444 lines
13 KiB
Python
Executable File
444 lines
13 KiB
Python
Executable File
#!/usr/bin/env python3
|
|
"""
|
|
Script to display when the bot will buy on specific pair(s)
|
|
|
|
Mandatory Cli parameters:
|
|
-p / --pairs: pair(s) to examine
|
|
|
|
Option but recommended
|
|
-s / --strategy: strategy to use
|
|
|
|
|
|
Optional Cli parameters
|
|
-d / --datadir: path to pair(s) backtest data
|
|
--timerange: specify what timerange of data to use.
|
|
-l / --live: Live, to download the latest ticker for the pair(s)
|
|
-db / --db-url: Show trades stored in database
|
|
|
|
|
|
Indicators recommended
|
|
Row 1: sma, ema3, ema5, ema10, ema50
|
|
Row 3: macd, rsi, fisher_rsi, mfi, slowd, slowk, fastd, fastk
|
|
|
|
Example of usage:
|
|
> python3 scripts/plot_dataframe.py --pairs BTC/EUR,XRP/BTC -d user_data/data/
|
|
--indicators1 sma,ema3 --indicators2 fastk,fastd
|
|
"""
|
|
import logging
|
|
import sys
|
|
from argparse import Namespace
|
|
from pathlib import Path
|
|
from typing import Any, Dict, List
|
|
|
|
import pandas as pd
|
|
import plotly.graph_objs as go
|
|
import pytz
|
|
from plotly import tools
|
|
from plotly.offline import plot
|
|
|
|
from freqtrade import persistence
|
|
from freqtrade.arguments import Arguments, TimeRange
|
|
from freqtrade.data import history
|
|
from freqtrade.data.btanalysis import BT_DATA_COLUMNS, load_backtest_data
|
|
from freqtrade.exchange import Exchange
|
|
from freqtrade.optimize.backtesting import setup_configuration
|
|
from freqtrade.persistence import Trade
|
|
from freqtrade.resolvers import StrategyResolver
|
|
|
|
logger = logging.getLogger(__name__)
|
|
_CONF: Dict[str, Any] = {}
|
|
|
|
timeZone = pytz.UTC
|
|
|
|
|
|
def load_trades(args: Namespace, pair: str, timerange: TimeRange) -> pd.DataFrame:
|
|
trades: pd.DataFrame = pd.DataFrame()
|
|
if args.db_url:
|
|
persistence.init(_CONF)
|
|
columns = ["pair", "profit", "open_time", "close_time",
|
|
"open_rate", "close_rate", "duration"]
|
|
|
|
for x in Trade.query.all():
|
|
print("date: {}".format(x.open_date))
|
|
|
|
trades = pd.DataFrame([(t.pair, t.calc_profit(),
|
|
t.open_date.replace(tzinfo=timeZone),
|
|
t.close_date.replace(tzinfo=timeZone) if t.close_date else None,
|
|
t.open_rate, t.close_rate,
|
|
t.close_date.timestamp() - t.open_date.timestamp()
|
|
if t.close_date else None)
|
|
for t in Trade.query.filter(Trade.pair.is_(pair)).all()],
|
|
columns=columns)
|
|
|
|
elif args.exportfilename:
|
|
|
|
file = Path(args.exportfilename)
|
|
if file.exists():
|
|
trades = load_backtest_data(file)
|
|
|
|
else:
|
|
trades = pd.DataFrame([], columns=BT_DATA_COLUMNS)
|
|
|
|
return trades
|
|
|
|
|
|
def generate_plot_file(fig, pair, ticker_interval, is_last) -> None:
|
|
"""
|
|
Generate a plot html file from pre populated fig plotly object
|
|
:return: None
|
|
"""
|
|
logger.info('Generate plot file for %s', pair)
|
|
|
|
pair_name = pair.replace("/", "_")
|
|
file_name = 'freqtrade-plot-' + pair_name + '-' + ticker_interval + '.html'
|
|
|
|
Path("user_data/plots").mkdir(parents=True, exist_ok=True)
|
|
|
|
plot(fig, filename=str(Path('user_data/plots').joinpath(file_name)), auto_open=False)
|
|
if is_last:
|
|
plot(fig, filename=str(Path('user_data').joinpath('freqtrade-plot.html')), auto_open=False)
|
|
|
|
|
|
def get_trading_env(args: Namespace):
|
|
"""
|
|
Initalize freqtrade Exchange and Strategy, split pairs recieved in parameter
|
|
:return: Strategy
|
|
"""
|
|
global _CONF
|
|
|
|
# Load the configuration
|
|
_CONF.update(setup_configuration(args))
|
|
print(_CONF)
|
|
|
|
pairs = args.pairs.split(',')
|
|
if pairs is None:
|
|
logger.critical('Parameter --pairs mandatory;. E.g --pairs ETH/BTC,XRP/BTC')
|
|
exit()
|
|
|
|
# Load the strategy
|
|
try:
|
|
strategy = StrategyResolver(_CONF).strategy
|
|
exchange = Exchange(_CONF)
|
|
except AttributeError:
|
|
logger.critical(
|
|
'Impossible to load the strategy. Please check the file "user_data/strategies/%s.py"',
|
|
args.strategy
|
|
)
|
|
exit()
|
|
|
|
return [strategy, exchange, pairs]
|
|
|
|
|
|
def get_tickers_data(strategy, exchange, pairs: List[str], args):
|
|
"""
|
|
Get tickers data for each pairs on live or local, option defined in args
|
|
:return: dictinnary of tickers. output format: {'pair': tickersdata}
|
|
"""
|
|
|
|
ticker_interval = strategy.ticker_interval
|
|
timerange = Arguments.parse_timerange(args.timerange)
|
|
|
|
tickers = {}
|
|
if args.live:
|
|
logger.info('Downloading pairs.')
|
|
exchange.refresh_latest_ohlcv([(pair, ticker_interval) for pair in pairs])
|
|
for pair in pairs:
|
|
tickers[pair] = exchange.klines((pair, ticker_interval))
|
|
else:
|
|
tickers = history.load_data(
|
|
datadir=Path(str(_CONF.get("datadir"))),
|
|
pairs=pairs,
|
|
ticker_interval=ticker_interval,
|
|
refresh_pairs=_CONF.get('refresh_pairs', False),
|
|
timerange=timerange,
|
|
exchange=Exchange(_CONF)
|
|
)
|
|
|
|
# No ticker found, impossible to download, len mismatch
|
|
for pair, data in tickers.copy().items():
|
|
logger.debug("checking tickers data of pair: %s", pair)
|
|
logger.debug("data.empty: %s", data.empty)
|
|
logger.debug("len(data): %s", len(data))
|
|
if data.empty:
|
|
del tickers[pair]
|
|
logger.info(
|
|
'An issue occured while retreiving datas of %s pair, please retry '
|
|
'using -l option for live or --refresh-pairs-cached', pair)
|
|
return tickers
|
|
|
|
|
|
def generate_dataframe(strategy, tickers, pair) -> pd.DataFrame:
|
|
"""
|
|
Get tickers then Populate strategy indicators and signals, then return the full dataframe
|
|
:return: the DataFrame of a pair
|
|
"""
|
|
|
|
dataframes = strategy.tickerdata_to_dataframe(tickers)
|
|
dataframe = dataframes[pair]
|
|
dataframe = strategy.advise_buy(dataframe, {'pair': pair})
|
|
dataframe = strategy.advise_sell(dataframe, {'pair': pair})
|
|
|
|
return dataframe
|
|
|
|
|
|
def extract_trades_of_period(dataframe, trades) -> pd.DataFrame:
|
|
"""
|
|
Compare trades and backtested pair DataFrames to get trades performed on backtested period
|
|
:return: the DataFrame of a trades of period
|
|
"""
|
|
trades = trades.loc[trades['open_time'] >= dataframe.iloc[0]['date']]
|
|
return trades
|
|
|
|
|
|
def generate_graph(
|
|
pair: str,
|
|
trades: pd.DataFrame,
|
|
data: pd.DataFrame,
|
|
indicators1: str,
|
|
indicators2: str
|
|
) -> tools.make_subplots:
|
|
"""
|
|
Generate the graph from the data generated by Backtesting or from DB
|
|
:param pair: Pair to Display on the graph
|
|
:param trades: All trades created
|
|
:param data: Dataframe
|
|
:indicators1: String Main plot indicators
|
|
:indicators2: String Sub plot indicators
|
|
:return: None
|
|
"""
|
|
|
|
# Define the graph
|
|
fig = tools.make_subplots(
|
|
rows=3,
|
|
cols=1,
|
|
shared_xaxes=True,
|
|
row_width=[1, 1, 4],
|
|
vertical_spacing=0.0001,
|
|
)
|
|
fig['layout'].update(title=pair)
|
|
fig['layout']['yaxis1'].update(title='Price')
|
|
fig['layout']['yaxis2'].update(title='Volume')
|
|
fig['layout']['yaxis3'].update(title='Other')
|
|
fig['layout']['xaxis']['rangeslider'].update(visible=False)
|
|
|
|
# Common information
|
|
candles = go.Candlestick(
|
|
x=data.date,
|
|
open=data.open,
|
|
high=data.high,
|
|
low=data.low,
|
|
close=data.close,
|
|
name='Price'
|
|
)
|
|
|
|
df_buy = data[data['buy'] == 1]
|
|
buys = go.Scattergl(
|
|
x=df_buy.date,
|
|
y=df_buy.close,
|
|
mode='markers',
|
|
name='buy',
|
|
marker=dict(
|
|
symbol='triangle-up-dot',
|
|
size=9,
|
|
line=dict(width=1),
|
|
color='green',
|
|
)
|
|
)
|
|
df_sell = data[data['sell'] == 1]
|
|
sells = go.Scattergl(
|
|
x=df_sell.date,
|
|
y=df_sell.close,
|
|
mode='markers',
|
|
name='sell',
|
|
marker=dict(
|
|
symbol='triangle-down-dot',
|
|
size=9,
|
|
line=dict(width=1),
|
|
color='red',
|
|
)
|
|
)
|
|
|
|
trade_buys = go.Scattergl(
|
|
x=trades["open_time"],
|
|
y=trades["open_rate"],
|
|
mode='markers',
|
|
name='trade_buy',
|
|
marker=dict(
|
|
symbol='square-open',
|
|
size=11,
|
|
line=dict(width=2),
|
|
color='green'
|
|
)
|
|
)
|
|
trade_sells = go.Scattergl(
|
|
x=trades["close_time"],
|
|
y=trades["close_rate"],
|
|
mode='markers',
|
|
name='trade_sell',
|
|
marker=dict(
|
|
symbol='square-open',
|
|
size=11,
|
|
line=dict(width=2),
|
|
color='red'
|
|
)
|
|
)
|
|
|
|
# Row 1
|
|
fig.append_trace(candles, 1, 1)
|
|
|
|
if 'bb_lowerband' in data and 'bb_upperband' in data:
|
|
bb_lower = go.Scatter(
|
|
x=data.date,
|
|
y=data.bb_lowerband,
|
|
name='BB lower',
|
|
line={'color': 'rgba(255,255,255,0)'},
|
|
)
|
|
bb_upper = go.Scatter(
|
|
x=data.date,
|
|
y=data.bb_upperband,
|
|
name='BB upper',
|
|
fill="tonexty",
|
|
fillcolor="rgba(0,176,246,0.2)",
|
|
line={'color': 'rgba(255,255,255,0)'},
|
|
)
|
|
fig.append_trace(bb_lower, 1, 1)
|
|
fig.append_trace(bb_upper, 1, 1)
|
|
|
|
fig = generate_row(fig=fig, row=1, raw_indicators=indicators1, data=data)
|
|
fig.append_trace(buys, 1, 1)
|
|
fig.append_trace(sells, 1, 1)
|
|
fig.append_trace(trade_buys, 1, 1)
|
|
fig.append_trace(trade_sells, 1, 1)
|
|
|
|
# Row 2
|
|
volume = go.Bar(
|
|
x=data['date'],
|
|
y=data['volume'],
|
|
name='Volume'
|
|
)
|
|
fig.append_trace(volume, 2, 1)
|
|
|
|
# Row 3
|
|
fig = generate_row(fig=fig, row=3, raw_indicators=indicators2, data=data)
|
|
|
|
return fig
|
|
|
|
|
|
def generate_row(fig, row, raw_indicators, data) -> tools.make_subplots:
|
|
"""
|
|
Generator all the indicator selected by the user for a specific row
|
|
"""
|
|
for indicator in raw_indicators.split(','):
|
|
if indicator in data:
|
|
scattergl = go.Scattergl(
|
|
x=data['date'],
|
|
y=data[indicator],
|
|
name=indicator
|
|
)
|
|
fig.append_trace(scattergl, row, 1)
|
|
else:
|
|
logger.info(
|
|
'Indicator "%s" ignored. Reason: This indicator is not found '
|
|
'in your strategy.',
|
|
indicator
|
|
)
|
|
|
|
return fig
|
|
|
|
|
|
def plot_parse_args(args: List[str]) -> Namespace:
|
|
"""
|
|
Parse args passed to the script
|
|
:param args: Cli arguments
|
|
:return: args: Array with all arguments
|
|
"""
|
|
arguments = Arguments(args, 'Graph dataframe')
|
|
arguments.scripts_options()
|
|
arguments.parser.add_argument(
|
|
'--indicators1',
|
|
help='Set indicators from your strategy you want in the first row of the graph. Separate '
|
|
'them with a coma. E.g: ema3,ema5 (default: %(default)s)',
|
|
type=str,
|
|
default='sma,ema3,ema5',
|
|
dest='indicators1',
|
|
)
|
|
|
|
arguments.parser.add_argument(
|
|
'--indicators2',
|
|
help='Set indicators from your strategy you want in the third row of the graph. Separate '
|
|
'them with a coma. E.g: fastd,fastk (default: %(default)s)',
|
|
type=str,
|
|
default='macd,macdsignal',
|
|
dest='indicators2',
|
|
)
|
|
arguments.parser.add_argument(
|
|
'--plot-limit',
|
|
help='Specify tick limit for plotting - too high values cause huge files - '
|
|
'Default: %(default)s',
|
|
dest='plot_limit',
|
|
default=750,
|
|
type=int,
|
|
)
|
|
arguments.common_args_parser()
|
|
arguments.optimizer_shared_options(arguments.parser)
|
|
arguments.backtesting_options(arguments.parser)
|
|
return arguments.parse_args()
|
|
|
|
|
|
def analyse_and_plot_pairs(args: Namespace):
|
|
"""
|
|
From arguments provided in cli:
|
|
-Initialise backtest env
|
|
-Get tickers data
|
|
-Generate Dafaframes populated with indicators and signals
|
|
-Load trades excecuted on same periods
|
|
-Generate Plotly plot objects
|
|
-Generate plot files
|
|
:return: None
|
|
"""
|
|
strategy, exchange, pairs = get_trading_env(args)
|
|
# Set timerange to use
|
|
timerange = Arguments.parse_timerange(args.timerange)
|
|
ticker_interval = strategy.ticker_interval
|
|
|
|
tickers = get_tickers_data(strategy, exchange, pairs, args)
|
|
pair_counter = 0
|
|
for pair, data in tickers.items():
|
|
pair_counter += 1
|
|
logger.info("analyse pair %s", pair)
|
|
tickers = {}
|
|
tickers[pair] = data
|
|
dataframe = generate_dataframe(strategy, tickers, pair)
|
|
|
|
trades = load_trades(args, pair, timerange)
|
|
trades = extract_trades_of_period(dataframe, trades)
|
|
|
|
fig = generate_graph(
|
|
pair=pair,
|
|
trades=trades,
|
|
data=dataframe,
|
|
indicators1=args.indicators1,
|
|
indicators2=args.indicators2
|
|
)
|
|
|
|
is_last = (False, True)[pair_counter == len(tickers)]
|
|
generate_plot_file(fig, pair, ticker_interval, is_last)
|
|
|
|
logger.info('End of ploting process %s plots generated', pair_counter)
|
|
|
|
|
|
def main(sysargv: List[str]) -> None:
|
|
"""
|
|
This function will initiate the bot and start the trading loop.
|
|
:return: None
|
|
"""
|
|
logger.info('Starting Plot Dataframe')
|
|
analyse_and_plot_pairs(
|
|
plot_parse_args(sysargv)
|
|
)
|
|
exit()
|
|
|
|
|
|
if __name__ == '__main__':
|
|
main(sys.argv[1:])
|