From e8e05b687671d222a99e2b937077b364c6ed3649 Mon Sep 17 00:00:00 2001 From: Ashton Honnecke Date: Mon, 9 Sep 2019 09:24:40 -0600 Subject: [PATCH 001/162] split docker composes --- docker-compose.develop.yml | 19 +++++++++++++++++++ docker-compose.prod.yml | 8 ++++++++ docker-compose.yml | 1 + scripts/pytest.sh | 5 +++++ 4 files changed, 33 insertions(+) create mode 100644 docker-compose.develop.yml create mode 100644 docker-compose.prod.yml create mode 120000 docker-compose.yml create mode 100755 scripts/pytest.sh diff --git a/docker-compose.develop.yml b/docker-compose.develop.yml new file mode 100644 index 000000000..4dfdb9357 --- /dev/null +++ b/docker-compose.develop.yml @@ -0,0 +1,19 @@ +--- +version: '3' +services: + freqtrade_develop: + build: + context: . + dockerfile: "./Dockerfile" + volumes: + - ".:/freqtrade" + + pytest: + build: + context: . + dockerfile: "./Dockerfile.develop" + volumes: + - ".:/freqtrade" + command: + ["./scripts/pytest.sh"] + diff --git a/docker-compose.prod.yml b/docker-compose.prod.yml new file mode 100644 index 000000000..cae98c3ee --- /dev/null +++ b/docker-compose.prod.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/docker-compose.yml b/docker-compose.yml new file mode 120000 index 000000000..945318087 --- /dev/null +++ b/docker-compose.yml @@ -0,0 +1 @@ +docker-compose.prod.yml \ No newline at end of file diff --git a/scripts/pytest.sh b/scripts/pytest.sh new file mode 100755 index 000000000..e05ff1ad0 --- /dev/null +++ b/scripts/pytest.sh @@ -0,0 +1,5 @@ +#!/bin/bash + +echo "Running Unit tests" + +pytest --random-order --cov=freqtrade --cov-config=.coveragerc freqtrade/tests/ From 9a3bad291aa70cec5aaf5e86ae11563dd255fc46 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 21 Sep 2019 10:27:43 +0200 Subject: [PATCH 002/162] Automatically generate documentation from jupyter notebook --- docs/data-analysis.md | 75 +----------------------- docs/developer.md | 8 +++ docs/strategy_analysis_example.md | 95 +++++++++++++++++++++++++++++++ mkdocs.yml | 6 +- requirements-dev.txt | 3 + setup.py | 1 + 6 files changed, 114 insertions(+), 74 deletions(-) create mode 100644 docs/strategy_analysis_example.md diff --git a/docs/data-analysis.md b/docs/data-analysis.md index cf292cacd..bc4f2e006 100644 --- a/docs/data-analysis.md +++ b/docs/data-analysis.md @@ -135,78 +135,9 @@ print(f"Loaded len(candles) rows of data for {pair} from {data_location}") candles.head() ``` -## Strategy debugging example +Further Data analysis documents: -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) +* [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/developer.md b/docs/developer.md index b048cf93f..4a3522147 100644 --- a/docs/developer.md +++ b/docs/developer.md @@ -149,6 +149,14 @@ 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 --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. diff --git a/docs/strategy_analysis_example.md b/docs/strategy_analysis_example.md new file mode 100644 index 000000000..a685f5d52 --- /dev/null +++ b/docs/strategy_analysis_example.md @@ -0,0 +1,95 @@ +## Strategy debugging example + +Debugging a strategy can be time-consuming. FreqTrade offers helper functions to visualize raw data. + +## Setup + +```python +# Change directory +# Modify this cell to insure that the output shows the correct path. +import os +from pathlib import Path + +# Define all paths relative to the project root shown in the cell output +project_root = "somedir/freqtrade" +i=0 +try: + os.chdirdir(project_root) + assert Path('LICENSE').is_file() +except: + while i<4 and (not Path('LICENSE').is_file()): + os.chdir(Path(Path.cwd(), '../')) + i+=1 + project_root = Path.cwd() +print(Path.cwd()) +``` + + +```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" +``` + + +```python +# Load data using values set above +from pathlib import Path +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=True) +data.tail() +``` + +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/mkdocs.yml b/mkdocs.yml index 869c6565c..027b009bc 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -15,8 +15,10 @@ nav: - Hyperopt: hyperopt.md - Edge positioning: edge.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 diff --git a/requirements-dev.txt b/requirements-dev.txt index 1b9bf7570..908ba2349 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -12,3 +12,6 @@ pytest-asyncio==0.10.0 pytest-cov==2.7.1 pytest-mock==1.10.4 pytest-random-order==1.0.4 + +# Convert jupyter notebooks to markdown documents +nbconvert==5.6.0 diff --git a/setup.py b/setup.py index ca94dd338..c4d8a3887 100644 --- a/setup.py +++ b/setup.py @@ -36,6 +36,7 @@ jupyter = [ 'jupyter', 'nbstripout', 'ipykernel', + 'nbconvert', ] all_extra = api + plot + develop + jupyter From 5234f8bf289ad1eff22aa0c5de33240cf8a2aa58 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 21 Sep 2019 10:41:58 +0200 Subject: [PATCH 003/162] Update jupyter notebook slightly --- docs/developer.md | 3 +- docs/strategy_analysis_example.md | 28 +++------------ .../notebooks/strategy_analysis_example.ipynb | 35 +++---------------- 3 files changed, 11 insertions(+), 55 deletions(-) diff --git a/docs/developer.md b/docs/developer.md index 4a3522147..027ea44ac 100644 --- a/docs/developer.md +++ b/docs/developer.md @@ -154,7 +154,8 @@ If the day shows the same day, then the last candle can be assumed as incomplete To keep the jupyter notebooks aligned with the documentation, the following should be ran after updating a example notebook. ``` bash -jupyter nbconvert --to markdown user_data/notebooks/strategy_analysis_example.ipynb --stdout > docs/strategy_analysis_example.md +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 diff --git a/docs/strategy_analysis_example.md b/docs/strategy_analysis_example.md index a685f5d52..da698254a 100644 --- a/docs/strategy_analysis_example.md +++ b/docs/strategy_analysis_example.md @@ -1,31 +1,12 @@ -## Strategy debugging example +# Strategy analysis example Debugging a strategy can be time-consuming. FreqTrade offers helper functions to visualize raw data. ## Setup + ```python -# Change directory -# Modify this cell to insure that the output shows the correct path. -import os from pathlib import Path - -# Define all paths relative to the project root shown in the cell output -project_root = "somedir/freqtrade" -i=0 -try: - os.chdirdir(project_root) - assert Path('LICENSE').is_file() -except: - while i<4 and (not Path('LICENSE').is_file()): - os.chdir(Path(Path.cwd(), '../')) - i+=1 - project_root = Path.cwd() -print(Path.cwd()) -``` - - -```python # Customize these according to your needs. # Define some constants @@ -33,9 +14,9 @@ ticker_interval = "5m" # Name of the strategy class strategy_name = 'SampleStrategy' # Path to user data -user_data_dir = 'user_data' +user_data_dir = Path('user_data') # Location of the strategy -strategy_location = Path(user_data_dir, 'strategies') +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 @@ -45,7 +26,6 @@ pair = "BTC_USDT" ```python # Load data using values set above -from pathlib import Path from freqtrade.data.history import load_pair_history candles = load_pair_history(datadir=data_location, diff --git a/user_data/notebooks/strategy_analysis_example.ipynb b/user_data/notebooks/strategy_analysis_example.ipynb index 89d71fe9d..868ca5611 100644 --- 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", @@ -161,7 +136,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.7.3" + "version": "3.7.4" }, "mimetype": "text/x-python", "name": "python", @@ -212,5 +187,5 @@ "version": 3 }, "nbformat": 4, - "nbformat_minor": 2 + "nbformat_minor": 4 } From 359b0ba0884bdb1a83a393b5773c08077046ef0f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 21 Sep 2019 10:57:16 +0200 Subject: [PATCH 004/162] Add samples for plotting to jupyter documentation --- docs/data-analysis.md | 53 +-------- docs/strategy_analysis_example.md | 69 +++++++++++- .../notebooks/strategy_analysis_example.ipynb | 103 +++++++++++++++++- 3 files changed, 172 insertions(+), 53 deletions(-) diff --git a/docs/data-analysis.md b/docs/data-analysis.md index bc4f2e006..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. @@ -114,30 +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() -``` - -Further Data analysis documents: - -* [Strategy debugging](strategy_analysis_example.md) +* [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/strategy_analysis_example.md b/docs/strategy_analysis_example.md index da698254a..49800bbb3 100644 --- a/docs/strategy_analysis_example.md +++ b/docs/strategy_analysis_example.md @@ -68,8 +68,75 @@ df.tail() ```python # Report results print(f"Generated {df['buy'].sum()} buy signals") -data = df.set_index('date', drop=True) +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/user_data/notebooks/strategy_analysis_example.ipynb b/user_data/notebooks/strategy_analysis_example.ipynb index 868ca5611..b9576e0bb 100644 --- a/user_data/notebooks/strategy_analysis_example.ipynb +++ b/user_data/notebooks/strategy_analysis_example.ipynb @@ -107,10 +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": {}, From 7c6921c743c3f6b17a9e3a4b8c5c49e8d3d23535 Mon Sep 17 00:00:00 2001 From: Ashton Honnecke Date: Mon, 23 Sep 2019 13:17:20 -0600 Subject: [PATCH 005/162] pr feedback regarding docker-compose naming --- LOCAL.md | 30 ++++++++++++++++++++++++++++++ docker-compose.develop.yml | 10 ---------- docker-compose.prod.yml | 8 -------- docker-compose.yml | 9 ++++++++- 4 files changed, 38 insertions(+), 19 deletions(-) create mode 100644 LOCAL.md delete mode 100644 docker-compose.prod.yml mode change 120000 => 100644 docker-compose.yml diff --git a/LOCAL.md b/LOCAL.md new file mode 100644 index 000000000..9172520b1 --- /dev/null +++ b/LOCAL.md @@ -0,0 +1,30 @@ +# Local development + +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 +``` bash +sudo apt install git +``` + +## docker +``` bash +sudo apt install docker +``` + +## docker-compose +``` bash +sudo apt install docker-compose +``` +# Starting the bot +## Develop dockerfile +``` bash +rm docker-compose.yml && mv docker-compose.develop.yml docker-compose.yml +``` + +## Docker Compose up + +``` bash +docker-compose up +``` diff --git a/docker-compose.develop.yml b/docker-compose.develop.yml index 4dfdb9357..bbf20b3f3 100644 --- a/docker-compose.develop.yml +++ b/docker-compose.develop.yml @@ -2,18 +2,8 @@ version: '3' services: freqtrade_develop: - build: - context: . - dockerfile: "./Dockerfile" - volumes: - - ".:/freqtrade" - - pytest: build: context: . dockerfile: "./Dockerfile.develop" volumes: - ".:/freqtrade" - command: - ["./scripts/pytest.sh"] - diff --git a/docker-compose.prod.yml b/docker-compose.prod.yml deleted file mode 100644 index cae98c3ee..000000000 --- a/docker-compose.prod.yml +++ /dev/null @@ -1,8 +0,0 @@ ---- -version: '3' -services: - freqtrade: - image: freqtradeorg/freqtrade:master - volumes: - - "./user_data:/freqtrade/user_data" - - "./config.json:/freqtrade/config.json" diff --git a/docker-compose.yml b/docker-compose.yml deleted file mode 120000 index 945318087..000000000 --- a/docker-compose.yml +++ /dev/null @@ -1 +0,0 @@ -docker-compose.prod.yml \ No newline at end of file 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" From 5c3fb4d5b3d6f2463cfd8665ff139d43aab02f70 Mon Sep 17 00:00:00 2001 From: Ashton Honnecke Date: Mon, 23 Sep 2019 13:30:55 -0600 Subject: [PATCH 006/162] docs for running docker-compose locally --- LOCAL.md | 10 +++++++++- 1 file changed, 9 insertions(+), 1 deletion(-) diff --git a/LOCAL.md b/LOCAL.md index 9172520b1..db0f66d66 100644 --- a/LOCAL.md +++ b/LOCAL.md @@ -23,8 +23,16 @@ sudo apt install docker-compose rm docker-compose.yml && mv docker-compose.develop.yml docker-compose.yml ``` -## Docker Compose up +## 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 +``` From cb6e136893afec50d9c148fc3d34ed5b38d74cab Mon Sep 17 00:00:00 2001 From: Ashton Honnecke Date: Mon, 23 Sep 2019 13:35:18 -0600 Subject: [PATCH 007/162] how to exec --- LOCAL.md | 10 ++++++++++ 1 file changed, 10 insertions(+) diff --git a/LOCAL.md b/LOCAL.md index db0f66d66..ce9808034 100644 --- a/LOCAL.md +++ b/LOCAL.md @@ -36,3 +36,13 @@ docker-compose up ``` 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) From fe483ad011804644921702c5ee97aa3f91ea3715 Mon Sep 17 00:00:00 2001 From: Ashton Honnecke Date: Tue, 24 Sep 2019 09:03:44 -0600 Subject: [PATCH 008/162] Don't use the develop dockerfile for local --- docker-compose.develop.yml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docker-compose.develop.yml b/docker-compose.develop.yml index bbf20b3f3..3e3bf4833 100644 --- a/docker-compose.develop.yml +++ b/docker-compose.develop.yml @@ -4,6 +4,6 @@ services: freqtrade_develop: build: context: . - dockerfile: "./Dockerfile.develop" + dockerfile: "./Dockerfile" volumes: - ".:/freqtrade" From 9391c27b801f1d53e5105a547546725116cb94a5 Mon Sep 17 00:00:00 2001 From: Jonathan Raviotta Date: Mon, 23 Sep 2019 20:00:07 -0400 Subject: [PATCH 009/162] Enhancements to BB plotting --- freqtrade/plot/plotting.py | 25 ++++++++++++++----------- 1 file changed, 14 insertions(+), 11 deletions(-) diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index 1627959f9..99d3d8088 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -64,14 +64,14 @@ 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( + # TODO: Figure out why scattergl causes problems plotly/plotly.js#2284 + 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 +92,7 @@ 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, @@ -222,23 +222,26 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra logger.warning("No sell-signals found.") 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) @@ -252,7 +255,7 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra ) 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 +270,7 @@ 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', From 83e596c06f7edb4038d0c657d3ebc858dcb6197f Mon Sep 17 00:00:00 2001 From: Jonathan Raviotta Date: Wed, 25 Sep 2019 23:09:50 -0400 Subject: [PATCH 010/162] chart styling --- freqtrade/plot/plotting.py | 12 +++++++----- 1 file changed, 7 insertions(+), 5 deletions(-) diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index 99d3d8088..d59509d5c 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -64,7 +64,6 @@ 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 plotly/plotly.js#2284 scatter = go.Scatter( x=data['date'], y=data[indicator].values, @@ -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.Scatter( + profit = go.Scattergl( x=data.index, y=data[column], name=name, @@ -221,6 +220,7 @@ 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.Scatter( x=data.date, @@ -251,8 +251,10 @@ 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 separate row @@ -270,7 +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.Scatter( + avgclose = go.Scattergl( x=df_comb.index, y=df_comb['mean'], name='Avg close price', From 11bb7e520c1ad1dfa3775b1a3834007a251e8300 Mon Sep 17 00:00:00 2001 From: Ashton Honnecke Date: Thu, 26 Sep 2019 09:22:49 -0600 Subject: [PATCH 011/162] use .develop dockerfile, move docs to develop.md, add freqtrade_bash --- LOCAL.md | 48 -------------------------------------- docker-compose.develop.yml | 13 ++++++++++- docs/developer.md | 42 ++++++++++++++++++++++++++++++++- 3 files changed, 53 insertions(+), 50 deletions(-) delete mode 100644 LOCAL.md diff --git a/LOCAL.md b/LOCAL.md deleted file mode 100644 index ce9808034..000000000 --- a/LOCAL.md +++ /dev/null @@ -1,48 +0,0 @@ -# Local development - -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 -``` bash -sudo apt install git -``` - -## docker -``` bash -sudo apt install docker -``` - -## docker-compose -``` bash -sudo apt install docker-compose -``` -# Starting the bot -## 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) diff --git a/docker-compose.develop.yml b/docker-compose.develop.yml index 3e3bf4833..562b5960a 100644 --- a/docker-compose.develop.yml +++ b/docker-compose.develop.yml @@ -4,6 +4,17 @@ services: freqtrade_develop: build: context: . - dockerfile: "./Dockerfile" + dockerfile: "./Dockerfile.develop" volumes: - ".:/freqtrade" + entrypoint: + - "freqtrade" + + freqtrade_bash: + build: + context: . + dockerfile: "./Dockerfile.develop" + volumes: + - ".:/freqtrade" + entrypoint: + - "/bin/bash" diff --git a/docs/developer.md b/docs/developer.md index b048cf93f..926b8e3d8 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 @@ -182,7 +222,7 @@ 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) From 448b09d7b68ef7ae25e33757e3472c8cb7dc60aa Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Sun, 29 Sep 2019 11:54:20 +0300 Subject: [PATCH 012/162] Add list-timeframes subcommand --- freqtrade/configuration/arguments.py | 16 ++++++++++++++-- freqtrade/utils.py | 23 +++++++++++++++++++++++ 2 files changed, 37 insertions(+), 2 deletions(-) diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index 6e2ecea2e..c2cde6090 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -31,6 +31,8 @@ ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"] ARGS_LIST_EXCHANGES = ["print_one_column"] +ARGS_LIST_TIMEFRAMES = ["exchange", "print_one_column"] + ARGS_CREATE_USERDIR = ["user_data_dir"] ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "exchange", "timeframes", "erase"] @@ -41,7 +43,8 @@ ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit", "db_ 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 = ["create-userdir", "download-data", "list-timeframes", "plot-dataframe", + "plot-profit"] class Arguments: @@ -98,7 +101,8 @@ class Arguments: :return: None """ from freqtrade.optimize import start_backtesting, start_hyperopt, start_edge - from freqtrade.utils import start_create_userdir, start_download_data, start_list_exchanges + from freqtrade.utils import (start_create_userdir, start_download_data, + start_list_exchanges, start_list_timeframes) subparsers = self.parser.add_subparsers(dest='subparser') @@ -131,6 +135,14 @@ 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', diff --git a/freqtrade/utils.py b/freqtrade/utils.py index 6ce5e888c..559fef0a5 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -97,3 +97,26 @@ 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) + + # Init exchange + exchange = ExchangeResolver(config['exchange']['name'], config).exchange + + timeframes = list((exchange._api.timeframes or {}).keys()) + + if not timeframes: + logger.warning("List of timeframes available for exchange " + f"`{config['exchange']['name']}` is empty. " + "This exchange does not support fetching OHLCV data.") + else: + if args['print_one_column']: + print('\n'.join(timeframes)) + else: + print(f"Timeframes available for the exchange `{config['exchange']['name']}`: " + f"{', '.join(timeframes)}") From 75446d8195b58b2b4180a65d81f7452868a698c1 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Sun, 29 Sep 2019 23:08:11 +0300 Subject: [PATCH 013/162] Refactor list-timeframes command with the use of the Exchange class methods --- freqtrade/exchange/exchange.py | 18 ++++++++++-------- freqtrade/utils.py | 17 ++++++----------- tests/exchange/test_exchange.py | 3 ++- 3 files changed, 18 insertions(+), 20 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index e2819bb59..6d68cef87 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -133,6 +133,9 @@ 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 +147,6 @@ 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 @@ -199,6 +198,10 @@ 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 +294,7 @@ 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 +307,9 @@ 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: """ diff --git a/freqtrade/utils.py b/freqtrade/utils.py index 559fef0a5..1f297b7ac 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -104,19 +104,14 @@ 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 - timeframes = list((exchange._api.timeframes or {}).keys()) - - if not timeframes: - logger.warning("List of timeframes available for exchange " - f"`{config['exchange']['name']}` is empty. " - "This exchange does not support fetching OHLCV data.") + if args['print_one_column']: + print('\n'.join(exchange.timeframes)) else: - if args['print_one_column']: - print('\n'.join(timeframes)) - else: - print(f"Timeframes available for the exchange `{config['exchange']['name']}`: " - f"{', '.join(timeframes)}") + print(f"Timeframes available for the exchange `{config['exchange']['name']}`: " + f"{', '.join(exchange.timeframes)}") diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index f8c556aeb..bf6025322 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -409,7 +409,8 @@ 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) From 272c977d088c8d670a0e24c23cabf392ee864a92 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Mon, 30 Sep 2019 03:55:55 +0300 Subject: [PATCH 014/162] Add exchanges to the list of bad exchanges --- freqtrade/exchange/exchange.py | 68 ++++++++++++++++++++++++++++++++++ 1 file changed, 68 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index e2819bb59..dcc20acca 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -30,6 +30,74 @@ BAD_EXCHANGES = { "bitmex": "Various reasons", "bitstamp": "Does not provide history. " "Details in https://github.com/freqtrade/freqtrade/issues/1983", + **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"), } From 03b5be91f7e26ee961a0206694eff5b940601e1e Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 30 Sep 2019 07:28:49 +0200 Subject: [PATCH 015/162] some commands should not have config at all --- freqtrade/configuration/arguments.py | 11 ++++++++--- 1 file changed, 8 insertions(+), 3 deletions(-) diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index 6e2ecea2e..89c86bdca 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -41,7 +41,9 @@ ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit", "db_ 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", "plot-dataframe", "plot-profit"] + +NO_CONF_ALLOWED = ["create-userdir", "list-exchanges"] class Arguments: @@ -75,12 +77,15 @@ class Arguments: parsed_arg = self.parser.parse_args(self.args) # When no config is provided, but a config exists, use that configuration! + subparser = parsed_arg.subparser if 'subparser' in parsed_arg else None # 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) - if (parsed_arg.config is None and ((Path.cwd() / constants.DEFAULT_CONFIG).is_file() or - not ('subparser' in parsed_arg and parsed_arg.subparser in NO_CONF_REQURIED))): + if (parsed_arg.config is None + and subparser not in NO_CONF_ALLOWED + and ((Path.cwd() / constants.DEFAULT_CONFIG).is_file() + or (subparser not in NO_CONF_REQURIED))): parsed_arg.config = [constants.DEFAULT_CONFIG] return parsed_arg From 739901b606a3793a01a4dcc4c6801b3b7ac0fbb2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 30 Sep 2019 09:48:00 +0200 Subject: [PATCH 016/162] Add test for this behaviour --- tests/test_arguments.py | 40 ++++++++++++++++++++++++++++++++++++++++ 1 file changed, 40 insertions(+) diff --git a/tests/test_arguments.py b/tests/test_arguments.py index cf0104c01..e874e6769 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 From 8ae4018e4dab9a5163804fcdcd9eea99994b4e32 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 30 Sep 2019 10:19:37 +0000 Subject: [PATCH 017/162] Bump urllib3 from 1.25.5 to 1.25.6 Bumps [urllib3](https://github.com/urllib3/urllib3) from 1.25.5 to 1.25.6. - [Release notes](https://github.com/urllib3/urllib3/releases) - [Changelog](https://github.com/urllib3/urllib3/blob/master/CHANGES.rst) - [Commits](https://github.com/urllib3/urllib3/compare/1.25.5...1.25.6) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index f10134203..6ed4d3139 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -6,7 +6,7 @@ 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 TA-Lib==0.4.17 From 9a83d841095bd6223ccc3ff0521fd084ef45b340 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 30 Sep 2019 10:20:05 +0000 Subject: [PATCH 018/162] Bump tabulate from 0.8.3 to 0.8.5 Bumps [tabulate](https://github.com/astanin/python-tabulate) from 0.8.3 to 0.8.5. - [Release notes](https://github.com/astanin/python-tabulate/releases) - [Changelog](https://github.com/astanin/python-tabulate/blob/master/CHANGELOG) - [Commits](https://github.com/astanin/python-tabulate/commits/v0.8.5) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index f10134203..e0c594194 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -10,7 +10,7 @@ urllib3==1.25.5 wrapt==1.11.2 jsonschema==3.0.2 TA-Lib==0.4.17 -tabulate==0.8.3 +tabulate==0.8.5 coinmarketcap==5.0.3 # find first, C search in arrays From 3c91ba134f0fd3ad13609927f510b3e520baccda Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 30 Sep 2019 10:20:47 +0000 Subject: [PATCH 019/162] Bump pytest-mock from 1.10.4 to 1.11.0 Bumps [pytest-mock](https://github.com/pytest-dev/pytest-mock) from 1.10.4 to 1.11.0. - [Release notes](https://github.com/pytest-dev/pytest-mock/releases) - [Changelog](https://github.com/pytest-dev/pytest-mock/blob/master/CHANGELOG.rst) - [Commits](https://github.com/pytest-dev/pytest-mock/compare/1.10.4...v1.11.0) Signed-off-by: dependabot-preview[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index dcf2c7217..755dff4b4 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -11,5 +11,5 @@ mypy==0.720 pytest==5.1.3 pytest-asyncio==0.10.0 pytest-cov==2.7.1 -pytest-mock==1.10.4 +pytest-mock==1.11.0 pytest-random-order==1.0.4 From d74ca78bd8d0bb133e45e82433f628960ddc4403 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 30 Sep 2019 10:21:37 +0000 Subject: [PATCH 020/162] Bump ccxt from 1.18.1180 to 1.18.1208 Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.18.1180 to 1.18.1208. - [Release notes](https://github.com/ccxt/ccxt/releases) - [Changelog](https://github.com/ccxt/ccxt/blob/master/CHANGELOG.md) - [Commits](https://github.com/ccxt/ccxt/compare/1.18.1180...1.18.1208) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index f10134203..e74e3a7a7 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,6 +1,6 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs -ccxt==1.18.1180 +ccxt==1.18.1208 SQLAlchemy==1.3.8 python-telegram-bot==12.1.1 arrow==0.15.2 From f359f869abd96d94423a55849aac4a979fe0be13 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 30 Sep 2019 15:20:07 +0000 Subject: [PATCH 021/162] Bump pytest from 5.1.3 to 5.2.0 Bumps [pytest](https://github.com/pytest-dev/pytest) from 5.1.3 to 5.2.0. - [Release notes](https://github.com/pytest-dev/pytest/releases) - [Changelog](https://github.com/pytest-dev/pytest/blob/master/CHANGELOG.rst) - [Commits](https://github.com/pytest-dev/pytest/compare/5.1.3...5.2.0) Signed-off-by: dependabot-preview[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index 755dff4b4..8fd73df0c 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -8,7 +8,7 @@ flake8==3.7.8 flake8-type-annotations==0.1.0 flake8-tidy-imports==2.0.0 mypy==0.720 -pytest==5.1.3 +pytest==5.2.0 pytest-asyncio==0.10.0 pytest-cov==2.7.1 pytest-mock==1.11.0 From 7617dd502921e950cef36e93febdd911d5261f72 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Mon, 30 Sep 2019 18:44:13 +0300 Subject: [PATCH 022/162] Add separate message for `hitbtc` exchange --- freqtrade/exchange/exchange.py | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index dcc20acca..3c313ab54 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -27,9 +27,11 @@ 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', @@ -73,7 +75,7 @@ BAD_EXCHANGES = { 'flowbtc', 'foxbit', 'fybse', - 'hitbtc', + # 'hitbtc', 'ice3x', 'independentreserve', 'indodax', From 04fea69a2899446d71678625a5d056a708958e53 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 30 Sep 2019 17:26:03 +0000 Subject: [PATCH 023/162] Bump mypy from 0.720 to 0.730 Bumps [mypy](https://github.com/python/mypy) from 0.720 to 0.730. - [Release notes](https://github.com/python/mypy/releases) - [Commits](https://github.com/python/mypy/compare/v0.720...v0.730) Signed-off-by: dependabot-preview[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index 8fd73df0c..2c1ae906d 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -7,7 +7,7 @@ coveralls==1.8.2 flake8==3.7.8 flake8-type-annotations==0.1.0 flake8-tidy-imports==2.0.0 -mypy==0.720 +mypy==0.730 pytest==5.2.0 pytest-asyncio==0.10.0 pytest-cov==2.7.1 From dc47a391da82277bd80016e91ae78db8468a2305 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 30 Sep 2019 19:32:13 +0200 Subject: [PATCH 024/162] Move ignore to corrct line for mypy 730 --- freqtrade/optimize/backtesting.py | 8 ++++---- freqtrade/optimize/edge_cli.py | 4 ++-- 2 files changed, 6 insertions(+), 6 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 6074b281b..89aff86f6 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -146,8 +146,8 @@ 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 +185,8 @@ 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: 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() From cd0e813a858660eac36f48ea615ce356e68ae5cb Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Mon, 30 Sep 2019 21:36:52 +0300 Subject: [PATCH 025/162] Docs adjusted, utils.md added --- docs/bot-usage.md | 10 ++++++++-- docs/utils.md | 26 ++++++++++++++++++++++++++ mkdocs.yml | 9 +++++---- 3 files changed, 39 insertions(+), 6 deletions(-) create mode 100644 docs/utils.md diff --git a/docs/bot-usage.md b/docs/bot-usage.md index f44400e32..795f5f07d 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -12,17 +12,23 @@ This page explains the different parameters of the bot and how to run it. usage: freqtrade [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH] [--userdir PATH] [-s NAME] [--strategy-path PATH] [--db-url PATH] [--sd-notify] - {backtesting,edge,hyperopt,create-userdir,list-exchanges} ... + {backtesting,edge,hyperopt,create-userdir,list-exchanges,list-timeframes,download-data,plot-dataframe,plot-profit} + ... Free, open source crypto trading bot positional arguments: - {backtesting,edge,hyperopt,create-userdir,list-exchanges} + {backtesting,edge,hyperopt,create-userdir,list-exchanges,list-timeframes,download-data,plot-dataframe,plot-profit} backtesting Backtesting module. edge Edge module. hyperopt Hyperopt module. create-userdir Create user-data directory. list-exchanges Print available exchanges. + list-timeframes Print available ticker intervals (timeframes) for the + exchange. + download-data Download backtesting data. + plot-dataframe Plot candles with indicators. + plot-profit Generate plot showing profits. optional arguments: -h, --help show this help message and exit diff --git a/docs/utils.md b/docs/utils.md new file mode 100644 index 000000000..cfed604bd --- /dev/null +++ b/docs/utils.md @@ -0,0 +1,26 @@ +# 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 + +``` +usage: freqtrade list-exchanges [-h] [-1] + +optional arguments: + -h, --help show this help message and exit + -1, --one-column Print exchanges in one column. +``` + +## List Timeframes + +``` +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 exchanges in one column. + +``` diff --git a/mkdocs.yml b/mkdocs.yml index 7aedb4bba..e1b754962 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -14,14 +14,15 @@ 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 - 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' From d1fa5f307b8406ff6d78763d07478be833a980a0 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 1 Oct 2019 00:33:33 +0300 Subject: [PATCH 026/162] Add --all option to list-exchanges --- freqtrade/configuration/arguments.py | 2 +- freqtrade/configuration/check_exchange.py | 14 +++++++------- freqtrade/configuration/cli_options.py | 5 +++++ freqtrade/exchange/__init__.py | 3 ++- freqtrade/exchange/exchange.py | 19 +++++++++++++++---- freqtrade/utils.py | 12 +++++++----- 6 files changed, 37 insertions(+), 18 deletions(-) diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index 89c86bdca..da9bef0b0 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -29,7 +29,7 @@ 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_CREATE_USERDIR = ["user_data_dir"] 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 cb07dbdba..caf34b5e3 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -244,6 +244,11 @@ AVAILABLE_CLI_OPTIONS = { help='Print exchanges 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 "pairs": Arg( '-p', '--pairs', diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index 4037ca704..29971c897 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 (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/exchange.py b/freqtrade/exchange/exchange.py index 3c313ab54..0c307e7ed 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -235,7 +235,7 @@ 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 = { @@ -838,18 +838,29 @@ 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/utils.py b/freqtrade/utils.py index 6ce5e888c..3a11ca4fc 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -9,7 +9,7 @@ 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.exchange import available_exchanges, ccxt_exchanges from freqtrade.resolvers import ExchangeResolver from freqtrade.state import RunMode @@ -39,12 +39,14 @@ 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: From f6a88c6e9bee6e645adc68429fa85096d2e994a1 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 1 Oct 2019 00:33:54 +0300 Subject: [PATCH 027/162] Tests adjusted --- tests/test_configuration.py | 9 +++++---- tests/test_utils.py | 29 +++++++++++++++++++++++++++-- 2 files changed, 32 insertions(+), 6 deletions(-) diff --git a/tests/test_configuration.py b/tests/test_configuration.py index 330b82d39..0f2d6a50a 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -506,7 +506,8 @@ 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() @@ -520,16 +521,16 @@ 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) diff --git a/tests/test_utils.py b/tests/test_utils.py index c99044610..9025e4906 100644 --- a/tests/test_utils.py +++ b/tests/test_utils.py @@ -31,7 +31,7 @@ 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 +43,35 @@ 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$", captured.out, re.MULTILINE) + def test_create_datadir_failed(caplog): From f2e878d9ec47e0342a5c45ad9c51ab342b387206 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 1 Oct 2019 16:57:35 +0300 Subject: [PATCH 028/162] Update helpstring for list-exchanges --- docs/utils.md | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/docs/utils.md b/docs/utils.md index cfed604bd..fe22cd50d 100644 --- a/docs/utils.md +++ b/docs/utils.md @@ -5,11 +5,12 @@ Besides the Live-Trade and Dry-Run run modes, the `backtesting`, `edge` and `hyp ## List Exchanges ``` -usage: freqtrade list-exchanges [-h] [-1] +usage: freqtrade list-exchanges [-h] [-1] [-a] optional arguments: -h, --help show this help message and exit -1, --one-column Print exchanges in one column. + -a, --all Print all exchanges known to the ccxt library. ``` ## List Timeframes From c57d5ef1cd84fdfaa37b0cc6fe3760e81dcda1dc Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 1 Oct 2019 20:26:44 +0300 Subject: [PATCH 029/162] Added short descriptions and examples in utils.md --- docs/utils.md | 29 +++++++++++++++++++++++++++++ 1 file changed, 29 insertions(+) diff --git a/docs/utils.md b/docs/utils.md index fe22cd50d..459960fac 100644 --- a/docs/utils.md +++ b/docs/utils.md @@ -4,6 +4,8 @@ Besides the Live-Trade and Dry-Run run modes, the `backtesting`, `edge` and `hyp ## List Exchanges +Use the `list-exchanges` subcommand to see the exchanges available for the bot. + ``` usage: freqtrade list-exchanges [-h] [-1] [-a] @@ -13,8 +15,22 @@ optional arguments: -a, --all Print all exchanges known to the ccxt library. ``` +* Example: see exchanges available for the bot: +``` +$ 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] @@ -25,3 +41,16 @@ optional arguments: -1, --one-column Print exchanges 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 +``` From eca8ddabe99961165982c9a0ae28f55fbb7c570f Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 2 Oct 2019 10:59:45 +0200 Subject: [PATCH 030/162] Remove unused test-data --- tests/data/test_btanalysis.py | 4 ++-- tests/test_plotting.py | 6 +++--- tests/testdata/ADA_BTC-1m.json | 1 - tests/testdata/DASH_BTC-1m.json | 1 - tests/testdata/ETC_BTC-1m.json | 1 - tests/testdata/ETH_BTC-1m.json | 1 - tests/testdata/LTC_BTC-1m.json | 1 - tests/testdata/NXT_BTC-1m.json | 1 - tests/testdata/POWR_BTC-1m.json | 1 - tests/testdata/XLM_BTC-1m.json | 1 - tests/testdata/XMR_BTC-1m.json | 1 - tests/testdata/ZEC_BTC-1m.json | 1 - 12 files changed, 5 insertions(+), 15 deletions(-) delete mode 100644 tests/testdata/ADA_BTC-1m.json delete mode 100644 tests/testdata/DASH_BTC-1m.json delete mode 100644 tests/testdata/ETC_BTC-1m.json delete mode 100644 tests/testdata/ETH_BTC-1m.json delete mode 100644 tests/testdata/LTC_BTC-1m.json delete mode 100644 tests/testdata/NXT_BTC-1m.json delete mode 100644 tests/testdata/POWR_BTC-1m.json delete mode 100644 tests/testdata/XLM_BTC-1m.json delete mode 100644 tests/testdata/XMR_BTC-1m.json delete mode 100644 tests/testdata/ZEC_BTC-1m.json diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 18326226c..27a8ee02e 100644 --- a/tests/data/test_btanalysis.py +++ b/tests/data/test_btanalysis.py @@ -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/test_plotting.py b/tests/test_plotting.py index 9028ab961..1d0f030ea 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): @@ -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, 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, 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0.03909259, 0.03263], [1517287380000, 0.03909259, 0.03909259, 0.03902404, 0.03902411, 9.03322806], [1517287440000, 0.03902415, 0.03902433, 0.03902404, 0.03902433, 9.03334366], [1517287500000, 0.03919, 0.03919, 0.03919, 0.03919, 0.97248305], [1517287560000, 0.03919, 0.03928791, 0.03919, 0.0392879, 7.08098114], [1517287620000, 0.03919, 0.03919, 0.03919, 0.03919, 0.27578535], [1517287680000, 0.03928785, 0.03928785, 0.03919, 0.03919, 3.80413931], [1517287740000, 0.03928785, 0.03928789, 0.03928785, 0.03928789, 1.9614146]] \ No newline at end of file From 096c69dc4f157558f3dd0d8798032722f5f16cb1 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 2 Oct 2019 03:27:17 +0300 Subject: [PATCH 031/162] Refactor Freqtradebot --- freqtrade/freqtradebot.py | 60 ++++++++++++++++++--------------------- 1 file changed, 27 insertions(+), 33 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 3f7eab27a..024e09c96 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 @@ -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 trades in a safe way """ try: # Create entity and execute trade @@ -443,33 +442,28 @@ 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 trades in a safe way """ - try: - self.update_trade_state(trade) + 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: + result = False + if self.strategy.order_types.get('stoploss_on_exchange'): + result = self.handle_stoploss_on_exchange(trade) + elif trade.open_order_id is None: + # Check if we can sell our current pair + result = self.handle_trade(trade) - if trade.is_open and trade.open_order_id is None: - # Check if we can sell our current pair - result = self.handle_trade(trade) + # Updating wallets if any trade occured + if result: + self.wallets.update() - # Updating wallets if any trade occured - if result: - self.wallets.update() - - return result - - except DependencyException as exception: - logger.warning('Unable to sell trade: %s', exception) - return False + except DependencyException as exception: + logger.warning('Unable to sell trade: %s', exception) def get_real_amount(self, trade: Trade, order: Dict) -> float: """ From 15aae8a58c78b7a70719f0747c7e49d418d2b219 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 2 Oct 2019 03:27:42 +0300 Subject: [PATCH 032/162] Tests adjusted --- tests/test_freqtradebot.py | 38 ++++++++++++++++++++++---------------- 1 file changed, 22 insertions(+), 16 deletions(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index ee28f2e58..5fa481604 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 @@ -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) @@ -2448,8 +2452,9 @@ 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( @@ -2498,7 +2503,8 @@ 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 @@ -2526,7 +2532,7 @@ 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 From 89729aefe8e148490a595e6f0f5d1d573fcdee08 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 2 Oct 2019 18:38:00 +0300 Subject: [PATCH 033/162] Fix and improve process_maybe_execute_sells() --- freqtrade/freqtradebot.py | 25 +++++++++++++------------ 1 file changed, 13 insertions(+), 12 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 024e09c96..4fb0ce2d7 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -446,25 +446,26 @@ class FreqtradeBot: """ Tries to execute sell trades in a safe way """ + result = False for trade in trades: try: self.update_trade_state(trade) - if trade.is_open: - result = False - if self.strategy.order_types.get('stoploss_on_exchange'): - result = self.handle_stoploss_on_exchange(trade) - elif trade.open_order_id is None: - # Check if we can sell our current pair - result = self.handle_trade(trade) - - # Updating wallets if any trade occured - if result: - self.wallets.update() + 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 + if trade.open_order_id is None and self.handle_trade(trade): + result = True except DependencyException as exception: logger.warning('Unable to sell trade: %s', exception) + # Updating wallets if any trade occured + if result: + self.wallets.update() + def get_real_amount(self, trade: Trade, order: Dict) -> float: """ Get real amount for the trade @@ -569,7 +570,7 @@ 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) From 4b29c4cdbf222dc9abd3b63f9a632226fede4a37 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 2 Oct 2019 19:08:49 +0300 Subject: [PATCH 034/162] Test for handling closed trade adjusted --- tests/test_freqtradebot.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 5fa481604..eb854e56b 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1915,7 +1915,7 @@ 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) From 3ac5b918996cafbf0dfe63531c8fe361d40d4875 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Thu, 3 Oct 2019 02:58:45 +0300 Subject: [PATCH 035/162] Add market() method to dataprovider --- freqtrade/data/dataprovider.py | 8 ++++++++ 1 file changed, 8 insertions(+) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index 7d5e4540b..b564dbec8 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -85,6 +85,14 @@ class DataProvider: logger.warning(f"No data found for ({pair}, {ticker_interval}).") return data + def market(self, pair: str): + """ + 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 From 9ee7e28ef8d98cbbb3d3b827089d45d80cc6bb64 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 3 Oct 2019 06:23:58 +0200 Subject: [PATCH 036/162] Clean up some mocks --- tests/test_freqtradebot.py | 28 +++++++++++++--------------- 1 file changed, 13 insertions(+), 15 deletions(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index eb854e56b..18fd229eb 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2422,13 +2422,6 @@ 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': { @@ -2437,11 +2430,16 @@ 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 @@ -2482,7 +2480,9 @@ 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={ @@ -2492,8 +2492,6 @@ 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) From 1f4e5b17b74e0aafb6c8179907caa8a25f2f45fb Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 3 Oct 2019 06:37:25 +0200 Subject: [PATCH 037/162] Add basic test for execute sells_multiple logic --- tests/test_freqtradebot.py | 44 ++++++++++++++++++++++++++++++++++++++ 1 file changed, 44 insertions(+) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 18fd229eb..128411d96 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2537,6 +2537,50 @@ def test_may_execute_sell_after_stoploss_on_exchange_hit(default_conf, 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: + default_conf['max_open_trades'] = 3 + default_conf['exchange']['name'] = 'binance' + patch_RPCManager(mocker) + patch_exchange(mocker) + 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, + ) + # Sell first trade + stoploss_mock = MagicMock(side_effect=[True, False, False]) + + # Sell 3rd trade (not called for the first trade) + handle_trade_mock = MagicMock(side_effect=[False, True]) + wallets_mock = MagicMock() + mocker.patch.multiple( + 'freqtrade.freqtradebot.FreqtradeBot', + handle_stoploss_on_exchange=stoploss_mock, + handle_trade=handle_trade_mock, + ) + mocker.patch("freqtrade.wallets.Wallets.update", wallets_mock) + + freqtrade = FreqtradeBot(default_conf) + freqtrade.strategy.order_types['stoploss_on_exchange'] = True + patch_get_signal(freqtrade) + + # Create some test data + freqtrade.create_trades() + wallets_mock.reset_mock() + + trades = Trade.query.all() + + freqtrade.process_maybe_execute_sells(trades) + assert stoploss_mock.call_count == 3 + assert handle_trade_mock.call_count == 2 + assert wallets_mock.call_count == 1 + def test_execute_sell_market_order(default_conf, ticker, fee, ticker_sell_up, markets, mocker) -> None: rpc_mock = patch_RPCManager(mocker) From 38f184e50de65485a7a058a73cf1fca2d8865719 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 3 Oct 2019 06:54:15 +0200 Subject: [PATCH 038/162] Update test to not mock stoploss_on_exchange --- tests/test_freqtradebot.py | 54 ++++++++++++++++++++++++++++++++++---- 1 file changed, 49 insertions(+), 5 deletions(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 128411d96..d60d19937 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2545,6 +2545,39 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, default_conf['exchange']['name'] = 'binance' patch_RPCManager(mocker) patch_exchange(mocker) + + stoploss_limit = { + 'id': 123, + 'info': { + 'foo': 'bar' + } + } + 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]) + create_sl_mock = MagicMock(return_value=True) + + mocker.patch('freqtrade.exchange.Binance.stoploss_limit', stoploss_limit) mocker.patch.multiple( 'freqtrade.exchange.Exchange', get_ticker=ticker, @@ -2552,17 +2585,17 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, 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, ) - # Sell first trade - stoploss_mock = MagicMock(side_effect=[True, False, False]) - # Sell 3rd trade (not called for the first trade) handle_trade_mock = MagicMock(side_effect=[False, True]) wallets_mock = MagicMock() mocker.patch.multiple( 'freqtrade.freqtradebot.FreqtradeBot', - handle_stoploss_on_exchange=stoploss_mock, handle_trade=handle_trade_mock, + create_stoploss_order=create_sl_mock, + update_trade_state=MagicMock(), + _notify_sell=MagicMock(), ) mocker.patch("freqtrade.wallets.Wallets.update", wallets_mock) @@ -2575,12 +2608,23 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, wallets_mock.reset_mock() 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 stoploss_mock.call_count == 3 assert handle_trade_mock.call_count == 2 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 + + def test_execute_sell_market_order(default_conf, ticker, fee, ticker_sell_up, markets, mocker) -> None: rpc_mock = patch_RPCManager(mocker) From f95b0ccdab3e5c40e795e9f5c4ef64149838238a Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 4 Oct 2019 02:01:44 +0300 Subject: [PATCH 039/162] Tests added --- tests/test_utils.py | 74 ++++++++++++++++++++++++++++++++++++++++++++- 1 file changed, 73 insertions(+), 1 deletion(-) diff --git a/tests/test_utils.py b/tests/test_utils.py index c99044610..6168706a2 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 @@ -48,6 +49,77 @@ def test_list_exchanges(capsys): assert re.search(r"^bittrex$", captured.out, re.MULTILINE) +def test_list_timeframes(capsys): + + 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) + + # 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, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1M", + 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): args = [ From 75252b6251ac766a14f6f2e8b591383c09dc8c16 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 4 Oct 2019 02:32:48 +0300 Subject: [PATCH 040/162] Docstrings improved --- freqtrade/freqtradebot.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 4fb0ce2d7..2776b56c2 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -433,7 +433,7 @@ class FreqtradeBot: def process_maybe_execute_buys(self) -> None: """ - Tries to execute buy trades in a safe way + Tries to execute buy orders for trades in a safe way """ try: # Create entity and execute trade @@ -444,7 +444,7 @@ class FreqtradeBot: def process_maybe_execute_sells(self, trades: List[Any]) -> None: """ - Tries to execute sell trades in a safe way + Tries to execute sell orders for trades in a safe way """ result = False for trade in trades: From 78381e9e7be618c89d1681f31f48df8b0918be29 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 4 Oct 2019 14:47:37 +0200 Subject: [PATCH 041/162] Improve test to test full sell cycle --- tests/test_freqtradebot.py | 41 ++++++++++++++++++++++++++++---------- 1 file changed, 31 insertions(+), 10 deletions(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index d60d19937..8c6bca653 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2541,6 +2541,13 @@ 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) @@ -2548,9 +2555,7 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, stoploss_limit = { 'id': 123, - 'info': { - 'foo': 'bar' - } + 'info': {} } stoploss_order_open = { "id": "123", @@ -2575,8 +2580,12 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, # 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]) - create_sl_mock = MagicMock(return_value=True) - + # 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', @@ -2586,26 +2595,29 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, 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, ) - # Sell 3rd trade (not called for the first trade) - handle_trade_mock = MagicMock(side_effect=[False, True]) + wallets_mock = MagicMock() mocker.patch.multiple( 'freqtrade.freqtradebot.FreqtradeBot', - handle_trade=handle_trade_mock, - create_stoploss_order=create_sl_mock, + 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) @@ -2614,16 +2626,25 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, trade.open_order_id = None freqtrade.process_maybe_execute_sells(trades) - assert handle_trade_mock.call_count == 2 + 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: From 73e9cbdea1af3341327970162e4c46af430a3ecd Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 09:56:01 +0200 Subject: [PATCH 042/162] Fix #2338 --- docs/backtesting.md | 2 +- docs/plotting.md | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 75aba6c73..c5d223c67 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 diff --git a/docs/plotting.md b/docs/plotting.md index 4deb6db12..89404f8b1 100644 --- a/docs/plotting.md +++ b/docs/plotting.md @@ -179,5 +179,5 @@ 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 ``` From 00ab6f572a9b249f394ad8a4b887ba56731b72fd Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 10:01:38 +0200 Subject: [PATCH 043/162] Cleanup legacy strategy it's just a test and does not need the commented elements --- tests/strategy/legacy_strategy.py | 158 +----------------------------- 1 file changed, 4 insertions(+), 154 deletions(-) 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 From 764a35d0351613e09919fee7b62f6368e7f24143 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 10:32:42 +0200 Subject: [PATCH 044/162] Remove scattergl and fix tests --- freqtrade/plot/plotting.py | 6 +++--- tests/test_plotting.py | 11 +++++------ 2 files changed, 8 insertions(+), 9 deletions(-) diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py index d59509d5c..6bd5993b6 100644 --- a/freqtrade/plot/plotting.py +++ b/freqtrade/plot/plotting.py @@ -91,7 +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, @@ -241,7 +241,7 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra 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) @@ -272,7 +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/tests/test_plotting.py b/tests/test_plotting.py index 9028ab961..4c576a775 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -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 @@ -239,7 +238,7 @@ 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" @@ -268,14 +267,14 @@ 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): From e1b8485b511053791cff090929db4e49748bc365 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Sat, 5 Oct 2019 11:51:27 +0300 Subject: [PATCH 045/162] Remove indicator_helpers.py and test --- freqtrade/indicator_helpers.py | 40 --------------------------------- tests/test_indicator_helpers.py | 15 ------------- 2 files changed, 55 deletions(-) delete mode 100644 freqtrade/indicator_helpers.py delete mode 100644 tests/test_indicator_helpers.py 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/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])) From 885edc97685509d0f5b5f84cf97c467d2f16c696 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 10:40:59 +0200 Subject: [PATCH 046/162] Allow multiple ROI in detail-backtest tests --- tests/edge/test_edge.py | 10 ++++---- tests/optimize/__init__.py | 4 +-- tests/optimize/test_backtest_detail.py | 34 +++++++++++++------------- 3 files changed, 24 insertions(+), 24 deletions(-) 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/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..3a117bcb6 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)] ) @@ -246,7 +246,7 @@ 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)] ) @@ -277,7 +277,7 @@ 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 From 9b98e608e68a93926e72077b3979e286404f0a7a Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 10:51:17 +0200 Subject: [PATCH 047/162] Add testcase for negative ROI after certain period --- tests/optimize/test_backtest_detail.py | 16 ++++++++++++++++ 1 file changed, 16 insertions(+) diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index 3a117bcb6..802532dd2 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -251,6 +251,21 @@ tc15 = BTContainer(data=[ 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, ] From 7ea9da96058d80c7b631e1b27257f3a007ebc4b5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 10:54:28 +0200 Subject: [PATCH 048/162] Fix #2277 --- freqtrade/optimize/backtesting.py | 5 +++++ 1 file changed, 5 insertions(+) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 89aff86f6..7911f6aa7 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -267,6 +267,11 @@ 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 From 9b233764153adcf939e72fc45d8a0c54bd865093 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Sat, 5 Oct 2019 13:29:59 +0300 Subject: [PATCH 049/162] Move experimental settings to ask_strategy --- config.json.example | 10 ++++------ config_binance.json.example | 10 ++++------ config_full.json.example | 10 ++++------ config_kraken.json.example | 6 +++++- docs/configuration.md | 12 ++++++------ freqtrade/constants.py | 8 ++++++-- freqtrade/freqtradebot.py | 8 +++++--- freqtrade/optimize/hyperopt.py | 8 ++++---- freqtrade/resolvers/strategy_resolver.py | 20 ++++++++++---------- freqtrade/strategy/interface.py | 8 ++++---- tests/config_test_comments.json | 5 ----- tests/optimize/test_backtest_detail.py | 2 +- tests/optimize/test_backtesting.py | 17 +++++++++++------ tests/strategy/test_strategy.py | 20 ++++++++++---------- tests/test_freqtradebot.py | 19 ++++++++----------- 15 files changed, 82 insertions(+), 81 deletions(-) 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..51aa9a8e9 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", diff --git a/docs/configuration.md b/docs/configuration.md index 0d902766a..a31650f78 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -65,6 +65,9 @@ Mandatory parameters are marked as **Required**, which means that they are requi | `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 your strategy sell signals in addition to the `minimal_roi`. [Strategy Override](#parameters-in-the-strategy). +| `ask_strategy.sell_profit_only` | false | Wait until you have made 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/freqtrade/constants.py b/freqtrade/constants.py index abf43b24d..697bc280f 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -114,7 +114,10 @@ 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': { @@ -144,7 +147,8 @@ 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': { diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 3f7eab27a..9a2f2cdc4 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -580,13 +580,15 @@ class FreqtradeBot: 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) 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/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py index ca7e1165b..43197e5bc 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -38,13 +38,13 @@ 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), @@ -57,20 +57,20 @@ 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]) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 17246ecf7..b35ebabbb 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -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) 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/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index d8a4190e2..a85dc99c3 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -285,7 +285,7 @@ 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 fa40809d8..589896c39 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -507,6 +507,7 @@ 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) @@ -561,6 +562,7 @@ 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) @@ -603,8 +605,9 @@ 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} + # use_sell_signal is True by default now, it will sell on the sell signal instead of ROI, + # which is what we need here +# default_conf['ask_strategy'] = {"use_sell_signal": True} for [contour, numres] in tests: simple_backtest(default_conf, contour, numres, mocker, testdatadir) @@ -645,8 +648,9 @@ 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} + # use_sell_signal is True by default now, it will sell on the sell signal instead of ROI, + # which is what we need here +# default_conf['ask_strategy'] = {"use_sell_signal": True} default_conf['ticker_interval'] = '1m' backtesting = Backtesting(default_conf) backtesting.strategy.advise_buy = _trend_alternate # Override @@ -687,8 +691,9 @@ 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} + # use_sell_signal is True by default now, it will sell on the sell signal instead of ROI, + # which is what we need here +# default_conf['ask_strategy'] = {"use_sell_signal": True} default_conf['ticker_interval'] = '5m' backtesting = Backtesting(default_conf) diff --git a/tests/strategy/test_strategy.py b/tests/strategy/test_strategy.py index 6992d1aa5..88e29b40e 100644 --- a/tests/strategy/test_strategy.py +++ b/tests/strategy/test_strategy.py @@ -256,23 +256,23 @@ 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): @@ -284,12 +284,12 @@ 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_freqtradebot.py b/tests/test_freqtradebot.py index ee28f2e58..a9c85b4c3 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1768,8 +1768,6 @@ 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 +1822,6 @@ 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 +1853,10 @@ 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( @@ -2600,7 +2597,7 @@ 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 +2629,7 @@ 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 +2659,7 @@ 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 +2689,7 @@ 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 +2758,7 @@ 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 +3026,7 @@ 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) From 0664a8c0e6e901f807a622469d0f416853b432c6 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 15:29:00 +0200 Subject: [PATCH 050/162] add `--fee` to change fees to other values --- freqtrade/configuration/arguments.py | 2 +- freqtrade/configuration/cli_options.py | 6 ++++++ freqtrade/configuration/configuration.py | 7 ++++++- freqtrade/edge/__init__.py | 6 ++++-- freqtrade/optimize/backtesting.py | 7 +++++-- 5 files changed, 22 insertions(+), 6 deletions(-) diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index da9bef0b0..c2c09eb40 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -15,7 +15,7 @@ ARGS_STRATEGY = ["strategy", "strategy_path"] ARGS_MAIN = ARGS_COMMON + ARGS_STRATEGY + ["db_url", "sd_notify"] ARGS_COMMON_OPTIMIZE = ["ticker_interval", "timerange", - "max_open_trades", "stake_amount"] + "max_open_trades", "stake_amount", "fee"] ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions", "strategy_list", "export", "exportfilename"] diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index caf34b5e3..9f7f7b82f 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -144,6 +144,12 @@ AVAILABLE_CLI_OPTIONS = { default=os.path.join('user_data', 'backtest_results', 'backtest-result.json'), ), + "fee": Arg( + '--fee', + help='Specify fee %%. Should be in %%, will be applied twice (on trade entry and exit).', + type=float, + metavar='FLOAT', + ), # Edge "stoploss_range": Arg( '--stoplosses', diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 764593d0f..ccbc41f34 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -210,6 +210,10 @@ 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: {} ...') @@ -323,7 +327,8 @@ 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/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/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 89aff86f6..759d7b72d 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) From 82d4051a39545ae8d3425b66649cff56928c6864 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 15:33:44 +0200 Subject: [PATCH 051/162] Add --fee to documentation --- docs/backtesting.md | 11 +++++++ docs/bot-usage.md | 77 ++++++++++++++++++++++++++------------------- 2 files changed, 55 insertions(+), 33 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 75aba6c73..cc3f11026 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -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 rabates, 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. diff --git a/docs/bot-usage.md b/docs/bot-usage.md index f44400e32..e28ac9970 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -168,22 +168,25 @@ Backtesting also uses the config specified via `-c/--config`. ``` usage: freqtrade backtesting [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE] - [--max_open_trades MAX_OPEN_TRADES] - [--stake_amount STAKE_AMOUNT] [-r] [--eps] [--dmmp] - [-l] - [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]] - [--export EXPORT] [--export-filename PATH] + [--max_open_trades INT] + [--stake_amount STAKE_AMOUNT] [--fee FLOAT] + [--eps] [--dmmp] + [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]] + [--export EXPORT] [--export-filename PATH] optional arguments: -h, --help show this help message and exit -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL - Specify ticker interval (1m, 5m, 30m, 1h, 1d). + Specify ticker interval (`1m`, `5m`, `30m`, `1h`, + `1d`). --timerange TIMERANGE Specify what timerange of data to use. - --max_open_trades MAX_OPEN_TRADES + --max_open_trades INT Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. + --fee FLOAT Specify fee %. Should be in %, will be applied twice + (on trade entry and exit). --eps, --enable-position-stacking Allow buying the same pair multiple times (position stacking). @@ -193,19 +196,21 @@ optional arguments: number). --strategy-list STRATEGY_LIST [STRATEGY_LIST ...] Provide a space-separated list of strategies to - backtest Please note that ticker-interval needs to be + backtest. Please note that ticker-interval needs to be set either in config or via command line. When using - this together with --export trades, the strategy-name - is injected into the filename (so backtest-data.json - becomes backtest-data-DefaultStrategy.json - --export EXPORT Export backtest results, argument are: trades. Example - --export=trades + this together with `--export trades`, the strategy- + name is injected into the filename (so `backtest- + data.json` becomes `backtest-data- + DefaultStrategy.json` + --export EXPORT Export backtest results, argument are: trades. + Example: `--export=trades` --export-filename PATH - Save backtest results to this filename requires - --export to be set as well Example --export- - filename=user_data/backtest_results/backtest_today.json - (default: user_data/backtest_results/backtest- - result.json) + Save backtest results to the file with this filename + (default: `user_data/backtest_results/backtest- + result.json`). Requires `--export` to be set as well. + Example: `--export-filename=user_data/backtest_results + /backtest_today.json` + ``` ### Getting historic data for backtesting @@ -222,13 +227,13 @@ to find optimal parameter values for your stategy. ``` usage: freqtrade hyperopt [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE] [--max_open_trades INT] - [--stake_amount STAKE_AMOUNT] [-r] + [--stake_amount STAKE_AMOUNT] [--fee FLOAT] [--customhyperopt NAME] [--hyperopt-path PATH] [--eps] [-e INT] [-s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]] - [--dmmp] [--print-all] [--no-color] [-j JOBS] - [--random-state INT] [--min-trades INT] [--continue] - [--hyperopt-loss NAME] + [--dmmp] [--print-all] [--no-color] [--print-json] + [-j JOBS] [--random-state INT] [--min-trades INT] + [--continue] [--hyperopt-loss NAME] optional arguments: -h, --help show this help message and exit @@ -241,6 +246,8 @@ optional arguments: Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. + --fee FLOAT Specify fee %. Should be in %, will be applied twice + (on trade entry and exit). --customhyperopt NAME Specify hyperopt class name (default: `DefaultHyperOpts`). @@ -260,6 +267,7 @@ optional arguments: --print-all Print all results, not only the best ones. --no-color Disable colorization of hyperopt results. May be useful if you are redirecting output to a file. + --print-json Print best result detailization in JSON format. -j JOBS, --job-workers JOBS The number of concurrently running jobs for hyperoptimization (hyperopt worker processes). If -1 @@ -278,8 +286,8 @@ optional arguments: generate completely different results, since the target for optimization is different. Built-in Hyperopt-loss-functions are: DefaultHyperOptLoss, - OnlyProfitHyperOptLoss, SharpeHyperOptLoss. - (default: `DefaultHyperOptLoss`). + OnlyProfitHyperOptLoss, SharpeHyperOptLoss.(default: + `DefaultHyperOptLoss`). ``` ## Edge commands @@ -288,25 +296,28 @@ To know your trade expectancy and winrate against historical data, you can use E ``` usage: freqtrade edge [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE] - [--max_open_trades MAX_OPEN_TRADES] - [--stake_amount STAKE_AMOUNT] [-r] - [--stoplosses STOPLOSS_RANGE] + [--max_open_trades INT] [--stake_amount STAKE_AMOUNT] + [--fee FLOAT] [--stoplosses STOPLOSS_RANGE] optional arguments: -h, --help show this help message and exit -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL - Specify ticker interval (1m, 5m, 30m, 1h, 1d). + Specify ticker interval (`1m`, `5m`, `30m`, `1h`, + `1d`). --timerange TIMERANGE Specify what timerange of data to use. - --max_open_trades MAX_OPEN_TRADES + --max_open_trades INT Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. + --fee FLOAT Specify fee %. Should be in %, will be applied twice + (on trade entry and exit). --stoplosses STOPLOSS_RANGE - Defines a range of stoploss against which edge will - assess the strategy the format is "min,max,step" - (without any space).example: - --stoplosses=-0.01,-0.1,-0.001 + Defines a range of stoploss values against which edge + will assess the strategy. The format is "min,max,step" + (without any space). Example: + `--stoplosses=-0.01,-0.1,-0.001` + ``` To understand edge and how to read the results, please read the [edge documentation](edge.md). From 22733e44bf282ae558962e2d62339c3a4d4f5921 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 5 Oct 2019 15:34:31 +0200 Subject: [PATCH 052/162] Add tests for --fee --- freqtrade/configuration/configuration.py | 2 +- tests/optimize/test_backtesting.py | 50 ++++++++++++++---------- tests/optimize/test_edge_cli.py | 10 +++++ tests/test_configuration.py | 2 +- 4 files changed, 42 insertions(+), 22 deletions(-) diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index ccbc41f34..df461a5ca 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -328,7 +328,7 @@ class Configuration: configuration instead of the content) """ if (argname in self.args and self.args[argname] is not None - and self.args[argname] is not False): + and self.args[argname] is not False): config.update({argname: self.args[argname]}) if logfun: diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index fa40809d8..ff3d14541 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(): @@ -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', @@ -330,6 +330,16 @@ 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) diff --git a/tests/optimize/test_edge_cli.py b/tests/optimize/test_edge_cli.py index 97103da55..2c45a8d51 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/test_configuration.py b/tests/test_configuration.py index 0f2d6a50a..6d2c0ed00 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -403,7 +403,7 @@ def test_setup_configuration_with_arguments(mocker, default_conf, caplog) -> Non 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 From d2589c4415830fd94294b0f90bdb47f26fa22d86 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 6 Oct 2019 10:32:19 +0200 Subject: [PATCH 053/162] Make test exchange-independent --- tests/test_utils.py | 23 +++++++++++++++++++++-- 1 file changed, 21 insertions(+), 2 deletions(-) diff --git a/tests/test_utils.py b/tests/test_utils.py index 6168706a2..103a25d6d 100644 --- a/tests/test_utils.py +++ b/tests/test_utils.py @@ -49,8 +49,16 @@ def test_list_exchanges(capsys): assert re.search(r"^bittrex$", captured.out, re.MULTILINE) -def test_list_timeframes(capsys): +def test_list_timeframes(mocker, capsys): + api_mock = MagicMock() + api_mock.timeframes = {'1m': '1m', + '5m': '5m', + '30m': '30m', + '1h': '1h', + '1d': '1d', + } + patch_exchange(mocker, api_mock=api_mock) args = [ "list-timeframes", ] @@ -82,6 +90,17 @@ def test_list_timeframes(capsys): "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", @@ -90,7 +109,7 @@ def test_list_timeframes(capsys): start_list_timeframes(get_args(args)) captured = capsys.readouterr() assert re.match("Timeframes available for the exchange `binance`: " - "1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1M", + "1m, 5m, 15m, 30m, 1h, 6h, 12h, 1d, 3d", captured.out) # Test with --one-column From 33940ae66bc18467047ef5dfea09e0525eddb959 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 6 Oct 2019 14:33:23 +0200 Subject: [PATCH 054/162] Use different keys and values --- tests/test_utils.py | 10 +++++----- 1 file changed, 5 insertions(+), 5 deletions(-) diff --git a/tests/test_utils.py b/tests/test_utils.py index 103a25d6d..ca8cbcc0c 100644 --- a/tests/test_utils.py +++ b/tests/test_utils.py @@ -52,11 +52,11 @@ def test_list_exchanges(capsys): def test_list_timeframes(mocker, capsys): api_mock = MagicMock() - api_mock.timeframes = {'1m': '1m', - '5m': '5m', - '30m': '30m', - '1h': '1h', - '1d': '1d', + api_mock.timeframes = {'1m': 'oneMin', + '5m': 'fiveMin', + '30m': 'thirtyMin', + '1h': 'hour', + '1d': 'day', } patch_exchange(mocker, api_mock=api_mock) args = [ From 211b9cbe047b9c5aac935929e010031c15146a0b Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Sun, 6 Oct 2019 18:10:40 +0300 Subject: [PATCH 055/162] Cleanup in data.history --- freqtrade/data/history.py | 37 +++++++++++++++++++++---------------- tests/data/test_history.py | 26 +++++++++++++------------- 2 files changed, 34 insertions(+), 29 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 865289f38..991a639ca 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -82,10 +82,19 @@ def store_tickerdata_file(datadir: Path, pair: str, 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 +125,8 @@ 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 +143,7 @@ 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 +173,14 @@ 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 _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 +243,7 @@ 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 +271,7 @@ 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. diff --git a/tests/data/test_history.py b/tests/data/test_history.py index e386c3506..f8b630775 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -15,7 +15,7 @@ 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_cached_data_for_updating, load_tickerdata_file, refresh_backtest_ohlcv_data, trim_tickerlist) @@ -151,43 +151,43 @@ 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 +195,27 @@ 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 From ad35a3d7ab93aafd8a2921d7d452e4de6f00e22e Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 7 Oct 2019 07:02:43 +0200 Subject: [PATCH 056/162] Small wording improvements --- docs/backtesting.md | 2 +- docs/bot-usage.md | 12 ++++++------ freqtrade/configuration/cli_options.py | 2 +- 3 files changed, 8 insertions(+), 8 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index cc3f11026..ec31bec01 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -74,7 +74,7 @@ freqtrade backtesting --export trades --export-filename=backtest_samplestrategy. #### Supplying custom fee value -Sometimes your account has certain fee rabates, which are not visible to ccxt. +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). diff --git a/docs/bot-usage.md b/docs/bot-usage.md index e28ac9970..24c89c018 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -185,8 +185,8 @@ optional arguments: Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. - --fee FLOAT Specify fee %. Should be in %, will be applied twice - (on trade entry and exit). + --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). @@ -246,8 +246,8 @@ optional arguments: Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. - --fee FLOAT Specify fee %. Should be in %, will be applied twice - (on trade entry and exit). + --fee FLOAT Specify fee ratio. Will be applied twice (on trade + entry and exit). --customhyperopt NAME Specify hyperopt class name (default: `DefaultHyperOpts`). @@ -310,8 +310,8 @@ optional arguments: Specify max_open_trades to use. --stake_amount STAKE_AMOUNT Specify stake_amount. - --fee FLOAT Specify fee %. Should be in %, will be applied twice - (on trade entry and exit). + --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/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 9f7f7b82f..7c2ba5325 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -146,7 +146,7 @@ AVAILABLE_CLI_OPTIONS = { ), "fee": Arg( '--fee', - help='Specify fee %%. Should be in %%, will be applied twice (on trade entry and exit).', + help='Specify fee ratio. Will be applied twice (on trade entry and exit).', type=float, metavar='FLOAT', ), From e272cd485c4c22c788c83aeb543d19c82c79cc08 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 7 Oct 2019 10:22:59 +0000 Subject: [PATCH 057/162] Bump joblib from 0.13.2 to 0.14.0 Bumps [joblib](https://github.com/joblib/joblib) from 0.13.2 to 0.14.0. - [Release notes](https://github.com/joblib/joblib/releases) - [Changelog](https://github.com/joblib/joblib/blob/master/CHANGES.rst) - [Commits](https://github.com/joblib/joblib/compare/0.13.2...0.14.0) Signed-off-by: dependabot-preview[bot] --- requirements-hyperopt.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-hyperopt.txt b/requirements-hyperopt.txt index bb0ad60f0..709c43d92 100644 --- a/requirements-hyperopt.txt +++ b/requirements-hyperopt.txt @@ -6,4 +6,4 @@ 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 From be6fd3af9a0d2ced83f7d4ec12cb099f12bd6bbf Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 7 Oct 2019 10:24:06 +0000 Subject: [PATCH 058/162] Bump pytest from 5.2.0 to 5.2.1 Bumps [pytest](https://github.com/pytest-dev/pytest) from 5.2.0 to 5.2.1. - [Release notes](https://github.com/pytest-dev/pytest/releases) - [Changelog](https://github.com/pytest-dev/pytest/blob/master/CHANGELOG.rst) - [Commits](https://github.com/pytest-dev/pytest/compare/5.2.0...5.2.1) Signed-off-by: dependabot-preview[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index 7df459af1..dfeed18d8 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -8,7 +8,7 @@ flake8==3.7.8 flake8-type-annotations==0.1.0 flake8-tidy-imports==2.0.0 mypy==0.730 -pytest==5.2.0 +pytest==5.2.1 pytest-asyncio==0.10.0 pytest-cov==2.7.1 pytest-mock==1.11.0 From 5e9ab3e2615ebaf796352368ade3c6cb59b13a2f Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 7 Oct 2019 10:24:29 +0000 Subject: [PATCH 059/162] Bump mkdocs-material from 4.4.2 to 4.4.3 Bumps [mkdocs-material](https://github.com/squidfunk/mkdocs-material) from 4.4.2 to 4.4.3. - [Release notes](https://github.com/squidfunk/mkdocs-material/releases) - [Changelog](https://github.com/squidfunk/mkdocs-material/blob/master/CHANGELOG) - [Commits](https://github.com/squidfunk/mkdocs-material/compare/4.4.2...4.4.3) Signed-off-by: dependabot-preview[bot] --- docs/requirements-docs.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index 28ebc5916..0be47081c 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1 +1 @@ -mkdocs-material==4.4.2 \ No newline at end of file +mkdocs-material==4.4.3 \ No newline at end of file From 652a04ac70dfb31e3f43cee096884f5c4746d544 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 7 Oct 2019 10:24:53 +0000 Subject: [PATCH 060/162] Bump ccxt from 1.18.1208 to 1.18.1225 Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.18.1208 to 1.18.1225. - [Release notes](https://github.com/ccxt/ccxt/releases) - [Changelog](https://github.com/ccxt/ccxt/blob/master/CHANGELOG.md) - [Commits](https://github.com/ccxt/ccxt/compare/1.18.1208...1.18.1225) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index 92b9c2597..71d370487 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,6 +1,6 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs -ccxt==1.18.1208 +ccxt==1.18.1225 SQLAlchemy==1.3.8 python-telegram-bot==12.1.1 arrow==0.15.2 From 568ecc201a6d3ce70fdf85449842d48e8dc8c4a6 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 7 Oct 2019 13:06:59 +0000 Subject: [PATCH 061/162] Bump sqlalchemy from 1.3.8 to 1.3.9 Bumps [sqlalchemy](https://github.com/sqlalchemy/sqlalchemy) from 1.3.8 to 1.3.9. - [Release notes](https://github.com/sqlalchemy/sqlalchemy/releases) - [Changelog](https://github.com/sqlalchemy/sqlalchemy/blob/master/CHANGES) - [Commits](https://github.com/sqlalchemy/sqlalchemy/commits) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index 71d370487..872ebec62 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,7 +1,7 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs ccxt==1.18.1225 -SQLAlchemy==1.3.8 +SQLAlchemy==1.3.9 python-telegram-bot==12.1.1 arrow==0.15.2 cachetools==3.1.1 From 80d58b7930a2eac053e6afd680cbc538c46f4150 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 7 Oct 2019 13:07:56 +0000 Subject: [PATCH 062/162] Bump pytest-mock from 1.11.0 to 1.11.1 Bumps [pytest-mock](https://github.com/pytest-dev/pytest-mock) from 1.11.0 to 1.11.1. - [Release notes](https://github.com/pytest-dev/pytest-mock/releases) - [Changelog](https://github.com/pytest-dev/pytest-mock/blob/master/CHANGELOG.rst) - [Commits](https://github.com/pytest-dev/pytest-mock/compare/v1.11.0...v1.11.1) Signed-off-by: dependabot-preview[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index dfeed18d8..ba309a847 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -11,7 +11,7 @@ mypy==0.730 pytest==5.2.1 pytest-asyncio==0.10.0 pytest-cov==2.7.1 -pytest-mock==1.11.0 +pytest-mock==1.11.1 pytest-random-order==1.0.4 # Convert jupyter notebooks to markdown documents From c34ce15b1408decad948cb4d1595460132eb9f5b Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 7 Oct 2019 15:16:39 +0000 Subject: [PATCH 063/162] Bump pytest-cov from 2.7.1 to 2.8.1 Bumps [pytest-cov](https://github.com/pytest-dev/pytest-cov) from 2.7.1 to 2.8.1. - [Release notes](https://github.com/pytest-dev/pytest-cov/releases) - [Changelog](https://github.com/pytest-dev/pytest-cov/blob/master/CHANGELOG.rst) - [Commits](https://github.com/pytest-dev/pytest-cov/compare/v2.7.1...v2.8.1) Signed-off-by: dependabot-preview[bot] --- requirements-dev.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-dev.txt b/requirements-dev.txt index ba309a847..6cf378c03 100644 --- a/requirements-dev.txt +++ b/requirements-dev.txt @@ -10,7 +10,7 @@ flake8-tidy-imports==2.0.0 mypy==0.730 pytest==5.2.1 pytest-asyncio==0.10.0 -pytest-cov==2.7.1 +pytest-cov==2.8.1 pytest-mock==1.11.1 pytest-random-order==1.0.4 From 613300c61db36c6673281fcdf84ff0d2942d9083 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 8 Oct 2019 00:38:20 +0300 Subject: [PATCH 064/162] Add short description of the market() method into docs --- docs/strategy-customization.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index b927e5aad..caa465069 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -282,6 +282,8 @@ 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 @@ -346,7 +348,7 @@ def informative_pairs(self): 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. -### Additional data - Wallets +### Additional data (Wallets) The strategy provides access to the `Wallets` object. This contains the current balances on the exchange. From 057ab1b7a6f6429bac88a090973fa82552765263 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 8 Oct 2019 00:50:47 +0300 Subject: [PATCH 065/162] Remove unnecessary comments --- tests/optimize/test_backtesting.py | 9 --------- 1 file changed, 9 deletions(-) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 589896c39..7e538c999 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -605,9 +605,6 @@ 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]] - # use_sell_signal is True by default now, it will sell on the sell signal instead of ROI, - # which is what we need here -# default_conf['ask_strategy'] = {"use_sell_signal": True} for [contour, numres] in tests: simple_backtest(default_conf, contour, numres, mocker, testdatadir) @@ -648,9 +645,6 @@ 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) - # use_sell_signal is True by default now, it will sell on the sell signal instead of ROI, - # which is what we need here -# default_conf['ask_strategy'] = {"use_sell_signal": True} default_conf['ticker_interval'] = '1m' backtesting = Backtesting(default_conf) backtesting.strategy.advise_buy = _trend_alternate # Override @@ -691,9 +685,6 @@ 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() - # use_sell_signal is True by default now, it will sell on the sell signal instead of ROI, - # which is what we need here -# default_conf['ask_strategy'] = {"use_sell_signal": True} default_conf['ticker_interval'] = '5m' backtesting = Backtesting(default_conf) From e78e42339d9759dbe40bea3769643de05a6edaa1 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 8 Oct 2019 00:58:25 +0300 Subject: [PATCH 066/162] Improve docs wordings --- docs/configuration.md | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/docs/configuration.md b/docs/configuration.md index a31650f78..0eff4da88 100644 --- a/docs/configuration.md +++ b/docs/configuration.md @@ -59,15 +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 your strategy sell signals in addition to the `minimal_roi`. [Strategy Override](#parameters-in-the-strategy). -| `ask_strategy.sell_profit_only` | false | Wait until you have made 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). +| `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). From 4d062d41cb487d5d984eb23bf08dcfbf491e40b6 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 8 Oct 2019 01:07:22 +0300 Subject: [PATCH 067/162] Improve comments in the SampleStrategy; set use_sell_signal = True --- user_data/strategies/sample_strategy.py | 22 +++++++++++----------- 1 file changed, 11 insertions(+), 11 deletions(-) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 0649c6f94..623addb1e 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -27,12 +27,12 @@ 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, @@ -40,27 +40,27 @@ class SampleStrategy(IStrategy): "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 +68,7 @@ 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' From 86ef32318c473406b99c575e6476cfbfff990ad6 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 6 Oct 2019 19:27:20 +0200 Subject: [PATCH 068/162] Add versions to doc theme --- docs/partials/header.html | 4 +++- docs/stylesheets/ft.extra.css | 14 ++++++++++++++ mkdocs.yml | 2 ++ 3 files changed, 19 insertions(+), 1 deletion(-) create mode 100644 docs/stylesheets/ft.extra.css 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/stylesheets/ft.extra.css b/docs/stylesheets/ft.extra.css new file mode 100644 index 000000000..6032dbe73 --- /dev/null +++ b/docs/stylesheets/ft.extra.css @@ -0,0 +1,14 @@ +.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; + text-decoration: underline; +} diff --git a/mkdocs.yml b/mkdocs.yml index 2a50c97e4..197df7dc8 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -32,6 +32,8 @@ theme: palette: primary: 'blue grey' accent: 'tear' +extra_css: + - 'stylesheets/ft.extra.css' markdown_extensions: - admonition - codehilite: From 2e91ee3849e5a66c6bbe8729fd54f2bf928663bf Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 19:41:18 +0200 Subject: [PATCH 069/162] remove underline from docs style --- docs/stylesheets/ft.extra.css | 1 - 1 file changed, 1 deletion(-) diff --git a/docs/stylesheets/ft.extra.css b/docs/stylesheets/ft.extra.css index 6032dbe73..3369fa177 100644 --- a/docs/stylesheets/ft.extra.css +++ b/docs/stylesheets/ft.extra.css @@ -10,5 +10,4 @@ .rst-versions .rst-other-versions { color: white; - text-decoration: underline; } From 69c23c00e00ddc20169381d4f872a65df2556db0 Mon Sep 17 00:00:00 2001 From: hroff-1902 <47309513+hroff-1902@users.noreply.github.com> Date: Tue, 8 Oct 2019 22:07:38 +0300 Subject: [PATCH 070/162] Fix minor typos in the docs --- docs/strategy-customization.md | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index b927e5aad..c1c4fb6f6 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -246,9 +246,9 @@ 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): @@ -344,7 +344,7 @@ 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 From e1c14bc86cfd87af23d9d65e4a94fa3f625b02fe Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 21:10:43 +0200 Subject: [PATCH 071/162] Don't use os.path in test_history --- tests/data/test_history.py | 74 +++++++++++++++++++------------------- 1 file changed, 36 insertions(+), 38 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index f8b630775..96bc0da56 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 @@ -28,35 +27,35 @@ from tests.conftest import get_patched_exchange, log_has, log_has_re, patch_exch _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 +79,10 @@ 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 +97,14 @@ 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 +116,7 @@ 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 @@ -223,18 +222,18 @@ 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 +242,15 @@ 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 +259,8 @@ 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 +287,8 @@ 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) @@ -359,8 +358,8 @@ 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) @@ -449,22 +448,21 @@ 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 From bcd02a871f5caba0c2e1314c77a550c6bb268898 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 21:16:35 +0200 Subject: [PATCH 072/162] Fix beeing again ... --- CONTRIBUTING.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) 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. From 434e0234c5a55cf641189e413d9470abcba739cf Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 9 Oct 2019 02:37:29 +0300 Subject: [PATCH 073/162] Add handling deprecated settings --- freqtrade/configuration/configuration.py | 11 +++- .../configuration/deprecated_settings.py | 59 +++++++++++++++++++ 2 files changed, 68 insertions(+), 2 deletions(-) create mode 100644 freqtrade/configuration/deprecated_settings.py diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 764593d0f..84d58f754 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 diff --git a/freqtrade/configuration/deprecated_settings.py b/freqtrade/configuration/deprecated_settings.py new file mode 100644 index 000000000..927497c56 --- /dev/null +++ b/freqtrade/configuration/deprecated_settings.py @@ -0,0 +1,59 @@ +""" +Functions to handle deprecated warnings +""" + +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') From 2a9c06c40fa62456b15fbae78e4b5ace3d55ee7b Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 9 Oct 2019 02:44:04 +0300 Subject: [PATCH 074/162] Test added --- tests/test_configuration.py | 25 +++++++++++++++++++++++++ 1 file changed, 25 insertions(+) diff --git a/tests/test_configuration.py b/tests/test_configuration.py index 0f2d6a50a..69e6d621c 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -14,6 +14,7 @@ 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 (process_temporary_deprecated_settings) from freqtrade.configuration.directory_operations import (create_datadir, create_userdata_dir) from freqtrade.configuration.load_config import load_config_file @@ -897,3 +898,27 @@ 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_deprecated_experimental(mocker, default_conf, setting, caplog): + patched_configuration_load_config_file(mocker, default_conf) + + default_conf[setting[3]] = {} + default_conf[setting[0]][setting[1]] = setting[2] + default_conf[setting[3]][setting[4]] = setting[5] + + with pytest.raises(OperationalException, match=r'DEPRECATED'): + process_temporary_deprecated_settings(default_conf) + + del default_conf[setting[0]][setting[1]] + process_temporary_deprecated_settings(default_conf) + assert log_has_re('DEPRECATED', caplog) + assert default_conf[setting[0]][setting[1]] == setting[5] From cdd1bc425b26e5a7f24952d3cf5415b131dd69b3 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 9 Oct 2019 03:12:30 +0300 Subject: [PATCH 075/162] Fix typo --- freqtrade/configuration/deprecated_settings.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/configuration/deprecated_settings.py b/freqtrade/configuration/deprecated_settings.py index 927497c56..f00b23894 100644 --- a/freqtrade/configuration/deprecated_settings.py +++ b/freqtrade/configuration/deprecated_settings.py @@ -1,5 +1,5 @@ """ -Functions to handle deprecated warnings +Functions to handle deprecated settings """ import logging From 23b5c0e833b2702b3649ddeec6d11ebdf11b5700 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Wed, 9 Oct 2019 18:22:54 +0300 Subject: [PATCH 076/162] Improve tests for handling deprecated settings --- tests/test_configuration.py | 105 +++++++++++++++++++++++++++++++++++- 1 file changed, 103 insertions(+), 2 deletions(-) diff --git a/tests/test_configuration.py b/tests/test_configuration.py index 69e6d621c..c6864a643 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -14,7 +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 (process_temporary_deprecated_settings) +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 @@ -908,17 +910,116 @@ def test_pairlist_resolving_fallback(mocker): ("ask_strategy", "ignore_roi_if_buy_signal", False, "experimental", "ignore_roi_if_buy_signal", True), ]) -def test_deprecated_experimental(mocker, default_conf, setting, caplog): +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' From 0680fe2a1a130dc5463e5783af06bee5fa3c3647 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 10 Oct 2019 19:28:11 +0200 Subject: [PATCH 077/162] fix path to tests --- scripts/pytest.sh | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/scripts/pytest.sh b/scripts/pytest.sh index e05ff1ad0..d2ad223e7 100755 --- a/scripts/pytest.sh +++ b/scripts/pytest.sh @@ -2,4 +2,4 @@ echo "Running Unit tests" -pytest --random-order --cov=freqtrade --cov-config=.coveragerc freqtrade/tests/ +pytest --random-order --cov=freqtrade --cov-config=.coveragerc tests/ From 5e23cc719dd126ab69e22e9a9dbc330672f37092 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 10 Oct 2019 17:03:52 +0200 Subject: [PATCH 078/162] Add tests for orderbook and market in dataprovider --- freqtrade/data/dataprovider.py | 8 ++++---- tests/data/test_dataprovider.py | 32 ++++++++++++++++++++++++++++++++ 2 files changed, 36 insertions(+), 4 deletions(-) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index b564dbec8..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 @@ -85,7 +85,7 @@ class DataProvider: logger.warning(f"No data found for ({pair}, {ticker_interval}).") return data - def market(self, pair: str): + def market(self, pair: str) -> Optional[Dict[str, Any]]: """ Return market data for the pair :param pair: Pair to get the data for @@ -100,9 +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/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 From c49f4b73dd53517a71118ae5465a7729965e61a3 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Thu, 10 Oct 2019 20:44:24 +0300 Subject: [PATCH 079/162] Fix helpstring --- docs/utils.md | 4 ++-- freqtrade/configuration/cli_options.py | 2 +- 2 files changed, 3 insertions(+), 3 deletions(-) diff --git a/docs/utils.md b/docs/utils.md index 459960fac..93162aca2 100644 --- a/docs/utils.md +++ b/docs/utils.md @@ -11,7 +11,7 @@ usage: freqtrade list-exchanges [-h] [-1] [-a] optional arguments: -h, --help show this help message and exit - -1, --one-column Print exchanges in one column. + -1, --one-column Print output in one column. -a, --all Print all exchanges known to the ccxt library. ``` @@ -38,7 +38,7 @@ 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 exchanges in one column. + -1, --one-column Print output in one column. ``` diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 7c2ba5325..7e6a956ce 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -247,7 +247,7 @@ 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( From e72b6a440ba6a1c76562cb13e2a44e3b372d68f0 Mon Sep 17 00:00:00 2001 From: "Paul D. Mendes" Date: Thu, 10 Oct 2019 20:37:25 +0000 Subject: [PATCH 080/162] Updated Rest API Docs --- docs/rest-api.md | 1 - 1 file changed, 1 deletion(-) diff --git a/docs/rest-api.md b/docs/rest-api.md index afecc1d80..efcacc8a1 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`). From 4d1488498cb3b884d21eb8c4d3690810bb5d79bc Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 11 Oct 2019 08:55:31 +0200 Subject: [PATCH 081/162] stoploss_reached should not use config --- freqtrade/strategy/interface.py | 10 ++++------ 1 file changed, 4 insertions(+), 6 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index b35ebabbb..4d18e5232 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -79,7 +79,7 @@ class IStrategy(ABC): # trailing stoploss trailing_stop: bool = False trailing_stop_positive: float - trailing_stop_positive_offset: float + trailing_stop_positive_offset: float = 0.0 trailing_only_offset_is_reached = False # associated ticker interval @@ -347,22 +347,20 @@ 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 From ff7a3cc885ec9ce26d50ca002fd2b228d666fd89 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 11 Oct 2019 09:05:21 +0200 Subject: [PATCH 082/162] remove last occurance of config. from stop_loss_reached --- freqtrade/strategy/interface.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 4d18e5232..9c6936c20 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -362,9 +362,9 @@ class IStrategy(ABC): # Don't update stoploss if trailing_only_offset_is_reached is true. 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: + if 'trailing_stop_positive' in self.__dict__ 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 + 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}%") From 4c1705fb1e552d13f854934dc23acac5b8bf73d5 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 11 Oct 2019 22:59:13 +0300 Subject: [PATCH 083/162] No specific handling for trailing_stop_positive --- freqtrade/resolvers/strategy_resolver.py | 5 ++++- freqtrade/strategy/interface.py | 5 ++--- 2 files changed, 6 insertions(+), 4 deletions(-) diff --git a/freqtrade/resolvers/strategy_resolver.py b/freqtrade/resolvers/strategy_resolver.py index 43197e5bc..b9c641853 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -95,7 +95,10 @@ 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) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 9c6936c20..e4cfe0088 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -78,7 +78,7 @@ class IStrategy(ABC): # trailing stoploss trailing_stop: bool = False - trailing_stop_positive: float + trailing_stop_positive: Optional[float] = None trailing_stop_positive_offset: float = 0.0 trailing_only_offset_is_reached = False @@ -361,8 +361,7 @@ class IStrategy(ABC): # Don't update stoploss if trailing_only_offset_is_reached is true. 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.__dict__ and high_profit > sl_offset: + if self.trailing_stop_positive is not None and high_profit > sl_offset: # Ignore mypy error check in configuration that this is a float stop_loss_value = self.trailing_stop_positive logger.debug(f"{trade.pair} - Using positive stoploss: {stop_loss_value} " From 3c8d27d0985430254d8d7371e790a56f3ddef8bc Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 09:54:03 +0200 Subject: [PATCH 084/162] remove correct comment ... --- freqtrade/strategy/interface.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index e4cfe0088..014ca9968 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -361,8 +361,8 @@ class IStrategy(ABC): # Don't update stoploss if trailing_only_offset_is_reached is true. if not (self.trailing_only_offset_is_reached and high_profit < sl_offset): + # Specific handling for trailing_stop_positive if self.trailing_stop_positive is not None and high_profit > sl_offset: - # Ignore mypy error check in configuration that this is a float 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}%") From baad1a51668a82df63d990a03d73dbd866a17904 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 10:45:57 +0200 Subject: [PATCH 085/162] Explain _params element --- freqtrade/exchange/exchange.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index df7e5e2b4..827a6df7c 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -142,6 +142,8 @@ 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 From 6697b677dc44c91f939e8aa31eff0d590507cdc7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 18:56:46 +0200 Subject: [PATCH 086/162] Add test for test_data_filename --- tests/data/test_history.py | 11 +++++++++-- 1 file changed, 9 insertions(+), 2 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 96bc0da56..458c38189 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -15,13 +15,14 @@ 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, refresh_backtest_ohlcv_data, + load_tickerdata_file, pair_data_filename, 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 @@ -134,6 +135,12 @@ 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_load_cached_data_for_updating(mocker) -> None: datadir = Path(__file__).parent.parent.joinpath('testdata') From 63e87ef85b69a267c412ad445b78c069b6024915 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 18:58:27 +0200 Subject: [PATCH 087/162] Add pair_trades_filename --- freqtrade/data/history.py | 6 ++++++ tests/data/test_history.py | 7 +++++++ 2 files changed, 13 insertions(+) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 991a639ca..e47ddf6c8 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -173,6 +173,12 @@ def pair_data_filename(datadir: Path, pair: str, ticker_interval: str) -> Path: return filename +def pair_trades_filename(datadir: Path, pair: str) -> Path: + pair_s = pair.replace("/", "_") + filename = datadir.joinpath(f'{pair_s}-trades.json') + return filename + + def _load_cached_data_for_updating(datadir: Path, pair: str, ticker_interval: str, timerange: Optional[TimeRange]) -> Tuple[List[Any], Optional[int]]: diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 458c38189..12d8d93da 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -17,6 +17,7 @@ from freqtrade.data.history import (download_pair_history, _load_cached_data_for_updating, refresh_backtest_ohlcv_data, load_tickerdata_file, pair_data_filename, + pair_trades_filename, trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json @@ -141,6 +142,12 @@ def test_pair_data_filename(): 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', '5m') + assert isinstance(fn, Path) + assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json') + + def test_load_cached_data_for_updating(mocker) -> None: datadir = Path(__file__).parent.parent.joinpath('testdata') From 27dc9ca799e6b2cbba019668f1cbc6bba06fe81a Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 19:22:52 +0200 Subject: [PATCH 088/162] Add trades_pagination attributes --- freqtrade/exchange/binance.py | 2 ++ freqtrade/exchange/exchange.py | 6 ++++++ freqtrade/exchange/kraken.py | 4 ++++ 3 files changed, 12 insertions(+) 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 827a6df7c..98e70ca7e 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -154,6 +154,9 @@ 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 = {} @@ -197,6 +200,9 @@ 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')) 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: From 26b3148904860055aaf714ca8373a175721a320f Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 20:30:13 +0200 Subject: [PATCH 089/162] Add build_ohlcv wrapper --- freqtrade/exchange/exchange.py | 17 +++++++++++++++++ 1 file changed, 17 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 98e70ca7e..8ce0dec1b 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -839,6 +839,23 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e + def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None, + limit: int = None) -> str: + # TODO: fix return value + """ + Build ohlcv data from trade list. + trade-list has to be in the ccxt format, which is a list of dicts containing at least: + * timestamp + * price + * amount + :param trades: List of Dicts + :param timeframe: timeframe to convert to (e.g. "5m") + :param since: start at a specific data, as oposed to the trades-list start date + :param limit: Limit amount of candles + :return: ohlcv data (as returned by ccxt.fetch_ohlcv) + """ + return self._api.build_ohlcv(trades, timeframe, since, limit) + def is_exchange_bad(exchange_name: str) -> bool: return exchange_name in BAD_EXCHANGES From 77c367ad1df5d3c04bf456a67314893179317771 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 14 Aug 2019 20:30:29 +0200 Subject: [PATCH 090/162] First draft of async get_trade methods --- freqtrade/exchange/exchange.py | 140 +++++++++++++++++++++++++++++++++ 1 file changed, 140 insertions(+) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 8ce0dec1b..5608d233c 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -745,6 +745,146 @@ 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. + :param pair: Pair to fetch trade data for + :param since: Since as integer timestamp in milliseconds + returns tuple: (pair, ticker_interval, ohlcv_list) + """ + if not self.exchange_has("fetchTrades"): + # TODO: Maybe don't stop the bot ... ? + raise OperationalException("This exchange does not suport downloading 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, + since: Optional[int] = None, + until: Optional[int] = None) -> Tuple[str, List[Dict]]: + """ + Asyncronously gets trade history using fetch_trades + use this when exchange doesn't use time-based pagination (e.g. Kraken) + :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, ticker_interval, ohlcv_list) + """ + try: + if self._trades_pagination == 'time': + raise OperationalException(f"Wrong method called to get trades for {self.name}") + trades: List[Dict] = [] + + # 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. + # Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first candles. + t = await self._async_fetch_trades(pair, since=since) + from_id = t[-1]['id'] + trades.extend(t) + while True: + t = await self._async_fetch_trades(pair, + params={self._trades_pagination_arg: from_id}) + if len(t): + from_id = t[-1]['id'] + # TODO: eliminate duplicates (first trade = last from previous) + trades.extend(t) + # Reached the end of the defined-download period + if until and t[-1]['timestamp'] > until: + print(f"Reached {t[-1]['timestamp']} > {until}") + break + else: + break + + return (pair, 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(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None) -> Tuple[str, List]: + """ + Asyncronously gets trade history using fetch_trades. + :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, ticker_interval, ohlcv_list) + """ + if not self.exchange_has("fetchTrades"): + # TODO: Maybe don't completey stop the bot ... ? + raise OperationalException("This exchange does not suport downloading Trades.") + try: + if self._trades_pagination != 'time': + return await self._async_get_trade_history_id(pair, since, until) + + 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: + break + else: + break + + return (pair, 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 + + def get_historic_trades(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None) -> 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_ms: Timestamp in milliseconds to get history from + :returns List of tickers + """ + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history(pair=pair, since=since, until=until)) + @retrier def cancel_order(self, order_id: str, pair: str) -> None: if self._config['dry_run']: From 6cc98c1ea92f5975298946cb8db1219349cbf8c4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 15 Aug 2019 16:49:54 +0200 Subject: [PATCH 091/162] Fix tests --- tests/data/test_history.py | 2 +- tests/exchange/test_exchange.py | 6 +++++- 2 files changed, 6 insertions(+), 2 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 12d8d93da..55b8fe1d1 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -143,7 +143,7 @@ def test_pair_data_filename(): def test_pair_trades_filename(): - fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m') + fn = pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC') assert isinstance(fn, Path) assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json') diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index bf6025322..9e6356b18 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1453,13 +1453,17 @@ 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, From 42b82415411b5d90bf8aa46d5fcf59dc57a317c7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:26:20 +0200 Subject: [PATCH 092/162] use gz to save / load trades data --- freqtrade/data/history.py | 2 +- tests/data/test_history.py | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index e47ddf6c8..b487ea56e 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -175,7 +175,7 @@ def pair_data_filename(datadir: Path, pair: str, ticker_interval: str) -> Path: def pair_trades_filename(datadir: Path, pair: str) -> Path: pair_s = pair.replace("/", "_") - filename = datadir.joinpath(f'{pair_s}-trades.json') + filename = datadir.joinpath(f'{pair_s}-trades.json.gz') return filename diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 55b8fe1d1..032c1b306 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -145,7 +145,7 @@ def test_pair_data_filename(): 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') + assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json.gz') def test_load_cached_data_for_updating(mocker) -> None: From d250b67f33feccb937ef61a7c7de18a20e25b2cc Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:26:38 +0200 Subject: [PATCH 093/162] Add load/store trades data --- freqtrade/data/history.py | 24 ++++++++++++++++++++++++ 1 file changed, 24 insertions(+) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index b487ea56e..cbae01152 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -82,6 +82,30 @@ def store_tickerdata_file(datadir: Path, pair: str, misc.file_dump_json(filename, data, is_zip=is_zip) +def load_trades_file(datadir: Optional[Path], pair: str, + timerange: Optional[TimeRange] = None) -> Optional[list]: + """ + Load a pair from file, either .json.gz or .json + :return: tickerlist or None if unsuccesful + """ + filename = pair_trades_filename(datadir, pair) + tradesdata = misc.file_load_json(filename) + if not tradesdata: + return None + + # TODO: trim trades based on timerange... ? + return tradesdata + + +def store_trades_file(datadir: Optional[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', From ab8f638e44864882c8be15f217f09a5afc9854e0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:34:52 +0200 Subject: [PATCH 094/162] Move id/time detection to get_historic_trades method --- freqtrade/exchange/exchange.py | 37 +++++++++++++++++++++------------- 1 file changed, 23 insertions(+), 14 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 5608d233c..945c06966 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -783,7 +783,8 @@ class Exchange: async def _async_get_trade_history_id(self, pair: str, since: Optional[int] = None, - until: Optional[int] = None) -> Tuple[str, List[Dict]]: + until: Optional[int] = None, + from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades use this when exchange doesn't use time-based pagination (e.g. Kraken) @@ -797,14 +798,15 @@ class Exchange: raise OperationalException(f"Wrong method called to get trades for {self.name}") trades: List[Dict] = [] - # 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. - # Binance returns the "last 1000" candles within a 1h time interval - # - so we will miss the first candles. - t = await self._async_fetch_trades(pair, since=since) - from_id = t[-1]['id'] - trades.extend(t) + 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. + # Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first candles. + t = await self._async_fetch_trades(pair, since=since) + from_id = t[-1]['id'] + trades.extend(t) while True: t = await self._async_fetch_trades(pair, params={self._trades_pagination_arg: from_id}) @@ -844,8 +846,6 @@ class Exchange: # TODO: Maybe don't completey stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") try: - if self._trades_pagination != 'time': - return await self._async_get_trade_history_id(pair, since, until) trades: List[Dict] = [] while True: @@ -872,7 +872,8 @@ class Exchange: def get_historic_trades(self, pair: str, since: Optional[int] = None, - until: Optional[int] = None) -> List: + until: Optional[int] = None, + from_id: Optional[str] = None) -> List: """ Gets candle history using asyncio and returns the list of candles. Handles all async doing. @@ -880,10 +881,18 @@ class Exchange: :param pair: Pair to download :param ticker_interval: Interval to get :param since_ms: Timestamp in milliseconds to get history from + :param from_id: Download data starting with ID (if id is known) :returns List of tickers """ - return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history(pair=pair, since=since, until=until)) + + if self._trades_pagination == 'time': + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history(pair=pair, since=since, until=until)) + elif self._trades_pagination == 'id': + # Use id-based trade-downloader + return asyncio.get_event_loop().run_until_complete( + self._async_get_trade_history_id(pair=pair, since=since, + until=until, from_id=from_id)) @retrier def cancel_order(self, order_id: str, pair: str) -> None: From 2c0bb71a6e4d81343fd525a18e8b73023589572e Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 16 Aug 2019 10:51:04 +0200 Subject: [PATCH 095/162] Add download_trades_history() --- freqtrade/data/history.py | 47 +++++++++++++++++++++++++++++++--- freqtrade/exchange/exchange.py | 9 +++++-- 2 files changed, 51 insertions(+), 5 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index cbae01152..46da37f3c 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -83,15 +83,15 @@ def store_tickerdata_file(datadir: Path, pair: str, def load_trades_file(datadir: Optional[Path], pair: str, - timerange: Optional[TimeRange] = None) -> Optional[list]: + timerange: Optional[TimeRange] = None) -> List[Dict]: """ Load a pair from file, either .json.gz or .json - :return: tickerlist or None if unsuccesful + :return: tickerlist or empty list if unsuccesful """ filename = pair_trades_filename(datadir, pair) tradesdata = misc.file_load_json(filename) if not tradesdata: - return None + return [] # TODO: trim trades based on timerange... ? return tradesdata @@ -329,6 +329,47 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes return pairs_not_available +def download_trades_history(datadir: Optional[Path], + exchange: Optional[Exchange], + pair: str, + ticker_interval: str = '5m', + timerange: Optional[TimeRange] = None) -> bool: + + if not exchange: + raise OperationalException( + "Exchange needs to be initialized to download 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[1]['datetime'] if trades else 'None') + logger.debug("Current End: %s", trades[-1]['datetime'] if trades else 'None') + + 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, + ) + + 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)}") + + except Exception as e: + logger.error( + f'Failed to download historic trades for pair: "{pair}". ' + f'Error: {e}' + ) + return False + + 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/exchange/exchange.py b/freqtrade/exchange/exchange.py index 945c06966..158dfee9e 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -791,6 +791,7 @@ class Exchange: :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, ticker_interval, ohlcv_list) """ try: @@ -880,14 +881,18 @@ class Exchange: 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_ms: Timestamp in milliseconds to get history from + :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 until: + # Current milliseconds + until = ccxt.Exchange.milliseconds() if self._trades_pagination == 'time': return asyncio.get_event_loop().run_until_complete( self._async_get_trade_history(pair=pair, since=since, until=until)) + elif self._trades_pagination == 'id': # Use id-based trade-downloader return asyncio.get_event_loop().run_until_complete( From 57dee794d157ee12dbdbcf1bae0a033fa47bed6a Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:14:13 +0200 Subject: [PATCH 096/162] Fix end-reached for id-based trade-download --- freqtrade/exchange/exchange.py | 10 ++++++---- 1 file changed, 6 insertions(+), 4 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 158dfee9e..aed75df13 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -812,13 +812,15 @@ class Exchange: t = await self._async_fetch_trades(pair, params={self._trades_pagination_arg: from_id}) if len(t): - from_id = t[-1]['id'] - # TODO: eliminate duplicates (first trade = last from previous) trades.extend(t) - # Reached the end of the defined-download period - if until and t[-1]['timestamp'] > until: + if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): + print(f"from_id did not change.") print(f"Reached {t[-1]['timestamp']} > {until}") break + + # TODO: eliminate duplicates (first trade = last from previous) + # Reached the end of the defined-download period + from_id = t[-1]['id'] else: break From 6e952a0aa8fbdbe0c0abaf7ef0e18f5123db134e Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:14:31 +0200 Subject: [PATCH 097/162] Capture downloaded data --- freqtrade/data/history.py | 17 +++++++++-------- 1 file changed, 9 insertions(+), 8 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 46da37f3c..f2960e627 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -346,16 +346,17 @@ def download_trades_history(datadir: Optional[Path], from_id = trades[-1]['id'] if trades else None - logger.debug("Current Start: %s", trades[1]['datetime'] 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') - 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, - ) - + 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']) From 06024b0ab0692b0338207d596191cc16f51f43b4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:30:02 +0200 Subject: [PATCH 098/162] Fix zipfile handling --- freqtrade/misc.py | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) 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) From 19f3669fbd32f74ca2f82b408ed44b9ae306dcbc Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Aug 2019 14:30:09 +0200 Subject: [PATCH 099/162] add docstring --- freqtrade/data/history.py | 17 ++++++++++------- 1 file changed, 10 insertions(+), 7 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index f2960e627..f5a1527f8 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -334,7 +334,10 @@ def download_trades_history(datadir: Optional[Path], pair: str, ticker_interval: str = '5m', timerange: Optional[TimeRange] = None) -> bool: - + """ + Download trade history from the exchange. + Appends to previously downloaded trades data. + """ if not exchange: raise OperationalException( "Exchange needs to be initialized to download data") @@ -350,12 +353,12 @@ def download_trades_history(datadir: Optional[Path], 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, - ) + 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) From 1d8fc9705328a84ccfe30a14c0c478abcab342c8 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:12:04 +0200 Subject: [PATCH 100/162] Fix duplicate trade error, rename some methods --- freqtrade/exchange/exchange.py | 24 +++++++++++++++--------- 1 file changed, 15 insertions(+), 9 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index aed75df13..50fdd33fc 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -797,6 +797,10 @@ class Exchange: try: if self._trades_pagination == 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") + i if not self.exchange_has("fetchTrades"): + # TODO: Maybe don't completey stop the bot ... ? + raise OperationalException("This exchange does not suport downloading Trades.") + trades: List[Dict] = [] if not from_id: @@ -807,18 +811,18 @@ class Exchange: # - so we will miss the first candles. t = await self._async_fetch_trades(pair, since=since) from_id = t[-1]['id'] - trades.extend(t) + trades.extend(t[:-1]) while True: t = await self._async_fetch_trades(pair, params={self._trades_pagination_arg: from_id}) if len(t): - trades.extend(t) + # Skip last id since its the key for the next call + trades.extend(t[:-1]) if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): - print(f"from_id did not change.") - print(f"Reached {t[-1]['timestamp']} > {until}") + logger.debug(f"Stopping because from_id did not change. " + f"Reached {t[-1]['timestamp']} > {until}") break - # TODO: eliminate duplicates (first trade = last from previous) # Reached the end of the defined-download period from_id = t[-1]['id'] else: @@ -835,9 +839,9 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(f'Could not fetch trade data. Msg: {e}') from e - async def _async_get_trade_history(self, pair: str, - since: Optional[int] = None, - until: Optional[int] = None) -> Tuple[str, List]: + async def _async_get_trade_history_time(self, pair: str, + since: Optional[int] = None, + until: Optional[int] = None) -> Tuple[str, List]: """ Asyncronously gets trade history using fetch_trades. :param pair: Pair to fetch trade data for @@ -845,6 +849,8 @@ class Exchange: :param until: Until as integer timestamp in milliseconds returns tuple: (pair, ticker_interval, ohlcv_list) """ + if self._trades_pagination != 'time': + raise OperationalException(f"Wrong method called to get trades for {self.name}") if not self.exchange_has("fetchTrades"): # TODO: Maybe don't completey stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") @@ -893,7 +899,7 @@ class Exchange: until = ccxt.Exchange.milliseconds() if self._trades_pagination == 'time': return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history(pair=pair, since=since, until=until)) + self._async_get_trade_history_time(pair=pair, since=since, until=until)) elif self._trades_pagination == 'id': # Use id-based trade-downloader From 1f79ca953975a3f54499ef697c80f0e260e1a5c5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:13:32 +0200 Subject: [PATCH 101/162] Remove duplicate check --- freqtrade/exchange/exchange.py | 9 ++------- 1 file changed, 2 insertions(+), 7 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 50fdd33fc..4c384e0bd 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -797,9 +797,6 @@ class Exchange: try: if self._trades_pagination == 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") - i if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't completey stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") trades: List[Dict] = [] @@ -843,7 +840,8 @@ class Exchange: since: Optional[int] = None, until: Optional[int] = None) -> Tuple[str, List]: """ - Asyncronously gets trade history using fetch_trades. + Asyncronously gets trade history using fetch_trades, + when the exchange uses time-based iteration :param pair: Pair to fetch trade data for :param since: Since as integer timestamp in milliseconds :param until: Until as integer timestamp in milliseconds @@ -851,9 +849,6 @@ class Exchange: """ if self._trades_pagination != 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") - if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't completey stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") try: trades: List[Dict] = [] From 8069cd66898653b9d9ab98ae44679c19df3fa1b6 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:13:50 +0200 Subject: [PATCH 102/162] add refresh_trades_ method --- freqtrade/data/history.py | 30 +++++++++++++++++++++++++++++- 1 file changed, 29 insertions(+), 1 deletion(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index f5a1527f8..2056ef1c5 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -332,7 +332,6 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes def download_trades_history(datadir: Optional[Path], exchange: Optional[Exchange], pair: str, - ticker_interval: str = '5m', timerange: Optional[TimeRange] = None) -> bool: """ Download trade history from the exchange. @@ -374,6 +373,35 @@ def download_trades_history(datadir: Optional[Path], return False +def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframes: List[str], + dl_path: 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 + # for ticker_interval in timeframes: + + dl_file = pair_trades_filename(dl_path, 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=dl_path, exchange=exchange, + pair=pair, + timerange=timerange) + return pairs_not_available + + def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: """ Get the maximum timeframe for the given backtest data From c1c49183b5dcfc4566f507701d3804d7e87b6221 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Aug 2019 07:14:37 +0200 Subject: [PATCH 103/162] Call new method based on condition --- freqtrade/utils.py | 15 +++++++++++---- 1 file changed, 11 insertions(+), 4 deletions(-) diff --git a/freqtrade/utils.py b/freqtrade/utils.py index b3ff43aca..c7950e5a4 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -8,7 +8,8 @@ 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.data.history import (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 @@ -88,9 +89,15 @@ 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")) + # TODO Add correct switch here! + if 1 == 2: + 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")) + else: + pairs_not_available = refresh_backtest_trades_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 ...") From 9584629f50b791e21674c2164d34c3f71e896ca4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 11:36:32 +0200 Subject: [PATCH 104/162] Rename argument from dl_path to datadir --- freqtrade/data/history.py | 6 +++--- freqtrade/exchange/exchange.py | 3 +-- freqtrade/utils.py | 2 +- 3 files changed, 5 insertions(+), 6 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 2056ef1c5..60db309d1 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -374,7 +374,7 @@ def download_trades_history(datadir: Optional[Path], def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframes: List[str], - dl_path: Path, timerange: TimeRange, + datadir: Path, timerange: TimeRange, erase=False) -> List[str]: """ Refresh stored trades data . @@ -389,14 +389,14 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe continue # for ticker_interval in timeframes: - dl_file = pair_trades_filename(dl_path, pair) + 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=dl_path, exchange=exchange, + download_trades_history(datadir=datadir, exchange=exchange, pair=pair, timerange=timerange) return pairs_not_available diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 4c384e0bd..869037328 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -997,8 +997,7 @@ class Exchange: raise OperationalException(e) from e def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None, - limit: int = None) -> str: - # TODO: fix return value + limit: int = None) -> List: """ Build ohlcv data from trade list. trade-list has to be in the ccxt format, which is a list of dicts containing at least: diff --git a/freqtrade/utils.py b/freqtrade/utils.py index c7950e5a4..8d0d8eb03 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -97,7 +97,7 @@ def start_download_data(args: Dict[str, Any]) -> None: else: pairs_not_available = refresh_backtest_trades_data( exchange, pairs=config["pairs"], timeframes=config["timeframes"], - dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) + datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) except KeyboardInterrupt: sys.exit("SIGINT received, aborting ...") From 476adf872a7a802169986237fef9a815bce33039 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 11:43:14 +0200 Subject: [PATCH 105/162] Add conversion from trades to ohlcv at different intervals --- freqtrade/data/history.py | 27 +++++++++++++++++++++------ freqtrade/utils.py | 8 +++++++- 2 files changed, 28 insertions(+), 7 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 60db309d1..606d7b801 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -86,7 +86,7 @@ def load_trades_file(datadir: Optional[Path], pair: str, timerange: Optional[TimeRange] = None) -> List[Dict]: """ Load a pair from file, either .json.gz or .json - :return: tickerlist or empty list if unsuccesful + :return: tradelist or empty list if unsuccesful """ filename = pair_trades_filename(datadir, pair) tradesdata = misc.file_load_json(filename) @@ -373,11 +373,10 @@ def download_trades_history(datadir: Optional[Path], return False -def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframes: List[str], - datadir: Path, timerange: TimeRange, - erase=False) -> List[str]: +def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: Path, + timerange: TimeRange, erase=False) -> List[str]: """ - Refresh stored trades data . + Refresh stored trades data. Used by freqtrade download-data :return: Pairs not available """ @@ -387,7 +386,6 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe pairs_not_available.append(pair) logger.info(f"Skipping pair {pair}...") continue - # for ticker_interval in timeframes: dl_file = pair_trades_filename(datadir, pair) if erase and dl_file.exists(): @@ -402,6 +400,23 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe return pairs_not_available +def convert_trades_to_ohlcv(exchange: Exchange, 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 = exchange.build_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/utils.py b/freqtrade/utils.py index 8d0d8eb03..adcb3f6e0 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -8,7 +8,8 @@ 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.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 @@ -96,6 +97,11 @@ def start_download_data(args: Dict[str, Any]) -> None: dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) else: 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( exchange, pairs=config["pairs"], timeframes=config["timeframes"], datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) From 0d592f6c5552896c7b21cc6924e0617eb89445ed Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 12:56:10 +0200 Subject: [PATCH 106/162] Refactor trade downloading to handle exceptions only once --- freqtrade/data/history.py | 1 + freqtrade/exchange/exchange.py | 133 ++++++++++++++++----------------- 2 files changed, 67 insertions(+), 67 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 606d7b801..0049f0db5 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -364,6 +364,7 @@ def download_trades_history(datadir: Optional[Path], 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( diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 869037328..f48fa0a71 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -751,13 +751,11 @@ class Exchange: 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 tuple: (pair, ticker_interval, ohlcv_list) """ - if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") try: # fetch trades asynchronously if params: @@ -787,58 +785,47 @@ class Exchange: from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades - use this when exchange doesn't use time-based pagination (e.g. Kraken) + use this when exchange uses id-based iteration :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, ticker_interval, ohlcv_list) """ - try: - if self._trades_pagination == 'time': - raise OperationalException(f"Wrong method called to get trades for {self.name}") + if self._trades_pagination == 'time': + raise OperationalException(f"Wrong method called to get trades for {self.name}") - trades: List[Dict] = [] + 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. - # Binance returns the "last 1000" candles within a 1h time interval - # - so we will miss the first candles. - t = await self._async_fetch_trades(pair, since=since) - from_id = t[-1]['id'] + 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. + # Binance returns the "last 1000" candles within a 1h time interval + # - so we will miss the first candles. + 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]) - 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 (until and t[-1]['timestamp'] > until): - logger.debug(f"Stopping because from_id did not change. " - f"Reached {t[-1]['timestamp']} > {until}") - break - - # Reached the end of the defined-download period - from_id = t[-1]['id'] - else: + if from_id == t[-1]['id'] or (until and t[-1]['timestamp'] > until): + logger.debug(f"Stopping because from_id did not change. " + f"Reached {t[-1]['timestamp']} > {until}") break - return (pair, 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 + # Reached the end of the defined-download period + from_id = t[-1]['id'] + else: + break - async def _async_get_trade_history_time(self, pair: str, - since: Optional[int] = None, - until: Optional[int] = None) -> Tuple[str, List]: + 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 @@ -849,21 +836,41 @@ class Exchange: """ if self._trades_pagination != 'time': raise OperationalException(f"Wrong method called to get trades for {self.name}") - try: - 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: - break - else: + 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: 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 not self.exchange_has("fetchTrades"): + # TODO: Maybe don't stop the bot ... ? + raise OperationalException("This exchange does not suport downloading Trades.") + try: + if not until: + # Current milliseconds + until = ccxt.Exchange.milliseconds() + if self._trades_pagination == 'time': + return await self._async_get_trade_history_time(pair=pair, since=since, until=until) + elif self._trades_pagination == 'id': + return await self._async_get_trade_history_id(pair=pair, since=since, + until=until, from_id=from_id) - return (pair, trades) except ccxt.NotSupported as e: raise OperationalException( f'Exchange {self._api.name} does not support fetching historical trade data.' @@ -877,7 +884,7 @@ class Exchange: def get_historic_trades(self, pair: str, since: Optional[int] = None, until: Optional[int] = None, - from_id: Optional[str] = None) -> List: + from_id: Optional[str] = None) -> Tuple[str, List]: """ Gets candle history using asyncio and returns the list of candles. Handles all async doing. @@ -889,18 +896,10 @@ class Exchange: :param from_id: Download data starting with ID (if id is known) :returns List of tickers """ - if not until: - # Current milliseconds - until = ccxt.Exchange.milliseconds() - if self._trades_pagination == 'time': - return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history_time(pair=pair, since=since, until=until)) - elif self._trades_pagination == 'id': - # Use id-based trade-downloader - return asyncio.get_event_loop().run_until_complete( - self._async_get_trade_history_id(pair=pair, since=since, - until=until, from_id=from_id)) + 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: From 05e473642b5d645fc38cc9f1b5ad8ea9fd74304a Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 13:01:44 +0200 Subject: [PATCH 107/162] Small adjustments to get_trade_history --- freqtrade/exchange/exchange.py | 24 +++++++++++++++--------- 1 file changed, 15 insertions(+), 9 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index f48fa0a71..39200c8f7 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -780,8 +780,8 @@ class Exchange: 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, - until: Optional[int] = None, from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades @@ -812,12 +812,12 @@ class Exchange: 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 (until and t[-1]['timestamp'] > until): + 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 break - # Reached the end of the defined-download period from_id = t[-1]['id'] else: break @@ -845,6 +845,8 @@ class Exchange: 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 @@ -862,14 +864,18 @@ class Exchange: # TODO: Maybe don't stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") try: - if not until: - # Current milliseconds - until = ccxt.Exchange.milliseconds() if self._trades_pagination == 'time': - return await self._async_get_trade_history_time(pair=pair, since=since, until=until) + 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, from_id=from_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") except ccxt.NotSupported as e: raise OperationalException( From 16d6914b1535115cdbc817f0a7fb921018235196 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 13:13:41 +0200 Subject: [PATCH 108/162] Add test to cover missing line --- freqtrade/exchange/exchange.py | 4 ++-- tests/exchange/test_exchange.py | 7 +++++++ 2 files changed, 9 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 39200c8f7..4c09b4e46 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -801,8 +801,8 @@ class Exchange: # 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. - # Binance returns the "last 1000" candles within a 1h time interval - # - so we will miss the first candles. + # 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]) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 9e6356b18..018cab3b8 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1136,6 +1136,13 @@ 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): From 939a87ed2e652581c98aa3af9038b225884b76f7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Aug 2019 16:33:56 +0200 Subject: [PATCH 109/162] Add test for fetch_trades --- tests/conftest.py | 64 +++++++++++++++++++++++++++++++++ tests/exchange/test_exchange.py | 48 +++++++++++++++++++++++++ 2 files changed, 112 insertions(+) diff --git a/tests/conftest.py b/tests/conftest.py index 6a0a74b5b..cd0c29efc 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -928,6 +928,70 @@ 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}] + + @pytest.fixture(scope="function") def trades_for_order2(): return [{'info': {'id': 34567, diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 018cab3b8..a621a5d52 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1314,6 +1314,54 @@ 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.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True From 57bcff19640f54ccc770733aa4ef5fa677d6f6ee Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 30 Aug 2019 06:51:21 +0200 Subject: [PATCH 110/162] Test get_historic_trades --- tests/exchange/test_exchange.py | 24 ++++++++++++++++++++++++ 1 file changed, 24 insertions(+) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index a621a5d52..081a36e19 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1362,6 +1362,30 @@ async def test__async_fetch_trades(default_conf, mocker, caplog, exchange_name, await exchange._async_fetch_trades(pair, since=(arrow.utcnow().timestamp - 2000) * 1000) +@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)) + # one_call calculation * 1.8 should do 2 calls + since = 5 * 60 * 500 * 1.8 + print(f"since = {since}") + 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]) == 3 + + @pytest.mark.parametrize("exchange_name", EXCHANGES) def test_cancel_order_dry_run(default_conf, mocker, exchange_name): default_conf['dry_run'] = True From b6ac898f8f3c6e3eee4142da45313c629ab49059 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 10:45:16 +0200 Subject: [PATCH 111/162] Add test for exception handler --- tests/exchange/test_exchange.py | 17 ++++++++++++++--- 1 file changed, 14 insertions(+), 3 deletions(-) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 081a36e19..707a815d1 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1371,9 +1371,6 @@ def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades exchange._async_get_trade_history_id = get_mock_coro((pair, trades_history)) exchange._async_get_trade_history_time = get_mock_coro((pair, trades_history)) - # one_call calculation * 1.8 should do 2 calls - since = 5 * 60 * 500 * 1.8 - print(f"since = {since}") ret = exchange.get_historic_trades(pair, since=trades_history[0]["timestamp"], until=trades_history[-1]["timestamp"]) @@ -1386,6 +1383,20 @@ def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades assert len(ret[1]) == 3 +@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 From fa8c61382b47ffb7531d671ec148057d82fa2a8f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 10:52:53 +0200 Subject: [PATCH 112/162] Remove unneeded exception handlers --- freqtrade/exchange/exchange.py | 34 ++++++++++++---------------------- 1 file changed, 12 insertions(+), 22 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 4c09b4e46..27bde9a7d 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -863,29 +863,19 @@ class Exchange: if not self.exchange_has("fetchTrades"): # TODO: Maybe don't stop the bot ... ? raise OperationalException("This exchange does not suport downloading Trades.") - try: - 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") - 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 + 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, From 640d58eb1350c0e7b63cecb3d54341f48e4cea6c Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 10:56:43 +0200 Subject: [PATCH 113/162] Remove unneeded checks --- freqtrade/exchange/exchange.py | 8 ++------ 1 file changed, 2 insertions(+), 6 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 27bde9a7d..6b30af43f 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -785,15 +785,13 @@ class Exchange: from_id: Optional[str] = None) -> Tuple[str, List[Dict]]: """ Asyncronously gets trade history using fetch_trades - use this when exchange uses id-based iteration + 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, ticker_interval, ohlcv_list) """ - if self._trades_pagination == 'time': - raise OperationalException(f"Wrong method called to get trades for {self.name}") trades: List[Dict] = [] @@ -828,14 +826,12 @@ class Exchange: since: Optional[int] = None) -> Tuple[str, List]: """ Asyncronously gets trade history using fetch_trades, - when the exchange uses time-based iteration + 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, ticker_interval, ohlcv_list) """ - if self._trades_pagination != 'time': - raise OperationalException(f"Wrong method called to get trades for {self.name}") trades: List[Dict] = [] while True: From 4fdec9d6e587bb5afdefd5adea397ebbf3062f23 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 11:17:02 +0200 Subject: [PATCH 114/162] Test id-based pagination --- tests/exchange/test_exchange.py | 25 +++++++++++++++++++++++++ 1 file changed, 25 insertions(+) diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 707a815d1..859d814bc 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1362,6 +1362,31 @@ async def test__async_fetch_trades(default_conf, mocker, caplog, 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) + # Monkey-patch async function + exchange._async_fetch_trades = get_mock_coro(trades_history) + pair = 'ETH/BTC' + ret = await exchange._async_get_trade_history_id(pair, since=trades_history[0]["timestamp"], + until=None) + assert type(ret) is tuple + assert ret[0] == pair + assert type(ret[1]) is list + assert exchange._async_fetch_trades.call_count == 2 + # first call (using since, not fromId) + assert exchange._async_fetch_trades.call_args_list[0][0][0] == pair + assert exchange._async_fetch_trades.call_args_list[0][1]['since'] == trades_history[0]["timestamp"] + + # 2nd call + assert exchange._async_fetch_trades.call_args_list[1][0][0] == pair + assert 'params' in exchange._async_fetch_trades.call_args_list[1][1] + assert exchange._ft_has['trades_pagination_arg'] in exchange._async_fetch_trades.call_args_list[1][1]['params'] + + @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) From 9f8a2acf4604cab29df1c532b251f4b51e61ef9d Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:16:02 +0200 Subject: [PATCH 115/162] Extend test-cases to 5 trades --- tests/conftest.py | 40 ++++++++++++++++++++++++++++++++++++++++ 1 file changed, 40 insertions(+) diff --git a/tests/conftest.py b/tests/conftest.py index cd0c29efc..36005b961 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -989,6 +989,46 @@ def trades_history(): '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}] From 762ae3a598d558df8e9775c8bc9fc0ee1043dbef Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 28 Sep 2019 13:35:25 +0200 Subject: [PATCH 116/162] Extend tests --- freqtrade/exchange/exchange.py | 3 +- tests/exchange/test_exchange.py | 100 +++++++++++++++++++++++++++++--- 2 files changed, 93 insertions(+), 10 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 6b30af43f..fed903a4a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -813,7 +813,8 @@ class Exchange: 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 + # Reached the end of the defined-download period - add last trade as well. + trades.extend(t[-1:]) break from_id = t[-1]['id'] diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index 859d814bc..e0f49e5fa 100644 --- a/tests/exchange/test_exchange.py +++ b/tests/exchange/test_exchange.py @@ -1368,23 +1368,105 @@ async def test__async_get_trade_history_id(default_conf, mocker, caplog, exchang 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 = get_mock_coro(trades_history) + 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=None) + until=trades_history[-1]["timestamp"]-1) assert type(ret) is tuple assert ret[0] == pair assert type(ret[1]) is list - assert exchange._async_fetch_trades.call_count == 2 + 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 exchange._async_fetch_trades.call_args_list[0][0][0] == pair - assert exchange._async_fetch_trades.call_args_list[0][1]['since'] == trades_history[0]["timestamp"] + assert fetch_trades_cal[0][0][0] == pair + assert fetch_trades_cal[0][1]['since'] == trades_history[0]["timestamp"] # 2nd call - assert exchange._async_fetch_trades.call_args_list[1][0][0] == pair - assert 'params' in exchange._async_fetch_trades.call_args_list[1][1] - assert exchange._ft_has['trades_pagination_arg'] in exchange._async_fetch_trades.call_args_list[1][1]['params'] + 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) @@ -1405,7 +1487,7 @@ def test_get_historic_trades(default_conf, mocker, caplog, exchange_name, trades assert len(ret) == 2 assert ret[0] == pair - assert len(ret[1]) == 3 + assert len(ret[1]) == len(trades_history) @pytest.mark.parametrize("exchange_name", EXCHANGES) From 37925e7f6cb8f1ceeccdfe23d286f9c1cbde1931 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:31:01 +0200 Subject: [PATCH 117/162] Add --dl-trades cli flag --- config_kraken.json.example | 3 ++- freqtrade/configuration/arguments.py | 3 ++- freqtrade/configuration/cli_options.py | 5 +++++ freqtrade/configuration/configuration.py | 2 ++ freqtrade/utils.py | 11 +++++------ 5 files changed, 16 insertions(+), 8 deletions(-) diff --git a/config_kraken.json.example b/config_kraken.json.example index 51aa9a8e9..5a36941d8 100644 --- a/config_kraken.json.example +++ b/config_kraken.json.example @@ -70,5 +70,6 @@ "forcebuy_enable": false, "internals": { "process_throttle_secs": 5 - } + }, + "download_trades": true } diff --git a/freqtrade/configuration/arguments.py b/freqtrade/configuration/arguments.py index 76a2b1cc9..e63249577 100644 --- a/freqtrade/configuration/arguments.py +++ b/freqtrade/configuration/arguments.py @@ -35,7 +35,8 @@ 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", "timerange", "ticker_interval"] diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 7e6a956ce..9868ab874 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -273,6 +273,11 @@ AVAILABLE_CLI_OPTIONS = { type=check_int_positive, metavar='INT', ), + "download_trades": Arg( + '--dl-trades', + help='Download trades instead of OHLCV data.', + 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 665999efb..ec47f7855 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -312,6 +312,8 @@ 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: diff --git a/freqtrade/utils.py b/freqtrade/utils.py index adcb3f6e0..48734883c 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -90,12 +90,7 @@ def start_download_data(args: Dict[str, Any]) -> None: # Init exchange exchange = ExchangeResolver(config['exchange']['name'], config).exchange - # TODO Add correct switch here! - if 1 == 2: - 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")) - else: + 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")) @@ -104,6 +99,10 @@ def start_download_data(args: Dict[str, Any]) -> None: convert_trades_to_ohlcv( exchange, 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 ...") From 1b7a09c18423670861ee0879ccce61f8fd7d31f5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:31:14 +0200 Subject: [PATCH 118/162] Add test for utils --dl-trades --- tests/test_utils.py | 22 ++++++++++++++++++++++ 1 file changed, 22 insertions(+) diff --git a/tests/test_utils.py b/tests/test_utils.py index 55672c4c9..586a6891b 100644 --- a/tests/test_utils.py +++ b/tests/test_utils.py @@ -260,3 +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 From 2374cda8d0a987d0ca60e87a44d38db6b12b35fb Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 20:45:35 +0200 Subject: [PATCH 119/162] Cleanup and tests for refresh_backtest_trades --- freqtrade/data/history.py | 11 ++++------- tests/data/test_history.py | 26 +++++++++++++++++++++++++- 2 files changed, 29 insertions(+), 8 deletions(-) diff --git a/freqtrade/data/history.py b/freqtrade/data/history.py index 0049f0db5..a32a1b9aa 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -82,7 +82,7 @@ def store_tickerdata_file(datadir: Path, pair: str, misc.file_dump_json(filename, data, is_zip=is_zip) -def load_trades_file(datadir: Optional[Path], pair: str, +def load_trades_file(datadir: Path, pair: str, timerange: Optional[TimeRange] = None) -> List[Dict]: """ Load a pair from file, either .json.gz or .json @@ -97,7 +97,7 @@ def load_trades_file(datadir: Optional[Path], pair: str, return tradesdata -def store_trades_file(datadir: Optional[Path], pair: str, +def store_trades_file(datadir: Path, pair: str, data: list, is_zip: bool = True): """ Stores tickerdata to file @@ -329,17 +329,14 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes return pairs_not_available -def download_trades_history(datadir: Optional[Path], - exchange: Optional[Exchange], +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. """ - if not exchange: - raise OperationalException( - "Exchange needs to be initialized to download data") try: since = timerange.startts * 1000 if timerange and timerange.starttype == 'date' else None diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 032c1b306..52e37e735 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -18,7 +18,7 @@ from freqtrade.data.history import (download_pair_history, refresh_backtest_ohlcv_data, load_tickerdata_file, pair_data_filename, pair_trades_filename, - trim_tickerlist) + trim_tickerlist, refresh_backtest_trades_data) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json from freqtrade.strategy.default_strategy import DefaultStrategy @@ -583,3 +583,27 @@ 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) From ccb41d1ef964002f2e3ec103c7ec34d6ebbf008e Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 8 Oct 2019 21:18:56 +0200 Subject: [PATCH 120/162] Add tests for test_download_trades_history --- tests/data/test_history.py | 35 ++++++++++++++++++++++++++++++++++- 1 file changed, 34 insertions(+), 1 deletion(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 52e37e735..ff1434347 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -18,7 +18,7 @@ from freqtrade.data.history import (download_pair_history, refresh_backtest_ohlcv_data, load_tickerdata_file, pair_data_filename, pair_trades_filename, - trim_tickerlist, refresh_backtest_trades_data) + trim_tickerlist, refresh_backtest_trades_data, download_trades_history) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json from freqtrade.strategy.default_strategy import DefaultStrategy @@ -607,3 +607,36 @@ def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, tes 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 convert_trades_to_ohlcv(): + # TODO: Write this test + pass From 56de81a1f9705c5f551bcd4cf3afd5ba16d4cd19 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 15:57:54 +0200 Subject: [PATCH 121/162] Add some test data --- tests/testdata/XRP_ETH-1m.json | 1 + tests/testdata/XRP_ETH-5m.json | 1 + tests/testdata/XRP_ETH-trades.json.gz | Bin 0 -> 473687 bytes 3 files changed, 2 insertions(+) create mode 100644 tests/testdata/XRP_ETH-1m.json create mode 100644 tests/testdata/XRP_ETH-5m.json create mode 100644 tests/testdata/XRP_ETH-trades.json.gz diff --git a/tests/testdata/XRP_ETH-1m.json b/tests/testdata/XRP_ETH-1m.json new file mode 100644 index 000000000..4ec7c15ab --- /dev/null +++ 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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zSJS%7RvV{BUXHW;0~x%vueU6MgguW79b(s76DL|jHQ%g)?4Kj9$p8tyy6gU!UVFYh z21MB2;e)G94_$-=E*a1k>{}W#Vgtc`c{%pQszbmo;)59u*5~(s%&)L(=~|`s>O9LI zkl4Uy_+(BQjIH;5o@+iO=~gjNpfz|NX>qqn{<}i?i#$q{Of(9D+ZhFI?($w^Dl;uf zC;Y``IFgX*lJ3B4>C5B1Ky_Hlx&tgTred%})O|1GKTrs?0_kUE)(AucUH&3v5*pBEr$njoHwR?_JBvFLOziqANG96g-7%I zAJp|w0@bjbk0GK|y+|4CsSdpp_r^<+X-Z=ACl5C#P$%#N{}*hQ5$pjQ>3CBKicRjG zcJ3ck`y)bu!X-q(_5;7XL~4UR44D$4X=Ve0rFKvTG8(g?j713Hl^Ua?Qp6F@qR=^(t#MG!{q3;4(_a`sNe`CTY z+IPNSC1^KyF7nnI(fZsTuMzX_N@mp?6M#RO*oY%JlBt8phl2J$%FMpR_>b}=A z4Hp2(6C0ij;PfHMV_K Date: Sun, 13 Oct 2019 16:04:40 +0200 Subject: [PATCH 122/162] Add test for trades_ohlcv --- tests/data/test_history.py | 52 +++++++++++++++++++++++++++++++++----- 1 file changed, 45 insertions(+), 7 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index ff1434347..299c79a2c 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -13,14 +13,18 @@ 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, - refresh_backtest_ohlcv_data, +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, - trim_tickerlist, refresh_backtest_trades_data, download_trades_history) + 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.resolvers.exchange_resolver import ExchangeResolver from freqtrade.strategy.default_strategy import DefaultStrategy from tests.conftest import (get_patched_exchange, log_has, log_has_re, patch_exchange) @@ -637,6 +641,40 @@ def test_download_trades_history(trades_history, mocker, default_conf, testdatad assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog) -def convert_trades_to_ohlcv(): - # TODO: Write this test - pass +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) + _backup_file(file5) + + exchange = ExchangeResolver('Bittrex', default_conf).exchange + tr = TimeRange.parse_timerange('20191011-20191012') + # mocker.patch.object(Path, "exists", MagicMock(return_value=True)) + # mocker.patch.object(Path, "unlink", MagicMock()) + + convert_trades_to_ohlcv(exchange, [pair], timeframes=['1m', '5m'], + datadir=testdatadir, timerange=tr, erase=True) + + # assert log_has("Deleting existing data for 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) From 3e4617be37b9df159c0c66d60066110b496bc90b Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 19:21:27 +0200 Subject: [PATCH 123/162] add pandas-based converter-functions --- freqtrade/data/converter.py | 20 ++++++++++++++++++++ freqtrade/data/history.py | 6 +++--- tests/data/test_history.py | 11 ++++------- 3 files changed, 27 insertions(+), 10 deletions(-) diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index b530b3bce..63a6c98df 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -114,3 +114,23 @@ 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, timeframe): + """ + Converts trades list to ohlcv list + """ + 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 columns + 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/history.py b/freqtrade/data/history.py index a32a1b9aa..e594af430 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__) @@ -398,7 +398,7 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: return pairs_not_available -def convert_trades_to_ohlcv(exchange: Exchange, pairs: List[str], timeframes: List[str], +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 @@ -410,7 +410,7 @@ def convert_trades_to_ohlcv(exchange: Exchange, pairs: List[str], timeframes: Li if erase and ohlcv_file.exists(): logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.') ohlcv_file.unlink() - ohlcv = exchange.build_ohlcv(trades, timeframe) + ohlcv = trades_to_ohlcv(trades, timeframe) # Store ohlcv store_tickerdata_file(datadir, pair, timeframe, data=ohlcv) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 299c79a2c..d653428e9 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -24,7 +24,6 @@ from freqtrade.data.history import (_load_cached_data_for_updating, trim_tickerlist) from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import file_dump_json -from freqtrade.resolvers.exchange_resolver import ExchangeResolver from freqtrade.strategy.default_strategy import DefaultStrategy from tests.conftest import (get_patched_exchange, log_has, log_has_re, patch_exchange) @@ -642,6 +641,7 @@ def test_download_trades_history(trades_history, mocker, default_conf, testdatad 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' @@ -653,18 +653,15 @@ def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog): ticker_interval="5m", pair=pair) - _backup_file(file1) + _backup_file(file1, copy_file=True) _backup_file(file5) - exchange = ExchangeResolver('Bittrex', default_conf).exchange tr = TimeRange.parse_timerange('20191011-20191012') - # mocker.patch.object(Path, "exists", MagicMock(return_value=True)) - # mocker.patch.object(Path, "unlink", MagicMock()) - convert_trades_to_ohlcv(exchange, [pair], timeframes=['1m', '5m'], + convert_trades_to_ohlcv([pair], timeframes=['1m', '5m'], datadir=testdatadir, timerange=tr, erase=True) - # assert log_has("Deleting existing data for XRP/ETH, interval 1m.", caplog) + 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", From 023eb19615f55abf1e021518d8af1b24768287e0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 13 Oct 2019 19:35:33 +0200 Subject: [PATCH 124/162] Add documentation for --dl-trades --- docs/data-download.md | 28 +++++++++++++++++++++++++++- 1 file changed, 27 insertions(+), 1 deletion(-) diff --git a/docs/data-download.md b/docs/data-download.md index 244acb153..b091f0069 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 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 supported, 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 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 + This datatype is not available during trading. It probably will never be since all exchanges tested don't provide this data in real time, but with a delay of a few 100 candles. + +### Historic Kraken data + +The Kraken API does only provide 720 historic candles, which is sufficient for regular trading operations, but 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. From 13e80e449cc9d21ac1c179d2176729188d297c36 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 06:19:59 +0200 Subject: [PATCH 125/162] cleanup and better docstring --- freqtrade/data/converter.py | 10 ++++++---- freqtrade/data/history.py | 1 - freqtrade/exchange/exchange.py | 16 ---------------- freqtrade/utils.py | 2 +- 4 files changed, 7 insertions(+), 22 deletions(-) diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index 63a6c98df..1ef224978 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -116,21 +116,23 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame: return frame -def trades_to_ohlcv(trades, timeframe): +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 = 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 columns + # 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/history.py b/freqtrade/data/history.py index e594af430..fd3aee2a9 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -93,7 +93,6 @@ def load_trades_file(datadir: Path, pair: str, if not tradesdata: return [] - # TODO: trim trades based on timerange... ? return tradesdata diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index fed903a4a..86078ae05 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -988,22 +988,6 @@ class Exchange: except ccxt.BaseError as e: raise OperationalException(e) from e - def build_ohlcv(self, trades: List[Dict], timeframe: str, since: int = None, - limit: int = None) -> List: - """ - Build ohlcv data from trade list. - trade-list has to be in the ccxt format, which is a list of dicts containing at least: - * timestamp - * price - * amount - :param trades: List of Dicts - :param timeframe: timeframe to convert to (e.g. "5m") - :param since: start at a specific data, as oposed to the trades-list start date - :param limit: Limit amount of candles - :return: ohlcv data (as returned by ccxt.fetch_ohlcv) - """ - return self._api.build_ohlcv(trades, timeframe, since, limit) - def is_exchange_bad(exchange_name: str) -> bool: return exchange_name in BAD_EXCHANGES diff --git a/freqtrade/utils.py b/freqtrade/utils.py index 48734883c..e77b76208 100644 --- a/freqtrade/utils.py +++ b/freqtrade/utils.py @@ -97,7 +97,7 @@ def start_download_data(args: Dict[str, Any]) -> None: # Convert downloaded trade data to different timeframes convert_trades_to_ohlcv( - exchange, pairs=config["pairs"], timeframes=config["timeframes"], + pairs=config["pairs"], timeframes=config["timeframes"], datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) else: pairs_not_available = refresh_backtest_ohlcv_data( From 76ad5bea0ea9f098dfc68be03a4b60614b58fb1e Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 11:36:42 +0200 Subject: [PATCH 126/162] Load correct exchange class closes #2371 --- freqtrade/exchange/__init__.py | 2 +- freqtrade/exchange/exchange.py | 5 +++++ freqtrade/resolvers/exchange_resolver.py | 4 +++- tests/exchange/test_exchange.py | 6 ++++++ 4 files changed, 15 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index 29971c897..1b3e94951 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -1,4 +1,4 @@ -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_known_ccxt, diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index df7e5e2b4..859240695 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -102,6 +102,11 @@ BAD_EXCHANGES = { ], "Does not provide timeframes. ccxt fetchOHLCV: emulated"), } +MAP_EXCHANGE_CHILDCLASS = { + 'binanceus': 'binance', + 'binanceje': 'binance', +} + def retrier_async(f): async def wrapper(*args, **kwargs): 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/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py index bf6025322..72b536afa 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) From b2682bcbf52738ac620cc36b27724fb40a4f6213 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 14 Oct 2019 14:40:20 +0000 Subject: [PATCH 127/162] Bump ccxt from 1.18.1225 to 1.18.1260 Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.18.1225 to 1.18.1260. - [Release notes](https://github.com/ccxt/ccxt/releases) - [Changelog](https://github.com/ccxt/ccxt/blob/master/CHANGELOG.md) - [Commits](https://github.com/ccxt/ccxt/compare/1.18.1225...1.18.1260) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index 872ebec62..74a7694f2 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,6 +1,6 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs -ccxt==1.18.1225 +ccxt==1.18.1260 SQLAlchemy==1.3.9 python-telegram-bot==12.1.1 arrow==0.15.2 From 4c4134a27290f8c353ebbee4c0367b85437f24ee Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 14 Oct 2019 14:41:00 +0000 Subject: [PATCH 128/162] Bump jsonschema from 3.0.2 to 3.1.1 Bumps [jsonschema](https://github.com/Julian/jsonschema) from 3.0.2 to 3.1.1. - [Release notes](https://github.com/Julian/jsonschema/releases) - [Changelog](https://github.com/Julian/jsonschema/blob/master/CHANGELOG.rst) - [Commits](https://github.com/Julian/jsonschema/compare/v3.0.2...v3.1.1) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index 872ebec62..ae0a6b4ce 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -8,7 +8,7 @@ cachetools==3.1.1 requests==2.22.0 urllib3==1.25.6 wrapt==1.11.2 -jsonschema==3.0.2 +jsonschema==3.1.1 TA-Lib==0.4.17 tabulate==0.8.5 coinmarketcap==5.0.3 From f5d87418327fdbd2f60f16ec19dff4c6dc65a0b3 Mon Sep 17 00:00:00 2001 From: "dependabot-preview[bot]" <27856297+dependabot-preview[bot]@users.noreply.github.com> Date: Mon, 14 Oct 2019 15:19:50 +0000 Subject: [PATCH 129/162] Bump sqlalchemy from 1.3.9 to 1.3.10 Bumps [sqlalchemy](https://github.com/sqlalchemy/sqlalchemy) from 1.3.9 to 1.3.10. - [Release notes](https://github.com/sqlalchemy/sqlalchemy/releases) - [Changelog](https://github.com/sqlalchemy/sqlalchemy/blob/master/CHANGES) - [Commits](https://github.com/sqlalchemy/sqlalchemy/commits) Signed-off-by: dependabot-preview[bot] --- requirements-common.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-common.txt b/requirements-common.txt index f85bf8d7a..c2c5317dc 100644 --- a/requirements-common.txt +++ b/requirements-common.txt @@ -1,7 +1,7 @@ # requirements without requirements installable via conda # mainly used for Raspberry pi installs ccxt==1.18.1260 -SQLAlchemy==1.3.9 +SQLAlchemy==1.3.10 python-telegram-bot==12.1.1 arrow==0.15.2 cachetools==3.1.1 From 790e6146f504f6a3f1ae35a0630701ae4afe81b2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 20:13:34 +0200 Subject: [PATCH 130/162] Use crossed() in sample strategy --- docs/strategy-customization.md | 17 +++++++++++------ user_data/strategies/sample_strategy.py | 10 +++++----- 2 files changed, 16 insertions(+), 11 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index adcdf0208..39a36c469 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['adx'], 30)) & # Signal: ADX crosses baove 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 backtesting 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['adx'], 70)) & # Signal: ADX 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 ), 'sell'] = 1 return dataframe diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 623addb1e..84ff9ec2c 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -277,9 +277,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 30) & - (dataframe['tema'] <= dataframe['bb_middleband']) & - (dataframe['tema'] > dataframe['tema'].shift(1)) & + (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX 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 +295,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (dataframe['adx'] > 70) & + (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: - ADX crosses above 70 (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) & + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is raising (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 From a320d4ccbae737b7103fa788644d19d395c42fb7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 20:42:08 +0200 Subject: [PATCH 131/162] Don't sell with 0 profit in samplestrategy --- user_data/strategies/sample_strategy.py | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 84ff9ec2c..6d544c667 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -34,9 +34,8 @@ class SampleStrategy(IStrategy): # Minimal ROI designed for the strategy. # 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 } From ace70510f38902dd47f2a62484700fd08542207f Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 15 Oct 2019 14:50:51 +0200 Subject: [PATCH 132/162] Wording fixes --- docs/strategy-customization.md | 8 ++++---- user_data/strategies/sample_strategy.py | 6 +++--- 2 files changed, 7 insertions(+), 7 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 39a36c469..40da697e6 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -138,7 +138,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses baove 30 + (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX 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 @@ -149,7 +149,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: ``` !!! Note - Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure backtesting does not buy/sell in no-activity periods. + Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the does not buy/sell in no-activity periods. ### Sell signal rules @@ -172,9 +172,9 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 30 + (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 70 (dataframe['tema'] > dataframe['bb_middleband']) & # Guard - (dataframe['tema'] < dataframe['tema'].shift(1)) & #Guard + (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard (dataframe['volume'] > 0) # Make sure Volume is not 0 ), 'sell'] = 1 diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 6d544c667..61f4fc15f 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -294,9 +294,9 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: - ADX crosses above 70 - (dataframe['tema'] > dataframe['bb_middleband']) & - (dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is raising + (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX 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 From e6e35c25849160774883e0ed4ed2a2ec56c41430 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 15 Oct 2019 19:38:23 +0200 Subject: [PATCH 133/162] Switch samplestrategy from ADX to RSI --- docs/strategy-customization.md | 6 +++--- tests/strategy/test_strategy.py | 4 ++-- user_data/strategies/sample_strategy.py | 11 +++++------ 3 files changed, 10 insertions(+), 11 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 40da697e6..ca76071af 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -138,7 +138,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses above 30 + (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 @@ -149,7 +149,7 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: ``` !!! Note - Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the does not buy/sell in no-activity periods. + 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 @@ -172,7 +172,7 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 70 + (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 diff --git a/tests/strategy/test_strategy.py b/tests/strategy/test_strategy.py index 88e29b40e..52216e0ef 100644 --- a/tests/strategy/test_strategy.py +++ b/tests/strategy/test_strategy.py @@ -39,7 +39,7 @@ 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): @@ -48,7 +48,7 @@ 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) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 61f4fc15f..6870de190 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -102,8 +102,10 @@ class SampleStrategy(IStrategy): # ------------------------------------ # ADX - dataframe['adx'] = ta.ADX(dataframe) + # dataframe['adx'] = ta.ADX(dataframe) + # RSI + dataframe['rsi'] = ta.RSI(dataframe) """ # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) @@ -132,9 +134,6 @@ 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) @@ -276,7 +275,7 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 30)) & # Signal: ADX crosses above 30 + (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 @@ -294,7 +293,7 @@ class SampleStrategy(IStrategy): """ dataframe.loc[ ( - (qtpylib.crossed_above(dataframe['adx'], 70)) & # Signal: ADX crosses above 70 + (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 From 36d5bb6f9939c91510f4721b358aff3568d921a6 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 15 Oct 2019 21:11:41 +0300 Subject: [PATCH 134/162] Adjust ADX placement in the comments --- user_data/strategies/sample_strategy.py | 11 ++++++----- 1 file changed, 6 insertions(+), 5 deletions(-) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 6870de190..35ddbdf68 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -98,15 +98,16 @@ class SampleStrategy(IStrategy): :return: a Dataframe with all mandatory indicators for the strategies """ - # Momentum Indicator + # Momentum Indicators # ------------------------------------ - # ADX - # dataframe['adx'] = ta.ADX(dataframe) - # RSI dataframe['rsi'] = ta.RSI(dataframe) + """ + # ADX + # dataframe['adx'] = ta.ADX(dataframe) + # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) @@ -253,7 +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 From a4dfd77d23bca8c2e65bca038d0f0fd069e89892 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Tue, 15 Oct 2019 22:35:14 +0300 Subject: [PATCH 135/162] Fix double comments for ADX --- user_data/strategies/sample_strategy.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/user_data/strategies/sample_strategy.py b/user_data/strategies/sample_strategy.py index 35ddbdf68..80c30283d 100644 --- a/user_data/strategies/sample_strategy.py +++ b/user_data/strategies/sample_strategy.py @@ -106,7 +106,7 @@ class SampleStrategy(IStrategy): """ # ADX - # dataframe['adx'] = ta.ADX(dataframe) + dataframe['adx'] = ta.ADX(dataframe) # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) From 1a765f1a172e20ce3ecc2c02ad5585952c1af763 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 14 Oct 2019 14:41:39 +0200 Subject: [PATCH 136/162] Return generator instead of Object from _get_valid_object --- freqtrade/resolvers/iresolver.py | 16 ++++++++-------- 1 file changed, 8 insertions(+), 8 deletions(-) diff --git a/freqtrade/resolvers/iresolver.py b/freqtrade/resolvers/iresolver.py index 6303d4801..5e82b4359 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, Type, Union, Generator logger = logging.getLogger(__name__) @@ -19,13 +19,13 @@ class IResolver: @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 +42,7 @@ 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 +59,9 @@ 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) From fda71085e05348db3f7374e726ad1bff4669a21a Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 15 Oct 2019 12:11:14 +0200 Subject: [PATCH 137/162] Refactor load-path building to parent class --- freqtrade/resolvers/hyperopt_resolver.py | 20 ++++---------------- freqtrade/resolvers/iresolver.py | 16 +++++++++++++++- freqtrade/resolvers/pairlist_resolver.py | 6 ++---- freqtrade/resolvers/strategy_resolver.py | 10 ++-------- 4 files changed, 23 insertions(+), 29 deletions(-) diff --git a/freqtrade/resolvers/hyperopt_resolver.py b/freqtrade/resolvers/hyperopt_resolver.py index e96394d69..db51c3ca5 100644 --- a/freqtrade/resolvers/hyperopt_resolver.py +++ b/freqtrade/resolvers/hyperopt_resolver.py @@ -52,14 +52,8 @@ 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}) @@ -109,14 +103,8 @@ 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 5e82b4359..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, Generator +from typing import Any, List, Optional, Tuple, Union, Generator logger = logging.getLogger(__name__) @@ -17,6 +17,20 @@ 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) -> Generator[Any, None, None]: diff --git a/freqtrade/resolvers/pairlist_resolver.py b/freqtrade/resolvers/pairlist_resolver.py index f38253155..2ddf5de2f 100644 --- a/freqtrade/resolvers/pairlist_resolver.py +++ b/freqtrade/resolvers/pairlist_resolver.py @@ -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 b9c641853..d6fbe9a7a 100644 --- a/freqtrade/resolvers/strategy_resolver.py +++ b/freqtrade/resolvers/strategy_resolver.py @@ -124,14 +124,8 @@ 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") From 5b58141f6b840f82bbf09161dcb2d4c70c879a01 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 17 Oct 2019 06:11:10 +0200 Subject: [PATCH 138/162] iFix grammar issue --- docs/data-download.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/data-download.md b/docs/data-download.md index b091f0069..83f5cd568 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -80,7 +80,7 @@ freqtrade download-data --exchange binance --pairs XRP/ETH ETH/BTC --days 20 --d ### Historic Kraken data -The Kraken API does only provide 720 historic candles, which is sufficient for regular trading operations, but a problem for backtesting. +The Kraken API does only provide 720 historic candles, which is sufficient for regular trading operations, 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 From a39d51d7d02bf685387275357ca9f8aaef08ce11 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 17 Oct 2019 19:33:21 +0200 Subject: [PATCH 139/162] Update test to use limit_buy_order --- tests/conftest.py | 6 ------ tests/test_freqtradebot.py | 15 +++++++-------- 2 files changed, 7 insertions(+), 14 deletions(-) diff --git a/tests/conftest.py b/tests/conftest.py index 6a0a74b5b..b0c68c805 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -896,12 +896,6 @@ 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(): diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 7fb84f078..28ba57c1d 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1678,7 +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) @@ -2188,7 +2188,7 @@ def test_check_handle_timedout_exception(default_conf, ticker, mocker, caplog) - 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() @@ -2201,12 +2201,11 @@ 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 - order['amount'] = 2 - assert not freqtrade.handle_timedout_limit_buy(trade, order) + limit_buy_order['amount'] = 2 + assert not freqtrade.handle_timedout_limit_buy(trade, limit_buy_order) assert cancel_order_mock.call_count == 2 @@ -3361,7 +3360,7 @@ 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) From c735d352656f05619a6134554ee5f8c1bf21ee41 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 17 Oct 2019 19:53:01 +0200 Subject: [PATCH 140/162] Extract open_trade generation from freqtradebot --- freqtrade/freqtradebot.py | 6 +- tests/conftest.py | 20 ++++- tests/test_freqtradebot.py | 148 +++++++++---------------------------- 3 files changed, 54 insertions(+), 120 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d62c6a912..46ff09173 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -11,7 +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 @@ -508,7 +508,7 @@ 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} " @@ -536,7 +536,7 @@ 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) diff --git a/tests/conftest.py b/tests/conftest.py index b0c68c805..8871c01b4 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) @@ -1069,3 +1069,19 @@ 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/test_freqtradebot.py b/tests/test_freqtradebot.py index 28ba57c1d..3072a4661 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1916,7 +1916,8 @@ def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order, 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) @@ -1929,31 +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) @@ -1969,32 +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() @@ -2009,31 +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) @@ -2045,30 +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) @@ -2083,32 +2036,22 @@ 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() patch_exchange(mocker) @@ -2120,33 +2063,20 @@ 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_exception(default_conf, ticker, open_trade, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) cancel_order_mock = MagicMock() @@ -2164,26 +2094,12 @@ 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) @@ -2204,9 +2120,11 @@ def test_handle_timedout_limit_buy(mocker, default_conf, limit_buy_order) -> Non 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 == 2 + assert cancel_order_mock.call_count == 1 def test_handle_timedout_limit_sell(mocker, default_conf) -> None: From 0ac46eddca5a5277148cc824c46d05873586b094 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 06:38:07 +0200 Subject: [PATCH 141/162] Add tests for new scenario --- tests/conftest.py | 8 ++++++++ tests/test_freqtradebot.py | 36 ++++++++++++++++++++++++++++++++++++ 2 files changed, 44 insertions(+) diff --git a/tests/conftest.py b/tests/conftest.py index 8871c01b4..7d3f1c7ab 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -608,6 +608,14 @@ 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 { diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 3072a4661..89e4a40da 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2076,6 +2076,42 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old assert trades[0].stake_amount == open_trade.open_rate * trades[0].amount +def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, caplog, + 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 = 0.0025 + open_trade.fee_close = 0.0025 + 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'] - 0.0001 + assert trades[0].open_order_id is None + assert trades[0].fee_open == 0 + + def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocker, caplog) -> None: patch_RPCManager(mocker) patch_exchange(mocker) From c181fac6c706fb334ca6f5e8b9200faf62afce7d Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 06:46:48 +0200 Subject: [PATCH 142/162] fix #2383 --- freqtrade/freqtradebot.py | 16 +++++++++++++--- tests/test_freqtradebot.py | 4 ++-- 2 files changed, 15 insertions(+), 5 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 46ff09173..9b9fd3531 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -802,16 +802,26 @@ 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']: + corder = self.exchange.cancel_order(trade.open_order_id, trade.pair) + 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") 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) + 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/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 89e4a40da..b5d36f994 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2053,7 +2053,7 @@ def test_check_handle_cancelled_sell(default_conf, ticker, limit_sell_order_old, def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old_partial, 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', @@ -2143,7 +2143,7 @@ def test_check_handle_timedout_exception(default_conf, ticker, open_trade, mocke 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 From 271846dfb6058afe80f376d1ab6bd36d331aaf9e Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 07:01:05 +0200 Subject: [PATCH 143/162] Simplify cancel timedout --- freqtrade/freqtradebot.py | 39 ++++++++++++++++++++++----------------- 1 file changed, 22 insertions(+), 17 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 9b9fd3531..4b4904d24 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -772,21 +772,19 @@ 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_timeoutthreashold)): + + 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_timeoutthreashold)): + 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""" @@ -802,10 +800,17 @@ class FreqtradeBot: """Buy timeout - cancel order :return: True if order was fully cancelled """ - corder = self.exchange.cancel_order(trade.open_order_id, trade.pair) + 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 From 2588990f4b1ec521accab7cff7e59fdcb142373f Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 07:10:02 +0200 Subject: [PATCH 144/162] Require unfilledtimeout - don't require telegram in config --- freqtrade/constants.py | 2 +- freqtrade/rpc/rpc_manager.py | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 697bc280f..a310b4896 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -266,6 +266,6 @@ CONF_SCHEMA = { 'stake_amount', 'dry_run', 'bid_strategy', - 'telegram' + 'unfilledtimeout', ] } 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)) From 9d739f98ac6fd9026b419feeed1d462036c1ef35 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 09:04:05 +0200 Subject: [PATCH 145/162] use requested - remaining amount - not the requested amount! --- freqtrade/freqtradebot.py | 7 +++--- tests/test_freqtradebot.py | 49 ++++++++++++++++++++++++++++++++++---- 2 files changed, 49 insertions(+), 7 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 4b4904d24..e3e2ed24b 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -466,12 +466,13 @@ class FreqtradeBot: if result: self.wallets.update() - 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 @@ -819,7 +820,7 @@ class FreqtradeBot: 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) + 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 diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index b5d36f994..503c0e78c 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2076,7 +2076,7 @@ def test_check_handle_timedout_partial(default_conf, ticker, limit_buy_order_old assert trades[0].stake_amount == open_trade.open_rate * trades[0].amount -def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, caplog, +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) @@ -2093,8 +2093,8 @@ def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, cap assert open_trade.amount == limit_buy_order_old_partial['amount'] - open_trade.fee_open = 0.0025 - open_trade.fee_close = 0.0025 + 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. @@ -2107,11 +2107,52 @@ def test_check_handle_timedout_partial_fee(default_conf, ticker, open_trade, cap 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'] - 0.0001 + 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) From 00a95945e198919e102113754861ae9b66af0729 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 10:00:43 +0200 Subject: [PATCH 146/162] Improve assumptions --- docs/backtesting.md | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/docs/backtesting.md b/docs/backtesting.md index d8d4cf00d..6db573224 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -195,6 +195,7 @@ 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 @@ -203,6 +204,9 @@ 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). From ed8d8057974ef897a32bb40bbb6d57f22d48bb91 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 11:31:43 +0200 Subject: [PATCH 147/162] Make paths os independent to have tests pass on windows --- tests/test_configuration.py | 9 +++++---- tests/test_plotting.py | 5 +++-- 2 files changed, 8 insertions(+), 6 deletions(-) diff --git a/tests/test_configuration.py b/tests/test_configuration.py index b133c3609..2aa805fe6 100644 --- a/tests/test_configuration.py +++ b/tests/test_configuration.py @@ -399,7 +399,7 @@ 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 @@ -652,9 +652,9 @@ 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: @@ -669,7 +669,8 @@ 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 diff --git a/tests/test_plotting.py b/tests/test_plotting.py index 86f5610da..a39b2b76e 100644 --- a/tests/test_plotting.py +++ b/tests/test_plotting.py @@ -214,11 +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) From e55b2a1a1cfca5b53a0888cea65719ad74a69ca1 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 12:21:05 +0200 Subject: [PATCH 148/162] Allow test to pass on fast computers by setting the offset to -1 --- tests/test_freqtradebot.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index 7fb84f078..d4a1d990a 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1449,8 +1449,8 @@ 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 - freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0 + # setting stoploss_on_exchange_interval to -1 second since this test runs fast + freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = -1 patch_get_signal(freqtrade) From 3208f30c308a200d5a9c2a37c15efcf17624e567 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 12:48:12 +0200 Subject: [PATCH 149/162] Fix base64 test on windows --- tests/strategy/test_strategy.py | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/tests/strategy/test_strategy.py b/tests/strategy/test_strategy.py index 52216e0ef..12770f2c7 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 @@ -51,7 +50,7 @@ def test_load_strategy_base64(result, caplog, default_conf): 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): From c649f9844e8bbff07b01a831fc80927a368523e0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 18 Oct 2019 19:36:04 +0200 Subject: [PATCH 150/162] Compare >= instead of = --- freqtrade/freqtradebot.py | 2 +- tests/test_freqtradebot.py | 4 ++-- 2 files changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d62c6a912..e2d4454ef 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -705,7 +705,7 @@ 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']) diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index d4a1d990a..b2268acc5 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1449,8 +1449,8 @@ 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 -1 second since this test runs fast - freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = -1 + # setting stoploss_on_exchange_interval to 0 seconds + freqtrade.strategy.order_types['stoploss_on_exchange_interval'] = 0 patch_get_signal(freqtrade) From 4ec83a2c24f23d0fe852c01d39289bf22c25600f Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 18 Oct 2019 23:29:19 +0300 Subject: [PATCH 151/162] DefaultHyperOpts --> DefaultHyperOpt; hyperopts --> hyperopt where it's not correct --- docs/bot-usage.md | 4 ++-- docs/faq.md | 4 ++-- docs/hyperopt.md | 12 ++++++------ freqtrade/constants.py | 2 +- freqtrade/optimize/default_hyperopt.py | 2 +- freqtrade/resolvers/pairlist_resolver.py | 4 ++-- tests/optimize/test_hyperopt.py | 10 +++++----- 7 files changed, 19 insertions(+), 19 deletions(-) diff --git a/docs/bot-usage.md b/docs/bot-usage.md index 7da0d029b..a0437976f 100644 --- a/docs/bot-usage.md +++ b/docs/bot-usage.md @@ -106,7 +106,7 @@ user_data/ ├── backtest_results ├── data ├── hyperopts -├── hyperopts_results +├── hyperopt_results ├── plot └── strategies ``` @@ -256,7 +256,7 @@ optional arguments: entry and exit). --customhyperopt NAME Specify hyperopt class name (default: - `DefaultHyperOpts`). + `DefaultHyperOpt`). --hyperopt-path PATH Specify additional lookup path for Hyperopts and Hyperopt Loss functions. --eps, --enable-position-stacking diff --git a/docs/faq.md b/docs/faq.md index a441ffacd..dd92d310e 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 1ca371e3d..99331707f 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/freqtrade/constants.py b/freqtrade/constants.py index a310b4896..e8f3f5783 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -10,7 +10,7 @@ DEFAULT_TICKER_INTERVAL = 5 # min HYPEROPT_EPOCH = 100 # epochs RETRY_TIMEOUT = 30 # sec DEFAULT_STRATEGY = 'DefaultStrategy' -DEFAULT_HYPEROPT = 'DefaultHyperOpts' +DEFAULT_HYPEROPT = 'DefaultHyperOpt' DEFAULT_HYPEROPT_LOSS = 'DefaultHyperOptLoss' DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite' DEFAULT_DB_DRYRUN_URL = 'sqlite://' 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/resolvers/pairlist_resolver.py b/freqtrade/resolvers/pairlist_resolver.py index 2ddf5de2f..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'] diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index c9a112422..052c3ba77 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, @@ -148,12 +148,12 @@ 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)) ) x = HyperOptResolver(default_conf, ).hyperopt assert not hasattr(x, 'populate_buy_trend') From 30eb23e1aaa7b2d9dd365e55bd7d9d40a29277b5 Mon Sep 17 00:00:00 2001 From: hroff-1902 Date: Fri, 18 Oct 2019 23:41:07 +0300 Subject: [PATCH 152/162] Minor freqtrade cleanup --- freqtrade/freqtradebot.py | 13 ++++++------- 1 file changed, 6 insertions(+), 7 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 8a282baa1..ed5116b08 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -748,8 +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: @@ -773,17 +773,16 @@ class FreqtradeBot: self.wallets.update() continue - if (order['side'] == 'buy' - and order['status'] == 'canceled' + if ((order['side'] == 'buy' and order['status'] == 'canceled') or (order['status'] == 'open' - and order['side'] == 'buy' and ordertime < buy_timeoutthreashold)): + 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' + elif ((order['side'] == 'sell' and order['status'] == 'canceled') or (order['status'] == 'open' - and order['side'] == 'sell' and ordertime < sell_timeoutthreashold)): + and order['side'] == 'sell' and ordertime < sell_timeout_threshold)): self.handle_timedout_limit_sell(trade, order) self.wallets.update() From fd22c87295c6f059220bbed5a06271ec2096f4b2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 10:05:30 +0200 Subject: [PATCH 153/162] Some minor cleanups to trades download methods and docs --- docs/data-download.md | 10 +++++----- freqtrade/configuration/cli_options.py | 3 ++- freqtrade/exchange/exchange.py | 11 +++++------ 3 files changed, 12 insertions(+), 12 deletions(-) diff --git a/docs/data-download.md b/docs/data-download.md index 83f5cd568..bf4792ea3 100644 --- a/docs/data-download.md +++ b/docs/data-download.md @@ -59,12 +59,12 @@ This will download ticker data for all the currency pairs you defined in `pairs. ### Trades (tick) data -By default, download-data downloads Candles (OHLCV) data. Some exchanges also provide historic trade-data via their API. +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 supported, so downloading the data once per week with `--days 8` will create an incremental data-repository. +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 trades, and resamples the data locally. +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: @@ -76,11 +76,11 @@ freqtrade download-data --exchange binance --pairs XRP/ETH ETH/BTC --days 20 --d 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 - This datatype is not available during trading. It probably will never be since all exchanges tested don't provide this data in real time, but with a delay of a few 100 candles. + 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 regular trading operations, but is a problem for backtesting. +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 diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 9868ab874..650123127 100644 --- a/freqtrade/configuration/cli_options.py +++ b/freqtrade/configuration/cli_options.py @@ -275,7 +275,8 @@ AVAILABLE_CLI_OPTIONS = { ), "download_trades": Arg( '--dl-trades', - help='Download trades instead of OHLCV data.', + 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( diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 86078ae05..f8d3d840a 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -754,7 +754,7 @@ class Exchange: 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 tuple: (pair, ticker_interval, ohlcv_list) + returns: List of dicts containing trades """ try: # fetch trades asynchronously @@ -790,7 +790,7 @@ class Exchange: :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, ticker_interval, ohlcv_list) + returns tuple: (pair, trades-list) """ trades: List[Dict] = [] @@ -831,7 +831,7 @@ class Exchange: :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, ticker_interval, ohlcv_list) + returns tuple: (pair, trades-list) """ trades: List[Dict] = [] @@ -857,9 +857,6 @@ class Exchange: """ Async wrapper handling downloading trades using either time or id based methods. """ - if not self.exchange_has("fetchTrades"): - # TODO: Maybe don't stop the bot ... ? - raise OperationalException("This exchange does not suport downloading Trades.") if self._trades_pagination == 'time': return await self._async_get_trade_history_time( @@ -889,6 +886,8 @@ class Exchange: :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, From b152585d9b9ad3e832734f91286bcb6690139b42 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 11:13:10 +0200 Subject: [PATCH 154/162] exportfilename should respect configured user_data_dir --- freqtrade/configuration/cli_options.py | 3 --- freqtrade/configuration/configuration.py | 10 +++++++--- 2 files changed, 7 insertions(+), 6 deletions(-) diff --git a/freqtrade/configuration/cli_options.py b/freqtrade/configuration/cli_options.py index 7e6a956ce..b5f534a12 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 @@ -141,8 +140,6 @@ 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', diff --git a/freqtrade/configuration/configuration.py b/freqtrade/configuration/configuration.py index 665999efb..967f8b5b5 100644 --- a/freqtrade/configuration/configuration.py +++ b/freqtrade/configuration/configuration.py @@ -192,6 +192,13 @@ 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 @@ -235,9 +242,6 @@ 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"]) From f41c659cb2a2e97e572b1e4703b11c1e2d9258cb Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 13:18:52 +0200 Subject: [PATCH 155/162] Plotting trades from database should show correct duration --- freqtrade/data/btanalysis.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) 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, From 0adcee92334a46935c6a3b6b57278f0babc74a9c Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 14:34:55 +0200 Subject: [PATCH 156/162] Fix backtesting format since sublist does not render correctly --- docs/backtesting.md | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 6db573224..7bfc2dab5 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -199,9 +199,8 @@ Since backtesting lacks some detailed information about what happens within a ca - 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 -- Trailing stoploss - - High happens first - adjusting stoploss - - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) +- Trailing stoploss: High happens first - adjusting stoploss +- Trailing stoploss: 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. From 16e10d99b98f1dee27c0176017a179e108a69fff Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 14:53:56 +0200 Subject: [PATCH 157/162] Remove timeframe logic for non-date entries --- docs/backtesting.md | 6 ------ docs/edge.md | 5 +---- freqtrade/configuration/timerange.py | 9 ++++++--- freqtrade/data/history.py | 12 ++---------- tests/data/test_btanalysis.py | 4 ++-- 5 files changed, 11 insertions(+), 25 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 6db573224..837fcfa3b 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -103,12 +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 diff --git a/docs/edge.md b/docs/edge.md index d91522770..6374da9e6 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/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index ec6eb75e6..2e92c9d85 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -42,9 +42,8 @@ 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})-(\d{13})$', ('date', 'date')), + ] for rex, stype in syntax: # Apply the regular expression to text match = re.match(rex, text) @@ -57,6 +56,8 @@ 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 +65,8 @@ 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/data/history.py b/freqtrade/data/history.py index 991a639ca..3bebcf44f 100644 --- a/freqtrade/data/history.py +++ b/freqtrade/data/history.py @@ -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 diff --git a/tests/data/test_btanalysis.py b/tests/data/test_btanalysis.py index 27a8ee02e..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], From c48876b19660ff5416dce5915916885ad5dd4780 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 15:21:47 +0200 Subject: [PATCH 158/162] Trades should use timestamps or dates, not indexes --- tests/data/test_history.py | 38 ------------------------------ tests/optimize/test_backtesting.py | 19 ++++++++------- tests/strategy/test_interface.py | 2 +- tests/test_timerange.py | 6 +---- 4 files changed, 12 insertions(+), 53 deletions(-) diff --git a/tests/data/test_history.py b/tests/data/test_history.py index 96bc0da56..2d292c7cd 100644 --- a/tests/data/test_history.py +++ b/tests/data/test_history.py @@ -364,37 +364,6 @@ def test_trim_tickerlist(testdatadir) -> None: 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) @@ -434,13 +403,6 @@ def test_trim_tickerlist(testdatadir) -> 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) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 2b6f63516..998edda8a 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -49,7 +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) @@ -342,7 +342,8 @@ def test_tickerdata_with_fee(default_conf, mocker, testdatadir) -> None: 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)} @@ -474,7 +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() @@ -522,7 +523,7 @@ def test_backtest(default_conf, fee, mocker, testdatadir) -> None: 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) @@ -578,7 +579,7 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker, testdatadir) - 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) @@ -823,7 +824,7 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): '--datadir', str(testdatadir), 'backtesting', '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions' ] @@ -833,7 +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 ...', @@ -869,7 +870,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): '--datadir', str(testdatadir), 'backtesting', '--ticker-interval', '1m', - '--timerange', '-100', + '--timerange', '1510694220-1510700340', '--enable-position-stacking', '--disable-max-market-positions', '--strategy-list', @@ -887,7 +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/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/test_timerange.py b/tests/test_timerange.py index 6599472fb..2f4b00e70 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 +17,8 @@ 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 with pytest.raises(Exception, match=r'Incorrect syntax.*'): TimeRange.parse_timerange('-') From d8630ef8472e575f64e600fcf0252c72d5afb91b Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 19 Oct 2019 19:38:16 +0200 Subject: [PATCH 159/162] Add one-sided ms timerange --- freqtrade/configuration/timerange.py | 2 ++ tests/test_timerange.py | 6 ++++++ 2 files changed, 8 insertions(+) diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index 2e92c9d85..fc759ab6e 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -42,6 +42,8 @@ class TimeRange: (r'^-(\d{10})$', (None, 'date')), (r'^(\d{10})-$', ('date', None)), (r'^(\d{10})-(\d{10})$', ('date', 'date')), + (r'^-(\d{13})$', (None, 'date')), + (r'^(\d{13})-$', ('date', None)), (r'^(\d{13})-(\d{13})$', ('date', 'date')), ] for rex, stype in syntax: diff --git a/tests/test_timerange.py b/tests/test_timerange.py index 2f4b00e70..4851cbebd 100644 --- a/tests/test_timerange.py +++ b/tests/test_timerange.py @@ -20,5 +20,11 @@ def test_parse_timerange_incorrect() -> None: timerange = TimeRange.parse_timerange('1231006505000-1233360000000') 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('-') From b805e4e1501e9a52b22768b749cd59e918ab1ba5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 20 Oct 2019 10:34:04 +0200 Subject: [PATCH 160/162] Try list extension --- docs/backtesting.md | 5 +++-- mkdocs.yml | 1 + 2 files changed, 4 insertions(+), 2 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 7bfc2dab5..6db573224 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -199,8 +199,9 @@ Since backtesting lacks some detailed information about what happens within a ca - 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 -- Trailing stoploss: High happens first - adjusting stoploss -- Trailing stoploss: Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) +- Trailing stoploss + - High happens first - adjusting stoploss + - 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. diff --git a/mkdocs.yml b/mkdocs.yml index 197df7dc8..863731873 100644 --- a/mkdocs.yml +++ b/mkdocs.yml @@ -52,3 +52,4 @@ markdown_extensions: - pymdownx.tasklist: custom_checkbox: true - pymdownx.tilde + - mdx_truly_sane_lists From 78cd75dfef16a52eeb9646be34b230ddbae7ed5d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 20 Oct 2019 10:35:36 +0200 Subject: [PATCH 161/162] Add requirement --- docs/requirements-docs.txt | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt index 0be47081c..5e7fe7084 100644 --- a/docs/requirements-docs.txt +++ b/docs/requirements-docs.txt @@ -1 +1,2 @@ -mkdocs-material==4.4.3 \ No newline at end of file +mkdocs-material==4.4.3 +mdx_truly_sane_lists==1.2 From 8a31b4c646e1a4f1a529caa283dce1a98f94775b Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 20 Oct 2019 10:47:04 +0200 Subject: [PATCH 162/162] Update python base to 3.7.5 and install hyperopt dependencies --- Dockerfile | 6 +++--- requirements-hyperopt.txt | 2 +- 2 files changed, 4 insertions(+), 4 deletions(-) diff --git a/Dockerfile b/Dockerfile index 8677b54de..21432f89f 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/requirements-hyperopt.txt b/requirements-hyperopt.txt index 709c43d92..f5dae7332 100644 --- a/requirements-hyperopt.txt +++ b/requirements-hyperopt.txt @@ -1,5 +1,5 @@ # Include all requirements to run the bot. -# -r requirements.txt +-r requirements.txt # Required for hyperopt scipy==1.3.1