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Merge branch 'feat/short' into pr/samgermain/5780

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Matthias 2021-12-02 20:25:30 +01:00
commit fae7167bf3
6 changed files with 63 additions and 92 deletions
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3
docs/configuration.md
View File

@ -128,9 +128,10 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `exchange.key` | API key to use for the exchange. Only required when you are in production mode.<br>**Keep it in secret, do not disclose publicly.** <br> **Datatype:** String
| `exchange.secret` | API secret to use for the exchange. Only required when you are in production mode.<br>**Keep it in secret, do not disclose publicly.** <br> **Datatype:** String
| `exchange.password` | API password to use for the exchange. Only required when you are in production mode and for exchanges that use password for API requests.<br>**Keep it in secret, do not disclose publicly.** <br> **Datatype:** String
| `exchange.uid` | API uid to use for the exchange. Only required when you are in production mode and for exchanges that use uid for API requests.<br>**Keep it in secret, do not disclose publicly.** <br> **Datatype:** String
| `exchange.pair_whitelist` | List of pairs to use by the bot for trading and to check for potential trades during backtesting. Supports regex pairs as `.*/BTC`. Not used by VolumePairList. [More information](plugins.md#pairlists-and-pairlist-handlers). <br> **Datatype:** List
| `exchange.pair_blacklist` | List of pairs the bot must absolutely avoid for trading and backtesting. [More information](plugins.md#pairlists-and-pairlist-handlers). <br> **Datatype:** List
| `exchange.ccxt_config` | Additional CCXT parameters passed to both ccxt instances (sync and async). This is usually the correct place for ccxt configurations. Parameters may differ from exchange to exchange and are documented in the [ccxt documentation](https://ccxt.readthedocs.io/en/latest/manual.html#instantiation) <br> **Datatype:** Dict
| `exchange.ccxt_config` | Additional CCXT parameters passed to both ccxt instances (sync and async). This is usually the correct place for additional ccxt configurations. Parameters may differ from exchange to exchange and are documented in the [ccxt documentation](https://ccxt.readthedocs.io/en/latest/manual.html#instantiation). Please avoid adding exchange secrets here (use the dedicated fields instead), as they may be contained in logs. <br> **Datatype:** Dict
| `exchange.ccxt_sync_config` | Additional CCXT parameters passed to the regular (sync) 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) <br> **Datatype:** Dict
| `exchange.ccxt_async_config` | 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) <br> **Datatype:** Dict
| `exchange.markets_refresh_interval` | The interval in minutes in which markets are reloaded. <br>*Defaults to `60` minutes.* <br> **Datatype:** Positive Integer

49
freqtrade/data/history/hdf5datahandler.py
View File

@ -6,7 +6,6 @@ from typing import List, Optional
import numpy as np
import pandas as pd
from freqtrade import misc
from freqtrade.configuration import TimeRange
from freqtrade.constants import (DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS,
ListPairsWithTimeframes, TradeList)
@ -121,20 +120,6 @@ class HDF5DataHandler(IDataHandler):
'low': 'float', 'close': 'float', 'volume': 'float'})
return pairdata
def ohlcv_purge(self, pair: str, timeframe: str, candle_type: str = '') -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:param timeframe: Timeframe (e.g. "5m")
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
if filename.exists():
filename.unlink()
return True
return False
def ohlcv_append(
self,
pair: str,
@ -210,17 +195,9 @@ class HDF5DataHandler(IDataHandler):
trades[['id', 'type']] = trades[['id', 'type']].replace({np.nan: None})
return trades.values.tolist()
def trades_purge(self, pair: str) -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_trades_filename(self._datadir, pair)
if filename.exists():
filename.unlink()
return True
return False
@classmethod
def _get_file_extension(cls):
return "h5"
@classmethod
def _pair_ohlcv_key(cls, pair: str, timeframe: str) -> str:
@ -229,23 +206,3 @@ class HDF5DataHandler(IDataHandler):
@classmethod
def _pair_trades_key(cls, pair: str) -> str:
return f"{pair}/trades"
@classmethod
def _pair_data_filename(
cls,
datadir: Path,
pair: str,
timeframe: str,
candle_type: str = ''
) -> Path:
pair_s = misc.pair_to_filename(pair)
if candle_type:
candle_type = f"-{candle_type}"
filename = datadir.joinpath(f'{pair_s}-{timeframe}{candle_type}.h5')
return filename
@classmethod
def _pair_trades_filename(cls, datadir: Path, pair: str) -> Path:
pair_s = misc.pair_to_filename(pair)
filename = datadir.joinpath(f'{pair_s}-trades.h5')
return filename

40
freqtrade/data/history/idatahandler.py
View File

@ -13,6 +13,7 @@ from typing import List, Optional, Type
from pandas import DataFrame
from freqtrade import misc
from freqtrade.configuration import TimeRange
from freqtrade.constants import ListPairsWithTimeframes, TradeList
from freqtrade.data.converter import clean_ohlcv_dataframe, trades_remove_duplicates, trim_dataframe
@ -29,6 +30,13 @@ class IDataHandler(ABC):
def __init__(self, datadir: Path) -> None:
self._datadir = datadir
@classmethod
def _get_file_extension(cls) -> str:
"""
Get file extension for this particular datahandler
"""
raise NotImplementedError()
@abstractclassmethod
def ohlcv_get_available_data(cls, datadir: Path) -> ListPairsWithTimeframes:
"""
@ -83,7 +91,6 @@ class IDataHandler(ABC):
:return: DataFrame with ohlcv data, or empty DataFrame
"""
@abstractmethod
def ohlcv_purge(self, pair: str, timeframe: str, candle_type: str = '') -> bool:
"""
Remove data for this pair
@ -92,6 +99,11 @@ class IDataHandler(ABC):
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
if filename.exists():
filename.unlink()
return True
return False
@abstractmethod
def ohlcv_append(
@ -144,13 +156,17 @@ class IDataHandler(ABC):
:return: List of trades
"""
@abstractmethod
def trades_purge(self, pair: str) -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_trades_filename(self._datadir, pair)
if filename.exists():
filename.unlink()
return True
return False
def trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
"""
@ -162,6 +178,26 @@ class IDataHandler(ABC):
"""
return trades_remove_duplicates(self._trades_load(pair, timerange=timerange))
@classmethod
def _pair_data_filename(
cls,
datadir: Path,
pair: str,
timeframe: str,
candle_type: str = ''
) -> Path:
pair_s = misc.pair_to_filename(pair)
if candle_type:
candle_type = f"-{candle_type}"
filename = datadir.joinpath(f'{pair_s}-{timeframe}{candle_type}.{cls._get_file_extension()}')
return filename
@classmethod
def _pair_trades_filename(cls, datadir: Path, pair: str) -> Path:
pair_s = misc.pair_to_filename(pair)
filename = datadir.joinpath(f'{pair_s}-trades.{cls._get_file_extension()}')
return filename
@staticmethod
def rebuild_pair_from_filename(pair: str) -> str:
"""

33
freqtrade/data/history/jsondatahandler.py
View File

@ -198,43 +198,10 @@ class JsonDataHandler(IDataHandler):
pass
return tradesdata
def trades_purge(self, pair: str) -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_trades_filename(self._datadir, pair)
if filename.exists():
filename.unlink()
return True
return False
@classmethod
def _pair_data_filename(
cls,
datadir: Path,
pair: str,
timeframe: str,
candle_type: str = ''
) -> Path:
pair_s = misc.pair_to_filename(pair)
if candle_type:
candle_type = f"-{candle_type}"
filename = datadir.joinpath(
f'{pair_s}-{timeframe}{candle_type}.{cls._get_file_extension()}')
return filename
@classmethod
def _get_file_extension(cls):
return "json.gz" if cls._use_zip else "json"
@classmethod
def _pair_trades_filename(cls, datadir: Path, pair: str) -> Path:
pair_s = misc.pair_to_filename(pair)
filename = datadir.joinpath(f'{pair_s}-trades.{cls._get_file_extension()}')
return filename
class JsonGzDataHandler(JsonDataHandler):

4
freqtrade/exchange/exchange.py
View File

@ -770,6 +770,7 @@ class Exchange:
if not self.exchange_has('fetchL2OrderBook'):
return True
ob = self.fetch_l2_order_book(pair, 1)
try:
if side == 'buy':
price = ob['asks'][0][0]
logger.debug(f"{pair} checking dry buy-order: price={price}, limit={limit}")
@ -780,6 +781,9 @@ class Exchange:
logger.debug(f"{pair} checking dry sell-order: price={price}, limit={limit}")
if limit <= price:
return True
except IndexError:
# Ignore empty orderbooks when filling - can be filled with the next iteration.
pass
return False
def check_dry_limit_order_filled(self, order: Dict[str, Any]) -> Dict[str, Any]:

6
tests/exchange/test_exchange.py
View File

@ -1064,6 +1064,12 @@ def test_create_dry_run_order_limit_fill(default_conf, mocker, side, startprice,
assert order_closed['status'] == 'closed'
assert order['fee']
# Empty orderbook test
mocker.patch('freqtrade.exchange.Exchange.fetch_l2_order_book',
return_value={'asks': [], 'bids': []})
exchange._dry_run_open_orders[order['id']]['status'] = 'open'
order_closed = exchange.fetch_dry_run_order(order['id'])
@pytest.mark.parametrize("side,rate,amount,endprice", [
# spread is 25.263-25.266