""" Functions to analyze ticker data with indicators and produce buy and sell signals """ import logging from datetime import timedelta from enum import Enum from typing import List, Dict import arrow import talib.abstract as ta from pandas import DataFrame, to_datetime from freqtrade.exchange import get_ticker_history from freqtrade.vendor.qtpylib.indicators import awesome_oscillator, crossed_above logger = logging.getLogger(__name__) class SignalType(Enum): """ Enum to distinguish between buy and sell signals """ BUY = "buy" SELL = "sell" def parse_ticker_dataframe(ticker: list) -> DataFrame: """ Analyses the trend for the given ticker history :param ticker: See exchange.get_ticker_history :return: DataFrame """ columns = {'C': 'close', 'V': 'volume', 'O': 'open', 'H': 'high', 'L': 'low', 'T': 'date'} frame = DataFrame(ticker) \ .drop('BV', 1) \ .rename(columns=columns) frame['date'] = to_datetime(frame['date'], utc=True, infer_datetime_format=True) frame.sort_values('date', inplace=True) return frame def populate_indicators(dataframe: DataFrame) -> DataFrame: """ Adds several different TA indicators to the given DataFrame """ dataframe['sar'] = ta.SAR(dataframe) dataframe['adx'] = ta.ADX(dataframe) stoch = ta.STOCHF(dataframe) dataframe['fastd'] = stoch['fastd'] dataframe['fastk'] = stoch['fastk'] dataframe['blower'] = ta.BBANDS(dataframe, nbdevup=2, nbdevdn=2)['lowerband'] dataframe['sma'] = ta.SMA(dataframe, timeperiod=40) dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9) dataframe['mfi'] = ta.MFI(dataframe) dataframe['rsi'] = ta.RSI(dataframe) dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5) dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10) dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50) dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100) dataframe['ao'] = awesome_oscillator(dataframe) macd = ta.MACD(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'] dataframe['plus_dm'] = ta.PLUS_DM(dataframe) dataframe['plus_di'] = ta.PLUS_DI(dataframe) dataframe['minus_dm'] = ta.MINUS_DM(dataframe) dataframe['minus_di'] = ta.MINUS_DI(dataframe) return dataframe def populate_buy_trend(dataframe: DataFrame) -> DataFrame: """ Based on TA indicators, populates the buy signal for the given dataframe :param dataframe: DataFrame :return: DataFrame with buy column """ dataframe.loc[ ( (dataframe['rsi'] < 35) & (dataframe['fastd'] < 35) & (dataframe['adx'] > 30) & (dataframe['plus_di'] > 0.5) ) | ( (dataframe['adx'] > 65) & (dataframe['plus_di'] > 0.5) ), 'buy'] = 1 return dataframe def populate_sell_trend(dataframe: DataFrame) -> DataFrame: """ Based on TA indicators, populates the sell signal for the given dataframe :param dataframe: DataFrame :return: DataFrame with buy column """ dataframe.loc[ ( ( (crossed_above(dataframe['rsi'], 70)) | (crossed_above(dataframe['fastd'], 70)) ) & (dataframe['adx'] > 10) & (dataframe['minus_di'] > 0) ) | ( (dataframe['adx'] > 70) & (dataframe['minus_di'] > 0.5) ), 'sell'] = 1 return dataframe def analyze_ticker(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 = parse_ticker_dataframe(ticker_history) dataframe = populate_indicators(dataframe) dataframe = populate_buy_trend(dataframe) dataframe = populate_sell_trend(dataframe) return dataframe def get_signal(pair: str, signal: SignalType) -> bool: """ Calculates current signal based several technical analysis indicators :param pair: pair in format BTC_ANT or BTC-ANT :return: True if pair is good for buying, False otherwise """ ticker_hist = get_ticker_history(pair) if not ticker_hist: logger.warning('Empty ticker history for pair %s', pair) return False try: dataframe = analyze_ticker(ticker_hist) except ValueError as ex: logger.warning('Unable to analyze ticker for pair %s: %s', pair, str(ex)) return False except Exception: logger.exception('Unexpected error when analyzing ticker for pair %s.', pair) return False if dataframe.empty: return False latest = dataframe.iloc[-1] # Check if dataframe is out of date signal_date = arrow.get(latest['date']) if signal_date < arrow.now() - timedelta(minutes=10): return False result = latest[signal.value] == 1 logger.debug('%s_trigger: %s (pair=%s, signal=%s)', signal.value, latest['date'], pair, result) return result