txt --no-cache-dir # Install and execute COPY . /freqtrade/ diff --git a/config.json.example b/config.json.example index 94084434a..419019030 100644 --- a/config.json.example +++ b/config.json.example @@ -22,7 +22,10 @@ "ask_strategy":{ "use_order_book": false, "order_book_min": 1, - "order_book_max": 9 + "order_book_max": 9, + "use_sell_signal": true, + "sell_profit_only": false, + "ignore_roi_if_buy_signal": false }, "exchange": { "name": "bittrex", @@ -49,11 +52,6 @@ "DOGE/BTC" ] }, - "experimental": { - "use_sell_signal": false, - "sell_profit_only": false, - "ignore_roi_if_buy_signal": false - }, "edge": { "enabled": false, "process_throttle_secs": 3600, diff --git a/config_binance.json.example b/config_binance.json.example index 1d492fc3c..58817a78e 100644 --- a/config_binance.json.example +++ b/config_binance.json.example @@ -22,7 +22,10 @@ "ask_strategy":{ "use_order_book": false, "order_book_min": 1, - "order_book_max": 9 + "order_book_max": 9, + "use_sell_signal": true, + "sell_profit_only": false, + "ignore_roi_if_buy_signal": false }, "exchange": { "name": "binance", @@ -51,11 +54,6 @@ "BNB/BTC" ] }, - "experimental": { - "use_sell_signal": false, - "sell_profit_only": false, - "ignore_roi_if_buy_signal": false - }, "edge": { "enabled": false, "process_throttle_secs": 3600, diff --git a/config_full.json.example b/config_full.json.example index 957967042..c6b229ea3 100644 --- a/config_full.json.example +++ b/config_full.json.example @@ -33,7 +33,10 @@ "ask_strategy":{ "use_order_book": false, "order_book_min": 1, - "order_book_max": 9 + "order_book_max": 9, + "use_sell_signal": true, + "sell_profit_only": false, + "ignore_roi_if_buy_signal": false }, "order_types": { "buy": "limit", @@ -100,11 +103,6 @@ "max_trade_duration_minute": 1440, "remove_pumps": false }, - "experimental": { - "use_sell_signal": false, - "sell_profit_only": false, - "ignore_roi_if_buy_signal": false - }, "telegram": { "enabled": true, "token": "your_telegram_token", diff --git a/config_kraken.json.example b/config_kraken.json.example index ea3677b2d..5a36941d8 100644 --- a/config_kraken.json.example +++ b/config_kraken.json.example @@ -22,7 +22,11 @@ "ask_strategy":{ "use_order_book": false, "order_book_min": 1, - "order_book_max": 9 + "order_book_max": 9, + "use_sell_signal": true, + "sell_profit_only": false, + "ignore_roi_if_buy_signal": false + }, "exchange": { "name": "kraken", @@ -66,5 +70,6 @@ "forcebuy_enable": false, "internals": { "process_throttle_secs": 5 - } + }, + "download_trades": true } diff --git a/docker-compose.develop.yml b/docker-compose.develop.yml new file mode 100644 index 000000000..562b5960a --- /dev/null +++ b/docker-compose.develop.yml @@ -0,0 +1,20 @@ +--- +version: '3' +services: + freqtrade_develop: + build: + context: . + dockerfile: "./Dockerfile.develop" + volumes: + - ".:/freqtrade" + entrypoint: + - "freqtrade" + + freqtrade_bash: + build: + context: . + dockerfile: "./Dockerfile.develop" + volumes: + - ".:/freqtrade" + entrypoint: + - "/bin/bash" diff --git a/docker-compose.yml b/docker-compose.yml new file mode 100644 index 000000000..cae98c3ee --- /dev/null +++ b/docker-compose.yml @@ -0,0 +1,8 @@ +--- +version: '3' +services: + freqtrade: + image: freqtradeorg/freqtrade:master + volumes: + - "./user_data:/freqtrade/user_data" + - "./config.json:/freqtrade/config.json" diff --git a/docs/backtesting.md b/docs/backtesting.md index 6383b1855..8f8310afe 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -39,7 +39,7 @@ Assume you downloaded the history data from the Bittrex exchange and kept it in You can then use this data for backtesting as follows: ```bash -freqtrade backtesting --datadir user_data/data/bittrex-20180101 +freqtrade --datadir user_data/data/bittrex-20180101 backtesting ``` #### With a (custom) strategy file @@ -72,6 +72,17 @@ The exported trades can be used for [further analysis](#further-backtest-result- freqtrade backtesting --export trades --export-filename=backtest_samplestrategy.json ``` +#### Supplying custom fee value + +Sometimes your account has certain fee rebates (fee reductions starting with a certain account size or monthly volume), which are not visible to ccxt. +To account for this in backtesting, you can use `--fee 0.001` to supply this value to backtesting. +This fee must be a percentage, and will be applied twice (once for trade entry, and once for trade exit). + +```bash +freqtrade backtesting --fee 0.001 +``` + + #### Running backtest with smaller testset by using timerange Use the `--timerange` argument to change how much of the testset you want to use. @@ -92,12 +103,6 @@ The full timerange specification: - Use tickframes since 2018/01/31 till 2018/03/01 : `--timerange=20180131-20180301` - Use tickframes between POSIX timestamps 1527595200 1527618600: `--timerange=1527595200-1527618600` -- Use last 123 tickframes of data: `--timerange=-123` -- Use first 123 tickframes of data: `--timerange=123-` -- Use tickframes from line 123 through 456: `--timerange=123-456` - -!!! warning - Be carefull when using non-date functions - these do not allow you to specify precise dates, so if you updated the test-data it will probably use a different dataset. ## Understand the backtesting result @@ -184,6 +189,7 @@ Hence, keep in mind that your performance is an integral mix of all different el Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: - Buys happen at open-price +- Sell signal sells happen at open-price of the following candle - Low happens before high for stoploss, protecting capital first. - ROI sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%) - Stoploss sells happen exactly at stoploss price, even if low was lower @@ -192,6 +198,9 @@ Since backtesting lacks some detailed information about what happens within a ca - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used) +Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode. +Also, keep in mind that past results don't guarantee future success. + ### Further backtest-result analysis To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file). diff --git a/docs/bot-usage.md b/docs/bot-usage.md index 0b79b73df..d2b9757f5 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -119,7 +119,7 @@ user_data/ ├── backtest_results ├── data ├── hyperopts -├── hyperopts_results +├── hyperopt_results ├── plot └── strategies ``` @@ -205,6 +205,8 @@ optional arguments: Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. + --fee FLOAT Specify fee ratio. Will be applied twice (on trade + entry and exit). --eps, --enable-position-stacking Allow buying the same pair multiple times (position stacking). @@ -370,6 +372,8 @@ optional arguments: Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. + --fee FLOAT Specify fee ratio. Will be applied twice (on trade + entry and exit). --stoplosses STOPLOSS_RANGE Defines a range of stoploss values against which edge will assess the strategy. The format is "min,max,step" diff --git a/docs/configuration.md b/docs/configuration.md index 9c1b9d4f7..3a8514e73 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -59,12 +59,15 @@ Mandatory parameters are marked as **Required**, which means that they are requi | `unfilledtimeout.sell` | 10 | **Required.** How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled. | `bid_strategy.ask_last_balance` | 0.0 | **Required.** Set the bidding price. More information [below](#understand-ask_last_balance). | `bid_strategy.use_order_book` | false | Allows buying of pair using the rates in Order Book Bids. -| `bid_strategy.order_book_top` | 0 | Bot will use the top N rate in Order Book Bids. Ie. a value of 2 will allow the bot to pick the 2nd bid rate in Order Book Bids. +| `bid_strategy.order_book_top` | 0 | Bot will use the top N rate in Order Book Bids. I.e. a value of 2 will allow the bot to pick the 2nd bid rate in Order Book Bids. | `bid_strategy. check_depth_of_market.enabled` | false | Does not buy if the % difference of buy orders and sell orders is met in Order Book. | `bid_strategy. check_depth_of_market.bids_to_ask_delta` | 0 | The % difference of buy orders and sell orders found in Order Book. A value lesser than 1 means sell orders is greater, while value greater than 1 means buy orders is higher. | `ask_strategy.use_order_book` | false | Allows selling of open traded pair using the rates in Order Book Asks. | `ask_strategy.order_book_min` | 0 | Bot will scan from the top min to max Order Book Asks searching for a profitable rate. | `ask_strategy.order_book_max` | 0 | Bot will scan from the top min to max Order Book Asks searching for a profitable rate. +| `ask_strategy.use_sell_signal` | true | Use sell signals produced by the strategy in addition to the `minimal_roi`. [Strategy Override](#parameters-in-the-strategy). +| `ask_strategy.sell_profit_only` | false | Wait until the bot makes a positive profit before taking a sell decision. [Strategy Override](#parameters-in-the-strategy). +| `ask_strategy.ignore_roi_if_buy_signal` | false | Do not sell if the buy signal is still active. This setting takes preference over `minimal_roi` and `use_sell_signal`. [Strategy Override](#parameters-in-the-strategy). | `order_types` | None | Configure order-types depending on the action (`"buy"`, `"sell"`, `"stoploss"`, `"stoploss_on_exchange"`). [More information below](#understand-order_types). [Strategy Override](#parameters-in-the-strategy). | `order_time_in_force` | None | Configure time in force for buy and sell orders. [More information below](#understand-order_time_in_force). [Strategy Override](#parameters-in-the-strategy). | `exchange.name` | | **Required.** Name of the exchange class to use. [List below](#user-content-what-values-for-exchangename). @@ -78,9 +81,6 @@ Mandatory parameters are marked as **Required**, which means that they are requi | `exchange.ccxt_async_config` | None | Additional CCXT parameters passed to the async ccxt instance. Parameters may differ from exchange to exchange and are documented in the [ccxt documentation](https://ccxt.readthedocs.io/en/latest/manual.html#instantiation) | `exchange.markets_refresh_interval` | 60 | The interval in minutes in which markets are reloaded. | `edge` | false | Please refer to [edge configuration document](edge.md) for detailed explanation. -| `experimental.use_sell_signal` | false | Use your sell strategy in addition of the `minimal_roi`. [Strategy Override](#parameters-in-the-strategy). -| `experimental.sell_profit_only` | false | Waits until you have made a positive profit before taking a sell decision. [Strategy Override](#parameters-in-the-strategy). -| `experimental.ignore_roi_if_buy_signal` | false | Does not sell if the buy-signal is still active. Takes preference over `minimal_roi` and `use_sell_signal`. [Strategy Override](#parameters-in-the-strategy). | `experimental.block_bad_exchanges` | true | Block exchanges known to not work with freqtrade. Leave on default unless you want to test if that exchange works now. | `pairlist.method` | StaticPairList | Use static or dynamic volume-based pairlist. [More information below](#dynamic-pairlists). | `pairlist.config` | None | Additional configuration for dynamic pairlists. [More information below](#dynamic-pairlists). @@ -116,9 +116,9 @@ Values set in the configuration file always overwrite values set in the strategy * `process_only_new_candles` * `order_types` * `order_time_in_force` -* `use_sell_signal` (experimental) -* `sell_profit_only` (experimental) -* `ignore_roi_if_buy_signal` (experimental) +* `use_sell_signal` (ask_strategy) +* `sell_profit_only` (ask_strategy) +* `ignore_roi_if_buy_signal` (ask_strategy) ### Understand stake_amount diff --git a/docs/data-analysis.md b/docs/data-analysis.md index cf292cacd..115ce1916 100644 --- a/docs/data-analysis.md +++ b/docs/data-analysis.md @@ -61,34 +61,6 @@ except: print(Path.cwd()) ``` -## Load existing objects into a Jupyter notebook - -These examples assume that you have already generated data using the cli. They will allow you to drill deeper into your results, and perform analysis which otherwise would make the output very difficult to digest due to information overload. - -### Load backtest results into a pandas dataframe - -```python -from freqtrade.data.btanalysis import load_backtest_data - -# Load backtest results -df = load_backtest_data("user_data/backtest_results/backtest-result.json") - -# Show value-counts per pair -df.groupby("pair")["sell_reason"].value_counts() -``` - -### Load live trading results into a pandas dataframe - -``` python -from freqtrade.data.btanalysis import load_trades_from_db - -# Fetch trades from database -df = load_trades_from_db("sqlite:///tradesv3.sqlite") - -# Display results -df.groupby("pair")["sell_reason"].value_counts() -``` - ### Load multiple configuration files This option can be useful to inspect the results of passing in multiple configs. @@ -114,99 +86,9 @@ Best avoid relative paths, since this starts at the storage location of the jupy } ``` -### Load exchange data to a pandas dataframe +### Further Data analysis documentation -This loads candle data to a dataframe - -```python -from pathlib import Path -from freqtrade.data.history import load_pair_history - -# Load data using values passed to function -ticker_interval = "5m" -data_location = Path('user_data', 'data', 'bitrex') -pair = "BTC_USDT" -candles = load_pair_history(datadir=data_location, - ticker_interval=ticker_interval, - pair=pair) - -# Confirm success -print(f"Loaded len(candles) rows of data for {pair} from {data_location}") -candles.head() -``` - -## Strategy debugging example - -Debugging a strategy can be time-consuming. FreqTrade offers helper functions to visualize raw data. - -### Define variables used in analyses - -You can override strategy settings as demonstrated below. - -```python -# Customize these according to your needs. - -# Define some constants -ticker_interval = "5m" -# Name of the strategy class -strategy_name = 'SampleStrategy' -# Path to user data -user_data_dir = 'user_data' -# Location of the strategy -strategy_location = Path(user_data_dir, 'strategies') -# Location of the data -data_location = Path(user_data_dir, 'data', 'binance') -# Pair to analyze - Only use one pair here -pair = "BTC_USDT" -``` - -### Load exchange data - -```python -from pathlib import Path -from freqtrade.data.history import load_pair_history - -# Load data using values set above -candles = load_pair_history(datadir=data_location, - ticker_interval=ticker_interval, - pair=pair) - -# Confirm success -print(f"Loaded {len(candles)} rows of data for {pair} from {data_location}") -candles.head() -``` - -### Load and run strategy - -* Rerun each time the strategy file is changed - -```python -from freqtrade.resolvers import StrategyResolver - -# Load strategy using values set above -strategy = StrategyResolver({'strategy': strategy_name, - 'user_data_dir': user_data_dir, - 'strategy_path': strategy_location}).strategy - -# Generate buy/sell signals using strategy -df = strategy.analyze_ticker(candles, {'pair': pair}) -``` - -### Display the trade details - -* Note that using `data.tail()` is preferable to `data.head()` as most indicators have some "startup" data at the top of the dataframe. -* Some possible problems - * Columns with NaN values at the end of the dataframe - * Columns used in `crossed*()` functions with completely different units -* Comparison with full backtest - * having 200 buy signals as output for one pair from `analyze_ticker()` does not necessarily mean that 200 trades will be made during backtesting. - * Assuming you use only one condition such as, `df['rsi'] < 30` as buy condition, this will generate multiple "buy" signals for each pair in sequence (until rsi returns > 29). The bot will only buy on the first of these signals (and also only if a trade-slot ("max_open_trades") is still available), or on one of the middle signals, as soon as a "slot" becomes available. - -```python -# Report results -print(f"Generated {df['buy'].sum()} buy signals") -data = df.set_index('date', drop=True) -data.tail() -``` +* [Strategy debugging](strategy_analysis_example.md) - also available as Jupyter notebook (`user_data/notebooks/strategy_analysis_example.ipynb`) +* [Plotting](plotting.md) Feel free to submit an issue or Pull Request enhancing this document if you would like to share ideas on how to best analyze the data. diff --git a/docs/data-download.md b/docs/data-download.md index 244acb153..bf4792ea3 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -38,7 +38,7 @@ Mixing different stake-currencies is allowed for this file, since it's only used ] ``` -### start download +### Start download Then run: @@ -57,6 +57,32 @@ This will download ticker data for all the currency pairs you defined in `pairs. - Use `--timeframes` to specify which tickers to download. Default is `--timeframes 1m 5m` which will download 1-minute and 5-minute tickers. - To use exchange, timeframe and list of pairs as defined in your configuration file, use the `-c/--config` option. With this, the script uses the whitelist defined in the config as the list of currency pairs to download data for and does not require the pairs.json file. You can combine `-c/--config` with most other options. +### Trades (tick) data + +By default, `download-data` subcommand downloads Candles (OHLCV) data. Some exchanges also provide historic trade-data via their API. +This data can be useful if you need many different timeframes, since it is only downloaded once, and then resampled locally to the desired timeframes. + +Since this data is large by default, the files use gzip by default. They are stored in your data-directory with the naming convention of `-trades.json.gz` (`ETH_BTC-trades.json.gz`). Incremental mode is also supported, as for historic OHLCV data, so downloading the data once per week with `--days 8` will create an incremental data-repository. + +To use this mode, simply add `--dl-trades` to your call. This will swap the download method to download trades, and resamples the data locally. + +Example call: + +```bash +freqtrade download-data --exchange binance --pairs XRP/ETH ETH/BTC --days 20 --dl-trades +``` + +!!! Note + While this method uses async calls, it will be slow, since it requires the result of the previous call to generate the next request to the exchange. + +!!! Warning + The historic trades are not available during Freqtrade dry-run and live trade modes because all exchanges tested provide this data with a delay of few 100 candles, so it's not suitable for real-time trading. + +### Historic Kraken data + +The Kraken API does only provide 720 historic candles, which is sufficient for FreqTrade dry-run and live trade modes, but is a problem for backtesting. +To download data for the Kraken exchange, using `--dl-trades` is mandatory, otherwise the bot will download the same 720 candles over and over, and you'll not have enough backtest data. + ## Next step Great, you now have backtest data downloaded, so you can now start [backtesting](backtesting.md) your strategy. diff --git a/docs/developer.md b/docs/developer.md index 627627b07..391493b09 100644 --- a/docs/developer.md +++ b/docs/developer.md @@ -38,8 +38,48 @@ def test_method_to_test(caplog): assert log_has("This event happened", caplog) # Check regex with trailing number ... assert log_has_re(r"This dynamic event happened and produced \d+", caplog) + ``` +### Local docker usage + +The fastest and easiest way to start up is to use docker-compose.develop which gives developers the ability to start the bot up with all the required dependencies, *without* needing to install any freqtrade specific dependencies on your local machine. + +#### Install +* [git](https://git-scm.com/book/en/v2/Getting-Started-Installing-Git) +* [docker](https://docs.docker.com/install/) +* [docker-compose](https://docs.docker.com/compose/install/) + +#### Starting the bot +##### Use the develop dockerfile +``` bash +rm docker-compose.yml && mv docker-compose.develop.yml docker-compose.yml +``` +#### Docker Compose + +##### Starting + +``` bash +docker-compose up +``` +![Docker compose up](https://user-images.githubusercontent.com/419355/65456322-47f63a80-de06-11e9-90c6-3c74d1bad0b8.png) + +##### Rebuilding +``` bash +docker-compose build +``` + +##### Execing (effectively SSH into the container) + +The `exec` command requires that the container already be running, if you want to start it +that can be effected by `docker-compose up` or `docker-compose run freqtrade_develop` + +``` bash +docker-compose exec freqtrade_develop /bin/bash +``` +![image](https://user-images.githubusercontent.com/419355/65456522-ba671a80-de06-11e9-9598-df9ca0d8dcac.png) + + ## Modules ### Dynamic Pairlist @@ -149,6 +189,15 @@ print(datetime.utcnow()) The output will show the last entry from the Exchange as well as the current UTC date. If the day shows the same day, then the last candle can be assumed as incomplete and should be dropped (leave the setting `"ohlcv_partial_candle"` from the exchange-class untouched / True). Otherwise, set `"ohlcv_partial_candle"` to `False` to not drop Candles (shown in the example above). +## Updating example notebooks + +To keep the jupyter notebooks aligned with the documentation, the following should be ran after updating a example notebook. + +``` bash +jupyter nbconvert --ClearOutputPreprocessor.enabled=True --inplace user_data/notebooks/strategy_analysis_example.ipynb +jupyter nbconvert --ClearOutputPreprocessor.enabled=True --to markdown user_data/notebooks/strategy_analysis_example.ipynb --stdout > docs/strategy_analysis_example.md +``` + ## Creating a release This part of the documentation is aimed at maintainers, and shows how to create a release. @@ -182,7 +231,7 @@ git log --oneline --no-decorate --no-merges master..develop Once the PR against master is merged (best right after merging): * Use the button "Draft a new release" in the Github UI (subsection releases) -* Use the version-number specified as tag. +* Use the version-number specified as tag. * Use "master" as reference (this step comes after the above PR is merged). * Use the above changelog as release comment (as codeblock) diff --git a/docs/edge.md b/docs/edge.md index 80db7b91e..c7b088476 100644 --- a/docs/edge.md +++ b/docs/edge.md @@ -249,13 +249,10 @@ freqtrade edge --stoplosses=-0.01,-0.1,-0.001 #min,max,step freqtrade edge --timerange=20181110-20181113 ``` -Doing `--timerange=-200` will get the last 200 timeframes from your inputdata. You can also specify specific dates, or a range span indexed by start and stop. +Doing `--timerange=-20190901` will get all available data until September 1st (excluding September 1st 2019). The full timerange specification: -* Use last 123 tickframes of data: `--timerange=-123` -* Use first 123 tickframes of data: `--timerange=123-` -* Use tickframes from line 123 through 456: `--timerange=123-456` * Use tickframes till 2018/01/31: `--timerange=-20180131` * Use tickframes since 2018/01/31: `--timerange=20180131-` * Use tickframes since 2018/01/31 till 2018/03/01 : `--timerange=20180131-20180301` diff --git a/docs/faq.md b/docs/faq.md index c519f8cc3..c8a811a2c 100644 --- a/docs/faq.md +++ b/docs/faq.md @@ -38,7 +38,7 @@ like pauses. You can stop your bot, adjust settings and start it again. ### I want to improve the bot with a new strategy -That's great. We have a nice backtesting and hyperoptimizing setup. See +That's great. We have a nice backtesting and hyperoptimization setup. See the tutorial [here|Testing-new-strategies-with-Hyperopt](bot-usage.md#hyperopt-commands). ### Is there a setting to only SELL the coins being held and not perform anymore BUYS? @@ -59,7 +59,7 @@ If you're a US customer, the bot will fail to create orders for these pairs, and ### How many epoch do I need to get a good Hyperopt result? -Per default Hyperopts without `-e` or `--epochs` parameter will only +Per default Hyperopt called without the `-e`/`--epochs` command line option will only run 100 epochs, means 100 evals of your triggers, guards, ... Too few to find a great result (unless if you are very lucky), so you probably have to run it for 10.000 or more. But it will take an eternity to diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 66c250eb7..63aa598a0 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -10,12 +10,12 @@ Hyperopt requires historic data to be available, just as backtesting does. To learn how to get data for the pairs and exchange you're interrested in, head over to the [Data Downloading](data-download.md) section of the documentation. !!! Bug - Hyperopt will crash when used with only 1 CPU Core as found out in [Issue #1133](https://github.com/freqtrade/freqtrade/issues/1133) + Hyperopt can crash when used with only 1 CPU Core as found out in [Issue #1133](https://github.com/freqtrade/freqtrade/issues/1133) ## Prepare Hyperopting Before we start digging into Hyperopt, we recommend you to take a look at -an example hyperopt file located into [user_data/hyperopts/](https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt.py) +the sample hyperopt file located in [user_data/hyperopts/](https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt.py). Configuring hyperopt is similar to writing your own strategy, and many tasks will be similar and a lot of code can be copied across from the strategy. @@ -64,9 +64,9 @@ multiple guards. The constructed strategy will be something like "*buy exactly when close price touches lower bollinger band, BUT only if ADX > 10*". -If you have updated the buy strategy, ie. changed the contents of -`populate_buy_trend()` method you have to update the `guards` and -`triggers` hyperopts must use. +If you have updated the buy strategy, i.e. changed the contents of +`populate_buy_trend()` method, you have to update the `guards` and +`triggers` your hyperopt must use correspondingly. #### Sell optimization @@ -82,7 +82,7 @@ To avoid naming collisions in the search-space, please prefix all sell-spaces wi #### Using ticker-interval as part of the Strategy The Strategy exposes the ticker-interval as `self.ticker_interval`. The same value is available as class-attribute `HyperoptName.ticker_interval`. -In the case of the linked sample-value this would be `SampleHyperOpts.ticker_interval`. +In the case of the linked sample-value this would be `SampleHyperOpt.ticker_interval`. ## Solving a Mystery diff --git a/docs/partials/header.html b/docs/partials/header.html index 84c254b5a..32202bccc 100644 --- a/docs/partials/header.html +++ b/docs/partials/header.html @@ -49,4 +49,6 @@ - \ No newline at end of file + + diff --git a/docs/plotting.md b/docs/plotting.md index 25278c99d..28f857ba7 100644 --- a/docs/plotting.md +++ b/docs/plotting.md @@ -220,5 +220,5 @@ freqtrade plot-profit -p LTC/BTC --db-url sqlite:///tradesv3.sqlite --trade-sou ``` ``` bash -freqtrade plot-profit --datadir user_data/data/binance_save/ -p LTC/BTC +freqtrade --datadir user_data/data/binance_save/ plot-profit -p LTC/BTC ``` diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index 28ebc5916..5e7fe7084 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1 +1,2 @@ -mkdocs-material==4.4.2 \ No newline at end of file +mkdocs-material==4.4.3 +mdx_truly_sane_lists==1.2 diff --git a/docs/rest-api.md b/docs/rest-api.md index 5295ebab4..1b7a323c7 100644 --- a/docs/rest-api.md +++ b/docs/rest-api.md @@ -100,7 +100,6 @@ python3 scripts/rest_client.py --config rest_config.json [optional par | `stopbuy` | | Stops the trader from opening new trades. Gracefully closes open trades according to their rules. | `reload_conf` | | Reloads the configuration file | `status` | | Lists all open trades -| `status table` | | List all open trades in a table format | `count` | | Displays number of trades used and available | `profit` | | Display a summary of your profit/loss from close trades and some stats about your performance | `forcesell ` | | Instantly sells the given trade (Ignoring `minimum_roi`). diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index bb7138759..177192c45 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -138,15 +138,19 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ dataframe.loc[ ( - (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) + (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 + (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard + (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard + (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'buy'] = 1 return dataframe ``` +!!! Note + Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the bot does not buy/sell in no-activity periods. + ### Sell signal rules Edit the method `populate_sell_trend()` into your strategy file to update your sell strategy. @@ -168,9 +172,10 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame """ dataframe.loc[ ( - (dataframe['adx'] > 70) & - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) + (qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70 + (dataframe['tema'] > dataframe['bb_middleband']) & # Guard + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard + (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 return dataframe @@ -246,9 +251,9 @@ Instead, have a look at the section [Storing information](#Storing-information) ### Storing information -Storing information can be accomplished by crating a new dictionary within the strategy class. +Storing information can be accomplished by creating a new dictionary within the strategy class. -The name of the variable can be choosen at will, but should be prefixed with `cust_` to avoid naming collisions with predefined strategy variables. +The name of the variable can be chosen at will, but should be prefixed with `cust_` to avoid naming collisions with predefined strategy variables. ```python class Awesomestrategy(IStrategy): @@ -282,6 +287,8 @@ Please always check the mode of operation to select the correct method to get da - `ohlcv(pair, ticker_interval)` - Currently cached ticker data for the pair, returns DataFrame or empty DataFrame. - `historic_ohlcv(pair, ticker_interval)` - Returns historical data stored on disk. - `get_pair_dataframe(pair, ticker_interval)` - This is a universal method, which returns either historical data (for backtesting) or cached live data (for the Dry-Run and Live-Run modes). +- `orderbook(pair, maximum)` - Returns latest orderbook data for the pair, a dict with bids/asks with a total of `maximum` entries. +- `market(pair)` - Returns market data for the pair: fees, limits, precisions, activity flag, etc. See [ccxt documentation](https://github.com/ccxt/ccxt/wiki/Manual#markets) for more details on Market data structure. - `runmode` - Property containing the current runmode. #### Example: fetch live ohlcv / historic data for the first informative pair @@ -344,9 +351,9 @@ def informative_pairs(self): As these pairs will be refreshed as part of the regular whitelist refresh, it's best to keep this list short. All intervals and all pairs can be specified as long as they are available (and active) on the used exchange. It is however better to use resampling to longer time-intervals when possible - to avoid hammering the exchange with too many requests and risk beeing blocked. + to avoid hammering the exchange with too many requests and risk being blocked. -### Additional data - Wallets +### Additional data (Wallets) The strategy provides access to the `Wallets` object. This contains the current balances on the exchange. diff --git a/docs/strategy_analysis_example.md b/docs/strategy_analysis_example.md new file mode 100644 index 000000000..49800bbb3 --- /dev/null +++ b/docs/strategy_analysis_example.md @@ -0,0 +1,142 @@ +# Strategy analysis example + +Debugging a strategy can be time-consuming. FreqTrade offers helper functions to visualize raw data. + +## Setup + + +```python +from pathlib import Path +# Customize these according to your needs. + +# Define some constants +ticker_interval = "5m" +# Name of the strategy class +strategy_name = 'SampleStrategy' +# Path to user data +user_data_dir = Path('user_data') +# Location of the strategy +strategy_location = user_data_dir / 'strategies' +# Location of the data +data_location = Path(user_data_dir, 'data', 'binance') +# Pair to analyze - Only use one pair here +pair = "BTC_USDT" +``` + + +```python +# Load data using values set above +from freqtrade.data.history import load_pair_history + +candles = load_pair_history(datadir=data_location, + ticker_interval=ticker_interval, + pair=pair) + +# Confirm success +print("Loaded " + str(len(candles)) + f" rows of data for {pair} from {data_location}") +candles.head() +``` + +## Load and run strategy +* Rerun each time the strategy file is changed + + +```python +# Load strategy using values set above +from freqtrade.resolvers import StrategyResolver +strategy = StrategyResolver({'strategy': strategy_name, + 'user_data_dir': user_data_dir, + 'strategy_path': strategy_location}).strategy + +# Generate buy/sell signals using strategy +df = strategy.analyze_ticker(candles, {'pair': pair}) +df.tail() +``` + +### Display the trade details + +* Note that using `data.head()` would also work, however most indicators have some "startup" data at the top of the dataframe. +* Some possible problems + * Columns with NaN values at the end of the dataframe + * Columns used in `crossed*()` functions with completely different units +* Comparison with full backtest + * having 200 buy signals as output for one pair from `analyze_ticker()` does not necessarily mean that 200 trades will be made during backtesting. + * Assuming you use only one condition such as, `df['rsi'] < 30` as buy condition, this will generate multiple "buy" signals for each pair in sequence (until rsi returns > 29). The bot will only buy on the first of these signals (and also only if a trade-slot ("max_open_trades") is still available), or on one of the middle signals, as soon as a "slot" becomes available. + + + +```python +# Report results +print(f"Generated {df['buy'].sum()} buy signals") +data = df.set_index('date', drop=False) +data.tail() +``` + +## Load existing objects into a Jupyter notebook + +The following cells assume that you have already generated data using the cli. +They will allow you to drill deeper into your results, and perform analysis which otherwise would make the output very difficult to digest due to information overload. + +### Load backtest results to pandas dataframe + +Analyze a trades dataframe (also used below for plotting) + + +```python +from freqtrade.data.btanalysis import load_backtest_data + +# Load backtest results +trades = load_backtest_data(user_data_dir / "backtest_results/backtest-result.json") + +# Show value-counts per pair +trades.groupby("pair")["sell_reason"].value_counts() +``` + +### Load live trading results into a pandas dataframe + +In case you did already some trading and want to analyze your performance + + +```python +from freqtrade.data.btanalysis import load_trades_from_db + +# Fetch trades from database +trades = load_trades_from_db("sqlite:///tradesv3.sqlite") + +# Display results +trades.groupby("pair")["sell_reason"].value_counts() +``` + +## Plot results + +Freqtrade offers interactive plotting capabilities based on plotly. + + +```python +from freqtrade.plot.plotting import generate_candlestick_graph +# Limit graph period to keep plotly quick and reactive + +data_red = data['2019-06-01':'2019-06-10'] +# Generate candlestick graph +graph = generate_candlestick_graph(pair=pair, + data=data_red, + trades=trades, + indicators1=['sma20', 'ema50', 'ema55'], + indicators2=['rsi', 'macd', 'macdsignal', 'macdhist'] + ) + + + +``` + + +```python +# Show graph inline +# graph.show() + +# Render graph in a seperate window +graph.show(renderer="browser") + +``` + +Feel free to submit an issue or Pull Request enhancing this document if you would like to share ideas on how to best analyze the data. diff --git a/docs/stylesheets/ft.extra.css b/docs/stylesheets/ft.extra.css new file mode 100644 index 000000000..3369fa177 --- /dev/null +++ b/docs/stylesheets/ft.extra.css @@ -0,0 +1,13 @@ +.rst-versions { + font-size: .7rem; + color: white; +} + +.rst-versions.rst-badge .rst-current-version { + font-size: .7rem; + color: white; +} + +.rst-versions .rst-other-versions { + color: white; +} diff --git a/docs/utils.md b/docs/utils.md new file mode 100644 index 000000000..93162aca2 --- /dev/null +++ b/docs/utils.md @@ -0,0 +1,56 @@ +# Utility Subcommands + +Besides the Live-Trade and Dry-Run run modes, the `backtesting`, `edge` and `hyperopt` optimization subcommands, and the `download-data` subcommand which prepares historical data, the bot contains a number of utility subcommands. They are described in this section. + +## List Exchanges + +Use the `list-exchanges` subcommand to see the exchanges available for the bot. + +``` +usage: freqtrade list-exchanges [-h] [-1] [-a] + +optional arguments: + -h, --help show this help message and exit + -1, --one-column Print output in one column. + -a, --all Print all exchanges known to the ccxt library. +``` + +* Example: see exchanges available for the bot: +``` +$ freqtrade list-exchanges +Exchanges available for Freqtrade: _1btcxe, acx, allcoin, bequant, bibox, binance, binanceje, binanceus, bitbank, bitfinex, bitfinex2, bitkk, bitlish, bitmart, bittrex, bitz, bleutrade, btcalpha, btcmarkets, btcturk, buda, cex, cobinhood, coinbaseprime, coinbasepro, coinex, cointiger, coss, crex24, digifinex, dsx, dx, ethfinex, fcoin, fcoinjp, gateio, gdax, gemini, hitbtc2, huobipro, huobiru, idex, kkex, kraken, kucoin, kucoin2, kuna, lbank, mandala, mercado, oceanex, okcoincny, okcoinusd, okex, okex3, poloniex, rightbtc, theocean, tidebit, upbit, zb +``` + +* Example: see all exchanges supported by the ccxt library (including 'bad' ones, i.e. those that are known to not work with Freqtrade): +``` +$ freqtrade list-exchanges -a +All exchanges supported by the ccxt library: _1btcxe, acx, adara, allcoin, anxpro, bcex, bequant, bibox, bigone, binance, binanceje, binanceus, bit2c, bitbank, bitbay, bitfinex, bitfinex2, bitflyer, bitforex, bithumb, bitkk, bitlish, bitmart, bitmex, bitso, bitstamp, bitstamp1, bittrex, bitz, bl3p, bleutrade, braziliex, btcalpha, btcbox, btcchina, btcmarkets, btctradeim, btctradeua, btcturk, buda, bxinth, cex, chilebit, cobinhood, coinbase, coinbaseprime, coinbasepro, coincheck, coinegg, coinex, coinexchange, coinfalcon, coinfloor, coingi, coinmarketcap, coinmate, coinone, coinspot, cointiger, coolcoin, coss, crex24, crypton, deribit, digifinex, dsx, dx, ethfinex, exmo, exx, fcoin, fcoinjp, flowbtc, foxbit, fybse, gateio, gdax, gemini, hitbtc, hitbtc2, huobipro, huobiru, ice3x, idex, independentreserve, indodax, itbit, kkex, kraken, kucoin, kucoin2, kuna, lakebtc, latoken, lbank, liquid, livecoin, luno, lykke, mandala, mercado, mixcoins, negociecoins, nova, oceanex, okcoincny, okcoinusd, okex, okex3, paymium, poloniex, rightbtc, southxchange, stronghold, surbitcoin, theocean, therock, tidebit, tidex, upbit, vaultoro, vbtc, virwox, xbtce, yobit, zaif, zb +``` + +## List Timeframes + +Use the `list-timeframes` subcommand to see the list of ticker intervals (timeframes) available for the exchange. + +``` +usage: freqtrade list-timeframes [-h] [--exchange EXCHANGE] [-1] + +optional arguments: + -h, --help show this help message and exit + --exchange EXCHANGE Exchange name (default: `bittrex`). Only valid if no + config is provided. + -1, --one-column Print output in one column. + +``` + +* Example: see the timeframes for the 'binance' exchange, set in the configuration file: + +``` +$ freqtrade -c config_binance.json list-timeframes +... +Timeframes available for the exchange `binance`: 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1M +``` + +* Example: enumerate exchanges available for Freqtrade and print timeframes supported by each of them: +``` +$ for i in `freqtrade list-exchanges -1`; do freqtrade list-timeframes --exchange $i; done +``` diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index 5735599df..b093a5015 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -14,7 +14,8 @@ ARGS_STRATEGY = ["strategy", "strategy_path"] ARGS_TRADE = ["db_url", "sd_notify", "dry_run"] -ARGS_COMMON_OPTIMIZE = ["ticker_interval", "timerange", "max_open_trades", "stake_amount"] +ARGS_COMMON_OPTIMIZE = ["ticker_interval", "timerange", + "max_open_trades", "stake_amount", "fee"] ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions", "strategy_list", "export", "exportfilename"] @@ -28,11 +29,14 @@ ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path", ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"] -ARGS_LIST_EXCHANGES = ["print_one_column"] +ARGS_LIST_EXCHANGES = ["print_one_column", "list_exchanges_all"] + +ARGS_LIST_TIMEFRAMES = ["exchange", "print_one_column"] ARGS_CREATE_USERDIR = ["user_data_dir"] -ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "exchange", "timeframes", "erase"] +ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "download_trades", "exchange", + "timeframes", "erase"] ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit", "db_url", "trade_source", "export", "exportfilename", @@ -41,7 +45,9 @@ ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit", ARGS_PLOT_PROFIT = ["pairs", "timerange", "export", "exportfilename", "db_url", "trade_source", "ticker_interval"] -NO_CONF_REQURIED = ["create-userdir", "download-data", "plot-dataframe", "plot-profit"] +NO_CONF_REQURIED = ["download-data", "list-timeframes", "plot-dataframe", "plot-profit"] + +NO_CONF_ALLOWED = ["create-userdir", "list-exchanges"] class Arguments: @@ -69,8 +75,6 @@ class Arguments: """ parsed_arg = self.parser.parse_args(self.args) - # When no config is provided, but a config exists, use that configuration! - # Workaround issue in argparse with action='append' and default value # (see https://bugs.python.org/issue16399) # Allow no-config for certain commands (like downloading / plotting) @@ -107,7 +111,7 @@ class Arguments: from freqtrade.optimize import start_backtesting, start_hyperopt, start_edge from freqtrade.utils import (start_create_userdir, start_download_data, - start_list_exchanges, start_trading) + start_list_exchanges, start_list_timeframes, start_trading) from freqtrade.plot.plot_utils import start_plot_dataframe, start_plot_profit subparsers = self.parser.add_subparsers(dest='command', @@ -156,6 +160,14 @@ class Arguments: list_exchanges_cmd.set_defaults(func=start_list_exchanges) self._build_args(optionlist=ARGS_LIST_EXCHANGES, parser=list_exchanges_cmd) + # Add list-timeframes subcommand + list_timeframes_cmd = subparsers.add_parser( + 'list-timeframes', + help='Print available ticker intervals (timeframes) for the exchange.' + ) + list_timeframes_cmd.set_defaults(func=start_list_timeframes) + self._build_args(optionlist=ARGS_LIST_TIMEFRAMES, parser=list_timeframes_cmd) + # Add download-data subcommand download_data_cmd = subparsers.add_parser('download-data', help='Download backtesting data.', diff --git a/freqtrade/configuration/check_exchange.py b/freqtrade/configuration/check_exchange.py index 19c377732..5e811fb81 100644 --- a/freqtrade/configuration/check_exchange.py +++ b/freqtrade/configuration/check_exchange.py @@ -3,7 +3,7 @@ from typing import Any, Dict from freqtrade import OperationalException from freqtrade.exchange import (available_exchanges, get_exchange_bad_reason, - is_exchange_available, is_exchange_bad, + is_exchange_known_ccxt, is_exchange_bad, is_exchange_officially_supported) from freqtrade.state import RunMode @@ -31,15 +31,15 @@ def check_exchange(config: Dict[str, Any], check_for_bad: bool = True) -> bool: raise OperationalException( f'This command requires a configured exchange. You should either use ' f'`--exchange ` or specify a configuration file via `--config`.\n' - f'The following exchanges are supported by ccxt: ' + f'The following exchanges are available for Freqtrade: ' f'{", ".join(available_exchanges())}' ) - if not is_exchange_available(exchange): + if not is_exchange_known_ccxt(exchange): raise OperationalException( - f'Exchange "{exchange}" is not supported by ccxt ' + f'Exchange "{exchange}" is not known to the ccxt library ' f'and therefore not available for the bot.\n' - f'The following exchanges are supported by ccxt: ' + f'The following exchanges are available for Freqtrade: ' f'{", ".join(available_exchanges())}' ) @@ -51,8 +51,8 @@ def check_exchange(config: Dict[str, Any], check_for_bad: bool = True) -> bool: logger.info(f'Exchange "{exchange}" is officially supported ' f'by the Freqtrade development team.') else: - logger.warning(f'Exchange "{exchange}" is supported by ccxt ' - f'and therefore available for the bot but not officially supported ' + logger.warning(f'Exchange "{exchange}" is known to the the ccxt library, ' + f'available for the bot, but not officially supported ' f'by the Freqtrade development team. ' f'It may work flawlessly (please report back) or have serious issues. ' f'Use it at your own discretion.') diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index a9d7682f4..a62de10eb 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -2,7 +2,6 @@ Definition of cli arguments used in arguments.py """ import argparse -import os from freqtrade import __version__, constants @@ -145,8 +144,12 @@ AVAILABLE_CLI_OPTIONS = { 'Requires `--export` to be set as well. ' 'Example: `--export-filename=user_data/backtest_results/backtest_today.json`', metavar='PATH', - default=os.path.join('user_data', 'backtest_results', - 'backtest-result.json'), + ), + "fee": Arg( + '--fee', + help='Specify fee ratio. Will be applied twice (on trade entry and exit).', + type=float, + metavar='FLOAT', ), # Edge "stoploss_range": Arg( @@ -244,7 +247,12 @@ AVAILABLE_CLI_OPTIONS = { # List exchanges "print_one_column": Arg( '-1', '--one-column', - help='Print exchanges in one column.', + help='Print output in one column.', + action='store_true', + ), + "list_exchanges_all": Arg( + '-a', '--all', + help='Print all exchanges known to the ccxt library.', action='store_true', ), # Script options @@ -265,6 +273,12 @@ AVAILABLE_CLI_OPTIONS = { type=check_int_positive, metavar='INT', ), + "download_trades": Arg( + '--dl-trades', + help='Download trades instead of OHLCV data. The bot will resample trades to the ' + 'desired timeframe as specified as --timeframes/-t.', + action='store_true', + ), "exchange": Arg( '--exchange', help=f'Exchange name (default: `{constants.DEFAULT_EXCHANGE}`). ' diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 7e992d6dd..7bb49dc31 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -9,8 +9,9 @@ from typing import Any, Callable, Dict, List, Optional from freqtrade import OperationalException, constants from freqtrade.configuration.check_exchange import check_exchange -from freqtrade.configuration.config_validation import ( - validate_config_consistency, validate_config_schema) +from freqtrade.configuration.config_validation import (validate_config_consistency, + validate_config_schema) +from freqtrade.configuration.deprecated_settings import process_temporary_deprecated_settings from freqtrade.configuration.directory_operations import (create_datadir, create_userdata_dir) from freqtrade.configuration.load_config import load_config_file @@ -75,6 +76,10 @@ class Configuration: # Normalize config if 'internals' not in config: config['internals'] = {} + # TODO: This can be deleted along with removal of deprecated + # experimental settings + if 'ask_strategy' not in config: + config['ask_strategy'] = {} # validate configuration before returning logger.info('Validating configuration ...') @@ -106,6 +111,8 @@ class Configuration: self._resolve_pairs_list(config) + process_temporary_deprecated_settings(config) + validate_config_consistency(config) return config @@ -189,6 +196,13 @@ class Configuration: config.update({'datadir': create_datadir(config, self.args.get("datadir", None))}) logger.info('Using data directory: %s ...', config.get('datadir')) + if self.args.get('exportfilename'): + self._args_to_config(config, argname='exportfilename', + logstring='Storing backtest results to {} ...') + else: + config['exportfilename'] = (config['user_data_dir'] + / 'backtest_results/backtest-result.json') + def _process_optimize_options(self, config: Dict[str, Any]) -> None: # This will override the strategy configuration @@ -214,6 +228,10 @@ class Configuration: logstring='Parameter --stake_amount detected, ' 'overriding stake_amount to: {} ...') + self._args_to_config(config, argname='fee', + logstring='Parameter --fee detected, ' + 'setting fee to: {} ...') + self._args_to_config(config, argname='timerange', logstring='Parameter --timerange detected: {} ...') @@ -228,9 +246,6 @@ class Configuration: self._args_to_config(config, argname='export', logstring='Parameter --export detected: {} ...') - self._args_to_config(config, argname='exportfilename', - logstring='Storing backtest results to {} ...') - # Edge section: if 'stoploss_range' in self.args and self.args["stoploss_range"]: txt_range = eval(self.args["stoploss_range"]) @@ -305,6 +320,8 @@ class Configuration: self._args_to_config(config, argname='days', logstring='Detected --days: {}') + self._args_to_config(config, argname='download_trades', + logstring='Detected --dl-trades: {}') def _process_runmode(self, config: Dict[str, Any]) -> None: @@ -327,7 +344,8 @@ class Configuration: sample: logfun=len (prints the length of the found configuration instead of the content) """ - if argname in self.args and self.args[argname]: + if (argname in self.args and self.args[argname] is not None + and self.args[argname] is not False): config.update({argname: self.args[argname]}) if logfun: diff --git a/freqtrade/configuration/deprecated_settings.py b/freqtrade/configuration/deprecated_settings.py new file mode 100644 index 000000000..f00b23894 --- /dev/null +++ b/freqtrade/configuration/deprecated_settings.py @@ -0,0 +1,59 @@ +""" +Functions to handle deprecated settings +""" + +import logging +from typing import Any, Dict + +from freqtrade import OperationalException + + +logger = logging.getLogger(__name__) + + +def check_conflicting_settings(config: Dict[str, Any], + section1: str, name1: str, + section2: str, name2: str): + section1_config = config.get(section1, {}) + section2_config = config.get(section2, {}) + if name1 in section1_config and name2 in section2_config: + raise OperationalException( + f"Conflicting settings `{section1}.{name1}` and `{section2}.{name2}` " + "(DEPRECATED) detected in the configuration file. " + "This deprecated setting will be removed in the next versions of Freqtrade. " + f"Please delete it from your configuration and use the `{section1}.{name1}` " + "setting instead." + ) + + +def process_deprecated_setting(config: Dict[str, Any], + section1: str, name1: str, + section2: str, name2: str): + section2_config = config.get(section2, {}) + + if name2 in section2_config: + logger.warning( + "DEPRECATED: " + f"The `{section2}.{name2}` setting is deprecated and " + "will be removed in the next versions of Freqtrade. " + f"Please use the `{section1}.{name1}` setting in your configuration instead." + ) + section1_config = config.get(section1, {}) + section1_config[name1] = section2_config[name2] + + +def process_temporary_deprecated_settings(config: Dict[str, Any]) -> None: + + check_conflicting_settings(config, 'ask_strategy', 'use_sell_signal', + 'experimental', 'use_sell_signal') + check_conflicting_settings(config, 'ask_strategy', 'sell_profit_only', + 'experimental', 'sell_profit_only') + check_conflicting_settings(config, 'ask_strategy', 'ignore_roi_if_buy_signal', + 'experimental', 'ignore_roi_if_buy_signal') + + process_deprecated_setting(config, 'ask_strategy', 'use_sell_signal', + 'experimental', 'use_sell_signal') + process_deprecated_setting(config, 'ask_strategy', 'sell_profit_only', + 'experimental', 'sell_profit_only') + process_deprecated_setting(config, 'ask_strategy', 'ignore_roi_if_buy_signal', + 'experimental', 'ignore_roi_if_buy_signal') diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index ec6eb75e6..fc759ab6e 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -42,9 +42,10 @@ class TimeRange: (r'^-(\d{10})$', (None, 'date')), (r'^(\d{10})-$', ('date', None)), (r'^(\d{10})-(\d{10})$', ('date', 'date')), - (r'^(-\d+)$', (None, 'line')), - (r'^(\d+)-$', ('line', None)), - (r'^(\d+)-(\d+)$', ('index', 'index'))] + (r'^-(\d{13})$', (None, 'date')), + (r'^(\d{13})-$', ('date', None)), + (r'^(\d{13})-(\d{13})$', ('date', 'date')), + ] for rex, stype in syntax: # Apply the regular expression to text match = re.match(rex, text) @@ -57,6 +58,8 @@ class TimeRange: starts = rvals[index] if stype[0] == 'date' and len(starts) == 8: start = arrow.get(starts, 'YYYYMMDD').timestamp + elif len(starts) == 13: + start = int(starts) // 1000 else: start = int(starts) index += 1 @@ -64,6 +67,8 @@ class TimeRange: stops = rvals[index] if stype[1] == 'date' and len(stops) == 8: stop = arrow.get(stops, 'YYYYMMDD').timestamp + elif len(stops) == 13: + stop = int(stops) // 1000 else: stop = int(stops) return TimeRange(stype[0], stype[1], start, stop) diff --git a/freqtrade/constants.py b/freqtrade/constants.py index b053519b0..1e9ce7e92 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -112,7 +112,10 @@ CONF_SCHEMA = { 'properties': { 'use_order_book': {'type': 'boolean'}, 'order_book_min': {'type': 'number', 'minimum': 1}, - 'order_book_max': {'type': 'number', 'minimum': 1, 'maximum': 50} + 'order_book_max': {'type': 'number', 'minimum': 1, 'maximum': 50}, + 'use_sell_signal': {'type': 'boolean'}, + 'sell_profit_only': {'type': 'boolean'}, + 'ignore_roi_if_buy_signal': {'type': 'boolean'} } }, 'order_types': { @@ -142,7 +145,8 @@ CONF_SCHEMA = { 'properties': { 'use_sell_signal': {'type': 'boolean'}, 'sell_profit_only': {'type': 'boolean'}, - 'ignore_roi_if_buy_signal_true': {'type': 'boolean'} + 'ignore_roi_if_buy_signal': {'type': 'boolean'}, + 'block_bad_exchanges': {'type': 'boolean'} } }, 'pairlist': { @@ -260,6 +264,6 @@ CONF_SCHEMA = { 'stake_amount', 'dry_run', 'bid_strategy', - 'telegram' + 'unfilledtimeout', ] } diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py index b03bdb74d..17abae3b6 100644 --- a/freqtrade/data/btanalysis.py +++ b/freqtrade/data/btanalysis.py @@ -93,7 +93,7 @@ def load_trades_from_db(db_url: str) -> pd.DataFrame: t.close_date.replace(tzinfo=pytz.UTC) if t.close_date else None, t.calc_profit(), t.calc_profit_percent(), t.open_rate, t.close_rate, t.amount, - (t.close_date.timestamp() - t.open_date.timestamp() + (round((t.close_date.timestamp() - t.open_date.timestamp()) / 60, 2) if t.close_date else None), t.sell_reason, t.fee_open, t.fee_close, diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index b530b3bce..1ef224978 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -114,3 +114,25 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame: keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum']) # logger.info('order book %s', frame ) return frame + + +def trades_to_ohlcv(trades: list, timeframe: str) -> list: + """ + Converts trades list to ohlcv list + :param trades: List of trades, as returned by ccxt.fetch_trades. + :param timeframe: Ticker timeframe to resample data to + :return: ohlcv timeframe as list (as returned by ccxt.fetch_ohlcv) + """ + from freqtrade.exchange import timeframe_to_minutes + ticker_minutes = timeframe_to_minutes(timeframe) + df = pd.DataFrame(trades) + df['datetime'] = pd.to_datetime(df['datetime']) + df = df.set_index('datetime') + + df_new = df['price'].resample(f'{ticker_minutes}min').ohlc() + df_new['volume'] = df['amount'].resample(f'{ticker_minutes}min').sum() + df_new['date'] = df_new.index.astype("int64") // 10 ** 6 + # Drop 0 volume rows + df_new = df_new.dropna() + columns = ["date", "open", "high", "low", "close", "volume"] + return list(zip(*[df_new[x].values.tolist() for x in columns])) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index 7d5e4540b..f0787281a 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -6,7 +6,7 @@ Common Interface for bot and strategy to access data. """ import logging from pathlib import Path -from typing import List, Tuple +from typing import Any, Dict, List, Optional, Tuple from pandas import DataFrame @@ -85,6 +85,14 @@ class DataProvider: logger.warning(f"No data found for ({pair}, {ticker_interval}).") return data + def market(self, pair: str) -> Optional[Dict[str, Any]]: + """ + Return market data for the pair + :param pair: Pair to get the data for + :return: Market data dict from ccxt or None if market info is not available for the pair + """ + return self._exchange.markets.get(pair) + def ticker(self, pair: str): """ Return last ticker data @@ -92,9 +100,9 @@ class DataProvider: # TODO: Implement me pass - def orderbook(self, pair: str, maximum: int): + def orderbook(self, pair: str, maximum: int) -> Dict[str, List]: """ - return latest orderbook data + fetch latest orderbook data :param pair: pair to get the data for :param maximum: Maximum number of orderbook entries to query :return: dict including bids/asks with a total of `maximum` entries. diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 865289f38..ed5d80b0e 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -17,7 +17,7 @@ from pandas import DataFrame from freqtrade import OperationalException, misc from freqtrade.configuration import TimeRange -from freqtrade.data.converter import parse_ticker_dataframe +from freqtrade.data.converter import parse_ticker_dataframe, trades_to_ohlcv from freqtrade.exchange import Exchange, timeframe_to_minutes logger = logging.getLogger(__name__) @@ -33,20 +33,12 @@ def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]: start_index = 0 stop_index = len(tickerlist) - if timerange.starttype == 'line': - stop_index = timerange.startts - if timerange.starttype == 'index': - start_index = timerange.startts - elif timerange.starttype == 'date': + if timerange.starttype == 'date': while (start_index < len(tickerlist) and tickerlist[start_index][0] < timerange.startts * 1000): start_index += 1 - if timerange.stoptype == 'line': - start_index = max(len(tickerlist) + timerange.stopts, 0) - if timerange.stoptype == 'index': - stop_index = timerange.stopts - elif timerange.stoptype == 'date': + if timerange.stoptype == 'date': while (stop_index > 0 and tickerlist[stop_index-1][0] > timerange.stopts * 1000): stop_index -= 1 @@ -82,10 +74,42 @@ def store_tickerdata_file(datadir: Path, pair: str, misc.file_dump_json(filename, data, is_zip=is_zip) +def load_trades_file(datadir: Path, pair: str, + timerange: Optional[TimeRange] = None) -> List[Dict]: + """ + Load a pair from file, either .json.gz or .json + :return: tradelist or empty list if unsuccesful + """ + filename = pair_trades_filename(datadir, pair) + tradesdata = misc.file_load_json(filename) + if not tradesdata: + return [] + + return tradesdata + + +def store_trades_file(datadir: Path, pair: str, + data: list, is_zip: bool = True): + """ + Stores tickerdata to file + """ + filename = pair_trades_filename(datadir, pair) + misc.file_dump_json(filename, data, is_zip=is_zip) + + +def _validate_pairdata(pair, pairdata, timerange: TimeRange): + if timerange.starttype == 'date' and pairdata[0][0] > timerange.startts * 1000: + logger.warning('Missing data at start for pair %s, data starts at %s', + pair, arrow.get(pairdata[0][0] // 1000).strftime('%Y-%m-%d %H:%M:%S')) + if timerange.stoptype == 'date' and pairdata[-1][0] < timerange.stopts * 1000: + logger.warning('Missing data at end for pair %s, data ends at %s', + pair, arrow.get(pairdata[-1][0] // 1000).strftime('%Y-%m-%d %H:%M:%S')) + + def load_pair_history(pair: str, ticker_interval: str, datadir: Path, - timerange: TimeRange = TimeRange(None, None, 0, 0), + timerange: Optional[TimeRange] = None, refresh_pairs: bool = False, exchange: Optional[Exchange] = None, fill_up_missing: bool = True, @@ -116,13 +140,8 @@ def load_pair_history(pair: str, pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange) if pairdata: - if timerange.starttype == 'date' and pairdata[0][0] > timerange.startts * 1000: - logger.warning('Missing data at start for pair %s, data starts at %s', - pair, arrow.get(pairdata[0][0] // 1000).strftime('%Y-%m-%d %H:%M:%S')) - if timerange.stoptype == 'date' and pairdata[-1][0] < timerange.stopts * 1000: - logger.warning('Missing data at end for pair %s, data ends at %s', - pair, - arrow.get(pairdata[-1][0] // 1000).strftime('%Y-%m-%d %H:%M:%S')) + if timerange: + _validate_pairdata(pair, pairdata, timerange) return parse_ticker_dataframe(pairdata, ticker_interval, pair=pair, fill_missing=fill_up_missing, drop_incomplete=drop_incomplete) @@ -139,7 +158,7 @@ def load_data(datadir: Path, pairs: List[str], refresh_pairs: bool = False, exchange: Optional[Exchange] = None, - timerange: TimeRange = TimeRange(None, None, 0, 0), + timerange: Optional[TimeRange] = None, fill_up_missing: bool = True, ) -> Dict[str, DataFrame]: """ @@ -169,13 +188,20 @@ def pair_data_filename(datadir: Path, pair: str, ticker_interval: str) -> Path: return filename -def load_cached_data_for_updating(datadir: Path, pair: str, ticker_interval: str, - timerange: Optional[TimeRange]) -> Tuple[List[Any], - Optional[int]]: +def pair_trades_filename(datadir: Path, pair: str) -> Path: + pair_s = pair.replace("/", "_") + filename = datadir.joinpath(f'{pair_s}-trades.json.gz') + return filename + + +def _load_cached_data_for_updating(datadir: Path, pair: str, ticker_interval: str, + timerange: Optional[TimeRange]) -> Tuple[List[Any], + Optional[int]]: """ Load cached data to download more data. - If timerange is passed in, checks wether data from an before the stored data will be downloaded. - If that's the case than what's available should be completely overwritten. + If timerange is passed in, checks whether data from an before the stored data will be + downloaded. + If that's the case then what's available should be completely overwritten. Only used by download_pair_history(). """ @@ -238,7 +264,7 @@ def download_pair_history(datadir: Path, f'and store in {datadir}.' ) - data, since_ms = load_cached_data_for_updating(datadir, pair, ticker_interval, timerange) + data, since_ms = _load_cached_data_for_updating(datadir, pair, ticker_interval, timerange) logger.debug("Current Start: %s", misc.format_ms_time(data[1][0]) if data else 'None') logger.debug("Current End: %s", misc.format_ms_time(data[-1][0]) if data else 'None') @@ -266,7 +292,7 @@ def download_pair_history(datadir: Path, def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes: List[str], - dl_path: Path, timerange: TimeRange, + dl_path: Path, timerange: Optional[TimeRange] = None, erase=False) -> List[str]: """ Refresh stored ohlcv data for backtesting and hyperopt operations. @@ -294,6 +320,92 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes return pairs_not_available +def download_trades_history(datadir: Path, + exchange: Exchange, + pair: str, + timerange: Optional[TimeRange] = None) -> bool: + """ + Download trade history from the exchange. + Appends to previously downloaded trades data. + """ + try: + + since = timerange.startts * 1000 if timerange and timerange.starttype == 'date' else None + + trades = load_trades_file(datadir, pair) + + from_id = trades[-1]['id'] if trades else None + + logger.debug("Current Start: %s", trades[0]['datetime'] if trades else 'None') + logger.debug("Current End: %s", trades[-1]['datetime'] if trades else 'None') + + new_trades = exchange.get_historic_trades(pair=pair, + since=since if since else + int(arrow.utcnow().shift( + days=-30).float_timestamp) * 1000, + # until=xxx, + from_id=from_id, + ) + trades.extend(new_trades[1]) + store_trades_file(datadir, pair, trades) + + logger.debug("New Start: %s", trades[0]['datetime']) + logger.debug("New End: %s", trades[-1]['datetime']) + logger.info(f"New Amount of trades: {len(trades)}") + return True + + except Exception as e: + logger.error( + f'Failed to download historic trades for pair: "{pair}". ' + f'Error: {e}' + ) + return False + + +def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: Path, + timerange: TimeRange, erase=False) -> List[str]: + """ + Refresh stored trades data. + Used by freqtrade download-data + :return: Pairs not available + """ + pairs_not_available = [] + for pair in pairs: + if pair not in exchange.markets: + pairs_not_available.append(pair) + logger.info(f"Skipping pair {pair}...") + continue + + dl_file = pair_trades_filename(datadir, pair) + if erase and dl_file.exists(): + logger.info( + f'Deleting existing data for pair {pair}.') + dl_file.unlink() + + logger.info(f'Downloading trades for pair {pair}.') + download_trades_history(datadir=datadir, exchange=exchange, + pair=pair, + timerange=timerange) + return pairs_not_available + + +def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str], + datadir: Path, timerange: TimeRange, erase=False) -> None: + """ + Convert stored trades data to ohlcv data + """ + for pair in pairs: + trades = load_trades_file(datadir, pair) + for timeframe in timeframes: + ohlcv_file = pair_data_filename(datadir, pair, timeframe) + if erase and ohlcv_file.exists(): + logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.') + ohlcv_file.unlink() + ohlcv = trades_to_ohlcv(trades, timeframe) + # Store ohlcv + store_tickerdata_file(datadir, pair, timeframe, data=ohlcv) + + def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: """ Get the maximum timeframe for the given backtest data diff --git a/freqtrade/edge/__init__.py b/freqtrade/edge/__init__.py index 66a777ce5..2655fbc65 100644 --- a/freqtrade/edge/__init__.py +++ b/freqtrade/edge/__init__.py @@ -77,8 +77,10 @@ class Edge: self._timerange: TimeRange = TimeRange.parse_timerange("%s-" % arrow.now().shift( days=-1 * self._since_number_of_days).format('YYYYMMDD')) - - self.fee = self.exchange.get_fee() + if config.get('fee'): + self.fee = config['fee'] + else: + self.fee = self.exchange.get_fee() def calculate(self) -> bool: pairs = self.config['exchange']['pair_whitelist'] diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index 4037ca704..1b3e94951 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -1,8 +1,9 @@ -from freqtrade.exchange.exchange import Exchange # noqa: F401 +from freqtrade.exchange.exchange import Exchange, MAP_EXCHANGE_CHILDCLASS # noqa: F401 from freqtrade.exchange.exchange import (get_exchange_bad_reason, # noqa: F401 is_exchange_bad, - is_exchange_available, + is_exchange_known_ccxt, is_exchange_officially_supported, + ccxt_exchanges, available_exchanges) from freqtrade.exchange.exchange import (timeframe_to_seconds, # noqa: F401 timeframe_to_minutes, diff --git a/freqtrade/exchange/binance.py b/freqtrade/exchange/binance.py index 14f409659..b5507981f 100644 --- a/freqtrade/exchange/binance.py +++ b/freqtrade/exchange/binance.py @@ -16,6 +16,8 @@ class Binance(Exchange): _ft_has: Dict = { "stoploss_on_exchange": True, "order_time_in_force": ['gtc', 'fok', 'ioc'], + "trades_pagination": "id", + "trades_pagination_arg": "fromId", } def get_order_book(self, pair: str, limit: int = 100) -> dict: diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index e2819bb59..d53c580cb 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -27,11 +27,86 @@ logger = logging.getLogger(__name__) API_RETRY_COUNT = 4 BAD_EXCHANGES = { - "bitmex": "Various reasons", + "bitmex": "Various reasons.", "bitstamp": "Does not provide history. " "Details in https://github.com/freqtrade/freqtrade/issues/1983", + "hitbtc": "This API cannot be used with Freqtrade. " + "Use `hitbtc2` exchange id to access this exchange.", + **dict.fromkeys([ + 'adara', + 'anxpro', + 'bigone', + 'coinbase', + 'coinexchange', + 'coinmarketcap', + 'lykke', + 'xbtce', + ], "Does not provide timeframes. ccxt fetchOHLCV: False"), + **dict.fromkeys([ + 'bcex', + 'bit2c', + 'bitbay', + 'bitflyer', + 'bitforex', + 'bithumb', + 'bitso', + 'bitstamp1', + 'bl3p', + 'braziliex', + 'btcbox', + 'btcchina', + 'btctradeim', + 'btctradeua', + 'bxinth', + 'chilebit', + 'coincheck', + 'coinegg', + 'coinfalcon', + 'coinfloor', + 'coingi', + 'coinmate', + 'coinone', + 'coinspot', + 'coolcoin', + 'crypton', + 'deribit', + 'exmo', + 'exx', + 'flowbtc', + 'foxbit', + 'fybse', + # 'hitbtc', + 'ice3x', + 'independentreserve', + 'indodax', + 'itbit', + 'lakebtc', + 'latoken', + 'liquid', + 'livecoin', + 'luno', + 'mixcoins', + 'negociecoins', + 'nova', + 'paymium', + 'southxchange', + 'stronghold', + 'surbitcoin', + 'therock', + 'tidex', + 'vaultoro', + 'vbtc', + 'virwox', + 'yobit', + 'zaif', + ], "Does not provide timeframes. ccxt fetchOHLCV: emulated"), } +MAP_EXCHANGE_CHILDCLASS = { + 'binanceus': 'binance', + 'binanceje': 'binance', +} + def retrier_async(f): async def wrapper(*args, **kwargs): @@ -72,6 +147,8 @@ def retrier(f): class Exchange: _config: Dict = {} + + # Parameters to add directly to buy/sell calls (like agreeing to trading agreement) _params: Dict = {} # Dict to specify which options each exchange implements @@ -82,6 +159,9 @@ class Exchange: "order_time_in_force": ["gtc"], "ohlcv_candle_limit": 500, "ohlcv_partial_candle": True, + "trades_pagination": "time", # Possible are "time" or "id" + "trades_pagination_arg": "since", + } _ft_has: Dict = {} @@ -125,6 +205,9 @@ class Exchange: self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit'] self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle'] + self._trades_pagination = self._ft_has['trades_pagination'] + self._trades_pagination_arg = self._ft_has['trades_pagination_arg'] + # Initialize ccxt objects self._api = self._init_ccxt( exchange_config, ccxt_kwargs=exchange_config.get('ccxt_config')) @@ -133,6 +216,9 @@ class Exchange: logger.info('Using Exchange "%s"', self.name) + # Check if timeframe is available + self.validate_timeframes(config.get('ticker_interval')) + # Converts the interval provided in minutes in config to seconds self.markets_refresh_interval: int = exchange_config.get( "markets_refresh_interval", 60) * 60 @@ -144,10 +230,6 @@ class Exchange: self.validate_ordertypes(config.get('order_types', {})) self.validate_order_time_in_force(config.get('order_time_in_force', {})) - if config.get('ticker_interval'): - # Check if timeframe is available - self.validate_timeframes(config['ticker_interval']) - def __del__(self): """ Destructor - clean up async stuff @@ -165,7 +247,7 @@ class Exchange: # Find matching class for the given exchange name name = exchange_config['name'] - if not is_exchange_available(name, ccxt_module): + if not is_exchange_known_ccxt(name, ccxt_module): raise OperationalException(f'Exchange {name} is not supported by ccxt') ex_config = { @@ -199,6 +281,10 @@ class Exchange: """exchange ccxt id""" return self._api.id + @property + def timeframes(self) -> List[str]: + return list((self._api.timeframes or {}).keys()) + @property def markets(self) -> Dict: """exchange ccxt markets""" @@ -291,7 +377,7 @@ class Exchange: return pair raise DependencyException(f"Could not combine {curr_1} and {curr_2} to get a valid pair.") - def validate_timeframes(self, timeframe: List[str]) -> None: + def validate_timeframes(self, timeframe: Optional[str]) -> None: """ Checks if ticker interval from config is a supported timeframe on the exchange """ @@ -304,10 +390,9 @@ class Exchange: f"for the exchange \"{self.name}\" and this exchange " f"is therefore not supported. ccxt fetchOHLCV: {self.exchange_has('fetchOHLCV')}") - timeframes = self._api.timeframes - if timeframe not in timeframes: + if timeframe and (timeframe not in self.timeframes): raise OperationalException( - f'Invalid ticker {timeframe}, this Exchange supports {timeframes}') + f"Invalid ticker interval '{timeframe}'. This exchange supports: {self.timeframes}") def validate_ordertypes(self, order_types: Dict) -> None: """ @@ -665,6 +750,154 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(f'Could not fetch ticker data. Msg: {e}') from e + @retrier_async + async def _async_fetch_trades(self, pair: str, + since: Optional[int] = None, + params: Optional[dict] = None) -> List[Dict]: + """ + Asyncronously gets trade history using fetch_trades. + Handles exchange errors, does one call to the exchange. + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + returns: List of dicts containing trades + """ + try: + # fetch trades asynchronously + if params: + logger.debug("Fetching trades for pair %s, params: %s ", pair, params) + trades = await self._api_async.fetch_trades(pair, params=params, limit=1000) + else: + logger.debug( + "Fetching trades for pair %s, since %s %s...", + pair, since, + '(' + arrow.get(since // 1000).isoformat() + ') ' if since is not None else '' + ) + trades = await self._api_async.fetch_trades(pair, since=since, limit=1000) + return trades + except ccxt.NotSupported as e: + raise OperationalException( + f'Exchange {self._api.name} does not support fetching historical trade data.' + f'Message: {e}') from e + except (ccxt.NetworkError, ccxt.ExchangeError) as e: + raise TemporaryError(f'Could not load trade history due to {e.__class__.__name__}. ' + f'Message: {e}') from e + except ccxt.BaseError as e: + raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e + + async def _async_get_trade_history_id(self, pair: str, + until: int, + since: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: + """ + Asyncronously gets trade history using fetch_trades + use this when exchange uses id-based iteration (check `self._trades_pagination`) + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + :param until: Until as integer timestamp in milliseconds + :param from_id: Download data starting with ID (if id is known). Ignores "since" if set. + returns tuple: (pair, trades-list) + """ + + trades: List[Dict] = [] + + if not from_id: + # Fetch first elements using timebased method to get an ID to paginate on + # Depending on the Exchange, this can introduce a drift at the start of the interval + # of up to an hour. + # e.g. Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first trades. + t = await self._async_fetch_trades(pair, since=since) + from_id = t[-1]['id'] + trades.extend(t[:-1]) + while True: + t = await self._async_fetch_trades(pair, + params={self._trades_pagination_arg: from_id}) + if len(t): + # Skip last id since its the key for the next call + trades.extend(t[:-1]) + if from_id == t[-1]['id'] or t[-1]['timestamp'] > until: + logger.debug(f"Stopping because from_id did not change. " + f"Reached {t[-1]['timestamp']} > {until}") + # Reached the end of the defined-download period - add last trade as well. + trades.extend(t[-1:]) + break + + from_id = t[-1]['id'] + else: + break + + return (pair, trades) + + async def _async_get_trade_history_time(self, pair: str, until: int, + since: Optional[int] = None) -> Tuple[str, List]: + """ + Asyncronously gets trade history using fetch_trades, + when the exchange uses time-based iteration (check `self._trades_pagination`) + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + :param until: Until as integer timestamp in milliseconds + returns tuple: (pair, trades-list) + """ + + trades: List[Dict] = [] + while True: + t = await self._async_fetch_trades(pair, since=since) + if len(t): + since = t[-1]['timestamp'] + trades.extend(t) + # Reached the end of the defined-download period + if until and t[-1]['timestamp'] > until: + logger.debug( + f"Stopping because until was reached. {t[-1]['timestamp']} > {until}") + break + else: + break + + return (pair, trades) + + async def _async_get_trade_history(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: + """ + Async wrapper handling downloading trades using either time or id based methods. + """ + + if self._trades_pagination == 'time': + return await self._async_get_trade_history_time( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds()) + elif self._trades_pagination == 'id': + return await self._async_get_trade_history_id( + pair=pair, since=since, + until=until or ccxt.Exchange.milliseconds(), from_id=from_id + ) + else: + raise OperationalException(f"Exchange {self.name} does use neither time, " + f"nor id based pagination") + + def get_historic_trades(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List]: + """ + Gets candle history using asyncio and returns the list of candles. + Handles all async doing. + Async over one pair, assuming we get `_ohlcv_candle_limit` candles per call. + :param pair: Pair to download + :param ticker_interval: Interval to get + :param since: Timestamp in milliseconds to get history from + :param until: Timestamp in milliseconds. Defaults to current timestamp if not defined. + :param from_id: Download data starting with ID (if id is known) + :returns List of tickers + """ + if not self.exchange_has("fetchTrades"): + raise OperationalException("This exchange does not suport downloading Trades.") + + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history(pair=pair, since=since, + until=until, from_id=from_id)) + @retrier def cancel_order(self, order_id: str, pair: str) -> None: if self._config['dry_run']: @@ -768,18 +1001,29 @@ def get_exchange_bad_reason(exchange_name: str) -> str: return BAD_EXCHANGES.get(exchange_name, "") -def is_exchange_available(exchange_name: str, ccxt_module=None) -> bool: - return exchange_name in available_exchanges(ccxt_module) +def is_exchange_known_ccxt(exchange_name: str, ccxt_module=None) -> bool: + return exchange_name in ccxt_exchanges(ccxt_module) def is_exchange_officially_supported(exchange_name: str) -> bool: return exchange_name in ['bittrex', 'binance'] -def available_exchanges(ccxt_module=None) -> List[str]: +def ccxt_exchanges(ccxt_module=None) -> List[str]: + """ + Return the list of all exchanges known to ccxt + """ return ccxt_module.exchanges if ccxt_module is not None else ccxt.exchanges +def available_exchanges(ccxt_module=None) -> List[str]: + """ + Return exchanges available to the bot, i.e. non-bad exchanges in the ccxt list + """ + exchanges = ccxt_exchanges(ccxt_module) + return [x for x in exchanges if not is_exchange_bad(x)] + + def timeframe_to_seconds(ticker_interval: str) -> int: """ Translates the timeframe interval value written in the human readable diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 6d3e82eca..f548489bc 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -14,6 +14,10 @@ logger = logging.getLogger(__name__) class Kraken(Exchange): _params: Dict = {"trading_agreement": "agree"} + _ft_has: Dict = { + "trades_pagination": "id", + "trades_pagination_arg": "since", + } @retrier def get_balances(self) -> dict: diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 3f7eab27a..ed5116b08 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -1,7 +1,6 @@ """ Freqtrade is the main module of this bot. It contains the class Freqtrade() """ - import copy import logging import traceback @@ -12,7 +11,7 @@ from typing import Any, Dict, List, Optional, Tuple import arrow from requests.exceptions import RequestException -from freqtrade import (DependencyException, OperationalException, InvalidOrderException, +from freqtrade import (DependencyException, InvalidOrderException, __version__, constants, persistence) from freqtrade.data.converter import order_book_to_dataframe from freqtrade.data.dataprovider import DataProvider @@ -135,12 +134,11 @@ class FreqtradeBot: self.strategy.informative_pairs()) # First process current opened trades - for trade in trades: - self.process_maybe_execute_sell(trade) + self.process_maybe_execute_sells(trades) # Then looking for buy opportunities if len(trades) < self.config['max_open_trades']: - self.process_maybe_execute_buy() + self.process_maybe_execute_buys() if 'unfilledtimeout' in self.config: # Check and handle any timed out open orders @@ -262,11 +260,10 @@ class FreqtradeBot: Checks pairs as long as the open trade count is below `max_open_trades`. :return: True if at least one trade has been created. """ - interval = self.strategy.ticker_interval whitelist = copy.deepcopy(self.active_pair_whitelist) if not whitelist: - logger.warning("Whitelist is empty.") + logger.info("Active pair whitelist is empty.") return False # Remove currently opened and latest pairs from whitelist @@ -276,7 +273,8 @@ class FreqtradeBot: logger.debug('Ignoring %s in pair whitelist', trade.pair) if not whitelist: - logger.info("No currency pair in whitelist, but checking to sell open trades.") + logger.info("No currency pair in active pair whitelist, " + "but checking to sell open trades.") return False buycount = 0 @@ -285,8 +283,10 @@ class FreqtradeBot: if self.strategy.is_pair_locked(_pair): logger.info(f"Pair {_pair} is currently locked.") continue + (buy, sell) = self.strategy.get_signal( - _pair, interval, self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval)) + _pair, self.strategy.ticker_interval, + self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval)) if buy and not sell and len(Trade.get_open_trades()) < self.config['max_open_trades']: stake_amount = self._get_trade_stake_amount(_pair) @@ -431,10 +431,9 @@ class FreqtradeBot: return True - def process_maybe_execute_buy(self) -> None: + def process_maybe_execute_buys(self) -> None: """ - Tries to execute a buy trade in a safe way - :return: True if executed + Tries to execute buy orders for trades in a safe way """ try: # Create entity and execute trade @@ -443,40 +442,37 @@ class FreqtradeBot: except DependencyException as exception: logger.warning('Unable to create trade: %s', exception) - def process_maybe_execute_sell(self, trade: Trade) -> bool: + def process_maybe_execute_sells(self, trades: List[Any]) -> None: """ - Tries to execute a sell trade - :return: True if executed + Tries to execute sell orders for trades in a safe way """ - try: - self.update_trade_state(trade) + result = False + for trade in trades: + try: + self.update_trade_state(trade) - if self.strategy.order_types.get('stoploss_on_exchange') and trade.is_open: - result = self.handle_stoploss_on_exchange(trade) - if result: - self.wallets.update() - return result - - if trade.is_open and trade.open_order_id is None: + if (self.strategy.order_types.get('stoploss_on_exchange') and + self.handle_stoploss_on_exchange(trade)): + result = True + continue # Check if we can sell our current pair - result = self.handle_trade(trade) + if trade.open_order_id is None and self.handle_trade(trade): + result = True - # Updating wallets if any trade occured - if result: - self.wallets.update() + except DependencyException as exception: + logger.warning('Unable to sell trade: %s', exception) - return result + # Updating wallets if any trade occured + if result: + self.wallets.update() - except DependencyException as exception: - logger.warning('Unable to sell trade: %s', exception) - return False - - def get_real_amount(self, trade: Trade, order: Dict) -> float: + def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float: """ Get real amount for the trade Necessary for exchanges which charge fees in base currency (e.g. binance) """ - order_amount = order['amount'] + if order_amount is None: + order_amount = order['amount'] # Only run for closed orders if trade.fee_open == 0 or order['status'] == 'open': return order_amount @@ -513,7 +509,7 @@ class FreqtradeBot: if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC): logger.warning(f"Amount {amount} does not match amount {trade.amount}") - raise OperationalException("Half bought? Amounts don't match") + raise DependencyException("Half bought? Amounts don't match") real_amount = amount - fee_abs if fee_abs != 0: logger.info(f"Applying fee on amount for {trade} " @@ -541,7 +537,7 @@ class FreqtradeBot: # Fee was applied, so set to 0 trade.fee_open = 0 - except OperationalException as exception: + except DependencyException as exception: logger.warning("Could not update trade amount: %s", exception) trade.update(order) @@ -575,18 +571,20 @@ class FreqtradeBot: :return: True if trade has been sold, False otherwise """ if not trade.is_open: - raise ValueError(f'Attempt to handle closed trade: {trade}') + raise DependencyException(f'Attempt to handle closed trade: {trade}') logger.debug('Handling %s ...', trade) (buy, sell) = (False, False) - experimental = self.config.get('experimental', {}) - if experimental.get('use_sell_signal') or experimental.get('ignore_roi_if_buy_signal'): + + config_ask_strategy = self.config.get('ask_strategy', {}) + + if (config_ask_strategy.get('use_sell_signal', True) or + config_ask_strategy.get('ignore_roi_if_buy_signal')): (buy, sell) = self.strategy.get_signal( trade.pair, self.strategy.ticker_interval, self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval)) - config_ask_strategy = self.config.get('ask_strategy', {}) if config_ask_strategy.get('use_order_book', False): logger.info('Using order book for selling...') # logger.debug('Order book %s',orderBook) @@ -708,7 +706,7 @@ class FreqtradeBot: if trade.stop_loss > float(order['info']['stopPrice']): # we check if the update is neccesary update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60) - if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() > update_beat: + if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat: # cancelling the current stoploss on exchange first logger.info('Trailing stoploss: cancelling current stoploss on exchange (id:{%s})' 'in order to add another one ...', order['id']) @@ -750,8 +748,8 @@ class FreqtradeBot: """ buy_timeout = self.config['unfilledtimeout']['buy'] sell_timeout = self.config['unfilledtimeout']['sell'] - buy_timeoutthreashold = arrow.utcnow().shift(minutes=-buy_timeout).datetime - sell_timeoutthreashold = arrow.utcnow().shift(minutes=-sell_timeout).datetime + buy_timeout_threshold = arrow.utcnow().shift(minutes=-buy_timeout).datetime + sell_timeout_threshold = arrow.utcnow().shift(minutes=-sell_timeout).datetime for trade in Trade.query.filter(Trade.open_order_id.isnot(None)).all(): try: @@ -775,21 +773,18 @@ class FreqtradeBot: self.wallets.update() continue - # Handle cancelled on exchange - if order['status'] == 'canceled': - if order['side'] == 'buy': - self.handle_buy_order_full_cancel(trade, "canceled on Exchange") - elif order['side'] == 'sell': - self.handle_timedout_limit_sell(trade, order) - self.wallets.update() - # Check if order is still actually open - elif order['status'] == 'open': - if order['side'] == 'buy' and ordertime < buy_timeoutthreashold: - self.handle_timedout_limit_buy(trade, order) - self.wallets.update() - elif order['side'] == 'sell' and ordertime < sell_timeoutthreashold: - self.handle_timedout_limit_sell(trade, order) - self.wallets.update() + if ((order['side'] == 'buy' and order['status'] == 'canceled') + or (order['status'] == 'open' + and order['side'] == 'buy' and ordertime < buy_timeout_threshold)): + + self.handle_timedout_limit_buy(trade, order) + self.wallets.update() + + elif ((order['side'] == 'sell' and order['status'] == 'canceled') + or (order['status'] == 'open' + and order['side'] == 'sell' and ordertime < sell_timeout_threshold)): + self.handle_timedout_limit_sell(trade, order) + self.wallets.update() def handle_buy_order_full_cancel(self, trade: Trade, reason: str) -> None: """Close trade in database and send message""" @@ -805,16 +800,33 @@ class FreqtradeBot: """Buy timeout - cancel order :return: True if order was fully cancelled """ - self.exchange.cancel_order(trade.open_order_id, trade.pair) - if order['remaining'] == order['amount']: + reason = "cancelled due to timeout" + if order['status'] != 'canceled': + corder = self.exchange.cancel_order(trade.open_order_id, trade.pair) + else: + # Order was cancelled already, so we can reuse the existing dict + corder = order + reason = "canceled on Exchange" + + if corder['remaining'] == corder['amount']: # if trade is not partially completed, just delete the trade - self.handle_buy_order_full_cancel(trade, "cancelled due to timeout") + self.handle_buy_order_full_cancel(trade, reason) return True # if trade is partially complete, edit the stake details for the trade # and close the order - trade.amount = order['amount'] - order['remaining'] + trade.amount = corder['amount'] - corder['remaining'] trade.stake_amount = trade.amount * trade.open_rate + # verify if fees were taken from amount to avoid problems during selling + try: + new_amount = self.get_real_amount(trade, corder, trade.amount) + if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC): + trade.amount = new_amount + # Fee was applied, so set to 0 + trade.fee_open = 0 + except DependencyException as e: + logger.warning("Could not update trade amount: %s", e) + trade.open_order_id = None logger.info('Partial buy order timeout for %s.', trade) self.rpc.send_msg({ diff --git a/freqtrade/indicator_helpers.py b/freqtrade/indicator_helpers.py deleted file mode 100644 index f8ea0d939..000000000 --- a/freqtrade/indicator_helpers.py +++ /dev/null @@ -1,40 +0,0 @@ -from math import cos, exp, pi, sqrt - -import numpy as np -import talib as ta -from pandas import Series - - -def went_up(series: Series) -> bool: - return series > series.shift(1) - - -def went_down(series: Series) -> bool: - return series < series.shift(1) - - -def ehlers_super_smoother(series: Series, smoothing: float = 6) -> Series: - magic = pi * sqrt(2) / smoothing - a1 = exp(-magic) - coeff2 = 2 * a1 * cos(magic) - coeff3 = -a1 * a1 - coeff1 = (1 - coeff2 - coeff3) / 2 - - filtered = series.copy() - - for i in range(2, len(series)): - filtered.iloc[i] = coeff1 * (series.iloc[i] + series.iloc[i-1]) + \ - coeff2 * filtered.iloc[i-1] + coeff3 * filtered.iloc[i-2] - - return filtered - - -def fishers_inverse(series: Series, smoothing: float = 0) -> np.ndarray: - """ Does a smoothed fishers inverse transformation. - Can be used with any oscillator that goes from 0 to 100 like RSI or MFI """ - v1 = 0.1 * (series - 50) - if smoothing > 0: - v2 = ta.WMA(v1.values, timeperiod=smoothing) - else: - v2 = v1 - return (np.exp(2 * v2)-1) / (np.exp(2 * v2) + 1) diff --git a/freqtrade/misc.py b/freqtrade/misc.py index c9fbda17e..b8e89b040 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -72,8 +72,10 @@ def json_load(datafile: IO): def file_load_json(file): - gzipfile = file.with_suffix(file.suffix + '.gz') - + if file.suffix != ".gz": + gzipfile = file.with_suffix(file.suffix + '.gz') + else: + gzipfile = file # Try gzip file first, otherwise regular json file. if gzipfile.is_file(): logger.debug('Loading ticker data from file %s', gzipfile) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 6074b281b..fb8c182ee 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -63,9 +63,12 @@ class Backtesting: self.config['exchange']['uid'] = '' self.config['dry_run'] = True self.strategylist: List[IStrategy] = [] - self.exchange = ExchangeResolver(self.config['exchange']['name'], self.config).exchange - self.fee = self.exchange.get_fee() + + if config.get('fee'): + self.fee = config['fee'] + else: + self.fee = self.exchange.get_fee() if self.config.get('runmode') != RunMode.HYPEROPT: self.dataprovider = DataProvider(self.config, self.exchange) @@ -146,8 +149,8 @@ class Backtesting: len(results[results.profit_abs < 0]) ]) # Ignore type as floatfmt does allow tuples but mypy does not know that - return tabulate(tabular_data, headers=headers, # type: ignore - floatfmt=floatfmt, tablefmt="pipe") + return tabulate(tabular_data, headers=headers, + floatfmt=floatfmt, tablefmt="pipe") # type: ignore def _generate_text_table_sell_reason(self, data: Dict[str, Dict], results: DataFrame) -> str: """ @@ -185,8 +188,8 @@ class Backtesting: len(results[results.profit_abs < 0]) ]) # Ignore type as floatfmt does allow tuples but mypy does not know that - return tabulate(tabular_data, headers=headers, # type: ignore - floatfmt=floatfmt, tablefmt="pipe") + return tabulate(tabular_data, headers=headers, + floatfmt=floatfmt, tablefmt="pipe") # type: ignore def _store_backtest_result(self, recordfilename: Path, results: DataFrame, strategyname: Optional[str] = None) -> None: @@ -267,6 +270,11 @@ class Backtesting: # - (Expected abs profit + open_rate + open_fee) / (fee_close -1) closerate = - (trade.open_rate * roi + trade.open_rate * (1 + trade.fee_open)) / (trade.fee_close - 1) + + # Use the maximum between closerate and low as we + # cannot sell outside of a candle. + # Applies when using {"xx": -1} as roi to force sells after xx minutes + closerate = max(closerate, sell_row.low) else: # This should not be reached... closerate = sell_row.open diff --git a/freqtrade/optimize/default_hyperopt.py b/freqtrade/optimize/default_hyperopt.py index 2554982ad..2e2bca3d0 100644 --- a/freqtrade/optimize/default_hyperopt.py +++ b/freqtrade/optimize/default_hyperopt.py @@ -11,7 +11,7 @@ import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.optimize.hyperopt_interface import IHyperOpt -class DefaultHyperOpts(IHyperOpt): +class DefaultHyperOpt(IHyperOpt): """ Default hyperopt provided by the Freqtrade bot. You can override it with your own Hyperopt diff --git a/freqtrade/optimize/edge_cli.py b/freqtrade/optimize/edge_cli.py index 0cf5a009b..1ba6bcc65 100644 --- a/freqtrade/optimize/edge_cli.py +++ b/freqtrade/optimize/edge_cli.py @@ -69,8 +69,8 @@ class EdgeCli: ]) # Ignore type as floatfmt does allow tuples but mypy does not know that - return tabulate(tabular_data, headers=headers, # type: ignore - floatfmt=floatfmt, tablefmt="pipe") + return tabulate(tabular_data, headers=headers, + floatfmt=floatfmt, tablefmt="pipe") # type: ignore def start(self) -> None: result = self.edge.calculate() diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index a70ff8142..07258a048 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -98,10 +98,10 @@ class Hyperopt: self.position_stacking = self.config.get('position_stacking', False) if self.has_space('sell'): - # Make sure experimental is enabled - if 'experimental' not in self.config: - self.config['experimental'] = {} - self.config['experimental']['use_sell_signal'] = True + # Make sure use_sell_signal is enabled + if 'ask_strategy' not in self.config: + self.config['ask_strategy'] = {} + self.config['ask_strategy']['use_sell_signal'] = True @staticmethod def get_lock_filename(config) -> str: diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index 1627959f9..6bd5993b6 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -64,14 +64,13 @@ def add_indicators(fig, row, indicators: List[str], data: pd.DataFrame) -> make_ """ for indicator in indicators: if indicator in data: - # TODO: Figure out why scattergl causes problems - scattergl = go.Scatter( + scatter = go.Scatter( x=data['date'], y=data[indicator].values, mode='lines', name=indicator ) - fig.add_trace(scattergl, row, 1) + fig.add_trace(scatter, row, 1) else: logger.info( 'Indicator "%s" ignored. Reason: This indicator is not found ' @@ -92,7 +91,7 @@ def add_profit(fig, row, data: pd.DataFrame, column: str, name: str) -> make_sub :param name: Name to use :return: fig with added profit plot """ - profit = go.Scattergl( + profit = go.Scatter( x=data.index, y=data[column], name=name, @@ -221,23 +220,27 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra else: logger.warning("No sell-signals found.") + # TODO: Figure out why scattergl causes problems plotly/plotly.js#2284 if 'bb_lowerband' in data and 'bb_upperband' in data: - bb_lower = go.Scattergl( + bb_lower = go.Scatter( x=data.date, y=data.bb_lowerband, - name='BB lower', + showlegend=False, line={'color': 'rgba(255,255,255,0)'}, ) - bb_upper = go.Scattergl( + bb_upper = go.Scatter( x=data.date, y=data.bb_upperband, - name='BB upper', + name='Bollinger Band', fill="tonexty", fillcolor="rgba(0,176,246,0.2)", line={'color': 'rgba(255,255,255,0)'}, ) fig.add_trace(bb_lower, 1, 1) fig.add_trace(bb_upper, 1, 1) + if 'bb_upperband' in indicators1 and 'bb_lowerband' in indicators1: + indicators1.remove('bb_upperband') + indicators1.remove('bb_lowerband') # Add indicators to main plot fig = add_indicators(fig=fig, row=1, indicators=indicators1, data=data) @@ -248,11 +251,13 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra volume = go.Bar( x=data['date'], y=data['volume'], - name='Volume' - ) + name='Volume', + marker_color='DarkSlateGrey', + marker_line_color='DarkSlateGrey' + ) fig.add_trace(volume, 2, 1) - # Add indicators to seperate row + # Add indicators to separate row fig = add_indicators(fig=fig, row=3, indicators=indicators2, data=data) return fig @@ -267,7 +272,7 @@ def generate_profit_graph(pairs: str, tickers: Dict[str, pd.DataFrame], df_comb = create_cum_profit(df_comb, trades, 'cum_profit') # Plot the pairs average close prices, and total profit growth - avgclose = go.Scattergl( + avgclose = go.Scatter( x=df_comb.index, y=df_comb['mean'], name='Avg close price', diff --git a/freqtrade/resolvers/exchange_resolver.py b/freqtrade/resolvers/exchange_resolver.py index 6fb12a65f..8ae40d971 100644 --- a/freqtrade/resolvers/exchange_resolver.py +++ b/freqtrade/resolvers/exchange_resolver.py @@ -3,7 +3,7 @@ This module loads custom exchanges """ import logging -from freqtrade.exchange import Exchange +from freqtrade.exchange import Exchange, MAP_EXCHANGE_CHILDCLASS import freqtrade.exchange as exchanges from freqtrade.resolvers import IResolver @@ -22,6 +22,8 @@ class ExchangeResolver(IResolver): Load the custom class from config parameter :param config: configuration dictionary """ + # Map exchange name to avoid duplicate classes for identical exchanges + exchange_name = MAP_EXCHANGE_CHILDCLASS.get(exchange_name, exchange_name) exchange_name = exchange_name.title() try: self.exchange = self._load_exchange(exchange_name, kwargs={'config': config}) diff --git a/freqtrade/resolvers/hyperopt_resolver.py b/freqtrade/resolvers/hyperopt_resolver.py index a51935500..758bbdd9a 100644 --- a/freqtrade/resolvers/hyperopt_resolver.py +++ b/freqtrade/resolvers/hyperopt_resolver.py @@ -54,14 +54,8 @@ class HyperOptResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('optimize').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('hyperopts'), - current_path, - ] - - if extra_dir: - # Add extra hyperopt directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='hyperopts', extra_dir=extra_dir) hyperopt = self._load_object(paths=abs_paths, object_type=IHyperOpt, object_name=hyperopt_name, kwargs={'config': config}) @@ -112,14 +106,8 @@ class HyperOptLossResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('optimize').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('hyperopts'), - current_path, - ] - - if extra_dir: - # Add extra hyperopt directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='hyperopts', extra_dir=extra_dir) hyperoptloss = self._load_object(paths=abs_paths, object_type=IHyperOptLoss, object_name=hyper_loss_name) diff --git a/freqtrade/resolvers/iresolver.py b/freqtrade/resolvers/iresolver.py index 6303d4801..51c4f7dba 100644 --- a/freqtrade/resolvers/iresolver.py +++ b/freqtrade/resolvers/iresolver.py @@ -7,7 +7,7 @@ import importlib.util import inspect import logging from pathlib import Path -from typing import Any, List, Optional, Tuple, Type, Union +from typing import Any, List, Optional, Tuple, Union, Generator logger = logging.getLogger(__name__) @@ -17,15 +17,29 @@ class IResolver: This class contains all the logic to load custom classes """ + def build_search_paths(self, config, current_path: Path, user_subdir: str, + extra_dir: Optional[str] = None) -> List[Path]: + + abs_paths = [ + config['user_data_dir'].joinpath(user_subdir), + current_path, + ] + + if extra_dir: + # Add extra directory to the top of the search paths + abs_paths.insert(0, Path(extra_dir).resolve()) + + return abs_paths + @staticmethod def _get_valid_object(object_type, module_path: Path, - object_name: str) -> Optional[Type[Any]]: + object_name: str) -> Generator[Any, None, None]: """ - Returns the first object with matching object_type and object_name in the path given. + Generator returning objects with matching object_type and object_name in the path given. :param object_type: object_type (class) :param module_path: absolute path to the module :param object_name: Class name of the object - :return: class or None + :return: generator containing matching objects """ # Generate spec based on absolute path @@ -42,7 +56,7 @@ class IResolver: obj for name, obj in inspect.getmembers(module, inspect.isclass) if object_name == name and object_type in obj.__bases__ ) - return next(valid_objects_gen, None) + return valid_objects_gen @staticmethod def _search_object(directory: Path, object_type, object_name: str, @@ -59,9 +73,9 @@ class IResolver: logger.debug('Ignoring %s', entry) continue module_path = entry.resolve() - obj = IResolver._get_valid_object( - object_type, module_path, object_name - ) + + obj = next(IResolver._get_valid_object(object_type, module_path, object_name), None) + if obj: return (obj(**kwargs), module_path) return (None, None) diff --git a/freqtrade/resolvers/pairlist_resolver.py b/freqtrade/resolvers/pairlist_resolver.py index f38253155..c2782a219 100644 --- a/freqtrade/resolvers/pairlist_resolver.py +++ b/freqtrade/resolvers/pairlist_resolver.py @@ -1,7 +1,7 @@ # pragma pylint: disable=attribute-defined-outside-init """ -This module load custom hyperopts +This module load custom pairlists """ import logging from pathlib import Path @@ -15,7 +15,7 @@ logger = logging.getLogger(__name__) class PairListResolver(IResolver): """ - This class contains all the logic to load custom hyperopt class + This class contains all the logic to load custom PairList class """ __slots__ = ['pairlist'] @@ -39,10 +39,8 @@ class PairListResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('pairlist').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('pairlist'), - current_path, - ] + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='pairlist', extra_dir=None) pairlist = self._load_object(paths=abs_paths, object_type=IPairList, object_name=pairlist_name, kwargs=kwargs) diff --git a/freqtrade/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py index 1b6d5c48a..22a26a5f3 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -41,13 +41,13 @@ class StrategyResolver(IResolver): config=config, extra_dir=config.get('strategy_path')) - # make sure experimental dict is available - if 'experimental' not in config: - config['experimental'] = {} + # make sure ask_strategy dict is available + if 'ask_strategy' not in config: + config['ask_strategy'] = {} # Set attributes # Check if we need to override configuration - # (Attribute name, default, experimental) + # (Attribute name, default, ask_strategy) attributes = [("minimal_roi", {"0": 10.0}, False), ("ticker_interval", None, False), ("stoploss", None, False), @@ -60,20 +60,20 @@ class StrategyResolver(IResolver): ("order_time_in_force", None, False), ("stake_currency", None, False), ("stake_amount", None, False), - ("use_sell_signal", False, True), + ("use_sell_signal", True, True), ("sell_profit_only", False, True), ("ignore_roi_if_buy_signal", False, True), ] - for attribute, default, experimental in attributes: - if experimental: - self._override_attribute_helper(config['experimental'], attribute, default) + for attribute, default, ask_strategy in attributes: + if ask_strategy: + self._override_attribute_helper(config['ask_strategy'], attribute, default) else: self._override_attribute_helper(config, attribute, default) # Loop this list again to have output combined for attribute, _, exp in attributes: - if exp and attribute in config['experimental']: - logger.info("Strategy using %s: %s", attribute, config['experimental'][attribute]) + if exp and attribute in config['ask_strategy']: + logger.info("Strategy using %s: %s", attribute, config['ask_strategy'][attribute]) elif attribute in config: logger.info("Strategy using %s: %s", attribute, config[attribute]) @@ -98,7 +98,10 @@ class StrategyResolver(IResolver): logger.info("Override strategy '%s' with value in config file: %s.", attribute, config[attribute]) elif hasattr(self.strategy, attribute): - config[attribute] = getattr(self.strategy, attribute) + val = getattr(self.strategy, attribute) + # None's cannot exist in the config, so do not copy them + if val is not None: + config[attribute] = val # Explicitly check for None here as other "falsy" values are possible elif default is not None: setattr(self.strategy, attribute, default) @@ -124,14 +127,8 @@ class StrategyResolver(IResolver): """ current_path = Path(__file__).parent.parent.joinpath('strategy').resolve() - abs_paths = [ - config['user_data_dir'].joinpath('strategies'), - current_path, - ] - - if extra_dir: - # Add extra strategy directory on top of search paths - abs_paths.insert(0, Path(extra_dir).resolve()) + abs_paths = self.build_search_paths(config, current_path=current_path, + user_subdir='strategies', extra_dir=extra_dir) if ":" in strategy_name: logger.info("loading base64 encoded strategy") diff --git a/freqtrade/rpc/rpc_manager.py b/freqtrade/rpc/rpc_manager.py index 802550b94..cb9e697e9 100644 --- a/freqtrade/rpc/rpc_manager.py +++ b/freqtrade/rpc/rpc_manager.py @@ -18,7 +18,7 @@ class RPCManager: self.registered_modules: List[RPC] = [] # Enable telegram - if freqtrade.config['telegram'].get('enabled', False): + if freqtrade.config.get('telegram', {}).get('enabled', False): logger.info('Enabling rpc.telegram ...') from freqtrade.rpc.telegram import Telegram self.registered_modules.append(Telegram(freqtrade)) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 17246ecf7..014ca9968 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -78,8 +78,8 @@ class IStrategy(ABC): # trailing stoploss trailing_stop: bool = False - trailing_stop_positive: float - trailing_stop_positive_offset: float + trailing_stop_positive: Optional[float] = None + trailing_stop_positive_offset: float = 0.0 trailing_only_offset_is_reached = False # associated ticker interval @@ -309,9 +309,9 @@ class IStrategy(ABC): # Set current rate to high for backtesting sell current_rate = high or rate current_profit = trade.calc_profit_percent(current_rate) - experimental = self.config.get('experimental', {}) + config_ask_strategy = self.config.get('ask_strategy', {}) - if buy and experimental.get('ignore_roi_if_buy_signal', False): + if buy and config_ask_strategy.get('ignore_roi_if_buy_signal', False): # This one is noisy, commented out # logger.debug(f"{trade.pair} - Buy signal still active. sell_flag=False") return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE) @@ -322,7 +322,7 @@ class IStrategy(ABC): f"sell_type=SellType.ROI") return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI) - if experimental.get('sell_profit_only', False): + if config_ask_strategy.get('sell_profit_only', False): # This one is noisy, commented out # logger.debug(f"{trade.pair} - Checking if trade is profitable...") if trade.calc_profit(rate=rate) <= 0: @@ -330,7 +330,7 @@ class IStrategy(ABC): # logger.debug(f"{trade.pair} - Trade is not profitable. sell_flag=False") return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE) - if sell and not buy and experimental.get('use_sell_signal', False): + if sell and not buy and config_ask_strategy.get('use_sell_signal', True): logger.debug(f"{trade.pair} - Sell signal received. sell_flag=True, " f"sell_type=SellType.SELL_SIGNAL") return SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL) @@ -347,26 +347,23 @@ class IStrategy(ABC): decides to sell or not :param current_profit: current profit in percent """ - trailing_stop = self.config.get('trailing_stop', False) stop_loss_value = force_stoploss if force_stoploss else self.stoploss # Initiate stoploss with open_rate. Does nothing if stoploss is already set. trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True) - if trailing_stop: + if self.trailing_stop: # trailing stoploss handling - sl_offset = self.config.get('trailing_stop_positive_offset') or 0.0 - tsl_only_offset = self.config.get('trailing_only_offset_is_reached', False) + sl_offset = self.trailing_stop_positive_offset # Make sure current_profit is calculated using high for backtesting. high_profit = current_profit if not high else trade.calc_profit_percent(high) # Don't update stoploss if trailing_only_offset_is_reached is true. - if not (tsl_only_offset and high_profit < sl_offset): + if not (self.trailing_only_offset_is_reached and high_profit < sl_offset): # Specific handling for trailing_stop_positive - if 'trailing_stop_positive' in self.config and high_profit > sl_offset: - # Ignore mypy error check in configuration that this is a float - stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore + if self.trailing_stop_positive is not None and high_profit > sl_offset: + stop_loss_value = self.trailing_stop_positive logger.debug(f"{trade.pair} - Using positive stoploss: {stop_loss_value} " f"offset: {sl_offset:.4g} profit: {current_profit:.4f}%") diff --git a/freqtrade/utils.py b/freqtrade/utils.py index 6b2b5314b..aff917e4a 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -8,8 +8,10 @@ import arrow from freqtrade import OperationalException from freqtrade.configuration import Configuration, TimeRange from freqtrade.configuration.directory_operations import create_userdata_dir -from freqtrade.data.history import refresh_backtest_ohlcv_data -from freqtrade.exchange import available_exchanges +from freqtrade.data.history import (convert_trades_to_ohlcv, + refresh_backtest_ohlcv_data, + refresh_backtest_trades_data) +from freqtrade.exchange import available_exchanges, ccxt_exchanges from freqtrade.resolvers import ExchangeResolver from freqtrade.state import RunMode @@ -50,12 +52,14 @@ def start_list_exchanges(args: Dict[str, Any]) -> None: :param args: Cli args from Arguments() :return: None """ - + exchanges = ccxt_exchanges() if args['list_exchanges_all'] else available_exchanges() if args['print_one_column']: - print('\n'.join(available_exchanges())) + print('\n'.join(exchanges)) else: - print(f"Exchanges supported by ccxt and available for Freqtrade: " - f"{', '.join(available_exchanges())}") + if args['list_exchanges_all']: + print(f"All exchanges supported by the ccxt library: {', '.join(exchanges)}") + else: + print(f"Exchanges available for Freqtrade: {', '.join(exchanges)}") def start_create_userdir(args: Dict[str, Any]) -> None: @@ -97,9 +101,19 @@ def start_download_data(args: Dict[str, Any]) -> None: # Init exchange exchange = ExchangeResolver(config['exchange']['name'], config).exchange - pairs_not_available = refresh_backtest_ohlcv_data( - exchange, pairs=config["pairs"], timeframes=config["timeframes"], - dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + if config.get('download_trades'): + pairs_not_available = refresh_backtest_trades_data( + exchange, pairs=config["pairs"], datadir=Path(config['datadir']), + timerange=timerange, erase=config.get("erase")) + + # Convert downloaded trade data to different timeframes + convert_trades_to_ohlcv( + pairs=config["pairs"], timeframes=config["timeframes"], + datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + else: + pairs_not_available = refresh_backtest_ohlcv_data( + exchange, pairs=config["pairs"], timeframes=config["timeframes"], + dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) except KeyboardInterrupt: sys.exit("SIGINT received, aborting ...") @@ -108,3 +122,21 @@ def start_download_data(args: Dict[str, Any]) -> None: if pairs_not_available: logger.info(f"Pairs [{','.join(pairs_not_available)}] not available " f"on exchange {config['exchange']['name']}.") + + +def start_list_timeframes(args: Dict[str, Any]) -> None: + """ + Print ticker intervals (timeframes) available on Exchange + """ + config = setup_utils_configuration(args, RunMode.OTHER) + # Do not use ticker_interval set in the config + config['ticker_interval'] = None + + # Init exchange + exchange = ExchangeResolver(config['exchange']['name'], config).exchange + + if args['print_one_column']: + print('\n'.join(exchange.timeframes)) + else: + print(f"Timeframes available for the exchange `{config['exchange']['name']}`: " + f"{', '.join(exchange.timeframes)}") diff --git a/mkdocs.yml b/mkdocs.yml index 7aedb4bba..863731873 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -14,14 +14,17 @@ nav: - Data Downloading: data-download.md - Backtesting: backtesting.md - Hyperopt: hyperopt.md - - Edge positioning: edge.md + - Edge Positioning: edge.md + - Utility Subcommands: utils.md - FAQ: faq.md - - Data Analysis: data-analysis.md - - Plotting: plotting.md + - Data Analysis: + - Jupyter Notebooks: data-analysis.md + - Strategy analysis: strategy_analysis_example.md + - Plotting: plotting.md - SQL Cheatsheet: sql_cheatsheet.md - - Sandbox testing: sandbox-testing.md - - Deprecated features: deprecated.md - - Contributors guide: developer.md + - Sandbox Testing: sandbox-testing.md + - Deprecated Features: deprecated.md + - Contributors Guide: developer.md theme: name: material logo: 'images/logo.png' @@ -29,6 +32,8 @@ theme: palette: primary: 'blue grey' accent: 'tear' +extra_css: + - 'stylesheets/ft.extra.css' markdown_extensions: - admonition - codehilite: @@ -47,3 +52,4 @@ markdown_extensions: - pymdownx.tasklist: custom_checkbox: true - pymdownx.tilde + - mdx_truly_sane_lists diff --git a/requirements-common.txt b/requirements-common.txt index f10134203..c2c5317dc 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,16 +1,16 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs -ccxt==1.18.1180 -SQLAlchemy==1.3.8 +ccxt==1.18.1260 +SQLAlchemy==1.3.10 python-telegram-bot==12.1.1 arrow==0.15.2 cachetools==3.1.1 requests==2.22.0 -urllib3==1.25.5 +urllib3==1.25.6 wrapt==1.11.2 -jsonschema==3.0.2 +jsonschema==3.1.1 TA-Lib==0.4.17 -tabulate==0.8.3 +tabulate==0.8.5 coinmarketcap==5.0.3 # find first, C search in arrays diff --git a/requirements-dev.txt b/requirements-dev.txt index dcf2c7217..6cf378c03 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -7,9 +7,12 @@ coveralls==1.8.2 flake8==3.7.8 flake8-type-annotations==0.1.0 flake8-tidy-imports==2.0.0 -mypy==0.720 -pytest==5.1.3 +mypy==0.730 +pytest==5.2.1 pytest-asyncio==0.10.0 -pytest-cov==2.7.1 -pytest-mock==1.10.4 +pytest-cov==2.8.1 +pytest-mock==1.11.1 pytest-random-order==1.0.4 + +# Convert jupyter notebooks to markdown documents +nbconvert==5.6.0 diff --git a/requirements-hyperopt.txt b/requirements-hyperopt.txt index bb0ad60f0..f5dae7332 100644 --- a/requirements-hyperopt.txt +++ b/requirements-hyperopt.txt @@ -1,9 +1,9 @@ # Include all requirements to run the bot. -# -r requirements.txt +-r requirements.txt # Required for hyperopt scipy==1.3.1 scikit-learn==0.21.3 scikit-optimize==0.5.2 filelock==3.0.12 -joblib==0.13.2 +joblib==0.14.0 diff --git a/scripts/pytest.sh b/scripts/pytest.sh new file mode 100755 index 000000000..d2ad223e7 --- /dev/null +++ b/scripts/pytest.sh @@ -0,0 +1,5 @@ +#!/bin/bash + +echo "Running Unit tests" + +pytest --random-order --cov=freqtrade --cov-config=.coveragerc tests/ diff --git a/setup.py b/setup.py index 2eb09e589..50b8eee9c 100644 --- a/setup.py +++ b/setup.py @@ -43,6 +43,7 @@ jupyter = [ 'jupyter', 'nbstripout', 'ipykernel', + 'nbconvert', ] all_extra = api + plot + develop + jupyter + hyperopt diff --git a/tests/config_test_comments.json b/tests/config_test_comments.json index 85becc3e8..8af39d6ba 100644 --- a/tests/config_test_comments.json +++ b/tests/config_test_comments.json @@ -103,11 +103,6 @@ "max_trade_duration_minute": 1440, "remove_pumps": false }, - "experimental": { - "use_sell_signal": false, - "sell_profit_only": false, - "ignore_roi_if_buy_signal": false - }, "telegram": { // We can now comment out some settings // "enabled": true, diff --git a/tests/conftest.py b/tests/conftest.py index 0ffb5a066..1a3c80f6c 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -9,8 +9,8 @@ from pathlib import Path from unittest.mock import MagicMock, PropertyMock import arrow -import pytest import numpy as np +import pytest from telegram import Chat, Message, Update from freqtrade import constants, persistence @@ -19,10 +19,10 @@ from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.edge import Edge, PairInfo from freqtrade.exchange import Exchange from freqtrade.freqtradebot import FreqtradeBot +from freqtrade.persistence import Trade from freqtrade.resolvers import ExchangeResolver from freqtrade.worker import Worker - logging.getLogger('').setLevel(logging.INFO) @@ -609,6 +609,14 @@ def limit_buy_order_old_partial(): } +@pytest.fixture +def limit_buy_order_old_partial_canceled(limit_buy_order_old_partial): + res = deepcopy(limit_buy_order_old_partial) + res['status'] = 'canceled' + res['fee'] = {'cost': 0.0001, 'currency': 'ETH'} + return res + + @pytest.fixture def limit_sell_order(): return { @@ -897,12 +905,6 @@ def result(testdatadir): return parse_ticker_dataframe(json.load(data_file), '1m', pair="UNITTEST/BTC", fill_missing=True) -# FIX: -# Create an fixture/function -# that inserts a trade of some type and open-status -# return the open-order-id -# See tests in rpc/main that could use this - @pytest.fixture(scope="function") def trades_for_order(): @@ -929,6 +931,110 @@ def trades_for_order(): 'fee': {'cost': 0.008, 'currency': 'LTC'}}] +@pytest.fixture(scope="function") +def trades_history(): + return [{'info': {'a': 126181329, + 'p': '0.01962700', + 'q': '0.04000000', + 'f': 138604155, + 'l': 138604155, + 'T': 1565798399463, + 'm': False, + 'M': True}, + 'timestamp': 1565798399463, + 'datetime': '2019-08-14T15:59:59.463Z', + 'symbol': 'ETH/BTC', + 'id': '126181329', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'buy', + 'price': 0.019627, + 'amount': 0.04, + 'cost': 0.00078508, + 'fee': None}, + {'info': {'a': 126181330, + 'p': '0.01962700', + 'q': '0.24400000', + 'f': 138604156, + 'l': 138604156, + 'T': 1565798399629, + 'm': False, + 'M': True}, + 'timestamp': 1565798399629, + 'datetime': '2019-08-14T15:59:59.629Z', + 'symbol': 'ETH/BTC', + 'id': '126181330', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'buy', + 'price': 0.019627, + 'amount': 0.244, + 'cost': 0.004788987999999999, + 'fee': None}, + {'info': {'a': 126181331, + 'p': '0.01962600', + 'q': '0.01100000', + 'f': 138604157, + 'l': 138604157, + 'T': 1565798399752, + 'm': True, + 'M': True}, + 'timestamp': 1565798399752, + 'datetime': '2019-08-14T15:59:59.752Z', + 'symbol': 'ETH/BTC', + 'id': '126181331', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}, + {'info': {'a': 126181332, + 'p': '0.01962600', + 'q': '0.01100000', + 'f': 138604158, + 'l': 138604158, + 'T': 1565798399862, + 'm': True, + 'M': True}, + 'timestamp': 1565798399862, + 'datetime': '2019-08-14T15:59:59.862Z', + 'symbol': 'ETH/BTC', + 'id': '126181332', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}, + {'info': {'a': 126181333, + 'p': '0.01952600', + 'q': '0.01200000', + 'f': 138604158, + 'l': 138604158, + 'T': 1565798399872, + 'm': True, + 'M': True}, + 'timestamp': 1565798399872, + 'datetime': '2019-08-14T15:59:59.872Z', + 'symbol': 'ETH/BTC', + 'id': '126181333', + 'order': None, + 'type': None, + 'takerOrMaker': None, + 'side': 'sell', + 'price': 0.019626, + 'amount': 0.011, + 'cost': 0.00021588599999999999, + 'fee': None}] + + @pytest.fixture(scope="function") def trades_for_order2(): return [{'info': {'id': 34567, @@ -1076,3 +1182,19 @@ def import_fails() -> None: # restore previous importfunction builtins.__import__ = realimport + + +@pytest.fixture(scope="function") +def open_trade(): + return Trade( + pair='ETH/BTC', + open_rate=0.00001099, + exchange='bittrex', + open_order_id='123456789', + amount=90.99181073, + fee_open=0.0, + fee_close=0.0, + stake_amount=1, + open_date=arrow.utcnow().shift(minutes=-601).datetime, + is_open=True + ) diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 18326226c..4068e00e4 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -53,12 +53,12 @@ def test_load_trades_db(default_conf, fee, mocker): def test_extract_trades_of_period(testdatadir): pair = "UNITTEST/BTC" - timerange = TimeRange(None, 'line', 0, -1000) + # 2018-11-14 06:07:00 + timerange = TimeRange('date', None, 1510639620, 0) data = load_pair_history(pair=pair, ticker_interval='1m', datadir=testdatadir, timerange=timerange) - # timerange = 2017-11-14 06:07 - 2017-11-14 22:58:00 trades = DataFrame( {'pair': [pair, pair, pair, pair], 'profit_percent': [0.0, 0.1, -0.2, -0.5], @@ -108,7 +108,7 @@ def test_load_trades(default_conf, mocker): def test_combine_tickers_with_mean(testdatadir): - pairs = ["ETH/BTC", "XLM/BTC"] + pairs = ["ETH/BTC", "ADA/BTC"] tickers = load_data(datadir=testdatadir, pairs=pairs, ticker_interval='5m' @@ -116,7 +116,7 @@ def test_combine_tickers_with_mean(testdatadir): df = combine_tickers_with_mean(tickers) assert isinstance(df, DataFrame) assert "ETH/BTC" in df.columns - assert "XLM/BTC" in df.columns + assert "ADA/BTC" in df.columns assert "mean" in df.columns diff --git a/tests/data/test_dataprovider.py b/tests/data/test_dataprovider.py index 39e2f7d2e..9a857750b 100644 --- a/tests/data/test_dataprovider.py +++ b/tests/data/test_dataprovider.py @@ -120,3 +120,35 @@ def test_refresh(mocker, default_conf, ticker_history): assert len(refresh_mock.call_args[0]) == 1 assert len(refresh_mock.call_args[0][0]) == len(pairs) + len(pairs_non_trad) assert refresh_mock.call_args[0][0] == pairs + pairs_non_trad + + +def test_orderbook(mocker, default_conf, order_book_l2): + api_mock = MagicMock() + api_mock.fetch_l2_order_book = order_book_l2 + exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock) + + dp = DataProvider(default_conf, exchange) + res = dp.orderbook('ETH/BTC', 5) + assert order_book_l2.call_count == 1 + assert order_book_l2.call_args_list[0][0][0] == 'ETH/BTC' + assert order_book_l2.call_args_list[0][0][1] == 5 + + assert type(res) is dict + assert 'bids' in res + assert 'asks' in res + + +def test_market(mocker, default_conf, markets): + api_mock = MagicMock() + api_mock.markets = markets + exchange = get_patched_exchange(mocker, default_conf, api_mock=api_mock) + + dp = DataProvider(default_conf, exchange) + res = dp.market('ETH/BTC') + + assert type(res) is dict + assert 'symbol' in res + assert res['symbol'] == 'ETH/BTC' + + res = dp.market('UNITTEST/BTC') + assert res is None diff --git a/tests/data/test_history.py b/tests/data/test_history.py index e386c3506..95382768a 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -1,7 +1,6 @@ # pragma pylint: disable=missing-docstring, protected-access, C0103 import json -import os import uuid from pathlib import Path from shutil import copyfile @@ -14,49 +13,54 @@ from pandas import DataFrame from freqtrade import OperationalException from freqtrade.configuration import TimeRange from freqtrade.data import history -from freqtrade.data.history import (download_pair_history, - load_cached_data_for_updating, - load_tickerdata_file, +from freqtrade.data.history import (_load_cached_data_for_updating, + convert_trades_to_ohlcv, + download_pair_history, + download_trades_history, + load_tickerdata_file, pair_data_filename, + pair_trades_filename, refresh_backtest_ohlcv_data, + refresh_backtest_trades_data, trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json from freqtrade.strategy.default_strategy import DefaultStrategy -from tests.conftest import get_patched_exchange, log_has, log_has_re, patch_exchange +from tests.conftest import (get_patched_exchange, log_has, log_has_re, + patch_exchange) # Change this if modifying UNITTEST/BTC testdatafile _BTC_UNITTEST_LENGTH = 13681 -def _backup_file(file: str, copy_file: bool = False) -> None: +def _backup_file(file: Path, copy_file: bool = False) -> None: """ Backup existing file to avoid deleting the user file :param file: complete path to the file :param touch_file: create an empty file in replacement :return: None """ - file_swp = file + '.swp' - if os.path.isfile(file): - os.rename(file, file_swp) + file_swp = str(file) + '.swp' + if file.is_file(): + file.rename(file_swp) if copy_file: copyfile(file_swp, file) -def _clean_test_file(file: str) -> None: +def _clean_test_file(file: Path) -> None: """ Backup existing file to avoid deleting the user file :param file: complete path to the file :return: None """ - file_swp = file + '.swp' + file_swp = Path(str(file) + '.swp') # 1. Delete file from the test - if os.path.isfile(file): - os.remove(file) + if file.is_file(): + file.unlink() # 2. Rollback to the initial file - if os.path.isfile(file_swp): - os.rename(file_swp, file) + if file_swp.is_file(): + file_swp.rename(file) def test_load_data_30min_ticker(mocker, caplog, default_conf, testdatadir) -> None: @@ -80,10 +84,10 @@ def test_load_data_7min_ticker(mocker, caplog, default_conf, testdatadir) -> Non def test_load_data_1min_ticker(ticker_history, mocker, caplog, testdatadir) -> None: mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ticker_history) - file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-1m.json') + file = testdatadir / 'UNITTEST_BTC-1m.json' _backup_file(file, copy_file=True) history.load_data(datadir=testdatadir, ticker_interval='1m', pairs=['UNITTEST/BTC']) - assert os.path.isfile(file) is True + assert file.is_file() assert not log_has( 'Download history data for pair: "UNITTEST/BTC", interval: 1m ' 'and store in None.', caplog @@ -98,14 +102,14 @@ def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog, """ mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ticker_history_list) exchange = get_patched_exchange(mocker, default_conf) - file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json') + file = testdatadir / 'MEME_BTC-1m.json' _backup_file(file) # do not download a new pair if refresh_pairs isn't set history.load_pair_history(datadir=testdatadir, ticker_interval='1m', pair='MEME/BTC') - assert os.path.isfile(file) is False + assert not file.is_file() assert log_has( 'No history data for pair: "MEME/BTC", interval: 1m. ' 'Use `freqtrade download-data` to download the data', caplog @@ -117,7 +121,7 @@ def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog, refresh_pairs=True, exchange=exchange, pair='MEME/BTC') - assert os.path.isfile(file) is True + assert file.is_file() assert log_has_re( 'Download history data for pair: "MEME/BTC", interval: 1m ' 'and store in .*', caplog @@ -135,6 +139,18 @@ def test_testdata_path(testdatadir) -> None: assert str(Path('tests') / 'testdata') in str(testdatadir) +def test_pair_data_filename(): + fn = pair_data_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m') + assert isinstance(fn, Path) + assert fn == Path('freqtrade/hello/world/ETH_BTC-5m.json') + + +def test_pair_trades_filename(): + fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC') + assert isinstance(fn, Path) + assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json.gz') + + def test_load_cached_data_for_updating(mocker) -> None: datadir = Path(__file__).parent.parent.joinpath('testdata') @@ -151,43 +167,43 @@ def test_load_cached_data_for_updating(mocker) -> None: # timeframe starts earlier than the cached data # should fully update data timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0) - data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) assert data == [] assert start_ts == test_data[0][0] - 1000 # same with 'line' timeframe num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 120 - data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', - TimeRange(None, 'line', 0, -num_lines)) + data, start_ts = _load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', + TimeRange(None, 'line', 0, -num_lines)) assert data == [] assert start_ts < test_data[0][0] - 1 # timeframe starts in the center of the cached data # should return the chached data w/o the last item timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0) - data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) assert data == test_data[:-1] assert test_data[-2][0] < start_ts < test_data[-1][0] # same with 'line' timeframe num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 30 timerange = TimeRange(None, 'line', 0, -num_lines) - data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) assert data == test_data[:-1] assert test_data[-2][0] < start_ts < test_data[-1][0] # timeframe starts after the chached data # should return the chached data w/o the last item timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 1, 0) - data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) assert data == test_data[:-1] assert test_data[-2][0] < start_ts < test_data[-1][0] # Try loading last 30 lines. - # Not supported by load_cached_data_for_updating, we always need to get the full data. + # Not supported by _load_cached_data_for_updating, we always need to get the full data. num_lines = 30 timerange = TimeRange(None, 'line', 0, -num_lines) - data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) assert data == test_data[:-1] assert test_data[-2][0] < start_ts < test_data[-1][0] @@ -195,27 +211,27 @@ def test_load_cached_data_for_updating(mocker) -> None: # should return the chached data w/o the last item num_lines = 30 timerange = TimeRange(None, 'line', 0, -num_lines) - data, start_ts = load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'UNITTEST/BTC', '1m', timerange) assert data == test_data[:-1] assert test_data[-2][0] < start_ts < test_data[-1][0] # no datafile exist # should return timestamp start time timerange = TimeRange('date', None, now_ts - 10000, 0) - data, start_ts = load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', timerange) assert data == [] assert start_ts == (now_ts - 10000) * 1000 # same with 'line' timeframe num_lines = 30 timerange = TimeRange(None, 'line', 0, -num_lines) - data, start_ts = load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', timerange) + data, start_ts = _load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', timerange) assert data == [] assert start_ts == (now_ts - num_lines * 60) * 1000 # no datafile exist, no timeframe is set # should return an empty array and None - data, start_ts = load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', None) + data, start_ts = _load_cached_data_for_updating(datadir, 'NONEXIST/BTC', '1m', None) assert data == [] assert start_ts is None @@ -223,18 +239,18 @@ def test_load_cached_data_for_updating(mocker) -> None: def test_download_pair_history(ticker_history_list, mocker, default_conf, testdatadir) -> None: mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ticker_history_list) exchange = get_patched_exchange(mocker, default_conf) - file1_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json') - file1_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-5m.json') - file2_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'CFI_BTC-1m.json') - file2_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'CFI_BTC-5m.json') + file1_1 = testdatadir / 'MEME_BTC-1m.json' + file1_5 = testdatadir / 'MEME_BTC-5m.json' + file2_1 = testdatadir / 'CFI_BTC-1m.json' + file2_5 = testdatadir / 'CFI_BTC-5m.json' _backup_file(file1_1) _backup_file(file1_5) _backup_file(file2_1) _backup_file(file2_5) - assert os.path.isfile(file1_1) is False - assert os.path.isfile(file2_1) is False + assert not file1_1.is_file() + assert not file2_1.is_file() assert download_pair_history(datadir=testdatadir, exchange=exchange, pair='MEME/BTC', @@ -243,15 +259,15 @@ def test_download_pair_history(ticker_history_list, mocker, default_conf, testda pair='CFI/BTC', ticker_interval='1m') assert not exchange._pairs_last_refresh_time - assert os.path.isfile(file1_1) is True - assert os.path.isfile(file2_1) is True + assert file1_1.is_file() + assert file2_1.is_file() # clean files freshly downloaded _clean_test_file(file1_1) _clean_test_file(file2_1) - assert os.path.isfile(file1_5) is False - assert os.path.isfile(file2_5) is False + assert not file1_5.is_file() + assert not file2_5.is_file() assert download_pair_history(datadir=testdatadir, exchange=exchange, pair='MEME/BTC', @@ -260,8 +276,8 @@ def test_download_pair_history(ticker_history_list, mocker, default_conf, testda pair='CFI/BTC', ticker_interval='5m') assert not exchange._pairs_last_refresh_time - assert os.path.isfile(file1_5) is True - assert os.path.isfile(file2_5) is True + assert file1_5.is_file() + assert file2_5.is_file() # clean files freshly downloaded _clean_test_file(file1_5) @@ -288,8 +304,8 @@ def test_download_backtesting_data_exception(ticker_history, mocker, caplog, exchange = get_patched_exchange(mocker, default_conf) - file1_1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json') - file1_5 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-5m.json') + file1_1 = testdatadir / 'MEME_BTC-1m.json' + file1_5 = testdatadir / 'MEME_BTC-5m.json' _backup_file(file1_1) _backup_file(file1_5) @@ -359,43 +375,12 @@ def test_init(default_conf, mocker) -> None: ) -def test_trim_tickerlist() -> None: - file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'UNITTEST_BTC-1m.json') +def test_trim_tickerlist(testdatadir) -> None: + file = testdatadir / 'UNITTEST_BTC-1m.json' with open(file) as data_file: ticker_list = json.load(data_file) ticker_list_len = len(ticker_list) - # Test the pattern ^(-\d+)$ - # This pattern uses the latest N elements - timerange = TimeRange(None, 'line', 0, -5) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is not ticker[0] # The first element should be different - assert ticker_list[-1] is ticker[-1] # The last element must be the same - - # Test the pattern ^(\d+)-$ - # This pattern keep X element from the end - timerange = TimeRange('line', None, 5, 0) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is ticker[0] # The first element must be the same - assert ticker_list[-1] is not ticker[-1] # The last element should be different - - # Test the pattern ^(\d+)-(\d+)$ - # This pattern extract a window - timerange = TimeRange('index', 'index', 5, 10) - ticker = trim_tickerlist(ticker_list, timerange) - ticker_len = len(ticker) - - assert ticker_len == 5 - assert ticker_list[0] is not ticker[0] # The first element should be different - assert ticker_list[5] is ticker[0] # The list starts at the index 5 - assert ticker_list[9] is ticker[-1] # The list ends at the index 9 (5 elements) - # Test the pattern ^(\d{8})-(\d{8})$ # This pattern extract a window between the dates timerange = TimeRange('date', 'date', ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1) @@ -435,13 +420,6 @@ def test_trim_tickerlist() -> None: assert ticker_list_len == ticker_len - # Test invalid timerange (start after stop) - timerange = TimeRange('index', 'index', 10, 5) - with pytest.raises(ValueError, match=r'The timerange .* is incorrect'): - trim_tickerlist(ticker_list, timerange) - - assert ticker_list_len == ticker_len - # passing empty list timerange = TimeRange(None, None, None, 5) ticker = trim_tickerlist([], timerange) @@ -449,22 +427,21 @@ def test_trim_tickerlist() -> None: assert not ticker -def test_file_dump_json_tofile() -> None: - file = os.path.join(os.path.dirname(__file__), '..', 'testdata', - 'test_{id}.json'.format(id=str(uuid.uuid4()))) +def test_file_dump_json_tofile(testdatadir) -> None: + file = testdatadir / 'test_{id}.json'.format(id=str(uuid.uuid4())) data = {'bar': 'foo'} # check the file we will create does not exist - assert os.path.isfile(file) is False + assert not file.is_file() # Create the Json file file_dump_json(file, data) # Check the file was create - assert os.path.isfile(file) is True + assert file.is_file() # Open the Json file created and test the data is in it - with open(file) as data_file: + with file.open() as data_file: json_from_file = json.load(data_file) assert 'bar' in json_from_file @@ -571,3 +548,92 @@ def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir): assert "ETH/BTC" in unav_pairs assert "XRP/BTC" in unav_pairs assert log_has("Skipping pair ETH/BTC...", caplog) + + +def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, testdatadir): + dl_mock = mocker.patch('freqtrade.data.history.download_trades_history', MagicMock()) + mocker.patch( + 'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets) + ) + mocker.patch.object(Path, "exists", MagicMock(return_value=True)) + mocker.patch.object(Path, "unlink", MagicMock()) + + ex = get_patched_exchange(mocker, default_conf) + timerange = TimeRange.parse_timerange("20190101-20190102") + unavailable_pairs = refresh_backtest_trades_data(exchange=ex, + pairs=["ETH/BTC", "XRP/BTC", "XRP/ETH"], + datadir=testdatadir, + timerange=timerange, erase=True + ) + + assert dl_mock.call_count == 2 + assert dl_mock.call_args[1]['timerange'].starttype == 'date' + + assert log_has("Downloading trades for pair ETH/BTC.", caplog) + assert unavailable_pairs == ["XRP/ETH"] + assert log_has("Skipping pair XRP/ETH...", caplog) + + +def test_download_trades_history(trades_history, mocker, default_conf, testdatadir, caplog) -> None: + + ght_mock = MagicMock(side_effect=lambda pair, *args, **kwargs: (pair, trades_history)) + mocker.patch('freqtrade.exchange.Exchange.get_historic_trades', + ght_mock) + exchange = get_patched_exchange(mocker, default_conf) + file1 = testdatadir / 'ETH_BTC-trades.json.gz' + + _backup_file(file1) + + assert not file1.is_file() + + assert download_trades_history(datadir=testdatadir, exchange=exchange, + pair='ETH/BTC') + assert log_has("New Amount of trades: 5", caplog) + assert file1.is_file() + + # clean files freshly downloaded + _clean_test_file(file1) + + mocker.patch('freqtrade.exchange.Exchange.get_historic_trades', + MagicMock(side_effect=ValueError)) + + assert not download_trades_history(datadir=testdatadir, exchange=exchange, + pair='ETH/BTC') + assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog) + + +def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog): + + pair = 'XRP/ETH' + file1 = testdatadir / 'XRP_ETH-1m.json' + file5 = testdatadir / 'XRP_ETH-5m.json' + # Compare downloaded dataset with converted dataset + dfbak_1m = history.load_pair_history(datadir=testdatadir, + ticker_interval="1m", + pair=pair) + dfbak_5m = history.load_pair_history(datadir=testdatadir, + ticker_interval="5m", + pair=pair) + + _backup_file(file1, copy_file=True) + _backup_file(file5) + + tr = TimeRange.parse_timerange('20191011-20191012') + + convert_trades_to_ohlcv([pair], timeframes=['1m', '5m'], + datadir=testdatadir, timerange=tr, erase=True) + + assert log_has("Deleting existing data for pair XRP/ETH, interval 1m.", caplog) + # Load new data + df_1m = history.load_pair_history(datadir=testdatadir, + ticker_interval="1m", + pair=pair) + df_5m = history.load_pair_history(datadir=testdatadir, + ticker_interval="5m", + pair=pair) + + assert df_1m.equals(dfbak_1m) + assert df_5m.equals(dfbak_5m) + + _clean_test_file(file1) + _clean_test_file(file5) diff --git a/tests/edge/test_edge.py b/tests/edge/test_edge.py index 4fab68591..5e244a97e 100644 --- a/tests/edge/test_edge.py +++ b/tests/edge/test_edge.py @@ -79,7 +79,7 @@ tc0 = BTContainer(data=[ # D O H L C V B S [0, 5000, 5025, 4975, 4987, 6172, 1, 0], [1, 5000, 5025, 4975, 4987, 6172, 0, 1]], # enter trade (signal on last candle) - stop_loss=-0.99, roi=float('inf'), profit_perc=0.00, + stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00, trades=[] ) @@ -94,7 +94,7 @@ tc1 = BTContainer(data=[ [5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action [6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell ], - stop_loss=-0.99, roi=float('inf'), profit_perc=0.00, + stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00, trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2), BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=4, close_tick=6)] ) @@ -106,7 +106,7 @@ tc2 = BTContainer(data=[ [1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit [2, 5000, 5025, 4975, 4987, 6172, 0, 0], ], - stop_loss=-0.01, roi=float('inf'), profit_perc=-0.01, + stop_loss=-0.01, roi={"0": float('inf')}, profit_perc=-0.01, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) @@ -117,7 +117,7 @@ tc3 = BTContainer(data=[ [1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit [2, 5000, 5025, 4975, 4987, 6172, 0, 0], ], - stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03, + stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) @@ -128,7 +128,7 @@ tc4 = BTContainer(data=[ [1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal [2, 5000, 5025, 4975, 4987, 6172, 0, 0], ], - stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03, + stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index f8c556aeb..14d886085 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -142,6 +142,12 @@ def test_exchange_resolver(default_conf, mocker, caplog): assert not log_has_re(r"No .* specific subclass found. Using the generic class instead.", caplog) + # Test mapping + exchange = ExchangeResolver('binanceus', default_conf).exchange + assert isinstance(exchange, Exchange) + assert isinstance(exchange, Binance) + assert not isinstance(exchange, Kraken) + def test_validate_order_time_in_force(default_conf, mocker, caplog): caplog.set_level(logging.INFO) @@ -409,7 +415,8 @@ def test_validate_timeframes_failed(default_conf, mocker): mocker.patch('freqtrade.exchange.Exchange._init_ccxt', MagicMock(return_value=api_mock)) mocker.patch('freqtrade.exchange.Exchange._load_markets', MagicMock(return_value={})) mocker.patch('freqtrade.exchange.Exchange.validate_pairs', MagicMock()) - with pytest.raises(OperationalException, match=r'Invalid ticker 3m, this Exchange supports.*'): + with pytest.raises(OperationalException, + match=r"Invalid ticker interval '3m'. This exchange supports.*"): Exchange(default_conf) @@ -1135,6 +1142,13 @@ async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_ await exchange._async_get_candle_history(pair, "5m", (arrow.utcnow().timestamp - 2000) * 1000) + with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' + r'historical candlestick data\..*'): + api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported("Not supported")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_get_candle_history(pair, "5m", + (arrow.utcnow().timestamp - 2000) * 1000) + @pytest.mark.asyncio async def test__async_get_candle_history_empty(default_conf, mocker, caplog): @@ -1306,6 +1320,196 @@ async def test___async_get_candle_history_sort(default_conf, mocker, exchange_na assert ticks[9][5] == 2.31452783 +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_fetch_trades(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._api_async.fetch_trades = get_mock_coro(trades_history) + + pair = 'ETH/BTC' + res = await exchange._async_fetch_trades(pair, since=None, params=None) + assert type(res) is list + assert isinstance(res[0], dict) + assert isinstance(res[1], dict) + + assert exchange._api_async.fetch_trades.call_count == 1 + assert exchange._api_async.fetch_trades.call_args[0][0] == pair + assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 + + assert log_has_re(f"Fetching trades for pair {pair}, since .*", caplog) + caplog.clear() + exchange._api_async.fetch_trades.reset_mock() + res = await exchange._async_fetch_trades(pair, since=None, params={'from': '123'}) + assert exchange._api_async.fetch_trades.call_count == 1 + assert exchange._api_async.fetch_trades.call_args[0][0] == pair + assert exchange._api_async.fetch_trades.call_args[1]['limit'] == 1000 + assert exchange._api_async.fetch_trades.call_args[1]['params'] == {'from': '123'} + assert log_has_re(f"Fetching trades for pair {pair}, params: .*", caplog) + + exchange = Exchange(default_conf) + await async_ccxt_exception(mocker, default_conf, MagicMock(), + "_async_fetch_trades", "fetch_trades", + pair='ABCD/BTC', since=None) + + api_mock = MagicMock() + with pytest.raises(OperationalException, match=r'Could not fetch trade data*'): + api_mock.fetch_trades = MagicMock(side_effect=ccxt.BaseError("Unknown error")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) + + with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching ' + r'historical trade data\..*'): + api_mock.fetch_trades = MagicMock(side_effect=ccxt.NotSupported("Not supported")) + exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name) + await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_id(default_conf, mocker, caplog, exchange_name, + trades_history): + + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + pagination_arg = exchange._trades_pagination_arg + + async def mock_get_trade_hist(pair, *args, **kwargs): + if 'since' in kwargs: + # Return first 3 + return trades_history[:-2] + elif kwargs.get('params', {}).get(pagination_arg) == trades_history[-3]['id']: + # Return 2 + return trades_history[-3:-1] + else: + # Return last 2 + return trades_history[-2:] + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_id(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) + assert exchange._async_fetch_trades.call_count == 3 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + + # 2nd call + assert fetch_trades_cal[1][0][0] == pair + assert 'params' in fetch_trades_cal[1][1] + assert exchange._ft_has['trades_pagination_arg'] in fetch_trades_cal[1][1]['params'] + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_time(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + + async def mock_get_trade_hist(pair, *args, **kwargs): + if kwargs['since'] == trades_history[0]["timestamp"]: + return trades_history[:-1] + else: + return trades_history[-1:] + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) + assert exchange._async_fetch_trades.call_count == 2 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + + # 2nd call + assert fetch_trades_cal[1][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + assert log_has_re(r"Stopping because until was reached.*", caplog) + + +@pytest.mark.asyncio +@pytest.mark.parametrize("exchange_name", EXCHANGES) +async def test__async_get_trade_history_time_empty(default_conf, mocker, caplog, exchange_name, + trades_history): + + caplog.set_level(logging.DEBUG) + + async def mock_get_trade_hist(pair, *args, **kwargs): + if kwargs['since'] == trades_history[0]["timestamp"]: + return trades_history[:-1] + else: + return [] + + caplog.set_level(logging.DEBUG) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + # Monkey-patch async function + exchange._async_fetch_trades = MagicMock(side_effect=mock_get_trade_hist) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_time(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]-1) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert len(ret[1]) == len(trades_history) - 1 + assert exchange._async_fetch_trades.call_count == 2 + fetch_trades_cal = exchange._async_fetch_trades.call_args_list + # first call (using since, not fromId) + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] + + +@pytest.mark.parametrize("exchange_name", EXCHANGES) +def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades_history): + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=True) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + + pair = 'ETH/BTC' + + exchange._async_get_trade_history_id = get_mock_coro((pair, trades_history)) + exchange._async_get_trade_history_time = get_mock_coro((pair, trades_history)) + ret = exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]) + + # Depending on the exchange, one or the other method should be called + assert sum([exchange._async_get_trade_history_id.call_count, + exchange._async_get_trade_history_time.call_count]) == 1 + + assert len(ret) == 2 + assert ret[0] == pair + assert len(ret[1]) == len(trades_history) + + +@pytest.mark.parametrize("exchange_name", EXCHANGES) +def test_get_historic_trades_notsupported(default_conf, mocker, caplog, exchange_name, + trades_history): + mocker.patch('freqtrade.exchange.Exchange.exchange_has', return_value=False) + exchange = get_patched_exchange(mocker, default_conf, id=exchange_name) + + pair = 'ETH/BTC' + + with pytest.raises(OperationalException, + match="This exchange does not suport downloading Trades."): + exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], + until=trades_history[-1]["timestamp"]) + + @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True @@ -1452,13 +1656,17 @@ def test_merge_ft_has_dict(default_conf, mocker): assert ex._ft_has == Exchange._ft_has_default ex = Kraken(default_conf) - assert ex._ft_has == Exchange._ft_has_default + assert ex._ft_has != Exchange._ft_has_default + assert ex._ft_has['trades_pagination'] == 'id' + assert ex._ft_has['trades_pagination_arg'] == 'since' # Binance defines different values ex = Binance(default_conf) assert ex._ft_has != Exchange._ft_has_default assert ex._ft_has['stoploss_on_exchange'] assert ex._ft_has['order_time_in_force'] == ['gtc', 'fok', 'ioc'] + assert ex._ft_has['trades_pagination'] == 'id' + assert ex._ft_has['trades_pagination_arg'] == 'fromId' conf = copy.deepcopy(default_conf) conf['exchange']['_ft_has_params'] = {"DeadBeef": 20, diff --git a/tests/optimize/__init__.py b/tests/optimize/__init__.py index 41500051f..fdbaaa54d 100644 --- a/tests/optimize/__init__.py +++ b/tests/optimize/__init__.py @@ -1,4 +1,4 @@ -from typing import NamedTuple, List +from typing import Dict, List, NamedTuple import arrow from pandas import DataFrame @@ -25,7 +25,7 @@ class BTContainer(NamedTuple): """ data: List[float] stop_loss: float - roi: float + roi: Dict[str, float] trades: List[BTrade] profit_perc: float trailing_stop: bool = False diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index d8a4190e2..345e423cd 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -22,7 +22,7 @@ tc0 = BTContainer(data=[ [3, 5010, 5000, 4980, 5010, 6172, 0, 1], [4, 5010, 4987, 4977, 4995, 6172, 0, 0], [5, 4995, 4995, 4995, 4950, 6172, 0, 0]], - stop_loss=-0.01, roi=1, profit_perc=0.002, use_sell_signal=True, + stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True, trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)] ) @@ -36,7 +36,7 @@ tc1 = BTContainer(data=[ [3, 4975, 5000, 4980, 4977, 6172, 0, 0], [4, 4977, 4987, 4977, 4995, 6172, 0, 0], [5, 4995, 4995, 4995, 4950, 6172, 0, 0]], - stop_loss=-0.01, roi=1, profit_perc=-0.01, + stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) @@ -51,7 +51,7 @@ tc2 = BTContainer(data=[ [3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit [4, 4962, 4987, 4937, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.03, roi=1, profit_perc=-0.03, + stop_loss=-0.03, roi={"0": 1}, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)] ) @@ -71,7 +71,7 @@ tc3 = BTContainer(data=[ [4, 4975, 5000, 4950, 4962, 6172, 0, 0], # enter trade 2 (signal on last candle) [5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit [6, 4950, 4975, 4975, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=1, profit_perc=-0.04, + stop_loss=-0.02, roi={"0": 1}, profit_perc=-0.04, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2), BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)] ) @@ -88,7 +88,7 @@ tc4 = BTContainer(data=[ [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4937, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=0.06, profit_perc=-0.02, + stop_loss=-0.02, roi={"0": 0.06}, profit_perc=-0.02, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) @@ -102,7 +102,7 @@ tc5 = BTContainer(data=[ [3, 4975, 6000, 4975, 6000, 6172, 0, 0], # ROI [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.01, roi=0.03, profit_perc=0.03, + stop_loss=-0.01, roi={"0": 0.03}, profit_perc=0.03, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] ) @@ -116,7 +116,7 @@ tc6 = BTContainer(data=[ [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=0.05, profit_perc=-0.02, + stop_loss=-0.02, roi={"0": 0.05}, profit_perc=-0.02, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) @@ -130,7 +130,7 @@ tc7 = BTContainer(data=[ [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=0.03, profit_perc=0.03, + stop_loss=-0.02, roi={"0": 0.03}, profit_perc=0.03, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)] ) @@ -144,7 +144,7 @@ tc8 = BTContainer(data=[ [2, 5000, 5250, 4750, 4850, 6172, 0, 0], [3, 4850, 5050, 4650, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.10, profit_perc=-0.055, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.055, trailing_stop=True, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] ) @@ -158,7 +158,7 @@ tc9 = BTContainer(data=[ [2, 5000, 5050, 4950, 5000, 6172, 0, 0], [3, 5000, 5200, 4550, 4850, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.10, profit_perc=-0.064, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.064, trailing_stop=True, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] ) @@ -172,7 +172,7 @@ tc10 = BTContainer(data=[ [2, 5100, 5251, 5100, 5100, 6172, 0, 0], [3, 4850, 5050, 4650, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.10, profit_perc=-0.1, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.1, trailing_stop=True, trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10, trailing_stop_positive=0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)] @@ -188,7 +188,7 @@ tc11 = BTContainer(data=[ [2, 5100, 5251, 5100, 5100, 6172, 0, 0], [3, 4850, 5050, 4650, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.10, profit_perc=0.019, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True, trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05, trailing_stop_positive=0.03, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] @@ -204,7 +204,7 @@ tc12 = BTContainer(data=[ [2, 5100, 5251, 4650, 5100, 6172, 0, 0], [3, 4850, 5050, 4650, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.10, profit_perc=0.019, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True, trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05, trailing_stop_positive=0.03, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)] @@ -219,7 +219,7 @@ tc13 = BTContainer(data=[ [2, 5100, 5251, 4850, 5100, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0], [4, 4750, 4950, 4850, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.01, profit_perc=0.01, + stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)] ) @@ -232,7 +232,7 @@ tc14 = BTContainer(data=[ [2, 5100, 5251, 4850, 5100, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.05, roi=0.10, profit_perc=-0.05, + stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) @@ -246,11 +246,26 @@ tc15 = BTContainer(data=[ [2, 5100, 5251, 4650, 5100, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.05, roi=0.01, profit_perc=-0.04, + stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1), BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)] ) +# Test 16: Buy, hold for 65 mins, then forcesell using roi=-1 +# Causes negative profit even though sell-reason is ROI. +# stop-loss: 10%, ROI: 10% (should not apply), -100% after 65 minutes (limits trade duration) +tc16 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5025, 4975, 4987, 6172, 1, 0], + [1, 5000, 5025, 4975, 4987, 6172, 0, 0], + [2, 4987, 5300, 4950, 5050, 6172, 0, 0], + [3, 4975, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1) + [4, 4962, 4987, 4972, 4950, 6172, 0, 0], + [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], + stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012, + trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] +) + TESTS = [ tc0, tc1, @@ -268,6 +283,7 @@ TESTS = [ tc13, tc14, tc15, + tc16, ] @@ -277,7 +293,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: run functional tests """ default_conf["stoploss"] = data.stop_loss - default_conf["minimal_roi"] = {"0": data.roi} + default_conf["minimal_roi"] = data.roi default_conf["ticker_interval"] = tests_ticker_interval default_conf["trailing_stop"] = data.trailing_stop default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached @@ -285,7 +301,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: if data.trailing_stop_positive: default_conf["trailing_stop_positive"] = data.trailing_stop_positive default_conf["trailing_stop_positive_offset"] = data.trailing_stop_positive_offset - default_conf["experimental"] = {"use_sell_signal": data.use_sell_signal} + default_conf["ask_strategy"] = {"use_sell_signal": data.use_sell_signal} mocker.patch("freqtrade.exchange.Exchange.get_fee", MagicMock(return_value=0.0)) patch_exchange(mocker) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 1a52f851e..285b73e21 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -26,6 +26,21 @@ from tests.conftest import (get_args, log_has, log_has_re, patch_exchange, patched_configuration_load_config_file) +ORDER_TYPES = [ + { + 'buy': 'limit', + 'sell': 'limit', + 'stoploss': 'limit', + 'stoploss_on_exchange': False + }, + { + 'buy': 'limit', + 'sell': 'limit', + 'stoploss': 'limit', + 'stoploss_on_exchange': True + }] + + def trim_dictlist(dict_list, num): new = {} for pair, pair_data in dict_list.items(): @@ -34,7 +49,7 @@ def trim_dictlist(dict_list, num): def load_data_test(what, testdatadir): - timerange = TimeRange(None, 'line', 0, -101) + timerange = TimeRange.parse_timerange('1510694220-1510700340') pair = history.load_tickerdata_file(testdatadir, ticker_interval='1m', pair='UNITTEST/BTC', timerange=timerange) datalen = len(pair) @@ -211,7 +226,8 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) -> '--disable-max-market-positions', '--timerange', ':100', '--export', '/bar/foo', - '--export-filename', 'foo_bar.json' + '--export-filename', 'foo_bar.json', + '--fee', '0', ] config = setup_configuration(get_args(args), RunMode.BACKTEST) @@ -243,6 +259,9 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) -> assert 'exportfilename' in config assert log_has('Storing backtest results to {} ...'.format(config['exportfilename']), caplog) + assert 'fee' in config + assert log_has('Parameter --fee detected, setting fee to: {} ...'.format(config['fee']), caplog) + def test_setup_configuration_unlimited_stake_amount(mocker, default_conf, caplog) -> None: default_conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT @@ -277,21 +296,6 @@ def test_start(mocker, fee, default_conf, caplog) -> None: assert start_mock.call_count == 1 -ORDER_TYPES = [ - { - 'buy': 'limit', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': False - }, - { - 'buy': 'limit', - 'sell': 'limit', - 'stoploss': 'limit', - 'stoploss_on_exchange': True - }] - - @pytest.mark.parametrize("order_types", ORDER_TYPES) def test_backtesting_init(mocker, default_conf, order_types) -> None: """ @@ -314,10 +318,6 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None: def test_backtesting_init_no_ticker_interval(mocker, default_conf, caplog) -> None: - """ - Check that stoploss_on_exchange is set to False while backtesting - since backtesting assumes a perfect stoploss anyway. - """ patch_exchange(mocker) del default_conf['ticker_interval'] default_conf['strategy_list'] = ['DefaultStrategy', @@ -330,9 +330,20 @@ def test_backtesting_init_no_ticker_interval(mocker, default_conf, caplog) -> No "or as cli argument `--ticker-interval 5m`", caplog) +def test_tickerdata_with_fee(default_conf, mocker, testdatadir) -> None: + patch_exchange(mocker) + default_conf['fee'] = 0.1234 + + fee_mock = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5)) + backtesting = Backtesting(default_conf) + assert backtesting.fee == 0.1234 + assert fee_mock.call_count == 0 + + def test_tickerdata_to_dataframe_bt(default_conf, mocker, testdatadir) -> None: patch_exchange(mocker) - timerange = TimeRange(None, 'line', 0, -100) + # timerange = TimeRange(None, 'line', 0, -100) + timerange = TimeRange.parse_timerange('1510694220-1510700340') tick = history.load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange) tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} @@ -464,7 +475,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: default_conf['ticker_interval'] = '1m' default_conf['datadir'] = testdatadir default_conf['export'] = None - default_conf['timerange'] = '-100' + default_conf['timerange'] = '-1510694220' backtesting = Backtesting(default_conf) backtesting.start() @@ -507,11 +518,12 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) -> def test_backtest(default_conf, fee, mocker, testdatadir) -> None: + default_conf['ask_strategy']['use_sell_signal'] = False mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) patch_exchange(mocker) backtesting = Backtesting(default_conf) pair = 'UNITTEST/BTC' - timerange = TimeRange(None, 'line', 0, -201) + timerange = TimeRange('date', None, 1517227800, 0) data = history.load_data(datadir=testdatadir, ticker_interval='5m', pairs=['UNITTEST/BTC'], timerange=timerange) data_processed = backtesting.strategy.tickerdata_to_dataframe(data) @@ -561,12 +573,13 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: def test_backtest_1min_ticker_interval(default_conf, fee, mocker, testdatadir) -> None: + default_conf['ask_strategy']['use_sell_signal'] = False mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) patch_exchange(mocker) backtesting = Backtesting(default_conf) # Run a backtesting for an exiting 1min ticker_interval - timerange = TimeRange(None, 'line', 0, -200) + timerange = TimeRange.parse_timerange('1510688220-1510700340') data = history.load_data(datadir=testdatadir, ticker_interval='1m', pairs=['UNITTEST/BTC'], timerange=timerange) processed = backtesting.strategy.tickerdata_to_dataframe(data) @@ -603,8 +616,6 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir) -> None: # TODO: Evaluate usefullness of this, the patterns and buy-signls are unrealistic mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) tests = [['raise', 19], ['lower', 0], ['sine', 35]] - # We need to enable sell-signal - otherwise it sells on ROI!! - default_conf['experimental'] = {"use_sell_signal": True} for [contour, numres] in tests: simple_backtest(default_conf, contour, numres, mocker, testdatadir) @@ -645,8 +656,6 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir): mocker.patch('freqtrade.optimize.backtesting.file_dump_json', MagicMock()) backtest_conf = _make_backtest_conf(mocker, conf=default_conf, pair='UNITTEST/BTC', datadir=testdatadir) - # We need to enable sell-signal - otherwise it sells on ROI!! - default_conf['experimental'] = {"use_sell_signal": True} default_conf['ticker_interval'] = '1m' backtesting = Backtesting(default_conf) backtesting.strategy.advise_buy = _trend_alternate # Override @@ -687,8 +696,6 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir) # Remove data for one pair from the beginning of the data data[pair] = data[pair][tres:].reset_index() - # We need to enable sell-signal - otherwise it sells on ROI!! - default_conf['experimental'] = {"use_sell_signal": True} default_conf['ticker_interval'] = '5m' backtesting = Backtesting(default_conf) @@ -817,7 +824,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): '--strategy', 'DefaultStrategy', '--datadir', str(testdatadir), '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions' ] @@ -827,7 +834,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): exists = [ 'Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', - 'Parameter --timerange detected: -100 ...', + 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', @@ -863,7 +870,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): '--config', 'config.json', '--datadir', str(testdatadir), '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions', '--strategy-list', @@ -881,7 +888,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): exists = [ 'Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', 'Ignoring max_open_trades (--disable-max-market-positions was used) ...', - 'Parameter --timerange detected: -100 ...', + 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Using stake_currency: BTC ...', 'Using stake_amount: 0.001 ...', diff --git a/tests/optimize/test_edge_cli.py b/tests/optimize/test_edge_cli.py index 1d2faead0..ddfa7156e 100644 --- a/tests/optimize/test_edge_cli.py +++ b/tests/optimize/test_edge_cli.py @@ -98,6 +98,16 @@ def test_edge_init(mocker, edge_conf) -> None: assert callable(edge_cli.edge.calculate) +def test_edge_init_fee(mocker, edge_conf) -> None: + patch_exchange(mocker) + edge_conf['fee'] = 0.1234 + edge_conf['stake_amount'] = 20 + fee_mock = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5)) + edge_cli = EdgeCli(edge_conf) + assert edge_cli.edge.fee == 0.1234 + assert fee_mock.call_count == 0 + + def test_generate_edge_table(edge_conf, mocker): patch_exchange(mocker) edge_cli = EdgeCli(edge_conf) diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 1c89bb37c..c9ecb63dc 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -12,7 +12,7 @@ from freqtrade import OperationalException from freqtrade.data.converter import parse_ticker_dataframe from freqtrade.data.history import load_tickerdata_file from freqtrade.optimize import setup_configuration, start_hyperopt -from freqtrade.optimize.default_hyperopt import DefaultHyperOpts +from freqtrade.optimize.default_hyperopt import DefaultHyperOpt from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss from freqtrade.optimize.hyperopt import Hyperopt from freqtrade.resolvers.hyperopt_resolver import (HyperOptLossResolver, @@ -153,12 +153,12 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo def test_hyperoptresolver(mocker, default_conf, caplog) -> None: patched_configuration_load_config_file(mocker, default_conf) - hyperopts = DefaultHyperOpts - delattr(hyperopts, 'populate_buy_trend') - delattr(hyperopts, 'populate_sell_trend') + hyperopt = DefaultHyperOpt + delattr(hyperopt, 'populate_buy_trend') + delattr(hyperopt, 'populate_sell_trend') mocker.patch( 'freqtrade.resolvers.hyperopt_resolver.HyperOptResolver._load_hyperopt', - MagicMock(return_value=hyperopts(default_conf)) + MagicMock(return_value=hyperopt(default_conf)) ) default_conf.update({'hyperopt': 'DefaultHyperOpts'}) x = HyperOptResolver(default_conf).hyperopt diff --git a/tests/strategy/legacy_strategy.py b/tests/strategy/legacy_strategy.py index af1b617a6..89ce3f8cb 100644 --- a/tests/strategy/legacy_strategy.py +++ b/tests/strategy/legacy_strategy.py @@ -6,8 +6,6 @@ from pandas import DataFrame # Add your lib to import here import talib.abstract as ta -import freqtrade.vendor.qtpylib.indicators as qtpylib -import numpy # noqa # This class is a sample. Feel free to customize it. @@ -17,7 +15,6 @@ class TestStrategyLegacy(IStrategy): removed in a future update. Please do not use this as a template, but refer to user_data/strategy/sample_strategy.py for a uptodate version of this template. - """ # Minimal ROI designed for the strategy. @@ -51,156 +48,9 @@ class TestStrategyLegacy(IStrategy): # ADX dataframe['adx'] = ta.ADX(dataframe) - """ - # Awesome oscillator - dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) - - # Commodity Channel Index: values Oversold:<-100, Overbought:>100 - dataframe['cci'] = ta.CCI(dataframe) - - # MACD - macd = ta.MACD(dataframe) - dataframe['macd'] = macd['macd'] - dataframe['macdsignal'] = macd['macdsignal'] - dataframe['macdhist'] = macd['macdhist'] - - # MFI - dataframe['mfi'] = ta.MFI(dataframe) - - # Minus Directional Indicator / Movement - dataframe['minus_dm'] = ta.MINUS_DM(dataframe) - dataframe['minus_di'] = ta.MINUS_DI(dataframe) - - # Plus Directional Indicator / Movement - dataframe['plus_dm'] = ta.PLUS_DM(dataframe) - dataframe['plus_di'] = ta.PLUS_DI(dataframe) - dataframe['minus_di'] = ta.MINUS_DI(dataframe) - - # ROC - dataframe['roc'] = ta.ROC(dataframe) - - # RSI - dataframe['rsi'] = ta.RSI(dataframe) - - # Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy) - rsi = 0.1 * (dataframe['rsi'] - 50) - dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1) - - # Inverse Fisher transform on RSI normalized, value [0.0, 100.0] (https://goo.gl/2JGGoy) - dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1) - - # Stoch - stoch = ta.STOCH(dataframe) - dataframe['slowd'] = stoch['slowd'] - dataframe['slowk'] = stoch['slowk'] - - # Stoch fast - stoch_fast = ta.STOCHF(dataframe) - dataframe['fastd'] = stoch_fast['fastd'] - dataframe['fastk'] = stoch_fast['fastk'] - - # Stoch RSI - stoch_rsi = ta.STOCHRSI(dataframe) - dataframe['fastd_rsi'] = stoch_rsi['fastd'] - dataframe['fastk_rsi'] = stoch_rsi['fastk'] - """ - - # Overlap Studies - # ------------------------------------ - - # Bollinger bands - bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) - dataframe['bb_lowerband'] = bollinger['lower'] - dataframe['bb_middleband'] = bollinger['mid'] - dataframe['bb_upperband'] = bollinger['upper'] - - """ - # EMA - Exponential Moving Average - dataframe['ema3'] = ta.EMA(dataframe, timeperiod=3) - dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5) - dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10) - dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50) - dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100) - - # SAR Parabol - dataframe['sar'] = ta.SAR(dataframe) - - # SMA - Simple Moving Average - dataframe['sma'] = ta.SMA(dataframe, timeperiod=40) - """ - # TEMA - Triple Exponential Moving Average dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9) - # Cycle Indicator - # ------------------------------------ - # Hilbert Transform Indicator - SineWave - hilbert = ta.HT_SINE(dataframe) - dataframe['htsine'] = hilbert['sine'] - dataframe['htleadsine'] = hilbert['leadsine'] - - # Pattern Recognition - Bullish candlestick patterns - # ------------------------------------ - """ - # Hammer: values [0, 100] - dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe) - # Inverted Hammer: values [0, 100] - dataframe['CDLINVERTEDHAMMER'] = ta.CDLINVERTEDHAMMER(dataframe) - # Dragonfly Doji: values [0, 100] - dataframe['CDLDRAGONFLYDOJI'] = ta.CDLDRAGONFLYDOJI(dataframe) - # Piercing Line: values [0, 100] - dataframe['CDLPIERCING'] = ta.CDLPIERCING(dataframe) # values [0, 100] - # Morningstar: values [0, 100] - dataframe['CDLMORNINGSTAR'] = ta.CDLMORNINGSTAR(dataframe) # values [0, 100] - # Three White Soldiers: values [0, 100] - dataframe['CDL3WHITESOLDIERS'] = ta.CDL3WHITESOLDIERS(dataframe) # values [0, 100] - """ - - # Pattern Recognition - Bearish candlestick patterns - # ------------------------------------ - """ - # Hanging Man: values [0, 100] - dataframe['CDLHANGINGMAN'] = ta.CDLHANGINGMAN(dataframe) - # Shooting Star: values [0, 100] - dataframe['CDLSHOOTINGSTAR'] = ta.CDLSHOOTINGSTAR(dataframe) - # Gravestone Doji: values [0, 100] - dataframe['CDLGRAVESTONEDOJI'] = ta.CDLGRAVESTONEDOJI(dataframe) - # Dark Cloud Cover: values [0, 100] - dataframe['CDLDARKCLOUDCOVER'] = ta.CDLDARKCLOUDCOVER(dataframe) - # Evening Doji Star: values [0, 100] - dataframe['CDLEVENINGDOJISTAR'] = ta.CDLEVENINGDOJISTAR(dataframe) - # Evening Star: values [0, 100] - dataframe['CDLEVENINGSTAR'] = ta.CDLEVENINGSTAR(dataframe) - """ - - # Pattern Recognition - Bullish/Bearish candlestick patterns - # ------------------------------------ - """ - # Three Line Strike: values [0, -100, 100] - dataframe['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(dataframe) - # Spinning Top: values [0, -100, 100] - dataframe['CDLSPINNINGTOP'] = ta.CDLSPINNINGTOP(dataframe) # values [0, -100, 100] - # Engulfing: values [0, -100, 100] - dataframe['CDLENGULFING'] = ta.CDLENGULFING(dataframe) # values [0, -100, 100] - # Harami: values [0, -100, 100] - dataframe['CDLHARAMI'] = ta.CDLHARAMI(dataframe) # values [0, -100, 100] - # Three Outside Up/Down: values [0, -100, 100] - dataframe['CDL3OUTSIDE'] = ta.CDL3OUTSIDE(dataframe) # values [0, -100, 100] - # Three Inside Up/Down: values [0, -100, 100] - dataframe['CDL3INSIDE'] = ta.CDL3INSIDE(dataframe) # values [0, -100, 100] - """ - - # Chart type - # ------------------------------------ - """ - # Heikinashi stategy - heikinashi = qtpylib.heikinashi(dataframe) - dataframe['ha_open'] = heikinashi['open'] - dataframe['ha_close'] = heikinashi['close'] - dataframe['ha_high'] = heikinashi['high'] - dataframe['ha_low'] = heikinashi['low'] - """ - return dataframe def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame: @@ -212,8 +62,8 @@ class TestStrategyLegacy(IStrategy): dataframe.loc[ ( (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) + (dataframe['tema'] > dataframe['tema'].shift(1)) & + (dataframe['volume'] > 0) ), 'buy'] = 1 @@ -228,8 +78,8 @@ class TestStrategyLegacy(IStrategy): dataframe.loc[ ( (dataframe['adx'] > 70) & - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) + (dataframe['tema'] < dataframe['tema'].shift(1)) & + (dataframe['volume'] > 0) ), 'sell'] = 1 return dataframe diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 094cd41a1..5519b1a34 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -106,7 +106,7 @@ def test_get_signal_handles_exceptions(mocker, default_conf): def test_tickerdata_to_dataframe(default_conf, testdatadir) -> None: strategy = DefaultStrategy(default_conf) - timerange = TimeRange(None, 'line', 0, -100) + timerange = TimeRange.parse_timerange('1510694220-1510700340') tick = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m', timerange=timerange) tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', pair="UNITTEST/BTC", fill_missing=True)} diff --git a/tests/strategy/test_strategy.py b/tests/strategy/test_strategy.py index 7445e3ca7..285ac1bbf 100644 --- a/tests/strategy/test_strategy.py +++ b/tests/strategy/test_strategy.py @@ -1,6 +1,5 @@ # pragma pylint: disable=missing-docstring, protected-access, C0103 import logging -import tempfile import warnings from base64 import urlsafe_b64encode from os import path @@ -39,7 +38,7 @@ def test_search_strategy(): def test_load_strategy(default_conf, result): default_conf.update({'strategy': 'SampleStrategy'}) resolver = StrategyResolver(default_conf) - assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) + assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) def test_load_strategy_base64(result, caplog, default_conf): @@ -48,10 +47,10 @@ def test_load_strategy_base64(result, caplog, default_conf): default_conf.update({'strategy': 'SampleStrategy:{}'.format(encoded_string)}) resolver = StrategyResolver(default_conf) - assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) + assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'}) # Make sure strategy was loaded from base64 (using temp directory)!! assert log_has_re(r"Using resolved strategy SampleStrategy from '" - + tempfile.gettempdir() + r"/.*/SampleStrategy\.py'\.\.\.", caplog) + r".*(/|\\).*(/|\\)SampleStrategy\.py'\.\.\.", caplog) def test_load_strategy_invalid_directory(result, caplog, default_conf): @@ -265,23 +264,23 @@ def test_strategy_override_use_sell_signal(caplog, default_conf): 'strategy': 'DefaultStrategy', }) resolver = StrategyResolver(default_conf) - assert not resolver.strategy.use_sell_signal + assert resolver.strategy.use_sell_signal assert isinstance(resolver.strategy.use_sell_signal, bool) # must be inserted to configuration - assert 'use_sell_signal' in default_conf['experimental'] - assert not default_conf['experimental']['use_sell_signal'] + assert 'use_sell_signal' in default_conf['ask_strategy'] + assert default_conf['ask_strategy']['use_sell_signal'] default_conf.update({ 'strategy': 'DefaultStrategy', - 'experimental': { - 'use_sell_signal': True, + 'ask_strategy': { + 'use_sell_signal': False, }, }) resolver = StrategyResolver(default_conf) - assert resolver.strategy.use_sell_signal + assert not resolver.strategy.use_sell_signal assert isinstance(resolver.strategy.use_sell_signal, bool) - assert log_has("Override strategy 'use_sell_signal' with value in config file: True.", caplog) + assert log_has("Override strategy 'use_sell_signal' with value in config file: False.", caplog) def test_strategy_override_use_sell_profit_only(caplog, default_conf): @@ -293,12 +292,12 @@ def test_strategy_override_use_sell_profit_only(caplog, default_conf): assert not resolver.strategy.sell_profit_only assert isinstance(resolver.strategy.sell_profit_only, bool) # must be inserted to configuration - assert 'sell_profit_only' in default_conf['experimental'] - assert not default_conf['experimental']['sell_profit_only'] + assert 'sell_profit_only' in default_conf['ask_strategy'] + assert not default_conf['ask_strategy']['sell_profit_only'] default_conf.update({ 'strategy': 'DefaultStrategy', - 'experimental': { + 'ask_strategy': { 'sell_profit_only': True, }, }) diff --git a/tests/test_arguments.py b/tests/test_arguments.py index 4e01732b3..be711aeda 100644 --- a/tests/test_arguments.py +++ b/tests/test_arguments.py @@ -1,5 +1,7 @@ # pragma pylint: disable=missing-docstring, C0103 import argparse +from pathlib import Path +from unittest.mock import MagicMock import pytest @@ -177,6 +179,44 @@ def test_plot_profit_options() -> None: assert pargs["db_url"] == "sqlite:///whatever.sqlite" +def test_config_notallowed(mocker) -> None: + mocker.patch.object(Path, "is_file", MagicMock(return_value=False)) + args = [ + 'create-userdir', + ] + pargs = Arguments(args).get_parsed_arg() + + assert pargs["config"] is None + + # When file exists: + mocker.patch.object(Path, "is_file", MagicMock(return_value=True)) + args = [ + 'create-userdir', + ] + pargs = Arguments(args).get_parsed_arg() + # config is not added even if it exists, since create-userdir is in the notallowed list + assert pargs["config"] is None + + +def test_config_notrequired(mocker) -> None: + mocker.patch.object(Path, "is_file", MagicMock(return_value=False)) + args = [ + 'download-data', + ] + pargs = Arguments(args).get_parsed_arg() + + assert pargs["config"] is None + + # When file exists: + mocker.patch.object(Path, "is_file", MagicMock(return_value=True)) + args = [ + 'download-data', + ] + pargs = Arguments(args).get_parsed_arg() + # config is added if it exists + assert pargs["config"] == ['config.json'] + + def test_check_int_positive() -> None: assert check_int_positive("3") == 3 assert check_int_positive("1") == 1 diff --git a/tests/test_configuration.py b/tests/test_configuration.py index 67c97a0bf..e43040958 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -14,6 +14,9 @@ from freqtrade.configuration import (Arguments, Configuration, validate_config_consistency) from freqtrade.configuration.check_exchange import check_exchange from freqtrade.configuration.config_validation import validate_config_schema +from freqtrade.configuration.deprecated_settings import (check_conflicting_settings, + process_deprecated_setting, + process_temporary_deprecated_settings) from freqtrade.configuration.directory_operations import (create_datadir, create_userdata_dir) from freqtrade.configuration.load_config import load_config_file @@ -418,14 +421,14 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non assert 'pair_whitelist' in config['exchange'] assert 'datadir' in config assert log_has('Using data directory: {} ...'.format("/foo/bar"), caplog) - assert log_has('Using user-data directory: {} ...'.format("/tmp/freqtrade"), caplog) + assert log_has('Using user-data directory: {} ...'.format(Path("/tmp/freqtrade")), caplog) assert 'user_data_dir' in config assert 'ticker_interval' in config assert log_has('Parameter -i/--ticker-interval detected ... Using ticker_interval: 1m ...', caplog) - assert 'position_stacking'in config + assert 'position_stacking' in config assert log_has('Parameter --enable-position-stacking detected ...', caplog) assert 'use_max_market_positions' in config @@ -528,7 +531,8 @@ def test_check_exchange(default_conf, caplog) -> None: # Test an available exchange, supported by ccxt default_conf.get('exchange').update({'name': 'huobipro'}) assert check_exchange(default_conf) - assert log_has_re(r"Exchange .* is supported by ccxt and .* not officially supported " + assert log_has_re(r"Exchange .* is known to the the ccxt library, available for the bot, " + r"but not officially supported " r"by the Freqtrade development team\. .*", caplog) caplog.clear() @@ -542,16 +546,16 @@ def test_check_exchange(default_conf, caplog) -> None: # Test a 'bad' exchange with check_for_bad=False default_conf.get('exchange').update({'name': 'bitmex'}) assert check_exchange(default_conf, False) - assert log_has_re(r"Exchange .* is supported by ccxt and .* not officially supported " + assert log_has_re(r"Exchange .* is known to the the ccxt library, available for the bot, " + r"but not officially supported " r"by the Freqtrade development team\. .*", caplog) caplog.clear() # Test an invalid exchange default_conf.get('exchange').update({'name': 'unknown_exchange'}) - with pytest.raises( OperationalException, - match=r'.*Exchange "unknown_exchange" is not supported by ccxt ' + match=r'Exchange "unknown_exchange" is not known to the ccxt library ' r'and therefore not available for the bot.*' ): check_exchange(default_conf) @@ -670,9 +674,9 @@ def test_create_userdata_dir(mocker, default_conf, caplog) -> None: x = create_userdata_dir('/tmp/bar', create_dir=True) assert md.call_count == 7 assert md.call_args[1]['parents'] is False - assert log_has('Created user-data directory: /tmp/bar', caplog) + assert log_has(f'Created user-data directory: {Path("/tmp/bar")}', caplog) assert isinstance(x, Path) - assert str(x) == "/tmp/bar" + assert str(x) == str(Path("/tmp/bar")) def test_create_userdata_dir_exists(mocker, default_conf, caplog) -> None: @@ -687,7 +691,8 @@ def test_create_userdata_dir_exists_exception(mocker, default_conf, caplog) -> N mocker.patch.object(Path, "is_dir", MagicMock(return_value=False)) md = mocker.patch.object(Path, 'mkdir', MagicMock()) - with pytest.raises(OperationalException, match=r'Directory `/tmp/bar` does not exist.*'): + with pytest.raises(OperationalException, + match=r'Directory `.{1,2}tmp.{1,2}bar` does not exist.*'): create_userdata_dir('/tmp/bar', create_dir=False) assert md.call_count == 0 @@ -918,3 +923,126 @@ def test_pairlist_resolving_fallback(mocker): assert config['pairs'] == ['ETH/BTC', 'XRP/BTC'] assert config['exchange']['name'] == 'binance' assert config['datadir'] == str(Path.cwd() / "user_data/data/binance") + + +@pytest.mark.parametrize("setting", [ + ("ask_strategy", "use_sell_signal", True, + "experimental", "use_sell_signal", False), + ("ask_strategy", "sell_profit_only", False, + "experimental", "sell_profit_only", True), + ("ask_strategy", "ignore_roi_if_buy_signal", False, + "experimental", "ignore_roi_if_buy_signal", True), + ]) +def test_process_temporary_deprecated_settings(mocker, default_conf, setting, caplog): + patched_configuration_load_config_file(mocker, default_conf) + + # Create sections for new and deprecated settings + # (they may not exist in the config) + default_conf[setting[0]] = {} + default_conf[setting[3]] = {} + # Assign new setting + default_conf[setting[0]][setting[1]] = setting[2] + # Assign deprecated setting + default_conf[setting[3]][setting[4]] = setting[5] + + # New and deprecated settings are conflicting ones + with pytest.raises(OperationalException, match=r'DEPRECATED'): + process_temporary_deprecated_settings(default_conf) + + caplog.clear() + + # Delete new setting + del default_conf[setting[0]][setting[1]] + + process_temporary_deprecated_settings(default_conf) + assert log_has_re('DEPRECATED', caplog) + # The value of the new setting shall have been set to the + # value of the deprecated one + assert default_conf[setting[0]][setting[1]] == setting[5] + + +def test_check_conflicting_settings(mocker, default_conf, caplog): + patched_configuration_load_config_file(mocker, default_conf) + + # Create sections for new and deprecated settings + # (they may not exist in the config) + default_conf['sectionA'] = {} + default_conf['sectionB'] = {} + # Assign new setting + default_conf['sectionA']['new_setting'] = 'valA' + # Assign deprecated setting + default_conf['sectionB']['deprecated_setting'] = 'valB' + + # New and deprecated settings are conflicting ones + with pytest.raises(OperationalException, match=r'DEPRECATED'): + check_conflicting_settings(default_conf, + 'sectionA', 'new_setting', + 'sectionB', 'deprecated_setting') + + caplog.clear() + + # Delete new setting (deprecated exists) + del default_conf['sectionA']['new_setting'] + check_conflicting_settings(default_conf, + 'sectionA', 'new_setting', + 'sectionB', 'deprecated_setting') + assert not log_has_re('DEPRECATED', caplog) + assert 'new_setting' not in default_conf['sectionA'] + + caplog.clear() + + # Assign new setting + default_conf['sectionA']['new_setting'] = 'valA' + # Delete deprecated setting + del default_conf['sectionB']['deprecated_setting'] + check_conflicting_settings(default_conf, + 'sectionA', 'new_setting', + 'sectionB', 'deprecated_setting') + assert not log_has_re('DEPRECATED', caplog) + assert default_conf['sectionA']['new_setting'] == 'valA' + + +def test_process_deprecated_setting(mocker, default_conf, caplog): + patched_configuration_load_config_file(mocker, default_conf) + + # Create sections for new and deprecated settings + # (they may not exist in the config) + default_conf['sectionA'] = {} + default_conf['sectionB'] = {} + # Assign new setting + default_conf['sectionA']['new_setting'] = 'valA' + # Assign deprecated setting + default_conf['sectionB']['deprecated_setting'] = 'valB' + + # Both new and deprecated settings exists + process_deprecated_setting(default_conf, + 'sectionA', 'new_setting', + 'sectionB', 'deprecated_setting') + assert log_has_re('DEPRECATED', caplog) + # The value of the new setting shall have been set to the + # value of the deprecated one + assert default_conf['sectionA']['new_setting'] == 'valB' + + caplog.clear() + + # Delete new setting (deprecated exists) + del default_conf['sectionA']['new_setting'] + process_deprecated_setting(default_conf, + 'sectionA', 'new_setting', + 'sectionB', 'deprecated_setting') + assert log_has_re('DEPRECATED', caplog) + # The value of the new setting shall have been set to the + # value of the deprecated one + assert default_conf['sectionA']['new_setting'] == 'valB' + + caplog.clear() + + # Assign new setting + default_conf['sectionA']['new_setting'] = 'valA' + # Delete deprecated setting + del default_conf['sectionB']['deprecated_setting'] + process_deprecated_setting(default_conf, + 'sectionA', 'new_setting', + 'sectionB', 'deprecated_setting') + assert not log_has_re('DEPRECATED', caplog) + assert default_conf['sectionA']['new_setting'] == 'valA' diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index ee28f2e58..f1533d867 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -655,7 +655,8 @@ def test_create_trades_no_pairs_let(default_conf, ticker, limit_buy_order, fee, assert freqtrade.create_trades() assert not freqtrade.create_trades() - assert log_has("No currency pair in whitelist, but checking to sell open trades.", caplog) + assert log_has("No currency pair in active pair whitelist, " + "but checking to sell open trades.", caplog) def test_create_trades_no_pairs_in_whitelist(default_conf, ticker, limit_buy_order, fee, @@ -674,7 +675,7 @@ def test_create_trades_no_pairs_in_whitelist(default_conf, ticker, limit_buy_ord patch_get_signal(freqtrade) assert not freqtrade.create_trades() - assert log_has("Whitelist is empty.", caplog) + assert log_has("Active pair whitelist is empty.", caplog) def test_create_trades_no_signal(default_conf, fee, mocker) -> None: @@ -1057,8 +1058,9 @@ def test_add_stoploss_on_exchange(mocker, default_conf, limit_buy_order) -> None trade.open_order_id = None trade.stoploss_order_id = None trade.is_open = True + trades = [trade] - freqtrade.process_maybe_execute_sell(trade) + freqtrade.process_maybe_execute_sells(trades) assert trade.stoploss_order_id == '13434334' assert stoploss_limit.call_count == 1 assert trade.is_open is True @@ -1447,7 +1449,7 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, # setting stoploss freqtrade.strategy.stoploss = -0.02 - # setting stoploss_on_exchange_interval to 0 second + # setting stoploss_on_exchange_interval to 0 seconds freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0 patch_get_signal(freqtrade) @@ -1518,26 +1520,26 @@ def test_tsl_on_exchange_compatible_with_edge(mocker, edge_conf, fee, caplog, stop_price=0.00002344 * 0.99) -def test_process_maybe_execute_buy(mocker, default_conf, caplog) -> None: +def test_process_maybe_execute_buys(mocker, default_conf, caplog) -> None: freqtrade = get_patched_freqtradebot(mocker, default_conf) mocker.patch('freqtrade.freqtradebot.FreqtradeBot.create_trades', MagicMock(return_value=False)) - freqtrade.process_maybe_execute_buy() + freqtrade.process_maybe_execute_buys() assert log_has('Found no buy signals for whitelisted currencies. Trying again...', caplog) -def test_process_maybe_execute_buy_exception(mocker, default_conf, caplog) -> None: +def test_process_maybe_execute_buys_exception(mocker, default_conf, caplog) -> None: freqtrade = get_patched_freqtradebot(mocker, default_conf) mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.create_trades', MagicMock(side_effect=DependencyException) ) - freqtrade.process_maybe_execute_buy() + freqtrade.process_maybe_execute_buys() assert log_has('Unable to create trade: ', caplog) -def test_process_maybe_execute_sell(mocker, default_conf, limit_buy_order, caplog) -> None: +def test_process_maybe_execute_sells(mocker, default_conf, limit_buy_order, caplog) -> None: freqtrade = get_patched_freqtradebot(mocker, default_conf) mocker.patch('freqtrade.freqtradebot.FreqtradeBot.handle_trade', MagicMock(return_value=True)) @@ -1549,7 +1551,8 @@ def test_process_maybe_execute_sell(mocker, default_conf, limit_buy_order, caplo trade = MagicMock() trade.open_order_id = '123' trade.open_fee = 0.001 - assert not freqtrade.process_maybe_execute_sell(trade) + trades = [trade] + assert not freqtrade.process_maybe_execute_sells(trades) # Test amount not modified by fee-logic assert not log_has( 'Applying fee to amount for Trade {} from 90.99181073 to 90.81'.format(trade), caplog @@ -1557,24 +1560,25 @@ def test_process_maybe_execute_sell(mocker, default_conf, limit_buy_order, caplo mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', return_value=90.81) # test amount modified by fee-logic - assert not freqtrade.process_maybe_execute_sell(trade) + assert not freqtrade.process_maybe_execute_sells(trades) -def test_process_maybe_execute_sell_exception(mocker, default_conf, - limit_buy_order, caplog) -> None: +def test_process_maybe_execute_sells_exception(mocker, default_conf, + limit_buy_order, caplog) -> None: freqtrade = get_patched_freqtradebot(mocker, default_conf) mocker.patch('freqtrade.exchange.Exchange.get_order', return_value=limit_buy_order) trade = MagicMock() trade.open_order_id = '123' trade.open_fee = 0.001 + trades = [trade] # Test raise of DependencyException exception mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.update_trade_state', side_effect=DependencyException() ) - freqtrade.process_maybe_execute_sell(trade) + freqtrade.process_maybe_execute_sells(trades) assert log_has('Unable to sell trade: ', caplog) @@ -1674,7 +1678,7 @@ def test_update_trade_state_exception(mocker, default_conf, # Test raise of OperationalException exception mocker.patch( 'freqtrade.freqtradebot.FreqtradeBot.get_real_amount', - side_effect=OperationalException() + side_effect=DependencyException() ) freqtrade.update_trade_state(trade) assert log_has('Could not update trade amount: ', caplog) @@ -1768,8 +1772,6 @@ def test_handle_trade(default_conf, limit_buy_order, limit_sell_order, def test_handle_overlpapping_signals(default_conf, ticker, limit_buy_order, fee, markets, mocker) -> None: - default_conf.update({'experimental': {'use_sell_signal': True}}) - patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -1824,7 +1826,6 @@ def test_handle_overlpapping_signals(default_conf, ticker, limit_buy_order, def test_handle_trade_roi(default_conf, ticker, limit_buy_order, fee, mocker, markets, caplog) -> None: caplog.set_level(logging.DEBUG) - default_conf.update({'experimental': {'use_sell_signal': True}}) patch_RPCManager(mocker) patch_exchange(mocker) @@ -1856,10 +1857,10 @@ def test_handle_trade_roi(default_conf, ticker, limit_buy_order, caplog) -def test_handle_trade_experimental( +def test_handle_trade_use_sell_signal( default_conf, ticker, limit_buy_order, fee, mocker, markets, caplog) -> None: + # use_sell_signal is True buy default caplog.set_level(logging.DEBUG) - default_conf.update({'experimental': {'use_sell_signal': True}}) patch_RPCManager(mocker) patch_exchange(mocker) mocker.patch.multiple( @@ -1911,11 +1912,12 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order, trade.update(limit_sell_order) assert trade.is_open is False - with pytest.raises(ValueError, match=r'.*closed trade.*'): + with pytest.raises(DependencyException, match=r'.*closed trade.*'): freqtrade.handle_trade(trade) -def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, fee, mocker) -> None: +def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, open_trade, + fee, mocker) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() patch_exchange(mocker) @@ -1928,31 +1930,18 @@ def test_check_handle_timedout_buy(default_conf, ticker, limit_buy_order_old, fe ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 0 -def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, +def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, open_trade, fee, mocker, caplog) -> None: """ Handle Buy order cancelled on exchange""" rpc_mock = patch_RPCManager(mocker) @@ -1968,32 +1957,19 @@ def test_check_handle_cancelled_buy(default_conf, ticker, limit_buy_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 0 assert log_has_re("Buy order canceled on Exchange for Trade.*", caplog) -def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_order_old, +def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_order_old, open_trade, fee, mocker) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() @@ -2008,31 +1984,19 @@ def test_check_handle_timedout_buy_exception(default_conf, ticker, limit_buy_ord ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 0 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() nb_trades = len(trades) assert nb_trades == 1 -def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, mocker) -> None: +def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, mocker, + open_trade) -> None: rpc_mock = patch_RPCManager(mocker) cancel_order_mock = MagicMock() patch_exchange(mocker) @@ -2044,30 +2008,20 @@ def test_check_handle_timedout_sell(default_conf, ticker, limit_sell_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_sell = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(hours=-5).datetime, - close_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=False - ) + open_trade.open_date = arrow.utcnow().shift(hours=-5).datetime + open_trade.close_date = arrow.utcnow().shift(minutes=-601).datetime + open_trade.is_open = False - Trade.session.add(trade_sell) + Trade.session.add(open_trade) # check it does cancel sell orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - assert trade_sell.is_open is True + assert open_trade.is_open is True -def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, +def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, open_trade, mocker, caplog) -> None: """ Handle sell order cancelled on exchange""" rpc_mock = patch_RPCManager(mocker) @@ -2082,34 +2036,24 @@ def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, ) freqtrade = FreqtradeBot(default_conf) - trade_sell = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(hours=-5).datetime, - close_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=False - ) + open_trade.open_date = arrow.utcnow().shift(hours=-5).datetime + open_trade.close_date = arrow.utcnow().shift(minutes=-601).datetime + open_trade.is_open = False - Trade.session.add(trade_sell) + Trade.session.add(open_trade) # check it does cancel sell orders over the time limit freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 0 assert rpc_mock.call_count == 1 - assert trade_sell.is_open is True + assert open_trade.is_open is True assert log_has_re("Sell order canceled on exchange for Trade.*", caplog) def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old_partial, - mocker) -> None: + open_trade, mocker) -> None: rpc_mock = patch_RPCManager(mocker) - cancel_order_mock = MagicMock() + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial) patch_exchange(mocker) mocker.patch.multiple( 'freqtrade.exchange.Exchange', @@ -2119,33 +2063,97 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old ) freqtrade = FreqtradeBot(default_conf) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=arrow.utcnow().shift(minutes=-601).datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) # check it does cancel buy orders over the time limit # note this is for a partially-complete buy order freqtrade.check_handle_timedout() assert cancel_order_mock.call_count == 1 assert rpc_mock.call_count == 1 - trades = Trade.query.filter(Trade.open_order_id.is_(trade_buy.open_order_id)).all() + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() assert len(trades) == 1 assert trades[0].amount == 23.0 - assert trades[0].stake_amount == trade_buy.open_rate * trades[0].amount + assert trades[0].stake_amount == open_trade.open_rate * trades[0].amount -def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) -> None: +def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, caplog, fee, + limit_buy_order_old_partial, trades_for_order, + limit_buy_order_old_partial_canceled, mocker) -> None: + rpc_mock = patch_RPCManager(mocker) + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled) + patch_exchange(mocker) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_order=MagicMock(return_value=limit_buy_order_old_partial), + cancel_order=cancel_order_mock, + get_trades_for_order=MagicMock(return_value=trades_for_order), + ) + freqtrade = FreqtradeBot(default_conf) + + assert open_trade.amount == limit_buy_order_old_partial['amount'] + + open_trade.fee_open = fee() + open_trade.fee_close = fee() + Trade.session.add(open_trade) + # cancelling a half-filled order should update the amount to the bought amount + # and apply fees if necessary. + freqtrade.check_handle_timedout() + + assert log_has_re(r"Applying fee on amount for Trade.* Order", caplog) + + assert cancel_order_mock.call_count == 1 + assert rpc_mock.call_count == 1 + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() + assert len(trades) == 1 + # Verify that tradehas been updated + assert trades[0].amount == (limit_buy_order_old_partial['amount'] - + limit_buy_order_old_partial['remaining']) - 0.0001 + assert trades[0].open_order_id is None + assert trades[0].fee_open == 0 + + +def test_check_handle_timedout_partial_except(default_conf, ticker, open_trade, caplog, fee, + limit_buy_order_old_partial, trades_for_order, + limit_buy_order_old_partial_canceled, mocker) -> None: + rpc_mock = patch_RPCManager(mocker) + cancel_order_mock = MagicMock(return_value=limit_buy_order_old_partial_canceled) + patch_exchange(mocker) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_order=MagicMock(return_value=limit_buy_order_old_partial), + cancel_order=cancel_order_mock, + get_trades_for_order=MagicMock(return_value=trades_for_order), + ) + mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_real_amount', + MagicMock(side_effect=DependencyException)) + freqtrade = FreqtradeBot(default_conf) + + assert open_trade.amount == limit_buy_order_old_partial['amount'] + + open_trade.fee_open = fee() + open_trade.fee_close = fee() + Trade.session.add(open_trade) + # cancelling a half-filled order should update the amount to the bought amount + # and apply fees if necessary. + freqtrade.check_handle_timedout() + + assert log_has_re(r"Could not update trade amount: .*", caplog) + + assert cancel_order_mock.call_count == 1 + assert rpc_mock.call_count == 1 + trades = Trade.query.filter(Trade.open_order_id.is_(open_trade.open_order_id)).all() + assert len(trades) == 1 + # Verify that tradehas been updated + + assert trades[0].amount == (limit_buy_order_old_partial['amount'] - + limit_buy_order_old_partial['remaining']) + assert trades[0].open_order_id is None + assert trades[0].fee_open == fee() + + +def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = MagicMock() @@ -2163,34 +2171,20 @@ def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) - ) freqtrade = FreqtradeBot(default_conf) - open_date = arrow.utcnow().shift(minutes=-601) - trade_buy = Trade( - pair='ETH/BTC', - open_rate=0.00001099, - exchange='bittrex', - open_order_id='123456789', - amount=90.99181073, - fee_open=0.0, - fee_close=0.0, - stake_amount=1, - open_date=open_date.datetime, - is_open=True - ) - - Trade.session.add(trade_buy) + Trade.session.add(open_trade) freqtrade.check_handle_timedout() assert log_has_re(r"Cannot query order for Trade\(id=1, pair=ETH/BTC, amount=90.99181073, " r"open_rate=0.00001099, open_since=" - f"{open_date.strftime('%Y-%m-%d %H:%M:%S')}" + f"{open_trade.open_date.strftime('%Y-%m-%d %H:%M:%S')}" r"\) due to Traceback \(most recent call last\):\n*", caplog) -def test_handle_timedout_limit_buy(mocker, default_conf) -> None: +def test_handle_timedout_limit_buy(mocker, default_conf, limit_buy_order) -> None: patch_RPCManager(mocker) patch_exchange(mocker) - cancel_order_mock = MagicMock() + cancel_order_mock = MagicMock(return_value=limit_buy_order) mocker.patch.multiple( 'freqtrade.exchange.Exchange', cancel_order=cancel_order_mock @@ -2200,13 +2194,14 @@ def test_handle_timedout_limit_buy(mocker, default_conf) -> None: Trade.session = MagicMock() trade = MagicMock() - order = {'remaining': 1, - 'amount': 1} - assert freqtrade.handle_timedout_limit_buy(trade, order) + limit_buy_order['remaining'] = limit_buy_order['amount'] + assert freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) + assert cancel_order_mock.call_count == 1 + + cancel_order_mock.reset_mock() + limit_buy_order['amount'] = 2 + assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) assert cancel_order_mock.call_count == 1 - order['amount'] = 2 - assert not freqtrade.handle_timedout_limit_buy(trade, order) - assert cancel_order_mock.call_count == 2 def test_handle_timedout_limit_sell(mocker, default_conf) -> None: @@ -2418,13 +2413,6 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, default_conf['exchange']['name'] = 'binance' rpc_mock = patch_RPCManager(mocker) patch_exchange(mocker) - mocker.patch.multiple( - 'freqtrade.exchange.Exchange', - get_ticker=ticker, - get_fee=fee, - markets=PropertyMock(return_value=markets) - ) - stoploss_limit = MagicMock(return_value={ 'id': 123, 'info': { @@ -2433,11 +2421,16 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, }) cancel_order = MagicMock(return_value=True) - - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.stoploss_limit', stoploss_limit) - mocker.patch('freqtrade.exchange.Exchange.cancel_order', cancel_order) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_fee=fee, + markets=PropertyMock(return_value=markets), + symbol_amount_prec=lambda s, x, y: y, + symbol_price_prec=lambda s, x, y: y, + stoploss_limit=stoploss_limit, + cancel_order=cancel_order, + ) freqtrade = FreqtradeBot(default_conf) freqtrade.strategy.order_types['stoploss_on_exchange'] = True @@ -2448,8 +2441,9 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, trade = Trade.query.first() assert trade + trades = [trade] - freqtrade.process_maybe_execute_sell(trade) + freqtrade.process_maybe_execute_sells(trades) # Increase the price and sell it mocker.patch.multiple( @@ -2477,7 +2471,9 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, 'freqtrade.exchange.Exchange', get_ticker=ticker, get_fee=fee, - markets=PropertyMock(return_value=markets) + markets=PropertyMock(return_value=markets), + symbol_amount_prec=lambda s, x, y: y, + symbol_price_prec=lambda s, x, y: y, ) stoploss_limit = MagicMock(return_value={ @@ -2487,8 +2483,6 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, } }) - mocker.patch('freqtrade.exchange.Exchange.symbol_amount_prec', lambda s, x, y: y) - mocker.patch('freqtrade.exchange.Exchange.symbol_price_prec', lambda s, x, y: y) mocker.patch('freqtrade.exchange.Binance.stoploss_limit', stoploss_limit) freqtrade = FreqtradeBot(default_conf) @@ -2498,7 +2492,8 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, # Create some test data freqtrade.create_trades() trade = Trade.query.first() - freqtrade.process_maybe_execute_sell(trade) + trades = [trade] + freqtrade.process_maybe_execute_sells(trades) assert trade assert trade.stoploss_order_id == '123' assert trade.open_order_id is None @@ -2526,13 +2521,122 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, }) mocker.patch('freqtrade.exchange.Exchange.get_order', stoploss_limit_executed) - freqtrade.process_maybe_execute_sell(trade) + freqtrade.process_maybe_execute_sells(trades) assert trade.stoploss_order_id is None assert trade.is_open is False assert trade.sell_reason == SellType.STOPLOSS_ON_EXCHANGE.value assert rpc_mock.call_count == 2 +def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, + ticker, fee, + limit_buy_order, + markets, mocker) -> None: + """ + Tests workflow of selling stoploss_on_exchange. + Sells + * first trade as stoploss + * 2nd trade is kept + * 3rd trade is sold via sell-signal + """ + default_conf['max_open_trades'] = 3 + default_conf['exchange']['name'] = 'binance' + patch_RPCManager(mocker) + patch_exchange(mocker) + + stoploss_limit = { + 'id': 123, + 'info': {} + } + stoploss_order_open = { + "id": "123", + "timestamp": 1542707426845, + "datetime": "2018-11-20T09:50:26.845Z", + "lastTradeTimestamp": None, + "symbol": "BTC/USDT", + "type": "stop_loss_limit", + "side": "sell", + "price": 1.08801, + "amount": 90.99181074, + "cost": 0.0, + "average": 0.0, + "filled": 0.0, + "remaining": 0.0, + "status": "open", + "fee": None, + "trades": None + } + stoploss_order_closed = stoploss_order_open.copy() + stoploss_order_closed['status'] = 'closed' + # Sell first trade based on stoploss, keep 2nd and 3rd trade open + stoploss_order_mock = MagicMock( + side_effect=[stoploss_order_closed, stoploss_order_open, stoploss_order_open]) + # Sell 3rd trade (not called for the first trade) + should_sell_mock = MagicMock(side_effect=[ + SellCheckTuple(sell_flag=False, sell_type=SellType.NONE), + SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL)] + ) + cancel_order_mock = MagicMock() + mocker.patch('freqtrade.exchange.Binance.stoploss_limit', stoploss_limit) + mocker.patch.multiple( + 'freqtrade.exchange.Exchange', + get_ticker=ticker, + get_fee=fee, + markets=PropertyMock(return_value=markets), + symbol_amount_prec=lambda s, x, y: y, + symbol_price_prec=lambda s, x, y: y, + get_order=stoploss_order_mock, + cancel_order=cancel_order_mock, + ) + + wallets_mock = MagicMock() + mocker.patch.multiple( + 'freqtrade.freqtradebot.FreqtradeBot', + create_stoploss_order=MagicMock(return_value=True), + update_trade_state=MagicMock(), + _notify_sell=MagicMock(), + ) + mocker.patch("freqtrade.strategy.interface.IStrategy.should_sell", should_sell_mock) + mocker.patch("freqtrade.wallets.Wallets.update", wallets_mock) + + freqtrade = FreqtradeBot(default_conf) + freqtrade.strategy.order_types['stoploss_on_exchange'] = True + # Switch ordertype to market to close trade immediately + freqtrade.strategy.order_types['sell'] = 'market' + patch_get_signal(freqtrade) + + # Create some test data + freqtrade.create_trades() + wallets_mock.reset_mock() + Trade.session = MagicMock() + + trades = Trade.query.all() + # Make sure stoploss-order is open and trade is bought (since we mock update_trade_state) + for trade in trades: + trade.stoploss_order_id = 3 + trade.open_order_id = None + + freqtrade.process_maybe_execute_sells(trades) + assert should_sell_mock.call_count == 2 + + # Only order for 3rd trade needs to be cancelled + assert cancel_order_mock.call_count == 1 + # Wallets should only be called once per sell cycle + assert wallets_mock.call_count == 1 + + trade = trades[0] + assert trade.sell_reason == SellType.STOPLOSS_ON_EXCHANGE.value + assert not trade.is_open + + trade = trades[1] + assert not trade.sell_reason + assert trade.is_open + + trade = trades[2] + assert trade.sell_reason == SellType.SELL_SIGNAL.value + assert not trade.is_open + + def test_execute_sell_market_order(default_conf, ticker, fee, ticker_sell_up, markets, mocker) -> None: rpc_mock = patch_RPCManager(mocker) @@ -2600,7 +2704,7 @@ def test_sell_profit_only_enable_profit(default_conf, limit_buy_order, get_fee=fee, markets=PropertyMock(return_value=markets) ) - default_conf['experimental'] = { + default_conf['ask_strategy'] = { 'use_sell_signal': True, 'sell_profit_only': True, } @@ -2632,7 +2736,7 @@ def test_sell_profit_only_disable_profit(default_conf, limit_buy_order, get_fee=fee, markets=PropertyMock(return_value=markets) ) - default_conf['experimental'] = { + default_conf['ask_strategy'] = { 'use_sell_signal': True, 'sell_profit_only': False, } @@ -2662,7 +2766,7 @@ def test_sell_profit_only_enable_loss(default_conf, limit_buy_order, fee, market get_fee=fee, markets=PropertyMock(return_value=markets) ) - default_conf['experimental'] = { + default_conf['ask_strategy'] = { 'use_sell_signal': True, 'sell_profit_only': True, } @@ -2692,7 +2796,7 @@ def test_sell_profit_only_disable_loss(default_conf, limit_buy_order, fee, marke get_fee=fee, markets=PropertyMock(return_value=markets) ) - default_conf['experimental'] = { + default_conf['ask_strategy'] = { 'use_sell_signal': True, 'sell_profit_only': False, } @@ -2761,7 +2865,7 @@ def test_ignore_roi_if_buy_signal(default_conf, limit_buy_order, fee, markets, m get_fee=fee, markets=PropertyMock(return_value=markets) ) - default_conf['experimental'] = { + default_conf['ask_strategy'] = { 'ignore_roi_if_buy_signal': True } freqtrade = FreqtradeBot(default_conf) @@ -3029,7 +3133,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order, get_fee=fee, markets=PropertyMock(return_value=markets) ) - default_conf['experimental'] = { + default_conf['ask_strategy'] = { 'ignore_roi_if_buy_signal': False } freqtrade = FreqtradeBot(default_conf) @@ -3251,7 +3355,7 @@ def test_get_real_amount_wrong_amount(default_conf, trades_for_order, buy_order_ patch_get_signal(freqtrade) # Amount does not change - with pytest.raises(OperationalException, match=r"Half bought\? Amounts don't match"): + with pytest.raises(DependencyException, match=r"Half bought\? Amounts don't match"): freqtrade.get_real_amount(trade, limit_buy_order) diff --git a/tests/test_indicator_helpers.py b/tests/test_indicator_helpers.py deleted file mode 100644 index 99d6cd79c..000000000 --- a/tests/test_indicator_helpers.py +++ /dev/null @@ -1,15 +0,0 @@ -# pragma pylint: disable=missing-docstring - -import pandas as pd - -from freqtrade.indicator_helpers import went_down, went_up - - -def test_went_up(): - series = pd.Series([1, 2, 3, 1]) - assert went_up(series).equals(pd.Series([False, True, True, False])) - - -def test_went_down(): - series = pd.Series([1, 2, 3, 1]) - assert went_down(series).equals(pd.Series([False, False, False, True])) diff --git a/tests/test_plotting.py b/tests/test_plotting.py index cf5a22973..7699ae8bc 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -53,11 +53,11 @@ def test_init_plotscript(default_conf, mocker, testdatadir): assert "trades" in ret assert "pairs" in ret - default_conf['pairs'] = ["POWR/BTC", "XLM/BTC"] + default_conf['pairs'] = ["POWR/BTC", "ADA/BTC"] ret = init_plotscript(default_conf) assert "tickers" in ret assert "POWR/BTC" in ret["tickers"] - assert "XLM/BTC" in ret["tickers"] + assert "ADA/BTC" in ret["tickers"] def test_add_indicators(default_conf, testdatadir, caplog): @@ -197,8 +197,7 @@ def test_generate_candlestick_graph_no_trades(default_conf, mocker, testdatadir) # All buy-signals should be plotted assert int(data.sell.sum()) == len(sell.x) - assert find_trace_in_fig_data(figure.data, "BB lower") - assert find_trace_in_fig_data(figure.data, "BB upper") + assert find_trace_in_fig_data(figure.data, "Bollinger Band") assert row_mock.call_count == 2 assert trades_mock.call_count == 1 @@ -215,11 +214,12 @@ def test_generate_plot_file(mocker, caplog): store_plot_file(fig, filename="freqtrade-plot-UNITTEST_BTC-5m.html", directory=Path("user_data/plots")) + expected_fn = str(Path("user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html")) assert plot_mock.call_count == 1 assert plot_mock.call_args[0][0] == fig assert (plot_mock.call_args_list[0][1]['filename'] - == "user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html") - assert log_has("Stored plot as user_data/plots/freqtrade-plot-UNITTEST_BTC-5m.html", + == expected_fn) + assert log_has(f"Stored plot as {expected_fn}", caplog) @@ -239,7 +239,7 @@ def test_add_profit(testdatadir): fig1 = add_profit(fig, row=2, data=cum_profits, column='cum_profits', name='Profits') figure = fig1.layout.figure profits = find_trace_in_fig_data(figure.data, "Profits") - assert isinstance(profits, go.Scattergl) + assert isinstance(profits, go.Scatter) assert profits.yaxis == "y2" @@ -247,7 +247,7 @@ def test_generate_profit_graph(testdatadir): filename = testdatadir / "backtest-result_test.json" trades = load_backtest_data(filename) timerange = TimeRange.parse_timerange("20180110-20180112") - pairs = ["POWR/BTC", "XLM/BTC"] + pairs = ["POWR/BTC", "ADA/BTC"] tickers = history.load_data(datadir=testdatadir, pairs=pairs, @@ -268,14 +268,14 @@ def test_generate_profit_graph(testdatadir): assert len(figure.data) == 4 avgclose = find_trace_in_fig_data(figure.data, "Avg close price") - assert isinstance(avgclose, go.Scattergl) + assert isinstance(avgclose, go.Scatter) profit = find_trace_in_fig_data(figure.data, "Profit") - assert isinstance(profit, go.Scattergl) + assert isinstance(profit, go.Scatter) for pair in pairs: profit_pair = find_trace_in_fig_data(figure.data, f"Profit {pair}") - assert isinstance(profit_pair, go.Scattergl) + assert isinstance(profit_pair, go.Scatter) def test_start_plot_dataframe(mocker): diff --git a/tests/test_timerange.py b/tests/test_timerange.py index 6599472fb..4851cbebd 100644 --- a/tests/test_timerange.py +++ b/tests/test_timerange.py @@ -5,9 +5,6 @@ from freqtrade.configuration import TimeRange def test_parse_timerange_incorrect() -> None: - assert TimeRange(None, 'line', 0, -200) == TimeRange.parse_timerange('-200') - assert TimeRange('line', None, 200, 0) == TimeRange.parse_timerange('200-') - assert TimeRange('index', 'index', 200, 500) == TimeRange.parse_timerange('200-500') assert TimeRange('date', None, 1274486400, 0) == TimeRange.parse_timerange('20100522-') assert TimeRange(None, 'date', 0, 1274486400) == TimeRange.parse_timerange('-20100522') @@ -20,9 +17,14 @@ def test_parse_timerange_incorrect() -> None: timerange = TimeRange.parse_timerange('1231006505-1233360000') assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange - # TODO: Find solution for the following case (passing timestamp in ms) timerange = TimeRange.parse_timerange('1231006505000-1233360000000') - assert TimeRange('date', 'date', 1231006505, 1233360000) != timerange + assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange + + timerange = TimeRange.parse_timerange('1231006505000-') + assert TimeRange('date', None, 1231006505, 0) == timerange + + timerange = TimeRange.parse_timerange('-1231006505000') + assert TimeRange(None, 'date', 0, 1231006505) == timerange with pytest.raises(Exception, match=r'Incorrect syntax.*'): TimeRange.parse_timerange('-') diff --git a/tests/test_utils.py b/tests/test_utils.py index 7922bb624..f798dcfb8 100644 --- a/tests/test_utils.py +++ b/tests/test_utils.py @@ -7,7 +7,8 @@ import pytest from freqtrade import OperationalException from freqtrade.state import RunMode from freqtrade.utils import (setup_utils_configuration, start_create_userdir, - start_download_data, start_list_exchanges) + start_download_data, start_list_exchanges, + start_list_timeframes) from tests.conftest import get_args, log_has, patch_exchange @@ -31,7 +32,7 @@ def test_list_exchanges(capsys): start_list_exchanges(get_args(args)) captured = capsys.readouterr() - assert re.match(r"Exchanges supported by ccxt and available.*", captured.out) + assert re.match(r"Exchanges available for Freqtrade.*", captured.out) assert re.match(r".*binance,.*", captured.out) assert re.match(r".*bittrex,.*", captured.out) @@ -43,10 +44,125 @@ def test_list_exchanges(capsys): start_list_exchanges(get_args(args)) captured = capsys.readouterr() - assert not re.match(r"Exchanges supported by ccxt and available.*", captured.out) assert re.search(r"^binance$", captured.out, re.MULTILINE) assert re.search(r"^bittrex$", captured.out, re.MULTILINE) + # Test with --all + args = [ + "list-exchanges", + "--all", + ] + + start_list_exchanges(get_args(args)) + captured = capsys.readouterr() + assert re.match(r"All exchanges supported by the ccxt library.*", captured.out) + assert re.match(r".*binance,.*", captured.out) + assert re.match(r".*bittrex,.*", captured.out) + assert re.match(r".*bitmex,.*", captured.out) + + # Test with --one-column --all + args = [ + "list-exchanges", + "--one-column", + "--all", + ] + + start_list_exchanges(get_args(args)) + captured = capsys.readouterr() + assert re.search(r"^binance$", captured.out, re.MULTILINE) + assert re.search(r"^bittrex$", captured.out, re.MULTILINE) + assert re.search(r"^bitmex$", captured.out, re.MULTILINE) + + +def test_list_timeframes(mocker, capsys): + + api_mock = MagicMock() + api_mock.timeframes = {'1m': 'oneMin', + '5m': 'fiveMin', + '30m': 'thirtyMin', + '1h': 'hour', + '1d': 'day', + } + patch_exchange(mocker, api_mock=api_mock) + args = [ + "list-timeframes", + ] + pargs = get_args(args) + pargs['config'] = None + with pytest.raises(OperationalException, + match=r"This command requires a configured exchange.*"): + start_list_timeframes(pargs) + + # Test with --config config.json.example + args = [ + '--config', 'config.json.example', + "list-timeframes", + ] + start_list_timeframes(get_args(args)) + captured = capsys.readouterr() + assert re.match("Timeframes available for the exchange `bittrex`: " + "1m, 5m, 30m, 1h, 1d", + captured.out) + + # Test with --exchange bittrex + args = [ + "list-timeframes", + "--exchange", "bittrex", + ] + start_list_timeframes(get_args(args)) + captured = capsys.readouterr() + assert re.match("Timeframes available for the exchange `bittrex`: " + "1m, 5m, 30m, 1h, 1d", + captured.out) + + api_mock.timeframes = {'1m': '1m', + '5m': '5m', + '15m': '15m', + '30m': '30m', + '1h': '1h', + '6h': '6h', + '12h': '12h', + '1d': '1d', + '3d': '3d', + } + patch_exchange(mocker, api_mock=api_mock) + # Test with --exchange binance + args = [ + "list-timeframes", + "--exchange", "binance", + ] + start_list_timeframes(get_args(args)) + captured = capsys.readouterr() + assert re.match("Timeframes available for the exchange `binance`: " + "1m, 5m, 15m, 30m, 1h, 6h, 12h, 1d, 3d", + captured.out) + + # Test with --one-column + args = [ + '--config', 'config.json.example', + "list-timeframes", + "--one-column", + ] + start_list_timeframes(get_args(args)) + captured = capsys.readouterr() + assert re.search(r"^1m$", captured.out, re.MULTILINE) + assert re.search(r"^5m$", captured.out, re.MULTILINE) + assert re.search(r"^1h$", captured.out, re.MULTILINE) + assert re.search(r"^1d$", captured.out, re.MULTILINE) + + # Test with --exchange binance --one-column + args = [ + "list-timeframes", + "--exchange", "binance", + "--one-column", + ] + start_list_timeframes(get_args(args)) + captured = capsys.readouterr() + assert re.search(r"^1m$", captured.out, re.MULTILINE) + assert re.search(r"^5m$", captured.out, re.MULTILINE) + assert re.search(r"^1h$", captured.out, re.MULTILINE) + assert re.search(r"^1d$", captured.out, re.MULTILINE) + def test_create_datadir_failed(caplog): @@ -144,3 +260,25 @@ def test_download_data_no_pairs(mocker, caplog): with pytest.raises(OperationalException, match=r"Downloading data requires a list of pairs\..*"): start_download_data(pargs) + + +def test_download_data_trades(mocker, caplog): + dl_mock = mocker.patch('freqtrade.utils.refresh_backtest_trades_data', + MagicMock(return_value=[])) + convert_mock = mocker.patch('freqtrade.utils.convert_trades_to_ohlcv', + MagicMock(return_value=[])) + patch_exchange(mocker) + mocker.patch( + 'freqtrade.exchange.Exchange.markets', PropertyMock(return_value={}) + ) + args = [ + "download-data", + "--exchange", "kraken", + "--pairs", "ETH/BTC", "XRP/BTC", + "--days", "20", + "--dl-trades" + ] + start_download_data(get_args(args)) + assert dl_mock.call_args[1]['timerange'].starttype == "date" + assert dl_mock.call_count == 1 + assert convert_mock.call_count == 1 diff --git a/tests/testdata/ADA_BTC-1m.json b/tests/testdata/ADA_BTC-1m.json deleted file mode 100644 index fed55d293..000000000 --- a/tests/testdata/ADA_BTC-1m.json +++ /dev/null @@ -1 +0,0 @@ -[[1516424100000, 5.352e-05, 5.4e-05, 5.348e-05, 5.4e-05, 100380.64502838], [1516424160000, 5.399e-05, 5.41e-05, 5.337e-05, 5.345e-05, 395731.65051556], [1516424220000, 5.345e-05, 5.358e-05, 5.303e-05, 5.32e-05, 194541.85707997], [1516424280000, 5.32e-05, 5.325e-05, 5.281e-05, 5.281e-05, 332212.6400607], [1516424340000, 5.281e-05, 5.325e-05, 5.28e-05, 5.301e-05, 116982.73501469], [1516424400000, 5.312e-05, 5.312e-05, 5.26e-05, 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b/tests/testdata/XRP_ETH-1m.json @@ -0,0 +1 @@ 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diff --git a/tests/testdata/XRP_ETH-5m.json b/tests/testdata/XRP_ETH-5m.json new file mode 100644 index 000000000..92da3c17d --- /dev/null +++ b/tests/testdata/XRP_ETH-5m.json @@ -0,0 +1 @@ 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diff --git a/tests/testdata/XRP_ETH-trades.json.gz b/tests/testdata/XRP_ETH-trades.json.gz new file mode 100644 index 000000000..69b92cac8 Binary files /dev/null and b/tests/testdata/XRP_ETH-trades.json.gz differ diff --git a/tests/testdata/ZEC_BTC-1m.json b/tests/testdata/ZEC_BTC-1m.json deleted file mode 100644 index 500be88d5..000000000 --- a/tests/testdata/ZEC_BTC-1m.json +++ /dev/null @@ -1 +0,0 @@ -[[1516423920000, 0.04381001, 0.044196, 0.04375889, 0.04375889, 11.54003373], [1516423980000, 0.044157, 0.044157, 0.04375472, 0.04375472, 3.14119615], [1516424040000, 0.04375888, 0.044, 0.0437, 0.044, 5.72153135], [1516424100000, 0.044, 0.04420975, 0.0437, 0.04420975, 33.96184175], [1516424160000, 0.04417198, 0.04430682, 0.04370066, 0.04391916, 15.00875857], [1516424220000, 0.04412499, 0.04412499, 0.0436578, 0.0436578, 25.5199568], [1516424280000, 0.04358666, 0.04358695, 0.0435, 0.04350022, 67.52440059], [1516424340000, 0.04350023, 0.04383521, 0.0435, 0.0436308, 16.34622145], 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--- a/user_data/notebooks/strategy_analysis_example.ipynb +++ b/user_data/notebooks/strategy_analysis_example.ipynb @@ -4,7 +4,7 @@ "cell_type": "markdown", "metadata": {}, "source": [ - "## Strategy debugging example\n", + "# Strategy analysis example\n", "\n", "Debugging a strategy can be time-consuming. FreqTrade offers helper functions to visualize raw data." ] @@ -22,31 +22,7 @@ "metadata": {}, "outputs": [], "source": [ - "# Change directory\n", - "# Modify this cell to insure that the output shows the correct path.\n", - "import os\n", "from pathlib import Path\n", - "\n", - "# Define all paths relative to the project root shown in the cell output\n", - "project_root = \"somedir/freqtrade\"\n", - "i=0\n", - "try:\n", - " os.chdirdir(project_root)\n", - " assert Path('LICENSE').is_file()\n", - "except:\n", - " while i<4 and (not Path('LICENSE').is_file()):\n", - " os.chdir(Path(Path.cwd(), '../'))\n", - " i+=1\n", - " project_root = Path.cwd()\n", - "print(Path.cwd())" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ "# Customize these according to your needs.\n", "\n", "# Define some constants\n", @@ -54,9 +30,9 @@ "# Name of the strategy class\n", "strategy_name = 'SampleStrategy'\n", "# Path to user data\n", - "user_data_dir = 'user_data'\n", + "user_data_dir = Path('user_data')\n", "# Location of the strategy\n", - "strategy_location = Path(user_data_dir, 'strategies')\n", + "strategy_location = user_data_dir / 'strategies'\n", "# Location of the data\n", "data_location = Path(user_data_dir, 'data', 'binance')\n", "# Pair to analyze - Only use one pair here\n", @@ -70,7 +46,6 @@ "outputs": [], "source": [ "# Load data using values set above\n", - "from pathlib import Path\n", "from freqtrade.data.history import load_pair_history\n", "\n", "candles = load_pair_history(datadir=data_location,\n", @@ -132,10 +107,111 @@ "source": [ "# Report results\n", "print(f\"Generated {df['buy'].sum()} buy signals\")\n", - "data = df.set_index('date', drop=True)\n", + "data = df.set_index('date', drop=False)\n", "data.tail()" ] }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "## Load existing objects into a Jupyter notebook\n", + "\n", + "The following cells assume that you have already generated data using the cli. \n", + "They will allow you to drill deeper into your results, and perform analysis which otherwise would make the output very difficult to digest due to information overload." + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "### Load backtest results to pandas dataframe\n", + "\n", + "Analyze a trades dataframe (also used below for plotting)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "from freqtrade.data.btanalysis import load_backtest_data\n", + "\n", + "# Load backtest results\n", + "trades = load_backtest_data(user_data_dir / \"backtest_results/backtest-result.json\")\n", + "\n", + "# Show value-counts per pair\n", + "trades.groupby(\"pair\")[\"sell_reason\"].value_counts()" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "### Load live trading results into a pandas dataframe\n", + "\n", + "In case you did already some trading and want to analyze your performance" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "from freqtrade.data.btanalysis import load_trades_from_db\n", + "\n", + "# Fetch trades from database\n", + "trades = load_trades_from_db(\"sqlite:///tradesv3.sqlite\")\n", + "\n", + "# Display results\n", + "trades.groupby(\"pair\")[\"sell_reason\"].value_counts()" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "## Plot results\n", + "\n", + "Freqtrade offers interactive plotting capabilities based on plotly." + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "from freqtrade.plot.plotting import generate_candlestick_graph\n", + "# Limit graph period to keep plotly quick and reactive\n", + "\n", + "data_red = data['2019-06-01':'2019-06-10']\n", + "# Generate candlestick graph\n", + "graph = generate_candlestick_graph(pair=pair,\n", + " data=data_red,\n", + " trades=trades,\n", + " indicators1=['sma20', 'ema50', 'ema55'],\n", + " indicators2=['rsi', 'macd', 'macdsignal', 'macdhist']\n", + " )\n", + "\n", + "\n" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "# Show graph inline\n", + "# graph.show()\n", + "\n", + "# Render graph in a seperate window\n", + "graph.show(renderer=\"browser\")\n" + ] + }, { "cell_type": "markdown", "metadata": {}, @@ -161,7 +237,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.7.3" + "version": "3.7.4" }, "mimetype": "text/x-python", "name": "python", @@ -212,5 +288,5 @@ "version": 3 }, "nbformat": 4, - "nbformat_minor": 2 + "nbformat_minor": 4 } diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 0649c6f94..80c30283d 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -27,40 +27,39 @@ class SampleStrategy(IStrategy): - the prototype for the methods: minimal_roi, stoploss, populate_indicators, populate_buy_trend, populate_sell_trend, hyperopt_space, buy_strategy_generator """ - # Strategy intervace version - allow new iterations of the strategy interface. + # Strategy interface version - allow new iterations of the strategy interface. # Check the documentation or the Sample strategy to get the latest version. INTERFACE_VERSION = 2 # Minimal ROI designed for the strategy. - # This attribute will be overridden if the config file contains "minimal_roi" + # This attribute will be overridden if the config file contains "minimal_roi". minimal_roi = { - "40": 0.0, - "30": 0.01, - "20": 0.02, + "60": 0.01, + "30": 0.02, "0": 0.04 } - # Optimal stoploss designed for the strategy - # This attribute will be overridden if the config file contains "stoploss" + # Optimal stoploss designed for the strategy. + # This attribute will be overridden if the config file contains "stoploss". stoploss = -0.10 - # trailing stoploss + # Trailing stoploss trailing_stop = False # trailing_stop_positive = 0.01 # trailing_stop_positive_offset = 0.0 # Disabled / not configured - # Optimal ticker interval for the strategy + # Optimal ticker interval for the strategy. ticker_interval = '5m' - # run "populate_indicators" only for new candle + # Run "populate_indicators()" only for new candle. process_only_new_candles = False - # Experimental settings (configuration will overide these if set) - use_sell_signal = False + # These values can be overridden in the "ask_strategy" section in the config. + use_sell_signal = True sell_profit_only = False ignore_roi_if_buy_signal = False - # Optional order type mapping + # Optional order type mapping. order_types = { 'buy': 'limit', 'sell': 'limit', @@ -68,7 +67,7 @@ class SampleStrategy(IStrategy): 'stoploss_on_exchange': False } - # Optional order time in force + # Optional order time in force. order_time_in_force = { 'buy': 'gtc', 'sell': 'gtc' @@ -99,13 +98,16 @@ class SampleStrategy(IStrategy): :return: a Dataframe with all mandatory indicators for the strategies """ - # Momentum Indicator + # Momentum Indicators # ------------------------------------ + # RSI + dataframe['rsi'] = ta.RSI(dataframe) + + """ # ADX dataframe['adx'] = ta.ADX(dataframe) - """ # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) @@ -133,9 +135,6 @@ class SampleStrategy(IStrategy): # ROC dataframe['roc'] = ta.ROC(dataframe) - # RSI - dataframe['rsi'] = ta.RSI(dataframe) - # Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy) rsi = 0.1 * (dataframe['rsi'] - 50) dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1) @@ -255,7 +254,7 @@ class SampleStrategy(IStrategy): dataframe['ha_low'] = heikinashi['low'] """ - # Retrieve best bid and best ask + # Retrieve best bid and best ask from the orderbook # ------------------------------------ """ # first check if dataprovider is available @@ -277,9 +276,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) & + (qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30 + (dataframe['tema'] <= dataframe['bb_middleband']) & # Guard: tema below BB middle + (dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard: tema is raising (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'buy'] = 1 @@ -295,9 +294,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 70) & - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) & + (qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70 + (dataframe['tema'] > dataframe['bb_middleband']) & # Guard: tema above BB middle + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is falling (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1