stable/freqtrade/constants.py
2022-09-04 11:23:25 +02:00

603 lines
24 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', 'PO']
ORDERTIF_POSSIBILITIES = _ORDERTIF_POSSIBILITIES + [t.lower() for t in _ORDERTIF_POSSIBILITIES]
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': {'$ref': '#/definitions/edge'},
'freqai': {'$ref': '#/definitions/freqai'},
'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': 'on'
},
'protection_trigger': {
'type': 'string',
'enum': TELEGRAM_SETTING_OPTIONS,
'default': 'on'
},
'protection_trigger_global': {
'type': 'string',
'enum': TELEGRAM_SETTING_OPTIONS,
},
'show_candle': {
'type': 'string',
'enum': ['off', 'ohlc'],
},
'strategy_msg': {
'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'},
},
},
'discord': {
'type': 'object',
'properties': {
'enabled': {'type': 'boolean'},
'webhook_url': {'type': 'string'},
"exit_fill": {
'type': 'array', 'items': {'type': 'object'},
'default': [
{"Trade ID": "{trade_id}"},
{"Exchange": "{exchange}"},
{"Pair": "{pair}"},
{"Direction": "{direction}"},
{"Open rate": "{open_rate}"},
{"Close rate": "{close_rate}"},
{"Amount": "{amount}"},
{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
{"Close date": "{close_date:%Y-%m-%d %H:%M:%S}"},
{"Profit": "{profit_amount} {stake_currency}"},
{"Profitability": "{profit_ratio:.2%}"},
{"Enter tag": "{enter_tag}"},
{"Exit Reason": "{exit_reason}"},
{"Strategy": "{strategy}"},
{"Timeframe": "{timeframe}"},
]
},
"entry_fill": {
'type': 'array', 'items': {'type': 'object'},
'default': [
{"Trade ID": "{trade_id}"},
{"Exchange": "{exchange}"},
{"Pair": "{pair}"},
{"Direction": "{direction}"},
{"Open rate": "{open_rate}"},
{"Amount": "{amount}"},
{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
{"Enter tag": "{enter_tag}"},
{"Strategy": "{strategy} {timeframe}"},
]
},
}
},
'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": {
"enabled": {"type": "boolean", "default": False},
"keras": {"type": "boolean", "default": False},
"conv_width": {"type": "integer", "default": 2},
"train_period_days": {"type": "integer", "default": 0},
"backtest_period_days": {"type": "number", "default": 7},
"identifier": {"type": "string", "default": "example"},
"feature_parameters": {
"type": "object",
"properties": {
"include_corr_pairlist": {"type": "array"},
"include_timeframes": {"type": "array"},
"label_period_candles": {"type": "integer"},
"include_shifted_candles": {"type": "integer", "default": 0},
"DI_threshold": {"type": "number", "default": 0},
"weight_factor": {"type": "number", "default": 0},
"principal_component_analysis": {"type": "boolean", "default": False},
"use_SVM_to_remove_outliers": {"type": "boolean", "default": False},
"svm_params": {"type": "object",
"properties": {
"shuffle": {"type": "boolean", "default": False},
"nu": {"type": "number", "default": 0.1}
},
}
},
"required": ["include_timeframes", "include_corr_pairlist", ]
},
"data_split_parameters": {
"type": "object",
"properties": {
"test_size": {"type": "number"},
"random_state": {"type": "integer"},
},
},
"model_training_parameters": {
"type": "object"
},
},
"required": [
"enabled",
"train_period_days",
"backtest_period_days",
"identifier",
"feature_parameters",
"data_split_parameters",
"model_training_parameters"
]
},
},
}
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']
MakerTaker = Literal['maker', 'taker']