330 lines
14 KiB
Python
330 lines
14 KiB
Python
import logging
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from datetime import datetime, timezone
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from typing import Any, Dict, Optional
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import numpy as np
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# for spice rack
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import pandas as pd
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import talib.abstract as ta
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from scipy.signal import argrelextrema
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from technical import qtpylib
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from freqtrade.configuration import TimeRange
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from freqtrade.constants import Config
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.data.history.history_utils import refresh_backtest_ohlcv_data
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import Exchange, timeframe_to_seconds
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from freqtrade.exchange.exchange import market_is_active
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from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
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from freqtrade.plugins.pairlist.pairlist_helpers import dynamic_expand_pairlist
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from freqtrade.strategy import merge_informative_pair
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logger = logging.getLogger(__name__)
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def download_all_data_for_training(dp: DataProvider, config: Config) -> None:
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"""
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Called only once upon start of bot to download the necessary data for
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populating indicators and training the model.
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:param timerange: TimeRange = The full data timerange for populating the indicators
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and training the model.
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:param dp: DataProvider instance attached to the strategy
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"""
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if dp._exchange is None:
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raise OperationalException('No exchange object found.')
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markets = [p for p, m in dp._exchange.markets.items() if market_is_active(m)
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or config.get('include_inactive')]
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all_pairs = dynamic_expand_pairlist(config, markets)
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timerange = get_required_data_timerange(config)
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new_pairs_days = int((timerange.stopts - timerange.startts) / 86400)
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refresh_backtest_ohlcv_data(
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dp._exchange,
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pairs=all_pairs,
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timeframes=config["freqai"]["feature_parameters"].get("include_timeframes"),
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datadir=config["datadir"],
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timerange=timerange,
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new_pairs_days=new_pairs_days,
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erase=False,
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data_format=config.get("dataformat_ohlcv", "json"),
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trading_mode=config.get("trading_mode", "spot"),
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prepend=config.get("prepend_data", False),
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)
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def get_required_data_timerange(config: Config) -> TimeRange:
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"""
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Used to compute the required data download time range
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for auto data-download in FreqAI
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"""
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time = datetime.now(tz=timezone.utc).timestamp()
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timeframes = config["freqai"]["feature_parameters"].get("include_timeframes")
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max_tf_seconds = 0
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for tf in timeframes:
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secs = timeframe_to_seconds(tf)
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if secs > max_tf_seconds:
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max_tf_seconds = secs
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startup_candles = config.get('startup_candle_count', 0)
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indicator_periods = config["freqai"]["feature_parameters"]["indicator_periods_candles"]
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# factor the max_period as a factor of safety.
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max_period = int(max(startup_candles, max(indicator_periods)) * 1.5)
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config['startup_candle_count'] = max_period
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logger.info(f'FreqAI auto-downloader using {max_period} startup candles.')
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additional_seconds = max_period * max_tf_seconds
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startts = int(
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time
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- config["freqai"].get("train_period_days", 0) * 86400
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- additional_seconds
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)
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stopts = int(time)
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data_load_timerange = TimeRange('date', 'date', startts, stopts)
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return data_load_timerange
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def auto_populate_any_indicators(
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self, pair, df, tf, informative=None, set_generalized_indicators=False
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):
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"""
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This is a premade `populate_any_indicators()` function which is set in
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the user strategy is they enable `freqai_spice_rack: true` in their
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configuration file.
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"""
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coin = pair.split('/')[0]
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if informative is None:
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informative = self.dp.get_pair_dataframe(pair, tf)
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# first loop is automatically duplicating indicators for time periods
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for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
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t = int(t)
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informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
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informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
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informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, timeperiod=t)
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informative[f"%-{coin}sma-period_{t}"] = ta.SMA(informative, timeperiod=t)
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informative[f"%-{coin}ema-period_{t}"] = ta.EMA(informative, timeperiod=t)
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bollinger = qtpylib.bollinger_bands(
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qtpylib.typical_price(informative), window=t, stds=2.2
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)
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informative[f"{coin}bb_lowerband-period_{t}"] = bollinger["lower"]
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informative[f"{coin}bb_middleband-period_{t}"] = bollinger["mid"]
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informative[f"{coin}bb_upperband-period_{t}"] = bollinger["upper"]
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informative[f"%-{coin}bb_width-period_{t}"] = (
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informative[f"{coin}bb_upperband-period_{t}"]
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- informative[f"{coin}bb_lowerband-period_{t}"]
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) / informative[f"{coin}bb_middleband-period_{t}"]
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informative[f"%-{coin}close-bb_lower-period_{t}"] = (
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informative["close"] / informative[f"{coin}bb_lowerband-period_{t}"]
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)
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informative[f"%-{coin}roc-period_{t}"] = ta.ROC(informative, timeperiod=t)
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informative[f"%-{coin}relative_volume-period_{t}"] = (
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informative["volume"] / informative["volume"].rolling(t).mean()
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)
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informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
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informative[f"%-{coin}raw_volume"] = informative["volume"]
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informative[f"%-{coin}raw_price"] = informative["close"]
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indicators = [col for col in informative if col.startswith("%")]
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# This loop duplicates and shifts all indicators to add a sense of recency to data
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for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
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if n == 0:
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continue
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informative_shift = informative[indicators].shift(n)
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informative_shift = informative_shift.add_suffix("_shift-" + str(n))
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informative = pd.concat((informative, informative_shift), axis=1)
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df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
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skip_columns = [
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(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
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]
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df = df.drop(columns=skip_columns)
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if set_generalized_indicators:
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df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
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df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
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df["&s-minima"] = 0
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df["&s-maxima"] = 0
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min_peaks = argrelextrema(df["close"].values, np.less, order=80)
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max_peaks = argrelextrema(df["close"].values, np.greater, order=80)
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for mp in min_peaks[0]:
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df.at[mp, "&s-minima"] = 1
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for mp in max_peaks[0]:
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df.at[mp, "&s-maxima"] = 1
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return df
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def setup_freqai_spice_rack(config: dict, exchange: Optional[Exchange]) -> Dict[str, Any]:
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import difflib
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import json
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from pathlib import Path
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auto_config = config.get('freqai_config', 'lightgbm_config.json')
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with open(Path(__file__).parent / Path('spice_rack') / auto_config) as json_file:
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freqai_config = json.load(json_file)
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config['freqai'] = freqai_config['freqai']
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config['freqai']['identifier'] = config['freqai_identifier']
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corr_pairs = config['freqai']['feature_parameters']['include_corr_pairlist']
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timeframes = config['freqai']['feature_parameters']['include_timeframes']
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new_corr_pairs = []
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new_tfs = []
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if not exchange:
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logger.warning('No dataprovider available.')
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config['freqai']['enabled'] = False
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return config
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# find the closest pairs to what the default config wants
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for pair in corr_pairs:
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closest_pair = difflib.get_close_matches(
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pair,
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exchange.markets
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)
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if not closest_pair:
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logger.warning(f'Could not find {pair} in markets, removing from '
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f'corr_pairlist.')
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else:
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closest_pair = closest_pair[0]
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new_corr_pairs.append(closest_pair)
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logger.info(f'Spice rack will use {closest_pair} as informative in FreqAI model.')
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# find the closest matching timeframes to what the default config wants
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if timeframe_to_seconds(config['timeframe']) > timeframe_to_seconds('15m'):
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logger.warning('Default spice rack is designed for lower base timeframes (e.g. > '
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f'15m). But user passed {config["timeframe"]}.')
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new_tfs.append(config['timeframe'])
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list_tfs = [timeframe_to_seconds(tf) for tf
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in exchange.timeframes]
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for tf in timeframes:
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tf_secs = timeframe_to_seconds(tf)
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closest_index = min(range(len(list_tfs)), key=lambda i: abs(list_tfs[i] - tf_secs))
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closest_tf = exchange.timeframes[closest_index]
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logger.info(f'Spice rack will use {closest_tf} as informative tf in FreqAI model.')
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new_tfs.append(closest_tf)
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config['freqai']['feature_parameters'].update({'include_timeframes': new_tfs})
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config['freqai']['feature_parameters'].update({'include_corr_pairlist': new_corr_pairs})
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config.update({"freqaimodel": 'LightGBMRegressorMultiTarget'})
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return config
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# Keep below for when we wish to download heterogeneously lengthed data for FreqAI.
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# def download_all_data_for_training(dp: DataProvider, config: Config) -> None:
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# """
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# Called only once upon start of bot to download the necessary data for
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# populating indicators and training a FreqAI model.
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# :param timerange: TimeRange = The full data timerange for populating the indicators
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# and training the model.
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# :param dp: DataProvider instance attached to the strategy
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# """
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# if dp._exchange is not None:
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# markets = [p for p, m in dp._exchange.markets.items() if market_is_active(m)
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# or config.get('include_inactive')]
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# else:
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# # This should not occur:
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# raise OperationalException('No exchange object found.')
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# all_pairs = dynamic_expand_pairlist(config, markets)
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# if not dp._exchange:
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# # Not realistic - this is only called in live mode.
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# raise OperationalException("Dataprovider did not have an exchange attached.")
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# time = datetime.now(tz=timezone.utc).timestamp()
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# for tf in config["freqai"]["feature_parameters"].get("include_timeframes"):
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# timerange = TimeRange()
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# timerange.startts = int(time)
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# timerange.stopts = int(time)
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# startup_candles = dp.get_required_startup(str(tf))
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# tf_seconds = timeframe_to_seconds(str(tf))
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# timerange.subtract_start(tf_seconds * startup_candles)
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# new_pairs_days = int((timerange.stopts - timerange.startts) / 86400)
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# # FIXME: now that we are looping on `refresh_backtest_ohlcv_data`, the function
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# # redownloads the funding rate for each pair.
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# refresh_backtest_ohlcv_data(
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# dp._exchange,
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# pairs=all_pairs,
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# timeframes=[tf],
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# datadir=config["datadir"],
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# timerange=timerange,
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# new_pairs_days=new_pairs_days,
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# erase=False,
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# data_format=config.get("dataformat_ohlcv", "json"),
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# trading_mode=config.get("trading_mode", "spot"),
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# prepend=config.get("prepend_data", False),
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# )
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def plot_feature_importance(model: Any, pair: str, dk: FreqaiDataKitchen,
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count_max: int = 25) -> None:
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"""
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Plot Best and worst features by importance for a single sub-train.
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:param model: Any = A model which was `fit` using a common library
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such as catboost or lightgbm
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:param pair: str = pair e.g. BTC/USD
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:param dk: FreqaiDataKitchen = non-persistent data container for current coin/loop
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:param count_max: int = the amount of features to be loaded per column
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"""
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from freqtrade.plot.plotting import go, make_subplots, store_plot_file
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# Extract feature importance from model
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models = {}
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if 'FreqaiMultiOutputRegressor' in str(model.__class__):
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for estimator, label in zip(model.estimators_, dk.label_list):
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models[label] = estimator
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else:
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models[dk.label_list[0]] = model
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for label in models:
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mdl = models[label]
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if "catboost.core" in str(mdl.__class__):
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feature_importance = mdl.get_feature_importance()
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elif "lightgbm.sklearn" or "xgb" in str(mdl.__class__):
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feature_importance = mdl.feature_importances_
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else:
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logger.info('Model type not support for generating feature importances.')
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return
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# Data preparation
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fi_df = pd.DataFrame({
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"feature_names": np.array(dk.training_features_list),
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"feature_importance": np.array(feature_importance)
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})
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fi_df_top = fi_df.nlargest(count_max, "feature_importance")[::-1]
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fi_df_worst = fi_df.nsmallest(count_max, "feature_importance")[::-1]
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# Plotting
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def add_feature_trace(fig, fi_df, col):
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return fig.add_trace(
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go.Bar(
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x=fi_df["feature_importance"],
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y=fi_df["feature_names"],
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orientation='h', showlegend=False
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), row=1, col=col
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)
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fig = make_subplots(rows=1, cols=2, horizontal_spacing=0.5)
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fig = add_feature_trace(fig, fi_df_top, 1)
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fig = add_feature_trace(fig, fi_df_worst, 2)
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fig.update_layout(title_text=f"Best and worst features by importance {pair}")
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label = label.replace('&', '').replace('%', '') # escape two FreqAI specific characters
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store_plot_file(fig, f"{dk.model_filename}-{label}.html", dk.data_path)
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