138 lines
5.5 KiB
Python
138 lines
5.5 KiB
Python
from dataclasses import dataclass
|
|
from typing import Any, Callable, Optional, Union
|
|
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.enums import CandleType
|
|
from freqtrade.exceptions import OperationalException
|
|
from freqtrade.strategy.strategy_helper import merge_informative_pair
|
|
|
|
|
|
PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame]
|
|
|
|
|
|
@dataclass
|
|
class InformativeData:
|
|
asset: Optional[str]
|
|
timeframe: str
|
|
fmt: Union[str, Callable[[Any], str], None]
|
|
ffill: bool
|
|
candle_type: Optional[CandleType]
|
|
|
|
|
|
def informative(timeframe: str, asset: str = '',
|
|
fmt: Optional[Union[str, Callable[[Any], str]]] = None,
|
|
*,
|
|
candle_type: Optional[Union[CandleType, str]] = None,
|
|
ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]:
|
|
"""
|
|
A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to
|
|
define informative indicators.
|
|
|
|
Example usage:
|
|
|
|
@informative('1h')
|
|
def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
|
dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
|
|
return dataframe
|
|
|
|
:param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe.
|
|
:param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use
|
|
current pair.
|
|
:param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not
|
|
specified, defaults to:
|
|
* {base}_{quote}_{column}_{timeframe} if asset is specified.
|
|
* {column}_{timeframe} if asset is not specified.
|
|
Format string supports these format variables:
|
|
* {asset} - full name of the asset, for example 'BTC/USDT'.
|
|
* {base} - base currency in lower case, for example 'eth'.
|
|
* {BASE} - same as {base}, except in upper case.
|
|
* {quote} - quote currency in lower case, for example 'usdt'.
|
|
* {QUOTE} - same as {quote}, except in upper case.
|
|
* {column} - name of dataframe column.
|
|
* {timeframe} - timeframe of informative dataframe.
|
|
:param ffill: ffill dataframe after merging informative pair.
|
|
:param candle_type: '', mark, index, premiumIndex, or funding_rate
|
|
"""
|
|
_asset = asset
|
|
_timeframe = timeframe
|
|
_fmt = fmt
|
|
_ffill = ffill
|
|
_candle_type = CandleType.from_string(candle_type) if candle_type else None
|
|
|
|
def decorator(fn: PopulateIndicators):
|
|
informative_pairs = getattr(fn, '_ft_informative', [])
|
|
informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill, _candle_type))
|
|
setattr(fn, '_ft_informative', informative_pairs)
|
|
return fn
|
|
return decorator
|
|
|
|
|
|
def _format_pair_name(config, pair: str) -> str:
|
|
return pair.format(stake_currency=config['stake_currency'],
|
|
stake=config['stake_currency']).upper()
|
|
|
|
|
|
def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict,
|
|
inf_data: InformativeData,
|
|
populate_indicators: PopulateIndicators):
|
|
asset = inf_data.asset or ''
|
|
timeframe = inf_data.timeframe
|
|
fmt = inf_data.fmt
|
|
candle_type = inf_data.candle_type
|
|
|
|
config = strategy.config
|
|
|
|
if asset:
|
|
# Insert stake currency if needed.
|
|
asset = _format_pair_name(config, asset)
|
|
else:
|
|
# Not specifying an asset will define informative dataframe for current pair.
|
|
asset = metadata['pair']
|
|
|
|
market = strategy.dp.market(asset)
|
|
if market is None:
|
|
raise OperationalException(f'Market {asset} is not available.')
|
|
base = market['base']
|
|
quote = market['quote']
|
|
|
|
# Default format. This optimizes for the common case: informative pairs using same stake
|
|
# currency. When quote currency matches stake currency, column name will omit base currency.
|
|
# This allows easily reconfiguring strategy to use different base currency. In a rare case
|
|
# where it is desired to keep quote currency in column name at all times user should specify
|
|
# fmt='{base}_{quote}_{column}_{timeframe}' format or similar.
|
|
if not fmt:
|
|
fmt = '{column}_{timeframe}' # Informatives of current pair
|
|
if inf_data.asset:
|
|
fmt = '{base}_{quote}_' + fmt # Informatives of other pairs
|
|
|
|
inf_metadata = {'pair': asset, 'timeframe': timeframe}
|
|
inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe, candle_type)
|
|
inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata)
|
|
|
|
formatter: Any = None
|
|
if callable(fmt):
|
|
formatter = fmt # A custom user-specified formatter function.
|
|
else:
|
|
formatter = fmt.format # A default string formatter.
|
|
|
|
fmt_args = {
|
|
'BASE': base.upper(),
|
|
'QUOTE': quote.upper(),
|
|
'base': base.lower(),
|
|
'quote': quote.lower(),
|
|
'asset': asset,
|
|
'timeframe': timeframe,
|
|
}
|
|
inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args),
|
|
inplace=True)
|
|
|
|
date_column = formatter(column='date', **fmt_args)
|
|
if date_column in dataframe.columns:
|
|
raise OperationalException(f'Duplicate column name {date_column} exists in '
|
|
f'dataframe! Ensure column names are unique!')
|
|
dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe,
|
|
ffill=inf_data.ffill, append_timeframe=False,
|
|
date_column=date_column)
|
|
return dataframe
|