""" Functions to analyze ticker data with indicators and produce buy and sell signals """ import logging from datetime import datetime from enum import Enum from typing import Dict, List, Tuple import arrow from pandas import DataFrame, to_datetime from freqtrade import constants from freqtrade.exchange import Exchange from freqtrade.persistence import Trade from freqtrade.strategy.resolver import IStrategy logger = logging.getLogger(__name__) class SignalType(Enum): """ Enum to distinguish between buy and sell signals """ BUY = "buy" SELL = "sell" class Analyze(object): """ Analyze class contains everything the bot need to determine if the situation is good for buying or selling. """ def __init__(self, config: dict, strategy: IStrategy) -> None: """ Init Analyze :param config: Bot configuration (use the one from Configuration()) """ self.config = config self.strategy = strategy @staticmethod def parse_ticker_dataframe(ticker: list) -> DataFrame: """ Analyses the trend for the given ticker history :param ticker: See exchange.get_ticker_history :return: DataFrame """ cols = ['date', 'open', 'high', 'low', 'close', 'volume'] frame = DataFrame(ticker, columns=cols) frame['date'] = to_datetime(frame['date'], unit='ms', utc=True, infer_datetime_format=True) # group by index and aggregate results to eliminate duplicate ticks frame = frame.groupby(by='date', as_index=False, sort=True).agg({ 'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last', 'volume': 'max', }) frame.drop(frame.tail(1).index, inplace=True) # eliminate partial candle return frame def analyze_ticker(self, ticker_history: List[Dict]) -> DataFrame: """ Parses the given ticker history and returns a populated DataFrame add several TA indicators and buy signal to it :return DataFrame with ticker data and indicator data """ dataframe = self.parse_ticker_dataframe(ticker_history) dataframe = self.strategy.populate_indicators(dataframe) dataframe = self.strategy.populate_buy_trend(dataframe) dataframe = self.strategy.populate_sell_trend(dataframe) return dataframe def get_signal(self, exchange: Exchange, pair: str, interval: str) -> Tuple[bool, bool]: """ Calculates current signal based several technical analysis indicators :param pair: pair in format ANT/BTC :param interval: Interval to use (in min) :return: (Buy, Sell) A bool-tuple indicating buy/sell signal """ ticker_hist = exchange.get_ticker_history(pair, interval) if not ticker_hist: logger.warning('Empty ticker history for pair %s', pair) return False, False try: dataframe = self.analyze_ticker(ticker_hist) except ValueError as error: logger.warning( 'Unable to analyze ticker for pair %s: %s', pair, str(error) ) return False, False except Exception as error: logger.exception( 'Unexpected error when analyzing ticker for pair %s: %s', pair, str(error) ) return False, False if dataframe.empty: logger.warning('Empty dataframe for pair %s', pair) return False, False latest = dataframe.iloc[-1] # Check if dataframe is out of date signal_date = arrow.get(latest['date']) interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval] if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + 5))): logger.warning( 'Outdated history for pair %s. Last tick is %s minutes old', pair, (arrow.utcnow() - signal_date).seconds // 60 ) return False, False (buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1 logger.debug( 'trigger: %s (pair=%s) buy=%s sell=%s', latest['date'], pair, str(buy), str(sell) ) return buy, sell def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool, sell: bool) -> bool: """ This function evaluate if on the condition required to trigger a sell has been reached if the threshold is reached and updates the trade record. :return: True if trade should be sold, False otherwise """ current_profit = trade.calc_profit_percent(rate) if self.stop_loss_reached(current_rate=rate, trade=trade, current_time=date, current_profit=current_profit): return True experimental = self.config.get('experimental', {}) if buy and experimental.get('ignore_roi_if_buy_signal', False): logger.debug('Buy signal still active - not selling.') return False # Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee) if self.min_roi_reached(trade=trade, current_profit=current_profit, current_time=date): logger.debug('Required profit reached. Selling..') return True if experimental.get('sell_profit_only', False): logger.debug('Checking if trade is profitable..') if trade.calc_profit(rate=rate) <= 0: return False if sell and not buy and experimental.get('use_sell_signal', False): logger.debug('Sell signal received. Selling..') return True return False def stop_loss_reached(self, current_rate: float, trade: Trade, current_time: datetime, current_profit: float) -> bool: """ Based on current profit of the trade and configured (trailing) stoploss, decides to sell or not """ trailing_stop = self.config.get('trailing_stop', False) trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True) # evaluate if the stoploss was hit if self.strategy.stoploss is not None and trade.stop_loss >= current_rate: if trailing_stop: logger.debug( f"HIT STOP: current price at {current_rate:.6f}, " f"stop loss is {trade.stop_loss:.6f}, " f"initial stop loss was at {trade.initial_stop_loss:.6f}, " f"trade opened at {trade.open_rate:.6f}") logger.debug(f"trailing stop saved {trade.stop_loss - trade.initial_stop_loss:.6f}") logger.debug('Stop loss hit.') return True # update the stop loss afterwards, after all by definition it's supposed to be hanging if trailing_stop: # check if we have a special stop loss for positive condition # and if profit is positive stop_loss_value = self.strategy.stoploss if 'trailing_stop_positive' in self.config and current_profit > 0: # Ignore mypy error check in configuration that this is a float stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore logger.debug(f"using positive stop loss mode: {stop_loss_value} " f"since we have profit {current_profit}") trade.adjust_stop_loss(current_rate, stop_loss_value) return False def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool: """ Based an earlier trade and current price and ROI configuration, decides whether bot should sell :return True if bot should sell at current rate """ # Check if time matches and current rate is above threshold time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60 for duration, threshold in self.strategy.minimal_roi.items(): if time_diff <= duration: return False if current_profit > threshold: return True return False def tickerdata_to_dataframe(self, tickerdata: Dict[str, List]) -> Dict[str, DataFrame]: """ Creates a dataframe and populates indicators for given ticker data """ return {pair: self.strategy.populate_indicators(self.parse_ticker_dataframe(pair_data)) for pair, pair_data in tickerdata.items()}