590 lines
23 KiB
Python
590 lines
23 KiB
Python
# pragma pylint: disable=too-few-public-methods
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"""
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bot constants
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"""
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from typing import List, Literal, Tuple
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from freqtrade.enums import CandleType
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DEFAULT_CONFIG = 'config.json'
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DEFAULT_EXCHANGE = 'bittrex'
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PROCESS_THROTTLE_SECS = 5 # sec
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HYPEROPT_EPOCH = 100 # epochs
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RETRY_TIMEOUT = 30 # sec
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TIMEOUT_UNITS = ['minutes', 'seconds']
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EXPORT_OPTIONS = ['none', 'trades', 'signals']
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DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
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DEFAULT_DB_DRYRUN_URL = 'sqlite:///tradesv3.dryrun.sqlite'
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UNLIMITED_STAKE_AMOUNT = 'unlimited'
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DEFAULT_AMOUNT_RESERVE_PERCENT = 0.05
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REQUIRED_ORDERTIF = ['entry', 'exit']
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REQUIRED_ORDERTYPES = ['entry', 'exit', 'stoploss', 'stoploss_on_exchange']
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PRICING_SIDES = ['ask', 'bid', 'same', 'other']
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ORDERTYPE_POSSIBILITIES = ['limit', 'market']
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ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
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HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
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'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
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'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
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'CalmarHyperOptLoss',
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'MaxDrawDownHyperOptLoss', 'MaxDrawDownRelativeHyperOptLoss',
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'ProfitDrawDownHyperOptLoss']
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AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
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'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
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'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter',
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'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
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AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
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AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
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BACKTEST_BREAKDOWNS = ['day', 'week', 'month']
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BACKTEST_CACHE_AGE = ['none', 'day', 'week', 'month']
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BACKTEST_CACHE_DEFAULT = 'day'
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DRY_RUN_WALLET = 1000
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DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'
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MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
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DEFAULT_DATAFRAME_COLUMNS = ['date', 'open', 'high', 'low', 'close', 'volume']
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# Don't modify sequence of DEFAULT_TRADES_COLUMNS
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# it has wide consequences for stored trades files
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DEFAULT_TRADES_COLUMNS = ['timestamp', 'id', 'type', 'side', 'price', 'amount', 'cost']
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TRADING_MODES = ['spot', 'margin', 'futures']
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MARGIN_MODES = ['cross', 'isolated', '']
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LAST_BT_RESULT_FN = '.last_result.json'
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FTHYPT_FILEVERSION = 'fthypt_fileversion'
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USERPATH_HYPEROPTS = 'hyperopts'
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USERPATH_STRATEGIES = 'strategies'
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USERPATH_NOTEBOOKS = 'notebooks'
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USERPATH_FREQAIMODELS = 'freqaimodels'
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TELEGRAM_SETTING_OPTIONS = ['on', 'off', 'silent']
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WEBHOOK_FORMAT_OPTIONS = ['form', 'json', 'raw']
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ENV_VAR_PREFIX = 'FREQTRADE__'
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NON_OPEN_EXCHANGE_STATES = ('cancelled', 'canceled', 'closed', 'expired')
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# Define decimals per coin for outputs
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# Only used for outputs.
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DECIMAL_PER_COIN_FALLBACK = 3 # Should be low to avoid listing all possible FIAT's
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DECIMALS_PER_COIN = {
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'BTC': 8,
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'ETH': 5,
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}
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DUST_PER_COIN = {
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'BTC': 0.0001,
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'ETH': 0.01
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}
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# Source files with destination directories within user-directory
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USER_DATA_FILES = {
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'sample_strategy.py': USERPATH_STRATEGIES,
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'sample_hyperopt_loss.py': USERPATH_HYPEROPTS,
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'strategy_analysis_example.ipynb': USERPATH_NOTEBOOKS,
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}
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SUPPORTED_FIAT = [
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"AUD", "BRL", "CAD", "CHF", "CLP", "CNY", "CZK", "DKK",
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"EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY",
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"KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN",
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"RUB", "UAH", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR",
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"USD", "BTC", "ETH", "XRP", "LTC", "BCH"
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]
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MINIMAL_CONFIG = {
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"stake_currency": "",
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"dry_run": True,
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"exchange": {
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"name": "",
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"key": "",
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"secret": "",
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"pair_whitelist": [],
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"ccxt_async_config": {
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}
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}
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}
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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', 'number'], 'minimum': -1},
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'new_pairs_days': {'type': 'integer', 'default': 30},
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'timeframe': {'type': 'string'},
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'stake_currency': {'type': 'string'},
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'stake_amount': {
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'type': ['number', 'string'],
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'minimum': 0.0001,
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'pattern': UNLIMITED_STAKE_AMOUNT
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},
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'tradable_balance_ratio': {
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'type': 'number',
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'minimum': 0.0,
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'maximum': 1,
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'default': 0.99
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},
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'available_capital': {
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'type': 'number',
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'minimum': 0,
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},
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'amend_last_stake_amount': {'type': 'boolean', 'default': False},
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'last_stake_amount_min_ratio': {
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'type': 'number', 'minimum': 0.0, 'maximum': 1.0, 'default': 0.5
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},
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'fiat_display_currency': {'type': 'string', 'enum': SUPPORTED_FIAT},
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'dry_run': {'type': 'boolean'},
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'dry_run_wallet': {'type': 'number', 'default': DRY_RUN_WALLET},
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'cancel_open_orders_on_exit': {'type': 'boolean', 'default': False},
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'process_only_new_candles': {'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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'amount_reserve_percent': {'type': 'number', 'minimum': 0.0, 'maximum': 0.5},
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'stoploss': {'type': 'number', 'maximum': 0, 'exclusiveMaximum': True, 'minimum': -1},
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'trailing_stop': {'type': 'boolean'},
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'trailing_stop_positive': {'type': 'number', 'minimum': 0, 'maximum': 1},
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'trailing_stop_positive_offset': {'type': 'number', 'minimum': 0, 'maximum': 1},
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'trailing_only_offset_is_reached': {'type': 'boolean'},
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'use_exit_signal': {'type': 'boolean'},
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'exit_profit_only': {'type': 'boolean'},
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'exit_profit_offset': {'type': 'number'},
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'ignore_roi_if_entry_signal': {'type': 'boolean'},
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'ignore_buying_expired_candle_after': {'type': 'number'},
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'trading_mode': {'type': 'string', 'enum': TRADING_MODES},
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'margin_mode': {'type': 'string', 'enum': MARGIN_MODES},
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'liquidation_buffer': {'type': 'number', 'minimum': 0.0, 'maximum': 0.99},
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'backtest_breakdown': {
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'type': 'array',
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'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}
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},
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'bot_name': {'type': 'string'},
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'unfilledtimeout': {
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'type': 'object',
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'properties': {
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'entry': {'type': 'number', 'minimum': 1},
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'exit': {'type': 'number', 'minimum': 1},
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'exit_timeout_count': {'type': 'number', 'minimum': 0, 'default': 0},
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'unit': {'type': 'string', 'enum': TIMEOUT_UNITS, 'default': 'minutes'}
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}
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},
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'entry_pricing': {
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'type': 'object',
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'properties': {
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'price_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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'price_side': {'type': 'string', 'enum': PRICING_SIDES, 'default': 'same'},
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'use_order_book': {'type': 'boolean'},
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'order_book_top': {'type': 'integer', 'minimum': 1, 'maximum': 50, },
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'check_depth_of_market': {
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'type': 'object',
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'properties': {
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'enabled': {'type': 'boolean'},
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'bids_to_ask_delta': {'type': 'number', 'minimum': 0},
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}
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},
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},
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'required': ['price_side']
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},
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'exit_pricing': {
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'type': 'object',
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'properties': {
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'price_side': {'type': 'string', 'enum': PRICING_SIDES, 'default': 'same'},
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'price_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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'use_order_book': {'type': 'boolean'},
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'order_book_top': {'type': 'integer', 'minimum': 1, 'maximum': 50, },
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},
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'required': ['price_side']
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},
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'custom_price_max_distance_ratio': {
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'type': 'number', 'minimum': 0.0
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},
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'order_types': {
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'type': 'object',
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'properties': {
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'entry': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'exit': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'force_exit': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'force_entry': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'emergency_exit': {
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'type': 'string',
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'enum': ORDERTYPE_POSSIBILITIES,
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'default': 'market'},
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'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
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'stoploss_on_exchange': {'type': 'boolean'},
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'stoploss_on_exchange_interval': {'type': 'number'},
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'stoploss_on_exchange_limit_ratio': {'type': 'number', 'minimum': 0.0,
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'maximum': 1.0}
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},
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'required': ['entry', 'exit', 'stoploss', 'stoploss_on_exchange']
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},
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'order_time_in_force': {
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'type': 'object',
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'properties': {
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'entry': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES},
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'exit': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES}
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},
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'required': REQUIRED_ORDERTIF
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},
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'exchange': {'$ref': '#/definitions/exchange'},
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'edge': {'$ref': '#/definitions/edge'},
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'experimental': {
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'type': 'object',
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'properties': {
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'block_bad_exchanges': {'type': 'boolean'}
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}
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},
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'pairlists': {
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'type': 'array',
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'items': {
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'type': 'object',
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'properties': {
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'method': {'type': 'string', 'enum': AVAILABLE_PAIRLISTS},
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},
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'required': ['method'],
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}
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},
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'protections': {
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'type': 'array',
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'items': {
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'type': 'object',
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'properties': {
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'method': {'type': 'string', 'enum': AVAILABLE_PROTECTIONS},
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'stop_duration': {'type': 'number', 'minimum': 0.0},
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'stop_duration_candles': {'type': 'number', 'minimum': 0},
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'trade_limit': {'type': 'number', 'minimum': 1},
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'lookback_period': {'type': 'number', 'minimum': 1},
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'lookback_period_candles': {'type': 'number', 'minimum': 1},
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},
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'required': ['method'],
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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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'balance_dust_level': {'type': 'number', 'minimum': 0.0},
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'notification_settings': {
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'type': 'object',
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'default': {},
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'properties': {
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'status': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
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'warning': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
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'startup': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
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'entry': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
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'entry_cancel': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
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'entry_fill': {'type': 'string',
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'enum': TELEGRAM_SETTING_OPTIONS,
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'default': 'off'
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},
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'exit': {
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'type': ['string', 'object'],
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'additionalProperties': {
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'type': 'string',
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'enum': TELEGRAM_SETTING_OPTIONS
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}
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},
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'exit_cancel': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
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'exit_fill': {
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'type': 'string',
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'enum': TELEGRAM_SETTING_OPTIONS,
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'default': 'on'
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},
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'protection_trigger': {
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'type': 'string',
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'enum': TELEGRAM_SETTING_OPTIONS,
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'default': 'on'
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},
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'protection_trigger_global': {
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'type': 'string',
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'enum': TELEGRAM_SETTING_OPTIONS,
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},
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}
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},
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'reload': {'type': 'boolean'},
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},
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'required': ['enabled', 'token', 'chat_id'],
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},
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'webhook': {
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'type': 'object',
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'properties': {
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'enabled': {'type': 'boolean'},
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'url': {'type': 'string'},
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'format': {'type': 'string', 'enum': WEBHOOK_FORMAT_OPTIONS, 'default': 'form'},
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'retries': {'type': 'integer', 'minimum': 0},
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'retry_delay': {'type': 'number', 'minimum': 0},
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'webhookentry': {'type': 'object'},
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'webhookentrycancel': {'type': 'object'},
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'webhookentryfill': {'type': 'object'},
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'webhookexit': {'type': 'object'},
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'webhookexitcancel': {'type': 'object'},
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'webhookexitfill': {'type': 'object'},
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'webhookstatus': {'type': 'object'},
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},
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},
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'discord': {
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'type': 'object',
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'properties': {
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'enabled': {'type': 'boolean'},
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'webhook_url': {'type': 'string'},
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"exit_fill": {
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'type': 'array', 'items': {'type': 'object'},
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'default': [
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{"Trade ID": "{trade_id}"},
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{"Exchange": "{exchange}"},
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{"Pair": "{pair}"},
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{"Direction": "{direction}"},
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{"Open rate": "{open_rate}"},
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{"Close rate": "{close_rate}"},
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{"Amount": "{amount}"},
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{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
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{"Close date": "{close_date:%Y-%m-%d %H:%M:%S}"},
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{"Profit": "{profit_amount} {stake_currency}"},
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{"Profitability": "{profit_ratio:.2%}"},
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{"Enter tag": "{enter_tag}"},
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{"Exit Reason": "{exit_reason}"},
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{"Strategy": "{strategy}"},
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{"Timeframe": "{timeframe}"},
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]
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},
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"entry_fill": {
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'type': 'array', 'items': {'type': 'object'},
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'default': [
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{"Trade ID": "{trade_id}"},
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{"Exchange": "{exchange}"},
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{"Pair": "{pair}"},
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{"Direction": "{direction}"},
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{"Open rate": "{open_rate}"},
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{"Amount": "{amount}"},
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{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
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{"Enter tag": "{enter_tag}"},
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{"Strategy": "{strategy} {timeframe}"},
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]
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},
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}
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},
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'api_server': {
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'type': 'object',
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'properties': {
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'enabled': {'type': 'boolean'},
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'listen_ip_address': {'format': 'ipv4'},
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'listen_port': {
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'type': 'integer',
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'minimum': 1024,
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'maximum': 65535
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},
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'username': {'type': 'string'},
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'password': {'type': 'string'},
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'jwt_secret_key': {'type': 'string'},
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'CORS_origins': {'type': 'array', 'items': {'type': 'string'}},
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'verbosity': {'type': 'string', 'enum': ['error', 'info']},
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},
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'required': ['enabled', 'listen_ip_address', 'listen_port', 'username', 'password']
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},
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'db_url': {'type': 'string'},
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'export': {'type': 'string', 'enum': EXPORT_OPTIONS, 'default': 'trades'},
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'disableparamexport': {'type': 'boolean'},
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'initial_state': {'type': 'string', 'enum': ['running', 'stopped']},
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'force_entry_enable': {'type': 'boolean'},
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'disable_dataframe_checks': {'type': 'boolean'},
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'internals': {
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'type': 'object',
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'default': {},
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'properties': {
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'process_throttle_secs': {'type': 'integer'},
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'interval': {'type': 'integer'},
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'sd_notify': {'type': 'boolean'},
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}
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},
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'dataformat_ohlcv': {
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'type': 'string',
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'enum': AVAILABLE_DATAHANDLERS,
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'default': 'json'
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},
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'dataformat_trades': {
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'type': 'string',
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'enum': AVAILABLE_DATAHANDLERS,
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'default': 'jsongz'
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},
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'position_adjustment_enable': {'type': 'boolean'},
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'max_entry_position_adjustment': {'type': ['integer', 'number'], 'minimum': -1},
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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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'sandbox': {'type': 'boolean', 'default': False},
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'key': {'type': 'string', 'default': ''},
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'secret': {'type': 'string', 'default': ''},
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'password': {'type': 'string', 'default': ''},
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'uid': {'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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},
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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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},
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'uniqueItems': True
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},
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'unknown_fee_rate': {'type': 'number'},
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'outdated_offset': {'type': 'integer', 'minimum': 1},
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'markets_refresh_interval': {'type': 'integer'},
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|
'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": "float", "default": 7},
|
|
"identifier": {"type": "str", "default": "example"},
|
|
"corr_pairlist": {"type": "list"},
|
|
"feature_parameters": {
|
|
"type": "object",
|
|
"properties": {
|
|
"period": {"type": "integer"},
|
|
"shift": {"type": "integer", "default": 0},
|
|
"DI_threshold": {"type": "float", "default": 0},
|
|
"weight_factor": {"type": "number", "default": 0},
|
|
"principal_component_analysis": {"type": "boolean", "default": False},
|
|
"use_SVM_to_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',
|
|
]
|
|
|
|
SCHEMA_FREQAI_REQUIRED = [
|
|
'timeframes',
|
|
'train_period',
|
|
'backtest_period',
|
|
'identifier',
|
|
'corr_pairlist',
|
|
'feature_parameters',
|
|
'data_split_parameters',
|
|
'model_training_parameters'
|
|
]
|
|
|
|
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']
|