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Add function to search exchange for closest matching pairs/tfs

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This commit is contained in:
robcaulk
2022-09-17 15:05:50 +02:00
parent 4d93a6b757
commit ff300d5c85
3 changed files with 38 additions and 23 deletions
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17
docs/freqai.md
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@@ -872,20 +872,3 @@ Users can then use these columns, concert with all their own additional indicato
return df
```
The user does need to ensure their `informative_pairs()` contains the following (users can add their own `informative_pair` needs to the bottom of this template):
```python
def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist()
corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"]
informative_pairs = []
for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]:
for pair in whitelist_pairs:
informative_pairs.append((pair, tf))
for pair in corr_pairs:
if pair in whitelist_pairs:
continue # avoid duplication
informative_pairs.append((pair, tf))
return informative_pairs
```

11
freqtrade/freqai/spice_rack/lightgbm_config.json
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@@ -8,18 +8,19 @@
"identifier": "spicy-id",
"feature_parameters": {
"include_timeframes": [
"3m",
"15m",
"1h"
"30m",
"1h",
"4h"
],
"include_corr_pairlist": [
"BTC/USDT",
"ETH/USDT"
"BTC/USD",
"ETH/USD"
],
"label_period_candles": 20,
"include_shifted_candles": 2,
"DI_threshold": 0.9,
"weight_factor": 0.9,
"principal_component_analysis": true,
"indicator_periods_candles": [
10,
20

33
freqtrade/strategy/interface.py
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@@ -157,7 +157,6 @@ class IStrategy(ABC, HyperStrategyMixin):
if spice_rack:
import types
from freqtrade.freqai.utils import auto_populate_any_indicators
self.populate_any_indicators = types.MethodType( # type: ignore
auto_populate_any_indicators, self)
@@ -189,12 +188,44 @@ class IStrategy(ABC, HyperStrategyMixin):
def setup_freqai_spice_rack(self, config: dict) -> Dict[str, Any]:
import json
from pathlib import Path
import difflib
auto_config = config.get('freqai_config', 'lightgbm_config.json')
with open(Path('freqtrade') / 'freqai' / 'spice_rack'
/ auto_config) as json_file:
freqai_config = json.load(json_file)
config['freqai'] = freqai_config['freqai']
config['freqai']['identifier'] = config['freqai_identifier']
corr_pairs = config['freqai']['feature_parameters']['include_corr_pairlist']
timeframes = config['freqai']['feature_parameters']['include_timeframes']
new_corr_pairs = []
new_tfs = []
# find the closest pairs to what the default config wants
for pair in corr_pairs:
closest_pair = difflib.get_close_matches(
pair,
self.dp._exchange.markets # type: ignore
)[0]
new_corr_pairs.append(closest_pair)
logger.info(f'Spice rack will use {closest_pair} as informative in FreqAI model.')
# find the closest matching timeframes to what the default config wants
if timeframe_to_seconds(config['timeframe']) > timeframe_to_seconds('15m'):
logger.warning('Default spice rack is designed for lower base timeframes (e.g. > '
f'15m). But user passed {config["timeframe"]}.')
new_tfs.append(config['timeframe'])
list_tfs = [timeframe_to_seconds(tf) for tf
in self.dp._exchange.timeframes] # type: ignore
for tf in timeframes:
tf_secs = timeframe_to_seconds(tf)
closest_index = min(range(len(list_tfs)), key=lambda i: abs(list_tfs[i] - tf_secs))
closest_tf = self.dp._exchange.timeframes[closest_index] # type: ignore
logger.info(f'Spice rack will use {closest_tf} as informative tf in FreqAI model.')
new_tfs.append(closest_tf)
config['freqai']['feature_parameters'].update({'include_timeframes': new_tfs})
config['freqai']['feature_parameters'].update({'include_corr_pairlist': new_corr_pairs})
config.update({"freqaimodel": 'LightGBMRegressorMultiTarget'})
return config