from dataclasses import dataclass from typing import Any, Callable, Optional, Union from pandas import DataFrame from freqtrade.enums import CandleType from freqtrade.exceptions import OperationalException from freqtrade.strategy.strategy_helper import merge_informative_pair PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] @dataclass class InformativeData: asset: Optional[str] timeframe: str fmt: Union[str, Callable[[Any], str], None] ffill: bool candle_type: Optional[CandleType] def informative(timeframe: str, asset: str = '', fmt: Optional[Union[str, Callable[[Any], str]]] = None, *, candle_type: Optional[Union[CandleType, str]] = None, ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: """ A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to define informative indicators. Example usage: @informative('1h') def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) return dataframe :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use current pair. :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not specified, defaults to: * {base}_{quote}_{column}_{timeframe} if asset is specified. * {column}_{timeframe} if asset is not specified. Format string supports these format variables: * {asset} - full name of the asset, for example 'BTC/USDT'. * {base} - base currency in lower case, for example 'eth'. * {BASE} - same as {base}, except in upper case. * {quote} - quote currency in lower case, for example 'usdt'. * {QUOTE} - same as {quote}, except in upper case. * {column} - name of dataframe column. * {timeframe} - timeframe of informative dataframe. :param ffill: ffill dataframe after merging informative pair. :param candle_type: '', mark, index, premiumIndex, or funding_rate """ _asset = asset _timeframe = timeframe _fmt = fmt _ffill = ffill _candle_type = CandleType.from_string(candle_type) if candle_type else None def decorator(fn: PopulateIndicators): informative_pairs = getattr(fn, '_ft_informative', []) informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill, _candle_type)) setattr(fn, '_ft_informative', informative_pairs) return fn return decorator def _format_pair_name(config, pair: str) -> str: return pair.format(stake_currency=config['stake_currency'], stake=config['stake_currency']).upper() def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, inf_data: InformativeData, populate_indicators: PopulateIndicators): asset = inf_data.asset or '' timeframe = inf_data.timeframe fmt = inf_data.fmt candle_type = inf_data.candle_type config = strategy.config if asset: # Insert stake currency if needed. asset = _format_pair_name(config, asset) else: # Not specifying an asset will define informative dataframe for current pair. asset = metadata['pair'] market = strategy.dp.market(asset) if market is None: raise OperationalException(f'Market {asset} is not available.') base = market['base'] quote = market['quote'] # Default format. This optimizes for the common case: informative pairs using same stake # currency. When quote currency matches stake currency, column name will omit base currency. # This allows easily reconfiguring strategy to use different base currency. In a rare case # where it is desired to keep quote currency in column name at all times user should specify # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. if not fmt: fmt = '{column}_{timeframe}' # Informatives of current pair if inf_data.asset: fmt = '{base}_{quote}_' + fmt # Informatives of other pairs inf_metadata = {'pair': asset, 'timeframe': timeframe} inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe, candle_type) inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) formatter: Any = None if callable(fmt): formatter = fmt # A custom user-specified formatter function. else: formatter = fmt.format # A default string formatter. fmt_args = { 'BASE': base.upper(), 'QUOTE': quote.upper(), 'base': base.lower(), 'quote': quote.lower(), 'asset': asset, 'timeframe': timeframe, } inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), inplace=True) date_column = formatter(column='date', **fmt_args) if date_column in dataframe.columns: raise OperationalException(f'Duplicate column name {date_column} exists in ' f'dataframe! Ensure column names are unique!') dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, ffill=inf_data.ffill, append_timeframe=False, date_column=date_column) return dataframe