267 lines
9.0 KiB
Python
267 lines
9.0 KiB
Python
import datetime
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import logging
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import os
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import tempfile
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from base64 import urlsafe_b64encode
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import simplejson as json
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from freqtrade.optimize.backtesting import Backtesting
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from requests import post
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def backtest(event, context):
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"""
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this method is running on the AWS server
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and back tests this application for us
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and stores the back testing results in a local database
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this event can be given as:
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:param event:
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{
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'strategy' : 'url handle where we can find the strategy'
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'stake_currency' : 'our desired stake currency'
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'asset' : '[] asset we are interested in.
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'username' : user who's strategy should be evaluated
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'name' : name of the strategy we want to evaluate
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'exchange' : name of the exchange we should be using
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}
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it should be invoked by SNS only to avoid abuse of the system!
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:param context:
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standard AWS context, so pleaes ignore for now!
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:return:
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no return
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"""
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from boto3.dynamodb.conditions import Key
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from freqtrade.aws.tables import get_strategy_table
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if 'Records' in event:
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for x in event['Records']:
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if 'Sns' in x and 'Message' in x['Sns']:
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event['body'] = json.loads(x['Sns']['Message'])
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name = event['body']['name']
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user = event['body']['user']
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table = get_strategy_table()
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response = table.query(
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KeyConditionExpression=Key('user').eq(user) &
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Key('name').eq(name)
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)
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till = datetime.datetime.today()
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fromDate = till - datetime.timedelta(days=90)
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if 'from' in event['body']:
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fromDate = datetime.datetime.strptime(event['body']['from'], '%Y%m%d')
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if 'till' in event['body']:
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till = datetime.datetime.strptime(event['body']['till'], '%Y%m%d')
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try:
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if "Items" in response and len(response['Items']) > 0:
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print("schedule back testing from {} till {} for {} with {} vs {}".format(fromDate, till, name,
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event['body'][
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'stake_currency'],
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event['body'][
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'assets']))
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configuration = _generate_configuration(event, fromDate, name, response, till)
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print("configuration: \n{}\n".format(
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urlsafe_b64encode(json.dumps(configuration).encode('utf-8')).decode('utf-8')))
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# fire AWS fargate instance now
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run_backtest(configuration, name, user)
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return {
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"statusCode": 200
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}
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else:
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return {
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"statusCode": 404,
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"body": json.dumps({
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"error": "sorry we did not find any matching strategy for user {} and name {}".format(
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user, name)})
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}
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except ImportError as e:
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return {
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"statusCode": 500,
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"body": json.dumps({"error": e})
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}
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else:
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raise Exception("not a valid event: {}".format(event))
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def run_backtest(configuration, name, user):
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backtesting = Backtesting(configuration)
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result = backtesting.start()
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for index, row in result.iterrows():
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data = {
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"id": "{}.{}:{}:test".format(user, name, row['currency'].upper()),
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"trade": "{} to {}".format(row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
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row['exit'].strftime('%Y-%m-%d %H:%M:%S')),
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"pair": row['currency'],
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"duration": row['duration'],
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"profit_percent": row['profit_percent'],
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"profit_stake": row['profit_BTC'],
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"entry_date": row['entry'].strftime('%Y-%m-%d %H:%M:%S'),
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"exit_date": row['exit'].strftime('%Y-%m-%d %H:%M:%S')
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}
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_submit_result_to_backend(data)
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def _submit_result_to_backend(data):
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"""
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submits the given result to the backend system for further processing and analysis
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:param data:
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:return:
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"""
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print(data)
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try:
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print(
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post("{}/trade".format(os.environ.get('BASE_URL', 'http://freq.isaac.international/dev/trade')), data=data))
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except Exception as e:
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print("submission ignored: {}".format(e))
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def _generate_configuration(event, fromDate, name, response, till):
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"""
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generates the configuration for us on the fly
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:param event:
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:param fromDate:
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:param name:
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:param response:
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:param till:
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:return:
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"""
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content = response['Items'][0]['content']
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configuration = {
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"max_open_trades": 1,
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"stake_currency": event['body']['stake_currency'].upper(),
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"stake_amount": 1,
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"fiat_display_currency": "USD",
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"unfilledtimeout": 600,
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"trailing_stop": response['Items'][0]['trailing_stop'],
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"bid_strategy": {
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"ask_last_balance": 0.0
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},
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"exchange": {
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"name": response['Items'][0]['exchange'],
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"enabled": True,
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"key": "key",
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"secret": "secret",
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"pair_whitelist": list(
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map(lambda x: "{}/{}".format(x, response['Items'][0]['stake_currency']).upper(),
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response['Items'][0]['assets']))
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},
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"telegram": {
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"enabled": False,
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"token": "token",
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"chat_id": "0"
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},
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"initial_state": "running",
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"datadir": tempfile.gettempdir(),
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"experimental": {
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"use_sell_signal": response['Items'][0]['use_sell'],
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"sell_profit_only": True
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},
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"internals": {
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"process_throttle_secs": 5
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},
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'realistic_simulation': True,
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"loglevel": logging.INFO,
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"strategy": "{}:{}".format(name, content),
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"timerange": "{}-{}".format(fromDate.strftime('%Y%m%d'), till.strftime('%Y%m%d')),
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"refresh_pairs": False # no longer required, we will maintain static files for the future
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}
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return configuration
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def cron(event, context):
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"""
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this functions submits all strategies to the backtesting queue
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:param event:
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:param context:
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:return:
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"""
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import boto3
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from freqtrade.aws.tables import get_strategy_table
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# if topic exists, we just reuse it
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client = boto3.client('sns')
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topic_arn = client.create_topic(Name=os.environ['topic'])['TopicArn']
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table = get_strategy_table()
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response = table.scan()
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def fetch(response, table):
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"""
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fetches all strategies from the server
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technically code duplications
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TODO refacture
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:param response:
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:param table:
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:return:
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"""
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for i in response['Items']:
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# fire a message to our queue
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message = {
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"user": i['user'],
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"name": i['name'],
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"assets": i['assets'],
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"stake_currency": i['stake_currency']
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}
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# triggered over html, let's provide
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# a date range for the backtesting
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if 'pathParameters' in event:
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if 'from' in event['pathParameters']:
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message['from'] = event['pathParameters']['from']
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else:
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message['from'] = datetime.datetime.today().strftime('%Y%m%d')
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if 'till' in event['pathParameters']:
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message['till'] = event['pathParameters']['till']
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else:
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message['till'] = (datetime.datetime.today() - datetime.timedelta(days=1)).strftime('%Y%m%d')
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serialized = json.dumps(message, use_decimal=True)
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# submit item to queue for routing to the correct persistence
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result = client.publish(
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TopicArn=topic_arn,
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Message=json.dumps({'default': serialized}),
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Subject="schedule",
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MessageStructure='json'
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)
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if 'LastEvaluatedKey' in response:
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return table.scan(
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ExclusiveStartKey=response['LastEvaluatedKey']
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)
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else:
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return {}
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# do/while simulation
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response = fetch(response, table)
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while 'LastEvaluatedKey' in response:
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response = fetch(response, table)
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return {
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"statusCode": 200
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}
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