436 lines
13 KiB
Python
436 lines
13 KiB
Python
import argparse
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import enum
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import json
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import logging
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import time
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import os
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import re
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from datetime import datetime
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from typing import Any, Callable, Dict, List
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import numpy as np
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from jsonschema import Draft4Validator, validate
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from jsonschema.exceptions import ValidationError, best_match
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from wrapt import synchronized
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from freqtrade import __version__
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logger = logging.getLogger(__name__)
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class State(enum.Enum):
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RUNNING = 0
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STOPPED = 1
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# Current application state
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_STATE = State.STOPPED
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############################################
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# Used by scripts #
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# Matplotlib doesn't support ::datetime64, #
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# so we need to convert it into ::datetime #
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############################################
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def datesarray_to_datetimearray(dates):
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"""
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Convert an pandas-array of timestamps into
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An numpy-array of datetimes
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:return: numpy-array of datetime
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"""
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times = []
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dates = dates.astype(datetime)
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for i in range(0, dates.size):
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date = dates[i].to_pydatetime()
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times.append(date)
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return np.array(times)
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def common_datearray(dfs):
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alldates = {}
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for pair, pair_data in dfs.items():
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dates = datesarray_to_datetimearray(pair_data['date'])
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for date in dates:
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alldates[date] = 1
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lst = []
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for date, _ in alldates.items():
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lst.append(date)
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arr = np.array(lst)
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return np.sort(arr, axis=0)
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def file_dump_json(filename, data) -> None:
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with open(filename, 'w') as fp:
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json.dump(data, fp)
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@synchronized
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def update_state(state: State) -> None:
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"""
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Updates the application state
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:param state: new state
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:return: None
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"""
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global _STATE
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_STATE = state
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@synchronized
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def get_state() -> State:
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"""
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Gets the current application state
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:return:
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"""
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return _STATE
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def load_config(path: str) -> Dict:
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"""
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Loads a config file from the given path
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:param path: path as str
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:return: configuration as dictionary
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"""
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with open(path) as file:
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conf = json.load(file)
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if 'internals' not in conf:
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conf['internals'] = {}
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logger.info('Validating configuration ...')
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try:
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validate(conf, CONF_SCHEMA)
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return conf
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except ValidationError as exception:
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logger.fatal('Invalid configuration. See config.json.example. Reason: %s', exception)
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raise ValidationError(
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best_match(Draft4Validator(CONF_SCHEMA).iter_errors(conf)).message
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)
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def throttle(func: Callable[..., Any], min_secs: float, *args, **kwargs) -> Any:
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"""
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Throttles the given callable that it
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takes at least `min_secs` to finish execution.
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:param func: Any callable
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:param min_secs: minimum execution time in seconds
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:return: Any
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"""
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start = time.time()
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result = func(*args, **kwargs)
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end = time.time()
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duration = max(min_secs - (end - start), 0.0)
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logger.debug('Throttling %s for %.2f seconds', func.__name__, duration)
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time.sleep(duration)
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return result
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def common_args_parser(description: str):
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"""
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Parses given common arguments and returns them as a parsed object.
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"""
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parser = argparse.ArgumentParser(
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description=description
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)
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parser.add_argument(
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'-v', '--verbose',
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help='be verbose',
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action='store_const',
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dest='loglevel',
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const=logging.DEBUG,
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default=logging.INFO,
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)
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parser.add_argument(
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'--version',
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action='version',
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version='%(prog)s {}'.format(__version__),
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)
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parser.add_argument(
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'-c', '--config',
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help='specify configuration file (default: %(default)s)',
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dest='config',
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default='config.json',
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type=str,
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metavar='PATH',
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)
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parser.add_argument(
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'-d', '--datadir',
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help='path to backtest data (default: %(default)s',
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dest='datadir',
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default=os.path.join('freqtrade', 'tests', 'testdata'),
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type=str,
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metavar='PATH',
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)
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parser.add_argument(
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'-s', '--strategy',
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help='specify strategy file (default: %(default)s)',
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dest='strategy',
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default='default_strategy',
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type=str,
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metavar='PATH',
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)
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return parser
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def parse_args(args: List[str], description: str):
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"""
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Parses given arguments and returns an argparse Namespace instance.
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Returns None if a sub command has been selected and executed.
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"""
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parser = common_args_parser(description)
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parser.add_argument(
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'--dry-run-db',
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help='Force dry run to use a local DB "tradesv3.dry_run.sqlite" \
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instead of memory DB. Work only if dry_run is enabled.',
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action='store_true',
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dest='dry_run_db',
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)
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parser.add_argument(
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'--dynamic-whitelist',
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help='dynamically generate and update whitelist \
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based on 24h BaseVolume (Default 20 currencies)', # noqa
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dest='dynamic_whitelist',
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const=20,
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type=int,
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metavar='INT',
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nargs='?',
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)
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build_subcommands(parser)
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return parser.parse_args(args)
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def scripts_options(parser: argparse.ArgumentParser) -> None:
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parser.add_argument(
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'-p', '--pair',
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help='Show profits for only this pairs. Pairs are comma-separated.',
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dest='pair',
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default=None
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)
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def optimizer_shared_options(parser: argparse.ArgumentParser) -> None:
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parser.add_argument(
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'-i', '--ticker-interval',
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help='specify ticker interval in minutes (1, 5, 30, 60, 1440)',
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dest='ticker_interval',
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type=int,
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metavar='INT',
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)
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parser.add_argument(
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'--realistic-simulation',
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help='uses max_open_trades from config to simulate real world limitations',
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action='store_true',
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dest='realistic_simulation',
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)
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parser.add_argument(
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'--timerange',
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help='Specify what timerange of data to use.',
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default=None,
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type=str,
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dest='timerange',
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)
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def backtesting_options(parser: argparse.ArgumentParser) -> None:
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parser.add_argument(
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'-l', '--live',
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action='store_true',
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dest='live',
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help='using live data',
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)
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parser.add_argument(
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'-r', '--refresh-pairs-cached',
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help='refresh the pairs files in tests/testdata with the latest data from Bittrex. \
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Use it if you want to run your backtesting with up-to-date data.',
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action='store_true',
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dest='refresh_pairs',
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)
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parser.add_argument(
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'--export',
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help='Export backtest results, argument are: trades\
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Example --export=trades',
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type=str,
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default=None,
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dest='export',
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)
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def hyperopt_options(parser: argparse.ArgumentParser) -> None:
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parser.add_argument(
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'-e', '--epochs',
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help='specify number of epochs (default: %(default)d)',
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dest='epochs',
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default=100,
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type=int,
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metavar='INT',
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)
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parser.add_argument(
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'--use-mongodb',
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help='parallelize evaluations with mongodb (requires mongod in PATH)',
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dest='mongodb',
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action='store_true',
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)
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parser.add_argument(
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'-s', '--spaces',
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help='Specify which parameters to hyperopt. Space separate list. \
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Default: %(default)s',
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choices=['all', 'buy', 'roi', 'stoploss'],
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default='all',
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nargs='+',
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dest='spaces',
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)
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def parse_timerange(text):
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if text is None:
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return None
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syntax = [(r'^-(\d{8})$', (None, 'date')),
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(r'^(\d{8})-$', ('date', None)),
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(r'^(\d{8})-(\d{8})$', ('date', 'date')),
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(r'^(-\d+)$', (None, 'line')),
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(r'^(\d+)-$', ('line', None)),
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(r'^(\d+)-(\d+)$', ('index', 'index'))]
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for rex, stype in syntax:
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# Apply the regular expression to text
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match = re.match(rex, text)
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if match: # Regex has matched
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rvals = match.groups()
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index = 0
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start = None
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stop = None
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if stype[0]:
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start = rvals[index]
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if stype[0] != 'date':
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start = int(start)
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index += 1
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if stype[1]:
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stop = rvals[index]
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if stype[1] != 'date':
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stop = int(stop)
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return (stype, start, stop)
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raise Exception('Incorrect syntax for timerange "%s"' % text)
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def build_subcommands(parser: argparse.ArgumentParser) -> None:
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""" Builds and attaches all subcommands """
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from freqtrade.optimize import backtesting, hyperopt
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subparsers = parser.add_subparsers(dest='subparser')
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# Add backtesting subcommand
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backtesting_cmd = subparsers.add_parser('backtesting', help='backtesting module')
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backtesting_cmd.set_defaults(func=backtesting.start)
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optimizer_shared_options(backtesting_cmd)
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backtesting_options(backtesting_cmd)
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# Add hyperopt subcommand
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hyperopt_cmd = subparsers.add_parser('hyperopt', help='hyperopt module')
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hyperopt_cmd.set_defaults(func=hyperopt.start)
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optimizer_shared_options(hyperopt_cmd)
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hyperopt_options(hyperopt_cmd)
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# Required json-schema for user specified config
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CONF_SCHEMA = {
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'type': 'object',
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'properties': {
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'max_open_trades': {'type': 'integer', 'minimum': 1},
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'ticker_interval': {'type': 'integer', 'enum': [1, 5, 30, 60, 1440]},
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'stake_currency': {'type': 'string', 'enum': ['BTC', 'ETH', 'USDT']},
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'stake_amount': {'type': 'number', 'minimum': 0.0005},
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'fiat_display_currency': {'type': 'string', 'enum': ['AUD', 'BRL', 'CAD', 'CHF',
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'CLP', 'CNY', 'CZK', 'DKK',
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'EUR', 'GBP', 'HKD', 'HUF',
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'IDR', 'ILS', 'INR', 'JPY',
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'KRW', 'MXN', 'MYR', 'NOK',
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'NZD', 'PHP', 'PKR', 'PLN',
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'RUB', 'SEK', 'SGD', 'THB',
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'TRY', 'TWD', 'ZAR', 'USD']},
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'dry_run': {'type': 'boolean'},
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'minimal_roi': {
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'type': 'object',
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'patternProperties': {
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'^[0-9.]+$': {'type': 'number'}
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},
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'minProperties': 1
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},
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'stoploss': {'type': 'number', 'maximum': 0, 'exclusiveMaximum': True},
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'unfilledtimeout': {'type': 'integer', 'minimum': 0},
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'bid_strategy': {
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'type': 'object',
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'properties': {
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'ask_last_balance': {
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'type': 'number',
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'minimum': 0,
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'maximum': 1,
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'exclusiveMaximum': False
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},
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},
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'required': ['ask_last_balance']
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},
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'exchange': {'$ref': '#/definitions/exchange'},
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'experimental': {
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'type': 'object',
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'properties': {
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'use_sell_signal': {'type': 'boolean'},
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'sell_profit_only': {'type': 'boolean'}
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}
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},
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'telegram': {
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'type': 'object',
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'properties': {
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'enabled': {'type': 'boolean'},
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'token': {'type': 'string'},
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'chat_id': {'type': 'string'},
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},
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'required': ['enabled', 'token', 'chat_id']
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},
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'initial_state': {'type': 'string', 'enum': ['running', 'stopped']},
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'internals': {
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'type': 'object',
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'properties': {
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'process_throttle_secs': {'type': 'number'},
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'interval': {'type': 'integer'}
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}
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}
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},
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'definitions': {
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'exchange': {
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'type': 'object',
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'properties': {
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'name': {'type': 'string'},
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'key': {'type': 'string'},
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'secret': {'type': 'string'},
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'pair_whitelist': {
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'type': 'array',
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'items': {
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'type': 'string',
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'pattern': '^[0-9A-Z]+_[0-9A-Z]+$'
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},
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'uniqueItems': True
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},
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'pair_blacklist': {
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'type': 'array',
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'items': {
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'type': 'string',
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'pattern': '^[0-9A-Z]+_[0-9A-Z]+$'
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},
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'uniqueItems': True
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}
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},
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'required': ['name', 'key', 'secret', 'pair_whitelist']
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}
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},
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'anyOf': [
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{'required': ['exchange']}
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],
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'required': [
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'max_open_trades',
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'stake_currency',
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'stake_amount',
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'fiat_display_currency',
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'dry_run',
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'bid_strategy',
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'telegram'
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]
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}
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