stable/freqtrade/plot/plotting.py
2020-01-07 07:16:31 +01:00

465 lines
16 KiB
Python

import logging
from pathlib import Path
from typing import Any, Dict, List
import pandas as pd
from freqtrade.configuration import TimeRange
from freqtrade.data import history
from freqtrade.data.btanalysis import (combine_tickers_with_mean,
create_cum_profit,
extract_trades_of_period, load_trades)
from freqtrade.resolvers import StrategyResolver
logger = logging.getLogger(__name__)
try:
from plotly.subplots import make_subplots
from plotly.offline import plot
import plotly.graph_objects as go
except ImportError:
logger.exception("Module plotly not found \n Please install using `pip3 install plotly`")
exit(1)
def init_plotscript(config):
"""
Initialize objects needed for plotting
:return: Dict with tickers, trades and pairs
"""
if "pairs" in config:
pairs = config["pairs"]
else:
pairs = config["exchange"]["pair_whitelist"]
# Set timerange to use
timerange = TimeRange.parse_timerange(config.get("timerange"))
tickers = history.load_data(
datadir=config.get("datadir"),
pairs=pairs,
timeframe=config.get('ticker_interval', '5m'),
timerange=timerange,
)
trades = load_trades(config['trade_source'],
db_url=config.get('db_url'),
exportfilename=config.get('exportfilename'),
)
trades = history.trim_dataframe(trades, timerange, 'open_time')
return {"tickers": tickers,
"trades": trades,
"pairs": pairs,
}
def add_indicators(fig, row, indicators: Dict[str, Dict], data: pd.DataFrame) -> make_subplots:
"""
Generate all the indicators selected by the user for a specific row, based on the configuration
:param fig: Plot figure to append to
:param row: row number for this plot
:param indicators: Dict of Indicators with configuration options.
Dict key must correspond to dataframe column.
:param data: candlestick DataFrame
"""
for indicator, conf in indicators.items():
logger.debug(f"indicator {indicator} with config {conf}")
if indicator in data:
kwargs = {'x': data['date'],
'y': data[indicator].values,
'mode': 'lines',
'name': indicator
}
if 'color' in conf:
kwargs.update({'line': {'color': conf['color']}})
scatter = go.Scatter(
**kwargs
)
fig.add_trace(scatter, row, 1)
else:
logger.info(
'Indicator "%s" ignored. Reason: This indicator is not found '
'in your strategy.',
indicator
)
return fig
def add_profit(fig, row, data: pd.DataFrame, column: str, name: str) -> make_subplots:
"""
Add profit-plot
:param fig: Plot figure to append to
:param row: row number for this plot
:param data: candlestick DataFrame
:param column: Column to use for plot
:param name: Name to use
:return: fig with added profit plot
"""
profit = go.Scatter(
x=data.index,
y=data[column],
name=name,
)
fig.add_trace(profit, row, 1)
return fig
def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
"""
Add trades to "fig"
"""
# Trades can be empty
if trades is not None and len(trades) > 0:
# Create description for sell summarizing the trade
trades['desc'] = trades.apply(lambda row: f"{round(row['profitperc'] * 100, 1)}%, "
f"{row['sell_reason']}, {row['duration']} min",
axis=1)
trade_buys = go.Scatter(
x=trades["open_time"],
y=trades["open_rate"],
mode='markers',
name='Trade buy',
text=trades["desc"],
marker=dict(
symbol='circle-open',
size=11,
line=dict(width=2),
color='cyan'
)
)
trade_sells = go.Scatter(
x=trades.loc[trades['profitperc'] > 0, "close_time"],
y=trades.loc[trades['profitperc'] > 0, "close_rate"],
text=trades.loc[trades['profitperc'] > 0, "desc"],
mode='markers',
name='Sell - Profit',
marker=dict(
symbol='square-open',
size=11,
line=dict(width=2),
color='green'
)
)
trade_sells_loss = go.Scatter(
x=trades.loc[trades['profitperc'] <= 0, "close_time"],
y=trades.loc[trades['profitperc'] <= 0, "close_rate"],
text=trades.loc[trades['profitperc'] <= 0, "desc"],
mode='markers',
name='Sell - Loss',
marker=dict(
symbol='square-open',
size=11,
line=dict(width=2),
color='red'
)
)
fig.add_trace(trade_buys, 1, 1)
fig.add_trace(trade_sells, 1, 1)
fig.add_trace(trade_sells_loss, 1, 1)
else:
logger.warning("No trades found.")
return fig
def create_plotconfig(indicators1: List[str], indicators2: List[str],
plot_config: Dict[str, Dict]) -> Dict[str, Dict]:
"""
Combines indicators 1 and indicators 2 into plot_config if necessary
:param indicators1: List containing Main plot indicators
:param indicators2: List containing Sub plot indicators
:param plot_config: Dict of Dicts containing advanced plot configuration
:return: plot_config - eventually with indicators 1 and 2
"""
if plot_config:
if indicators1:
plot_config['main_plot'] = {ind: {} for ind in indicators1}
if indicators2:
plot_config['subplots'] = {'Other': {ind: {} for ind in indicators2}}
if not plot_config:
# If no indicators and no plot-config given, use defaults.
if not indicators1:
indicators1 = ['sma', 'ema3', 'ema5']
if not indicators2:
indicators2 = ['macd', 'macdsignal']
# Create subplot configuration if plot_config is not available.
plot_config = {
'main_plot': {ind: {} for ind in indicators1},
'subplots': {'Other': {ind: {} for ind in indicators2}},
}
if 'main_plot' not in plot_config:
plot_config['main_plot'] = {}
if 'subplots' not in plot_config:
plot_config['subplots'] = {}
return plot_config
def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFrame = None, *,
indicators1: List[str] = [],
indicators2: List[str] = [],
plot_config: Dict[str, Dict] = {},
) -> go.Figure:
"""
Generate the graph from the data generated by Backtesting or from DB
Volume will always be ploted in row2, so Row 1 and 3 are to our disposal for custom indicators
:param pair: Pair to Display on the graph
:param data: OHLCV DataFrame containing indicators and buy/sell signals
:param trades: All trades created
:param indicators1: List containing Main plot indicators
:param indicators2: List containing Sub plot indicators
:param plot_config: Dict of Dicts containing advanced plot configuration
:return: Plotly figure
"""
plot_config = create_plotconfig(indicators1, indicators2, plot_config)
rows = 2 + len(plot_config['subplots'])
row_widths = [1 for _ in plot_config['subplots']]
# Define the graph
fig = make_subplots(
rows=rows,
cols=1,
shared_xaxes=True,
row_width=row_widths + [1, 4],
vertical_spacing=0.0001,
)
fig['layout'].update(title=pair)
fig['layout']['yaxis1'].update(title='Price')
fig['layout']['yaxis2'].update(title='Volume')
for i, name in enumerate(plot_config['subplots']):
fig['layout'][f'yaxis{3 + i}'].update(title=name)
fig['layout']['xaxis']['rangeslider'].update(visible=False)
# Common information
candles = go.Candlestick(
x=data.date,
open=data.open,
high=data.high,
low=data.low,
close=data.close,
name='Price'
)
fig.add_trace(candles, 1, 1)
if 'buy' in data.columns:
df_buy = data[data['buy'] == 1]
if len(df_buy) > 0:
buys = go.Scatter(
x=df_buy.date,
y=df_buy.close,
mode='markers',
name='buy',
marker=dict(
symbol='triangle-up-dot',
size=9,
line=dict(width=1),
color='green',
)
)
fig.add_trace(buys, 1, 1)
else:
logger.warning("No buy-signals found.")
if 'sell' in data.columns:
df_sell = data[data['sell'] == 1]
if len(df_sell) > 0:
sells = go.Scatter(
x=df_sell.date,
y=df_sell.close,
mode='markers',
name='sell',
marker=dict(
symbol='triangle-down-dot',
size=9,
line=dict(width=1),
color='red',
)
)
fig.add_trace(sells, 1, 1)
else:
logger.warning("No sell-signals found.")
# TODO: Figure out why scattergl causes problems plotly/plotly.js#2284
if 'bb_lowerband' in data and 'bb_upperband' in data:
bb_lower = go.Scatter(
x=data.date,
y=data.bb_lowerband,
showlegend=False,
line={'color': 'rgba(255,255,255,0)'},
)
bb_upper = go.Scatter(
x=data.date,
y=data.bb_upperband,
name='Bollinger Band',
fill="tonexty",
fillcolor="rgba(0,176,246,0.2)",
line={'color': 'rgba(255,255,255,0)'},
)
fig.add_trace(bb_lower, 1, 1)
fig.add_trace(bb_upper, 1, 1)
if ('bb_upperband' in plot_config['main_plot']
and 'bb_lowerband' in plot_config['main_plot']):
del plot_config['main_plot']['bb_upperband']
del plot_config['main_plot']['bb_lowerband']
# Add indicators to main plot
fig = add_indicators(fig=fig, row=1, indicators=plot_config['main_plot'], data=data)
fig = plot_trades(fig, trades)
# Volume goes to row 2
volume = go.Bar(
x=data['date'],
y=data['volume'],
name='Volume',
marker_color='DarkSlateGrey',
marker_line_color='DarkSlateGrey'
)
fig.add_trace(volume, 2, 1)
# Add indicators to separate row
for i, name in enumerate(plot_config['subplots']):
fig = add_indicators(fig=fig, row=3 + i,
indicators=plot_config['subplots'][name],
data=data)
return fig
def generate_profit_graph(pairs: str, tickers: Dict[str, pd.DataFrame],
trades: pd.DataFrame, timeframe: str) -> go.Figure:
# Combine close-values for all pairs, rename columns to "pair"
df_comb = combine_tickers_with_mean(tickers, "close")
# Add combined cumulative profit
df_comb = create_cum_profit(df_comb, trades, 'cum_profit', timeframe)
# Plot the pairs average close prices, and total profit growth
avgclose = go.Scatter(
x=df_comb.index,
y=df_comb['mean'],
name='Avg close price',
)
fig = make_subplots(rows=3, cols=1, shared_xaxes=True,
row_width=[1, 1, 1],
vertical_spacing=0.05,
subplot_titles=["AVG Close Price", "Combined Profit", "Profit per pair"])
fig['layout'].update(title="Freqtrade Profit plot")
fig['layout']['yaxis1'].update(title='Price')
fig['layout']['yaxis2'].update(title='Profit')
fig['layout']['yaxis3'].update(title='Profit')
fig['layout']['xaxis']['rangeslider'].update(visible=False)
fig.add_trace(avgclose, 1, 1)
fig = add_profit(fig, 2, df_comb, 'cum_profit', 'Profit')
for pair in pairs:
profit_col = f'cum_profit_{pair}'
df_comb = create_cum_profit(df_comb, trades[trades['pair'] == pair], profit_col, timeframe)
fig = add_profit(fig, 3, df_comb, profit_col, f"Profit {pair}")
return fig
def generate_plot_filename(pair, timeframe) -> str:
"""
Generate filenames per pair/timeframe to be used for storing plots
"""
pair_name = pair.replace("/", "_")
file_name = 'freqtrade-plot-' + pair_name + '-' + timeframe + '.html'
logger.info('Generate plot file for %s', pair)
return file_name
def store_plot_file(fig, filename: str, directory: Path, auto_open: bool = False) -> None:
"""
Generate a plot html file from pre populated fig plotly object
:param fig: Plotly Figure to plot
:param filename: Name to store the file as
:param directory: Directory to store the file in
:param auto_open: Automatically open files saved
:return: None
"""
directory.mkdir(parents=True, exist_ok=True)
_filename = directory.joinpath(filename)
plot(fig, filename=str(_filename),
auto_open=auto_open)
logger.info(f"Stored plot as {_filename}")
def load_and_plot_trades(config: Dict[str, Any]):
"""
From configuration provided
- Initializes plot-script
- Get tickers data
- Generate Dafaframes populated with indicators and signals based on configured strategy
- Load trades excecuted during the selected period
- Generate Plotly plot objects
- Generate plot files
:return: None
"""
strategy = StrategyResolver.load_strategy(config)
plot_elements = init_plotscript(config)
trades = plot_elements['trades']
pair_counter = 0
for pair, data in plot_elements["tickers"].items():
pair_counter += 1
logger.info("analyse pair %s", pair)
tickers = {}
tickers[pair] = data
dataframe = strategy.analyze_ticker(tickers[pair], {'pair': pair})
trades_pair = trades.loc[trades['pair'] == pair]
trades_pair = extract_trades_of_period(dataframe, trades_pair)
fig = generate_candlestick_graph(
pair=pair,
data=dataframe,
trades=trades_pair,
indicators1=config.get("indicators1", []),
indicators2=config.get("indicators2", []),
plot_config=strategy.plot_config if hasattr(strategy, 'plot_config') else {}
)
store_plot_file(fig, filename=generate_plot_filename(pair, config['ticker_interval']),
directory=config['user_data_dir'] / "plot")
logger.info('End of plotting process. %s plots generated', pair_counter)
def plot_profit(config: Dict[str, Any]) -> None:
"""
Plots the total profit for all pairs.
Note, the profit calculation isn't realistic.
But should be somewhat proportional, and therefor useful
in helping out to find a good algorithm.
"""
plot_elements = init_plotscript(config)
trades = plot_elements['trades']
# Filter trades to relevant pairs
# Remove open pairs - we don't know the profit yet so can't calculate profit for these.
# Also, If only one open pair is left, then the profit-generation would fail.
trades = trades[(trades['pair'].isin(plot_elements["pairs"]))
& (~trades['close_time'].isnull())
]
# Create an average close price of all the pairs that were involved.
# this could be useful to gauge the overall market trend
fig = generate_profit_graph(plot_elements["pairs"], plot_elements["tickers"],
trades, config.get('ticker_interval', '5m'))
store_plot_file(fig, filename='freqtrade-profit-plot.html',
directory=config['user_data_dir'] / "plot", auto_open=True)