Merge branch 'release/0.14.2'

Refreshs the whitelist in each iteration based on the wallet health,
disabled wallets will be removed from the whitelist automatically.

README.md

@@ -22,8 +22,11 @@ Persistence is achieved through sqlite.
 * /status [table]: Lists all open trades
 * /count: Displays number of open trades
 * /profit: Lists cumulative profit from all finished trades
-* /forcesell <trade_id>: Instantly sells the given trade (Ignoring `minimum_roi`).
+* /forcesell <trade_id>|all: Instantly sells the given trade (Ignoring `minimum_roi`).
 * /performance: Show performance of each finished trade grouped by pair
+* /balance: Show account balance per currency
+* /help: Show help message
+* /version: Show version
 
 ### Config
 `minimal_roi` is a JSON object where the key is a duration
@@ -112,14 +115,14 @@ filesystem):
 
 ```
 $ cd ~/.freq
-$ touch tradesv2.sqlite
+$ touch tradesv3.sqlite
 $ docker run -d \
   --name freqtrade \
   -v ~/.freq/config.json:/freqtrade/config.json \
-  -v ~/.freq/tradesv2.sqlite:/freqtrade/tradesv2.sqlite \
+  -v ~/.freq/tradesv3.sqlite:/freqtrade/tradesv3.sqlite \
   freqtrade
 ```
-If you are using `dry_run=True` you need to bind `tradesv2.dry_run.sqlite` instead of `tradesv2.sqlite`.
+If you are using `dry_run=True` it's not necessary to mount `tradesv3.sqlite`.
 
 You can then use the following commands to monitor and manage your container:
 

config.json.example

@@ -34,5 +34,8 @@
         "token": "token",
         "chat_id": "chat_id"
     },
-    "initial_state": "running"
+    "initial_state": "running",
+    "internals": {
+        "process_throttle_secs": 5
+    }
 }

freqtrade/__init__.py

@@ -1,3 +1,3 @@
-__version__ = '0.14.1'
+__version__ = '0.14.2'
 
 from . import main

freqtrade/analyze.py

@@ -8,8 +8,6 @@ from pandas import DataFrame, to_datetime
 from freqtrade.exchange import get_ticker_history
 from freqtrade.vendor.qtpylib.indicators import awesome_oscillator
 
-logging.basicConfig(level=logging.DEBUG,
-                    format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
 logger = logging.getLogger(__name__)
 
 
@@ -41,9 +39,7 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame:
     dataframe['sma'] = ta.SMA(dataframe, timeperiod=40)
     dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
     dataframe['mfi'] = ta.MFI(dataframe)
-    dataframe['cci'] = ta.CCI(dataframe)
     dataframe['rsi'] = ta.RSI(dataframe)
-    dataframe['mom'] = ta.MOM(dataframe)
     dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
     dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
     dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
@@ -53,6 +49,9 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame:
     dataframe['macd'] = macd['macd']
     dataframe['macdsignal'] = macd['macdsignal']
     dataframe['macdhist'] = macd['macdhist']
+    hilbert = ta.HT_SINE(dataframe)
+    dataframe['htsine'] = hilbert['sine']
+    dataframe['htleadsine'] = hilbert['leadsine']
     return dataframe
 
 
@@ -80,13 +79,12 @@ def analyze_ticker(pair: str) -> DataFrame:
     add several TA indicators and buy signal to it
     :return DataFrame with ticker data and indicator data
     """
-    data = get_ticker_history(pair)
-    dataframe = parse_ticker_dataframe(data)
-
-    if dataframe.empty:
-        logger.warning('Empty dataframe for pair %s', pair)
-        return dataframe
+    ticker_hist = get_ticker_history(pair)
+    if not ticker_hist:
+        logger.warning('Empty ticker history for pair %s', pair)
+        return DataFrame()
 
+    dataframe = parse_ticker_dataframe(ticker_hist)
     dataframe = populate_indicators(dataframe)
     dataframe = populate_buy_trend(dataframe)
     return dataframe
@@ -99,7 +97,6 @@ def get_buy_signal(pair: str) -> bool:
     :return: True if pair is good for buying, False otherwise
     """
     dataframe = analyze_ticker(pair)
-
     if dataframe.empty:
         return False
 

freqtrade/exchange/__init__.py

@@ -4,6 +4,7 @@ from random import randint
 from typing import List, Dict, Any, Optional
 
 import arrow
+from cachetools import cached, TTLCache
 
 from freqtrade.exchange.bittrex import Bittrex
 from freqtrade.exchange.interface import Exchange
@@ -127,7 +128,8 @@ def get_ticker(pair: str) -> dict:
     return _API.get_ticker(pair)
 
 
-def get_ticker_history(pair: str, tick_interval: Optional[int] = 5) -> List:
+@cached(TTLCache(maxsize=100, ttl=30))
+def get_ticker_history(pair: str, tick_interval: Optional[int] = 5) -> List[Dict]:
     return _API.get_ticker_history(pair, tick_interval)
 
 
@@ -157,13 +159,17 @@ def get_markets() -> List[str]:
     return _API.get_markets()
 
 
+def get_market_summaries() -> List[Dict]:
+    return _API.get_market_summaries()
+
+
 def get_name() -> str:
     return _API.name
 
 
-def get_sleep_time() -> float:
-    return _API.sleep_time
-
-
 def get_fee() -> float:
     return _API.fee
+
+
+def get_wallet_health() -> List[Dict]:
+    return _API.get_wallet_health()

freqtrade/exchange/bittrex.py

@@ -1,14 +1,14 @@
 import logging
 from typing import List, Dict
 
-import requests
-from bittrex.bittrex import Bittrex as _Bittrex
+from bittrex.bittrex import Bittrex as _Bittrex, API_V2_0, API_V1_1
 
 from freqtrade.exchange.interface import Exchange
 
 logger = logging.getLogger(__name__)
 
 _API: _Bittrex = None
+_API_V2: _Bittrex = None
 _EXCHANGE_CONF: dict = {}
 
 
@@ -18,22 +18,23 @@ class Bittrex(Exchange):
     """
     # Base URL and API endpoints
     BASE_URL: str = 'https://www.bittrex.com'
-    TICKER_METHOD: str = BASE_URL + '/Api/v2.0/pub/market/GetTicks'
     PAIR_DETAIL_METHOD: str = BASE_URL + '/Market/Index'
 
-    @property
-    def sleep_time(self) -> float:
-        """ Sleep time to avoid rate limits, used in the main loop """
-        return 25
-
     def __init__(self, config: dict) -> None:
-        global _API, _EXCHANGE_CONF
+        global _API, _API_V2, _EXCHANGE_CONF
 
         _EXCHANGE_CONF.update(config)
         _API = _Bittrex(
             api_key=_EXCHANGE_CONF['key'],
             api_secret=_EXCHANGE_CONF['secret'],
-            calls_per_second=5,
+            calls_per_second=1,
+            api_version=API_V1_1,
+        )
+        _API_V2 = _Bittrex(
+            api_key=_EXCHANGE_CONF['key'],
+            api_secret=_EXCHANGE_CONF['secret'],
+            calls_per_second=1,
+            api_version=API_V2_0,
         )
 
     @property
@@ -81,13 +82,17 @@ class Bittrex(Exchange):
             raise RuntimeError('{message} params=({pair})'.format(
                 message=data['message'],
                 pair=pair))
+        if not data['result']['Bid'] or not data['result']['Ask'] or not data['result']['Last']:
+            raise RuntimeError('{message} params=({pair})'.format(
+                message=data['message'],
+                pair=pair))
         return {
             'bid': float(data['result']['Bid']),
             'ask': float(data['result']['Ask']),
             'last': float(data['result']['Last']),
         }
 
-    def get_ticker_history(self, pair: str, tick_interval: int):
+    def get_ticker_history(self, pair: str, tick_interval: int) -> List[Dict]:
         if tick_interval == 1:
             interval = 'oneMin'
         elif tick_interval == 5:
@@ -95,10 +100,18 @@ class Bittrex(Exchange):
         else:
             raise ValueError('Cannot parse tick_interval: {}'.format(tick_interval))
 
-        data = requests.get(self.TICKER_METHOD, params={
-            'marketName': pair.replace('_', '-'),
-            'tickInterval': interval,
-        }).json()
+        data = _API_V2.get_candles(pair.replace('_', '-'), interval)
+
+        # These sanity check are necessary because bittrex cannot keep their API stable.
+        if not data.get('result'):
+            return []
+
+        for prop in ['C', 'V', 'O', 'H', 'L', 'T']:
+            for tick in data['result']:
+                if prop not in tick.keys():
+                    logger.warning('Required property %s not present in response', prop)
+                    return []
+
         if not data['success']:
             raise RuntimeError('{message} params=({pair})'.format(
                 message=data['message'],
@@ -139,3 +152,20 @@ class Bittrex(Exchange):
         if not data['success']:
             raise RuntimeError('{message}'.format(message=data['message']))
         return [m['MarketName'].replace('-', '_') for m in data['result']]
+
+    def get_market_summaries(self) -> List[Dict]:
+        data = _API.get_market_summaries()
+        if not data['success']:
+            raise RuntimeError('{message}'.format(message=data['message']))
+        return data['result']
+
+    def get_wallet_health(self) -> List[Dict]:
+        data = _API_V2.get_wallet_health()
+        if not data['success']:
+            raise RuntimeError('{message}'.format(message=data['message']))
+        return [{
+            'Currency': entry['Health']['Currency'],
+            'IsActive': entry['Health']['IsActive'],
+            'LastChecked': entry['Health']['LastChecked'],
+            'Notice': entry['Currency'].get('Notice'),
+        } for entry in data['result']]

freqtrade/exchange/interface.py

@@ -18,14 +18,6 @@ class Exchange(ABC):
         :return: percentage in float
         """
 
-    @property
-    @abstractmethod
-    def sleep_time(self) -> float:
-        """
-        Sleep time in seconds for the main loop to avoid API rate limits.
-        :return: float
-        """
-
     @abstractmethod
     def buy(self, pair: str, rate: float, amount: float) -> str:
         """
@@ -82,7 +74,7 @@ class Exchange(ABC):
         """
 
     @abstractmethod
-    def get_ticker_history(self, pair: str, tick_interval: int) -> List:
+    def get_ticker_history(self, pair: str, tick_interval: int) -> List[Dict]:
         """
         Gets ticker history for given pair.
         :param pair: Pair as str, format: BTC_ETC
@@ -139,3 +131,41 @@ class Exchange(ABC):
         Returns all available markets.
         :return: List of all available pairs
         """
+
+    @abstractmethod
+    def get_market_summaries(self) -> List[Dict]:
+        """
+        Returns a 24h market summary for all available markets
+        :return: list, format: [
+            {
+                'MarketName': str,
+                'High': float,
+                'Low': float,
+                'Volume': float,
+                'Last': float,
+                'TimeStamp': datetime,
+                'BaseVolume': float,
+                'Bid': float,
+                'Ask': float,
+                'OpenBuyOrders': int,
+                'OpenSellOrders': int,
+                'PrevDay': float,
+                'Created': datetime
+            },
+            ...
+        ]
+        """
+
+    @abstractmethod
+    def get_wallet_health(self) -> List[Dict]:
+        """
+        Returns a list of all wallet health information
+        :return: list, format: [
+            {
+                'Currency': str,
+                'IsActive': bool,
+                'LastChecked': str,
+                'Notice': str
+            },
+            ...
+        """

freqtrade/main.py

@@ -5,33 +5,63 @@ import logging
 import time
 import traceback
 from datetime import datetime
-from typing import Dict, Optional
 from signal import signal, SIGINT, SIGABRT, SIGTERM
+from typing import Dict, Optional, List
 
 import requests
+from cachetools import cached, TTLCache
 from jsonschema import validate
 
 from freqtrade import __version__, exchange, persistence
 from freqtrade.analyze import get_buy_signal
-from freqtrade.misc import CONF_SCHEMA, State, get_state, update_state
+from freqtrade.misc import CONF_SCHEMA, State, get_state, update_state, build_arg_parser, throttle
 from freqtrade.persistence import Trade
 from freqtrade.rpc import telegram
 
-logging.basicConfig(level=logging.DEBUG,
-                    format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
-logger = logging.getLogger(__name__)
+logger = logging.getLogger('freqtrade')
 
 _CONF = {}
 
 
-def _process() -> bool:
+def refresh_whitelist(whitelist: Optional[List[str]] = None) -> None:
+    """
+    Check wallet health and remove pair from whitelist if necessary
+    :param whitelist: a new whitelist (optional)
+    :return: None
+    """
+    whitelist = whitelist or _CONF['exchange']['pair_whitelist']
+
+    sanitized_whitelist = []
+    health = exchange.get_wallet_health()
+    for status in health:
+        pair = '{}_{}'.format(_CONF['stake_currency'], status['Currency'])
+        if pair not in whitelist:
+            continue
+        if status['IsActive']:
+            sanitized_whitelist.append(pair)
+        else:
+            logger.info(
+                'Ignoring %s from whitelist (reason: %s).',
+                pair, status.get('Notice') or 'wallet is not active'
+            )
+    if _CONF['exchange']['pair_whitelist'] != sanitized_whitelist:
+        logger.debug('Using refreshed pair whitelist: %s ...', sanitized_whitelist)
+        _CONF['exchange']['pair_whitelist'] = sanitized_whitelist
+
+
+def _process(dynamic_whitelist: Optional[bool] = False) -> bool:
     """
     Queries the persistence layer for open trades and handles them,
     otherwise a new trade is created.
+    :param: dynamic_whitelist: True is a dynamic whitelist should be generated (optional)
     :return: True if a trade has been created or closed, False otherwise
     """
     state_changed = False
     try:
+        # Refresh whitelist based on wallet maintenance
+        refresh_whitelist(
+            gen_pair_whitelist(_CONF['stake_currency']) if dynamic_whitelist else None
+        )
         # Query trades from persistence layer
         trades = Trade.query.filter(Trade.is_open.is_(True)).all()
         if len(trades) < _CONF['max_open_trades']:
@@ -42,7 +72,10 @@ def _process() -> bool:
                     Trade.session.add(trade)
                     state_changed = True
                 else:
-                    logging.info('Got no buy signal...')
+                    logger.info(
+                        'Checked all whitelisted currencies. '
+                        'Found no suitable entry positions for buying. Will keep looking ...'
+                    )
             except ValueError:
                 logger.exception('Unable to create trade')
 
@@ -85,7 +118,10 @@ def close_trade_if_fulfilled(trade: Trade) -> bool:
             and trade.close_rate is not None \
             and trade.open_order_id is None:
         trade.is_open = False
-        logger.info('No open orders found and trade is fulfilled. Marking %s as closed ...', trade)
+        logger.info(
+            'Marking %s as closed as the trade is fulfilled and found no open orders for it.',
+            trade
+        )
         return True
     return False
 
@@ -163,7 +199,10 @@ def create_trade(stake_amount: float) -> Optional[Trade]:
     if one pair triggers the buy_signal a new trade record gets created
     :param stake_amount: amount of btc to spend
     """
-    logger.info('Creating new trade with stake_amount: %f ...', stake_amount)
+    logger.info(
+        'Checking buy signals to create a new trade with stake_amount: %f ...',
+        stake_amount
+    )
     whitelist = copy.deepcopy(_CONF['exchange']['pair_whitelist'])
     # Check if stake_amount is fulfilled
     if exchange.get_balance(_CONF['stake_currency']) < stake_amount:
@@ -237,6 +276,23 @@ def init(config: dict, db_url: Optional[str] = None) -> None:
         signal(sig, cleanup)
 
 
+@cached(TTLCache(maxsize=1, ttl=1800))
+def gen_pair_whitelist(base_currency: str, topn: int = 20, key: str = 'BaseVolume') -> List[str]:
+    """
+    Updates the whitelist with with a dynamically generated list
+    :param base_currency: base currency as str
+    :param topn: maximum number of returned results
+    :param key: sort key (defaults to 'BaseVolume')
+    :return: List of pairs
+    """
+    summaries = sorted(
+        (s for s in exchange.get_market_summaries() if s['MarketName'].startswith(base_currency)),
+        key=lambda s: s.get(key) or 0.0,
+        reverse=True
+    )
+    return [s['MarketName'].replace('-', '_') for s in summaries[:topn]]
+
+
 def cleanup(*args, **kwargs) -> None:
     """
     Cleanup the application state und finish all pending tasks
@@ -255,32 +311,49 @@ def main():
     Loads and validates the config and handles the main loop
     :return: None
     """
-    logger.info('Starting freqtrade %s', __version__)
-
     global _CONF
-    with open('config.json') as file:
-        _CONF = json.load(file)
+    args = build_arg_parser().parse_args()
 
+    # Initialize logger
+    logging.basicConfig(
+        level=args.loglevel,
+        format='%(asctime)s - %(name)s - %(levelname)s - %(message)s',
+    )
+
+    logger.info(
+        'Starting freqtrade %s (loglevel=%s)',
+        __version__,
+        logging.getLevelName(args.loglevel)
+    )
+
+    # Load and validate configuration
+    with open(args.config) as file:
+        _CONF = json.load(file)
+    if 'internals' not in _CONF:
+        _CONF['internals'] = {}
     logger.info('Validating configuration ...')
     validate(_CONF, CONF_SCHEMA)
 
+    # Initialize all modules and start main loop
+    if args.dynamic_whitelist:
+        logger.info('Using dynamically generated whitelist. (--dynamic-whitelist detected)')
     init(_CONF)
-    old_state = get_state()
-    logger.info('Initial State: %s', old_state)
-    telegram.send_msg('*Status:* `{}`'.format(old_state.name.lower()))
+    old_state = None
     while True:
         new_state = get_state()
         # Log state transition
         if new_state != old_state:
             telegram.send_msg('*Status:* `{}`'.format(new_state.name.lower()))
-            logging.info('Changing state to: %s', new_state.name)
+            logger.info('Changing state to: %s', new_state.name)
 
         if new_state == State.STOPPED:
             time.sleep(1)
         elif new_state == State.RUNNING:
-            _process()
-            # We need to sleep here because otherwise we would run into bittrex rate limit
-            time.sleep(exchange.get_sleep_time())
+            throttle(
+                _process,
+                min_secs=_CONF['internals'].get('process_throttle_secs', 10),
+                dynamic_whitelist=args.dynamic_whitelist,
+            )
         old_state = new_state
 
 

freqtrade/misc.py

@@ -1,7 +1,15 @@
+import argparse
 import enum
+import logging
+from typing import Any, Callable
 
+import time
 from wrapt import synchronized
 
+from freqtrade import __version__
+
+logger = logging.getLogger(__name__)
+
 
 class State(enum.Enum):
     RUNNING = 0
@@ -32,6 +40,57 @@ def get_state() -> State:
     return _STATE
 
 
+def throttle(func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any:
+    """
+    Throttles the given callable that it
+    takes at least `min_secs` to finish execution.
+    :param func: Any callable
+    :param min_secs: minimum execution time in seconds
+    :return: Any
+    """
+    start = time.time()
+    result = func(*args, **kwargs)
+    end = time.time()
+    duration = max(min_secs - (end - start), 0.0)
+    logger.debug('Throttling %s for %.2f seconds', func.__name__, duration)
+    time.sleep(duration)
+    return result
+
+
+def build_arg_parser() -> argparse.ArgumentParser:
+    """ Builds and returns an ArgumentParser instance """
+    parser = argparse.ArgumentParser(
+        description='Simple High Frequency Trading Bot for crypto currencies'
+    )
+    parser.add_argument(
+        '-c', '--config',
+        help='specify configuration file (default: config.json)',
+        dest='config',
+        default='config.json',
+        type=str,
+        metavar='PATH',
+    )
+    parser.add_argument(
+        '-v', '--verbose',
+        help='be verbose',
+        action='store_const',
+        dest='loglevel',
+        const=logging.DEBUG,
+        default=logging.INFO,
+    )
+    parser.add_argument(
+        '--version',
+        action='version',
+        version='%(prog)s {}'.format(__version__),
+    )
+    parser.add_argument(
+        '--dynamic-whitelist',
+        help='dynamically generate and update whitelist based on 24h BaseVolume',
+        action='store_true',
+    )
+    return parser
+
+
 # Required json-schema for user specified config
 CONF_SCHEMA = {
     'type': 'object',
@@ -71,6 +130,12 @@ CONF_SCHEMA = {
             'required': ['enabled', 'token', 'chat_id']
         },
         'initial_state': {'type': 'string', 'enum': ['running', 'stopped']},
+        'internals': {
+            'type': 'object',
+            'properties': {
+                'process_throttle_secs': {'type': 'number'}
+            }
+        }
     },
     'definitions': {
         'exchange': {

freqtrade/persistence.py

@@ -11,8 +11,6 @@ from sqlalchemy.orm.scoping import scoped_session
 from sqlalchemy.orm.session import sessionmaker
 from sqlalchemy.pool import StaticPool
 
-logging.basicConfig(level=logging.DEBUG,
-                    format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
 logger = logging.getLogger(__name__)
 
 _CONF = {}

freqtrade/rpc/telegram.py

@@ -273,18 +273,21 @@ def _balance(bot: Bot, update: Update) -> None:
     Handler for /balance
     Returns current account balance per crypto
     """
-    output = ""
-    balances = exchange.get_balances()
+    output = ''
+    balances = [
+        c for c in exchange.get_balances()
+        if c['Balance'] or c['Available'] or c['Pending']
+    ]
+    if not balances:
+        output = '`All balances are zero.`'
+
     for currency in balances:
-        if not currency['Balance'] and not currency['Available'] and not currency['Pending']:
-            continue
         output += """*Currency*: {Currency}
 *Available*: {Available}
 *Balance*: {Balance}
 *Pending*: {Pending}
 
 """.format(**currency)
-
     send_msg(output)
 
 

freqtrade/tests/conftest.py

@@ -37,7 +37,8 @@ def default_conf():
                 "BTC_ETH",
                 "BTC_TKN",
                 "BTC_TRST",
-                "BTC_SWT"
+                "BTC_SWT",
+                "BTC_BCC"
             ]
         },
         "telegram": {
@@ -90,6 +91,36 @@ def ticker():
     })
 
 
+@pytest.fixture
+def health():
+    return MagicMock(return_value=[{
+        'Currency': 'BTC',
+        'IsActive': True,
+        'LastChecked': '2017-11-13T20:15:00.00',
+        'Notice': None
+    }, {
+        'Currency': 'ETH',
+        'IsActive': True,
+        'LastChecked': '2017-11-13T20:15:00.00',
+        'Notice': None
+    }, {
+        'Currency': 'TRST',
+        'IsActive': True,
+        'LastChecked': '2017-11-13T20:15:00.00',
+        'Notice': None
+    }, {
+        'Currency': 'SWT',
+        'IsActive': True,
+        'LastChecked': '2017-11-13T20:15:00.00',
+        'Notice': None
+    }, {
+        'Currency': 'BCC',
+        'IsActive': False,
+        'LastChecked': '2017-11-13T20:15:00.00',
+        'Notice': None
+    }])
+
+
 @pytest.fixture
 def limit_buy_order():
     return {

freqtrade/tests/test_exchange.py

@@ -8,7 +8,9 @@ from freqtrade.exchange import validate_pairs
 
 def test_validate_pairs(default_conf, mocker):
     api_mock = MagicMock()
-    api_mock.get_markets = MagicMock(return_value=['BTC_ETH', 'BTC_TKN', 'BTC_TRST', 'BTC_SWT'])
+    api_mock.get_markets = MagicMock(return_value=[
+        'BTC_ETH', 'BTC_TKN', 'BTC_TRST', 'BTC_SWT', 'BTC_BCC',
+    ])
     mocker.patch('freqtrade.exchange._API', api_mock)
     mocker.patch.dict('freqtrade.exchange._CONF', default_conf)
     validate_pairs(default_conf['exchange']['pair_whitelist'])

freqtrade/tests/test_hyperopt.py

@@ -15,41 +15,44 @@ from freqtrade.vendor.qtpylib.indicators import crossed_above
 logging.disable(logging.DEBUG)  # disable debug logs that slow backtesting a lot
 
 # set TARGET_TRADES to suit your number concurrent trades so its realistic to 20days of data
-TARGET_TRADES = 1200
-
+TARGET_TRADES = 1300
+TOTAL_TRIES = 4
+current_tries = 0
 
 def buy_strategy_generator(params):
-    print(params)
-
     def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
         conditions = []
         # GUARDS AND TRENDS
         if params['uptrend_long_ema']['enabled']:
             conditions.append(dataframe['ema50'] > dataframe['ema100'])
+        if params['uptrend_short_ema']['enabled']:
+            conditions.append(dataframe['ema5'] > dataframe['ema10'])
         if params['mfi']['enabled']:
             conditions.append(dataframe['mfi'] < params['mfi']['value'])
         if params['fastd']['enabled']:
             conditions.append(dataframe['fastd'] < params['fastd']['value'])
         if params['adx']['enabled']:
             conditions.append(dataframe['adx'] > params['adx']['value'])
-        if params['cci']['enabled']:
-            conditions.append(dataframe['cci'] < params['cci']['value'])
         if params['rsi']['enabled']:
             conditions.append(dataframe['rsi'] < params['rsi']['value'])
         if params['over_sar']['enabled']:
             conditions.append(dataframe['close'] > dataframe['sar'])
+        if params['green_candle']['enabled']:
+            conditions.append(dataframe['close'] > dataframe['open'])
         if params['uptrend_sma']['enabled']:
             prevsma = dataframe['sma'].shift(1)
             conditions.append(dataframe['sma'] > prevsma)
 
-        prev_fastd = dataframe['fastd'].shift(1)
         # TRIGGERS
         triggers = {
             'lower_bb': dataframe['tema'] <= dataframe['blower'],
-            'faststoch10': (dataframe['fastd'] >= 10) & (prev_fastd < 10),
+            'faststoch10': (crossed_above(dataframe['fastd'], 10.0)),
             'ao_cross_zero': (crossed_above(dataframe['ao'], 0.0)),
             'ema5_cross_ema10': (crossed_above(dataframe['ema5'], dataframe['ema10'])),
             'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])),
+            'sar_reversal': (crossed_above(dataframe['close'], dataframe['sar'])),
+            'stochf_cross': (crossed_above(dataframe['fastk'], dataframe['fastd'])),
+            'ht_sine': (crossed_above(dataframe['htleadsine'], dataframe['htsine'])),
         }
         conditions.append(triggers.get(params['trigger']['type']))
 
@@ -72,13 +75,16 @@ def test_hyperopt(backtest_conf, backdata, mocker):
         results = backtest(backtest_conf, backdata, mocker)
 
         result = format_results(results)
-        print(result)
 
         total_profit = results.profit.sum() * 1000
         trade_count = len(results.index)
 
-        trade_loss = 1 - 0.8 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5)
-        profit_loss = exp(-total_profit**3 / 10**11)
+        trade_loss = 1 - 0.4 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.2)
+        profit_loss = max(0, 1 - total_profit / 15000)  # max profit 15000
+
+        global current_tries
+        current_tries += 1
+        print('{}/{}: {}'.format(current_tries, TOTAL_TRIES, result))
 
         return {
             'loss': trade_loss + profit_loss,
@@ -89,32 +95,36 @@ def test_hyperopt(backtest_conf, backdata, mocker):
     space = {
         'mfi': hp.choice('mfi', [
             {'enabled': False},
-            {'enabled': True, 'value': hp.uniform('mfi-value', 5, 15)}
+            {'enabled': True, 'value': hp.quniform('mfi-value', 5, 25, 1)}
         ]),
         'fastd': hp.choice('fastd', [
             {'enabled': False},
-            {'enabled': True, 'value': hp.uniform('fastd-value', 5, 40)}
+            {'enabled': True, 'value': hp.quniform('fastd-value', 10, 50, 1)}
         ]),
         'adx': hp.choice('adx', [
             {'enabled': False},
-            {'enabled': True, 'value': hp.uniform('adx-value', 10, 30)}
-        ]),
-        'cci': hp.choice('cci', [
-            {'enabled': False},
-            {'enabled': True, 'value': hp.uniform('cci-value', -150, -100)}
+            {'enabled': True, 'value': hp.quniform('adx-value', 15, 50, 1)}
         ]),
         'rsi': hp.choice('rsi', [
             {'enabled': False},
-            {'enabled': True, 'value': hp.uniform('rsi-value', 20, 30)}
+            {'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 1)}
         ]),
         'uptrend_long_ema': hp.choice('uptrend_long_ema', [
             {'enabled': False},
             {'enabled': True}
         ]),
+        'uptrend_short_ema': hp.choice('uptrend_short_ema', [
+            {'enabled': False},
+            {'enabled': True}
+        ]),
         'over_sar': hp.choice('over_sar', [
             {'enabled': False},
             {'enabled': True}
         ]),
+        'green_candle': hp.choice('green_candle', [
+            {'enabled': False},
+            {'enabled': True}
+        ]),
         'uptrend_sma': hp.choice('uptrend_sma', [
             {'enabled': False},
             {'enabled': True}
@@ -125,10 +135,13 @@ def test_hyperopt(backtest_conf, backdata, mocker):
             {'type': 'ao_cross_zero'},
             {'type': 'ema5_cross_ema10'},
             {'type': 'macd_cross_signal'},
+            {'type': 'sar_reversal'},
+            {'type': 'stochf_cross'},
+            {'type': 'ht_sine'},
         ]),
     }
     trials = Trials()
-    best = fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=4, trials=trials)
+    best = fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=TOTAL_TRIES, trials=trials)
     print('\n\n\n\n==================== HYPEROPT BACKTESTING REPORT ==============================')
     print('Best parameters {}'.format(best))
     newlist = sorted(trials.results, key=itemgetter('loss'))

freqtrade/tests/test_main.py

@@ -13,13 +13,14 @@ from freqtrade.misc import get_state, State
 from freqtrade.persistence import Trade
 
 
-def test_process_trade_creation(default_conf, ticker, mocker):
+def test_process_trade_creation(default_conf, ticker, health, mocker):
     mocker.patch.dict('freqtrade.main._CONF', default_conf)
     mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
     mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
     mocker.patch.multiple('freqtrade.main.exchange',
                           validate_pairs=MagicMock(),
                           get_ticker=ticker,
+                          get_wallet_health=health,
                           buy=MagicMock(return_value='mocked_limit_buy'))
     init(default_conf, create_engine('sqlite://'))
 
@@ -41,7 +42,7 @@ def test_process_trade_creation(default_conf, ticker, mocker):
     assert trade.amount == 0.6864067381401302
 
 
-def test_process_exchange_failures(default_conf, ticker, mocker):
+def test_process_exchange_failures(default_conf, ticker, health, mocker):
     mocker.patch.dict('freqtrade.main._CONF', default_conf)
     mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
     mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
@@ -49,6 +50,7 @@ def test_process_exchange_failures(default_conf, ticker, mocker):
     mocker.patch.multiple('freqtrade.main.exchange',
                           validate_pairs=MagicMock(),
                           get_ticker=ticker,
+                          get_wallet_health=health,
                           buy=MagicMock(side_effect=requests.exceptions.RequestException))
     init(default_conf, create_engine('sqlite://'))
     result = _process()
@@ -56,7 +58,7 @@ def test_process_exchange_failures(default_conf, ticker, mocker):
     assert sleep_mock.has_calls()
 
 
-def test_process_runtime_error(default_conf, ticker, mocker):
+def test_process_runtime_error(default_conf, ticker, health, mocker):
     msg_mock = MagicMock()
     mocker.patch.dict('freqtrade.main._CONF', default_conf)
     mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=msg_mock)
@@ -64,6 +66,7 @@ def test_process_runtime_error(default_conf, ticker, mocker):
     mocker.patch.multiple('freqtrade.main.exchange',
                           validate_pairs=MagicMock(),
                           get_ticker=ticker,
+                          get_wallet_health=health,
                           buy=MagicMock(side_effect=RuntimeError))
     init(default_conf, create_engine('sqlite://'))
     assert get_state() == State.RUNNING
@@ -74,13 +77,14 @@ def test_process_runtime_error(default_conf, ticker, mocker):
     assert 'RuntimeError' in msg_mock.call_args_list[-1][0][0]
 
 
-def test_process_trade_handling(default_conf, ticker, limit_buy_order, mocker):
+def test_process_trade_handling(default_conf, ticker, limit_buy_order, health, mocker):
     mocker.patch.dict('freqtrade.main._CONF', default_conf)
     mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
     mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
     mocker.patch.multiple('freqtrade.main.exchange',
                           validate_pairs=MagicMock(),
                           get_ticker=ticker,
+                          get_wallet_health=health,
                           buy=MagicMock(return_value='mocked_limit_buy'),
                           get_order=MagicMock(return_value=limit_buy_order))
     init(default_conf, create_engine('sqlite://'))

freqtrade/tests/test_misc.py

@@ -0,0 +1,20 @@
+# pragma pylint: disable=missing-docstring
+import time
+
+from freqtrade.misc import throttle
+
+
+def test_throttle():
+
+    def func():
+        return 42
+
+    start = time.time()
+    result = throttle(func, 0.1)
+    end = time.time()
+
+    assert result == 42
+    assert end - start > 0.1
+
+    result = throttle(func, -1)
+    assert result == 42

requirements.txt

@@ -2,6 +2,7 @@
 SQLAlchemy==1.1.14
 python-telegram-bot==8.1.1
 arrow==0.10.0
+cachetools==2.0.1
 requests==2.18.4
 urllib3==1.22
 wrapt==1.10.11

setup.py

@@ -34,6 +34,7 @@ setup(name='freqtrade',
           'jsonschema',
           'TA-Lib',
           'tabulate',
+          'cachetools',
       ],
       dependency_links=[
           "git+https://github.com/ericsomdahl/python-bittrex.git@0.2.0#egg=python-bittrex"