123 lines
4.3 KiB
Python
123 lines
4.3 KiB
Python
"""
|
|
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 Dict, List
|
|
|
|
import arrow
|
|
from pandas import DataFrame, to_datetime
|
|
|
|
from freqtrade.exchange import get_ticker_history
|
|
from freqtrade.strategy.strategy import Strategy
|
|
|
|
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) \
|
|
.rename(columns=columns)
|
|
if 'BV' in frame:
|
|
frame.drop('BV', 1, inplace=True)
|
|
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
|
|
|
|
Performance Note: For the best performance be frugal on the number of indicators
|
|
you are using. Let uncomment only the indicator you are using in your strategies
|
|
or your hyperopt configuration, otherwise you will waste your memory and CPU usage.
|
|
"""
|
|
strategy = Strategy()
|
|
return strategy.populate_indicators(dataframe=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
|
|
"""
|
|
strategy = Strategy()
|
|
return strategy.populate_buy_trend(dataframe=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
|
|
"""
|
|
strategy = Strategy()
|
|
return strategy.populate_sell_trend(dataframe=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
|
|
|
|
|
|
# FIX: Maybe return False, if an error has occured,
|
|
# Otherwise we might mask an error as an non-signal-scenario
|
|
def get_signal(pair: str, interval: int) -> (bool, bool):
|
|
"""
|
|
Calculates current signal based several technical analysis indicators
|
|
:param pair: pair in format BTC_ANT or BTC-ANT
|
|
:return: (Buy, Sell) A bool-tuple indicating buy/sell signal
|
|
"""
|
|
ticker_hist = get_ticker_history(pair, interval)
|
|
if not ticker_hist:
|
|
logger.warning('Empty ticker history for pair %s', pair)
|
|
return (False, False) # 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, False) # return False ?
|
|
except Exception as ex:
|
|
logger.exception('Unexpected error when analyzing ticker for pair %s: %s', pair, str(ex))
|
|
return (False, False) # return False ?
|
|
|
|
if dataframe.empty:
|
|
logger.warning('Empty dataframe for pair %s', pair)
|
|
return (False, False) # return False ?
|
|
|
|
latest = dataframe.iloc[-1]
|
|
|
|
# Check if dataframe is out of date
|
|
signal_date = arrow.get(latest['date'])
|
|
if signal_date < arrow.utcnow() - timedelta(minutes=(interval + 5)):
|
|
logger.warning('Too old dataframe for pair %s. Last ticker is %s minutes old',
|
|
pair, (arrow.utcnow() - signal_date).seconds // 60)
|
|
return (False, False) # return 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)
|