stable/freqtrade/constants.py

580 lines
21 KiB
Python

# pragma pylint: disable=too-few-public-methods
"""
bot constants
"""
from typing import List, Literal, Tuple
from freqtrade.enums import CandleType
DEFAULT_CONFIG = "config.json"
DEFAULT_EXCHANGE = "bittrex"
PROCESS_THROTTLE_SECS = 5 # sec
HYPEROPT_EPOCH = 100 # epochs
RETRY_TIMEOUT = 30 # sec
TIMEOUT_UNITS = ["minutes", "seconds"]
EXPORT_OPTIONS = ["none", "trades", "signals"]
DEFAULT_DB_PROD_URL = "sqlite:///tradesv3.sqlite"
DEFAULT_DB_DRYRUN_URL = "sqlite:///tradesv3.dryrun.sqlite"
UNLIMITED_STAKE_AMOUNT = "unlimited"
DEFAULT_AMOUNT_RESERVE_PERCENT = 0.05
REQUIRED_ORDERTIF = ["entry", "exit"]
REQUIRED_ORDERTYPES = ["entry", "exit", "stoploss", "stoploss_on_exchange"]
PRICING_SIDES = ["ask", "bid", "same", "other"]
ORDERTYPE_POSSIBILITIES = ["limit", "market"]
ORDERTIF_POSSIBILITIES = ["gtc", "fok", "ioc"]
HYPEROPT_LOSS_BUILTIN = [
"ShortTradeDurHyperOptLoss",
"OnlyProfitHyperOptLoss",
"SharpeHyperOptLoss",
"SharpeHyperOptLossDaily",
"SortinoHyperOptLoss",
"SortinoHyperOptLossDaily",
"CalmarHyperOptLoss",
"MaxDrawDownHyperOptLoss",
"MaxDrawDownRelativeHyperOptLoss",
"ProfitDrawDownHyperOptLoss",
]
AVAILABLE_PAIRLISTS = [
"StaticPairList",
"VolumePairList",
"AgeFilter",
"OffsetFilter",
"PerformanceFilter",
"PrecisionFilter",
"PriceFilter",
"RangeStabilityFilter",
"ShuffleFilter",
"SpreadFilter",
"VolatilityFilter",
]
AVAILABLE_PROTECTIONS = ["CooldownPeriod", "LowProfitPairs", "MaxDrawdown", "StoplossGuard"]
AVAILABLE_DATAHANDLERS = ["json", "jsongz", "hdf5"]
BACKTEST_BREAKDOWNS = ["day", "week", "month"]
BACKTEST_CACHE_AGE = ["none", "day", "week", "month"]
BACKTEST_CACHE_DEFAULT = "day"
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = "%Y-%m-%d %H:%M:%S"
MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
DEFAULT_DATAFRAME_COLUMNS = ["date", "open", "high", "low", "close", "volume"]
# Don't modify sequence of DEFAULT_TRADES_COLUMNS
# it has wide consequences for stored trades files
DEFAULT_TRADES_COLUMNS = ["timestamp", "id", "type", "side", "price", "amount", "cost"]
TRADING_MODES = ["spot", "margin", "futures"]
MARGIN_MODES = ["cross", "isolated", ""]
LAST_BT_RESULT_FN = ".last_result.json"
FTHYPT_FILEVERSION = "fthypt_fileversion"
USERPATH_HYPEROPTS = "hyperopts"
USERPATH_STRATEGIES = "strategies"
USERPATH_NOTEBOOKS = "notebooks"
USERPATH_FREQAIMODELS = "freqaimodels"
TELEGRAM_SETTING_OPTIONS = ["on", "off", "silent"]
WEBHOOK_FORMAT_OPTIONS = ["form", "json", "raw"]
ENV_VAR_PREFIX = "FREQTRADE__"
NON_OPEN_EXCHANGE_STATES = ("cancelled", "canceled", "closed", "expired")
# Define decimals per coin for outputs
# Only used for outputs.
DECIMAL_PER_COIN_FALLBACK = 3 # Should be low to avoid listing all possible FIAT's
DECIMALS_PER_COIN = {
"BTC": 8,
"ETH": 5,
}
DUST_PER_COIN = {"BTC": 0.0001, "ETH": 0.01}
# Source files with destination directories within user-directory
USER_DATA_FILES = {
"sample_strategy.py": USERPATH_STRATEGIES,
"sample_hyperopt_loss.py": USERPATH_HYPEROPTS,
"strategy_analysis_example.ipynb": USERPATH_NOTEBOOKS,
}
SUPPORTED_FIAT = [
"AUD",
"BRL",
"CAD",
"CHF",
"CLP",
"CNY",
"CZK",
"DKK",
"EUR",
"GBP",
"HKD",
"HUF",
"IDR",
"ILS",
"INR",
"JPY",
"KRW",
"MXN",
"MYR",
"NOK",
"NZD",
"PHP",
"PKR",
"PLN",
"RUB",
"UAH",
"SEK",
"SGD",
"THB",
"TRY",
"TWD",
"ZAR",
"USD",
"BTC",
"ETH",
"XRP",
"LTC",
"BCH",
]
MINIMAL_CONFIG = {
"stake_currency": "",
"dry_run": True,
"exchange": {
"name": "",
"key": "",
"secret": "",
"pair_whitelist": [],
"ccxt_async_config": {},
},
}
# Required json-schema for user specified config
CONF_SCHEMA = {
"type": "object",
"properties": {
"max_open_trades": {"type": ["integer", "number"], "minimum": -1},
"new_pairs_days": {"type": "integer", "default": 30},
"timeframe": {"type": "string"},
"stake_currency": {"type": "string"},
"stake_amount": {
"type": ["number", "string"],
"minimum": 0.0001,
"pattern": UNLIMITED_STAKE_AMOUNT,
},
"tradable_balance_ratio": {"type": "number", "minimum": 0.0, "maximum": 1, "default": 0.99},
"available_capital": {
"type": "number",
"minimum": 0,
},
"amend_last_stake_amount": {"type": "boolean", "default": False},
"last_stake_amount_min_ratio": {
"type": "number",
"minimum": 0.0,
"maximum": 1.0,
"default": 0.5,
},
"fiat_display_currency": {"type": "string", "enum": SUPPORTED_FIAT},
"dry_run": {"type": "boolean"},
"dry_run_wallet": {"type": "number", "default": DRY_RUN_WALLET},
"cancel_open_orders_on_exit": {"type": "boolean", "default": False},
"process_only_new_candles": {"type": "boolean"},
"minimal_roi": {
"type": "object",
"patternProperties": {"^[0-9.]+$": {"type": "number"}},
"minProperties": 1,
},
"amount_reserve_percent": {"type": "number", "minimum": 0.0, "maximum": 0.5},
"stoploss": {"type": "number", "maximum": 0, "exclusiveMaximum": True, "minimum": -1},
"trailing_stop": {"type": "boolean"},
"trailing_stop_positive": {"type": "number", "minimum": 0, "maximum": 1},
"trailing_stop_positive_offset": {"type": "number", "minimum": 0, "maximum": 1},
"trailing_only_offset_is_reached": {"type": "boolean"},
"use_exit_signal": {"type": "boolean"},
"exit_profit_only": {"type": "boolean"},
"exit_profit_offset": {"type": "number"},
"ignore_roi_if_entry_signal": {"type": "boolean"},
"ignore_buying_expired_candle_after": {"type": "number"},
"trading_mode": {"type": "string", "enum": TRADING_MODES},
"margin_mode": {"type": "string", "enum": MARGIN_MODES},
"liquidation_buffer": {"type": "number", "minimum": 0.0, "maximum": 0.99},
"backtest_breakdown": {
"type": "array",
"items": {"type": "string", "enum": BACKTEST_BREAKDOWNS},
},
"bot_name": {"type": "string"},
"unfilledtimeout": {
"type": "object",
"properties": {
"entry": {"type": "number", "minimum": 1},
"exit": {"type": "number", "minimum": 1},
"exit_timeout_count": {"type": "number", "minimum": 0, "default": 0},
"unit": {"type": "string", "enum": TIMEOUT_UNITS, "default": "minutes"},
},
},
"entry_pricing": {
"type": "object",
"properties": {
"price_last_balance": {
"type": "number",
"minimum": 0,
"maximum": 1,
"exclusiveMaximum": False,
},
"price_side": {"type": "string", "enum": PRICING_SIDES, "default": "same"},
"use_order_book": {"type": "boolean"},
"order_book_top": {
"type": "integer",
"minimum": 1,
"maximum": 50,
},
"check_depth_of_market": {
"type": "object",
"properties": {
"enabled": {"type": "boolean"},
"bids_to_ask_delta": {"type": "number", "minimum": 0},
},
},
},
"required": ["price_side"],
},
"exit_pricing": {
"type": "object",
"properties": {
"price_side": {"type": "string", "enum": PRICING_SIDES, "default": "same"},
"price_last_balance": {
"type": "number",
"minimum": 0,
"maximum": 1,
"exclusiveMaximum": False,
},
"use_order_book": {"type": "boolean"},
"order_book_top": {
"type": "integer",
"minimum": 1,
"maximum": 50,
},
},
"required": ["price_side"],
},
"custom_price_max_distance_ratio": {"type": "number", "minimum": 0.0},
"order_types": {
"type": "object",
"properties": {
"entry": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
"exit": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
"force_exit": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
"force_entry": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
"emergency_exit": {
"type": "string",
"enum": ORDERTYPE_POSSIBILITIES,
"default": "market",
},
"stoploss": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
"stoploss_on_exchange": {"type": "boolean"},
"stoploss_on_exchange_interval": {"type": "number"},
"stoploss_on_exchange_limit_ratio": {
"type": "number",
"minimum": 0.0,
"maximum": 1.0,
},
},
"required": ["entry", "exit", "stoploss", "stoploss_on_exchange"],
},
"order_time_in_force": {
"type": "object",
"properties": {
"entry": {"type": "string", "enum": ORDERTIF_POSSIBILITIES},
"exit": {"type": "string", "enum": ORDERTIF_POSSIBILITIES},
},
"required": REQUIRED_ORDERTIF,
},
"exchange": {"$ref": "#/definitions/exchange"},
"edge": {"$ref": "#/definitions/edge"},
"experimental": {
"type": "object",
"properties": {"block_bad_exchanges": {"type": "boolean"}},
},
"pairlists": {
"type": "array",
"items": {
"type": "object",
"properties": {
"method": {"type": "string", "enum": AVAILABLE_PAIRLISTS},
},
"required": ["method"],
},
},
"protections": {
"type": "array",
"items": {
"type": "object",
"properties": {
"method": {"type": "string", "enum": AVAILABLE_PROTECTIONS},
"stop_duration": {"type": "number", "minimum": 0.0},
"stop_duration_candles": {"type": "number", "minimum": 0},
"trade_limit": {"type": "number", "minimum": 1},
"lookback_period": {"type": "number", "minimum": 1},
"lookback_period_candles": {"type": "number", "minimum": 1},
},
"required": ["method"],
},
},
"telegram": {
"type": "object",
"properties": {
"enabled": {"type": "boolean"},
"token": {"type": "string"},
"chat_id": {"type": "string"},
"balance_dust_level": {"type": "number", "minimum": 0.0},
"notification_settings": {
"type": "object",
"default": {},
"properties": {
"status": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
"warning": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
"startup": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
"entry": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
"entry_cancel": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
"entry_fill": {
"type": "string",
"enum": TELEGRAM_SETTING_OPTIONS,
"default": "off",
},
"exit": {
"type": ["string", "object"],
"additionalProperties": {
"type": "string",
"enum": TELEGRAM_SETTING_OPTIONS,
},
},
"exit_cancel": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
"exit_fill": {
"type": "string",
"enum": TELEGRAM_SETTING_OPTIONS,
"default": "off",
},
"protection_trigger": {
"type": "string",
"enum": TELEGRAM_SETTING_OPTIONS,
"default": "off",
},
"protection_trigger_global": {
"type": "string",
"enum": TELEGRAM_SETTING_OPTIONS,
},
},
},
"reload": {"type": "boolean"},
},
"required": ["enabled", "token", "chat_id"],
},
"webhook": {
"type": "object",
"properties": {
"enabled": {"type": "boolean"},
"url": {"type": "string"},
"format": {"type": "string", "enum": WEBHOOK_FORMAT_OPTIONS, "default": "form"},
"retries": {"type": "integer", "minimum": 0},
"retry_delay": {"type": "number", "minimum": 0},
"webhookentry": {"type": "object"},
"webhookentrycancel": {"type": "object"},
"webhookentryfill": {"type": "object"},
"webhookexit": {"type": "object"},
"webhookexitcancel": {"type": "object"},
"webhookexitfill": {"type": "object"},
"webhookstatus": {"type": "object"},
},
},
"api_server": {
"type": "object",
"properties": {
"enabled": {"type": "boolean"},
"listen_ip_address": {"format": "ipv4"},
"listen_port": {"type": "integer", "minimum": 1024, "maximum": 65535},
"username": {"type": "string"},
"password": {"type": "string"},
"jwt_secret_key": {"type": "string"},
"CORS_origins": {"type": "array", "items": {"type": "string"}},
"verbosity": {"type": "string", "enum": ["error", "info"]},
},
"required": ["enabled", "listen_ip_address", "listen_port", "username", "password"],
},
"db_url": {"type": "string"},
"export": {"type": "string", "enum": EXPORT_OPTIONS, "default": "trades"},
"disableparamexport": {"type": "boolean"},
"initial_state": {"type": "string", "enum": ["running", "stopped"]},
"force_entry_enable": {"type": "boolean"},
"disable_dataframe_checks": {"type": "boolean"},
"internals": {
"type": "object",
"default": {},
"properties": {
"process_throttle_secs": {"type": "integer"},
"interval": {"type": "integer"},
"sd_notify": {"type": "boolean"},
},
},
"dataformat_ohlcv": {"type": "string", "enum": AVAILABLE_DATAHANDLERS, "default": "json"},
"dataformat_trades": {
"type": "string",
"enum": AVAILABLE_DATAHANDLERS,
"default": "jsongz",
},
"position_adjustment_enable": {"type": "boolean"},
"max_entry_position_adjustment": {"type": ["integer", "number"], "minimum": -1},
},
"definitions": {
"exchange": {
"type": "object",
"properties": {
"name": {"type": "string"},
"sandbox": {"type": "boolean", "default": False},
"key": {"type": "string", "default": ""},
"secret": {"type": "string", "default": ""},
"password": {"type": "string", "default": ""},
"uid": {"type": "string"},
"pair_whitelist": {
"type": "array",
"items": {
"type": "string",
},
"uniqueItems": True,
},
"pair_blacklist": {
"type": "array",
"items": {
"type": "string",
},
"uniqueItems": True,
},
"unknown_fee_rate": {"type": "number"},
"outdated_offset": {"type": "integer", "minimum": 1},
"markets_refresh_interval": {"type": "integer"},
"ccxt_config": {"type": "object"},
"ccxt_async_config": {"type": "object"},
},
"required": ["name"],
},
"edge": {
"type": "object",
"properties": {
"enabled": {"type": "boolean"},
"process_throttle_secs": {"type": "integer", "minimum": 600},
"calculate_since_number_of_days": {"type": "integer"},
"allowed_risk": {"type": "number"},
"stoploss_range_min": {"type": "number"},
"stoploss_range_max": {"type": "number"},
"stoploss_range_step": {"type": "number"},
"minimum_winrate": {"type": "number"},
"minimum_expectancy": {"type": "number"},
"min_trade_number": {"type": "number"},
"max_trade_duration_minute": {"type": "integer"},
"remove_pumps": {"type": "boolean"},
},
"required": ["process_throttle_secs", "allowed_risk"],
},
"freqai": {
"type": "object",
"properties": {
"timeframes": {"type": "list"},
"train_period": {"type": "integer", "default": 0},
"backtest_period": {"type": "integer", "default": 7},
"identifier": {"type": "str", "default": "example"},
"base_features": {"type": "list"},
"corr_pairlist": {"type": "list"},
"feature_parameters": {
"type": "object",
"properties": {
"period": {"type": "integer"},
"shift": {"type": "integer", "default": 0},
"DI_threshold": {"type": "integer", "default": 0},
"weight_factor": {"type": "number", "default": 0},
"principal_component_analysis": {"type": "boolean", "default": False},
"remove_outliers": {"type": "boolean", "default": False},
},
},
"data_split_parameters": {
"type": "object",
"properties": {
"test_size": {"type": "number"},
"random_state": {"type": "integer"},
},
},
"model_training_parameters": {
"type": "object",
"properties": {
"n_estimators": {"type": "integer", "default": 2000},
"random_state": {"type": "integer", "default": 1},
"learning_rate": {"type": "number", "default": 0.02},
"task_type": {"type": "string", "default": "CPU"},
},
},
},
},
},
}
SCHEMA_TRADE_REQUIRED = [
"exchange",
"timeframe",
"max_open_trades",
"stake_currency",
"stake_amount",
"tradable_balance_ratio",
"last_stake_amount_min_ratio",
"dry_run",
"dry_run_wallet",
"exit_pricing",
"entry_pricing",
"stoploss",
"minimal_roi",
"internals",
"dataformat_ohlcv",
"dataformat_trades",
]
SCHEMA_BACKTEST_REQUIRED = [
"exchange",
"max_open_trades",
"stake_currency",
"stake_amount",
"dry_run_wallet",
"dataformat_ohlcv",
"dataformat_trades",
]
SCHEMA_BACKTEST_REQUIRED_FINAL = SCHEMA_BACKTEST_REQUIRED + [
"stoploss",
"minimal_roi",
]
SCHEMA_MINIMAL_REQUIRED = [
"exchange",
"dry_run",
"dataformat_ohlcv",
"dataformat_trades",
]
CANCEL_REASON = {
"TIMEOUT": "cancelled due to timeout",
"PARTIALLY_FILLED_KEEP_OPEN": "partially filled - keeping order open",
"PARTIALLY_FILLED": "partially filled",
"FULLY_CANCELLED": "fully cancelled",
"ALL_CANCELLED": "cancelled (all unfilled and partially filled open orders cancelled)",
"CANCELLED_ON_EXCHANGE": "cancelled on exchange",
"FORCE_EXIT": "forcesold",
"REPLACE": "cancelled to be replaced by new limit order",
"USER_CANCEL": "user requested order cancel"
}
# List of pairs with their timeframes
PairWithTimeframe = Tuple[str, str, CandleType]
ListPairsWithTimeframes = List[PairWithTimeframe]
# Type for trades list
TradeList = List[List]
LongShort = Literal['long', 'short']
EntryExit = Literal['entry', 'exit']
BuySell = Literal['buy', 'sell']