688 lines
28 KiB
Python
688 lines
28 KiB
Python
# pragma pylint: disable=too-few-public-methods
|
|
|
|
"""
|
|
bot constants
|
|
"""
|
|
from typing import Any, Dict, List, Literal, Tuple
|
|
|
|
from freqtrade.enums import CandleType, PriceType, RPCMessageType
|
|
|
|
|
|
DEFAULT_CONFIG = 'config.json'
|
|
DEFAULT_EXCHANGE = 'bittrex'
|
|
PROCESS_THROTTLE_SECS = 5 # sec
|
|
HYPEROPT_EPOCH = 100 # epochs
|
|
RETRY_TIMEOUT = 30 # sec
|
|
TIMEOUT_UNITS = ['minutes', 'seconds']
|
|
EXPORT_OPTIONS = ['none', 'trades', 'signals']
|
|
DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
|
|
DEFAULT_DB_DRYRUN_URL = 'sqlite:///tradesv3.dryrun.sqlite'
|
|
UNLIMITED_STAKE_AMOUNT = 'unlimited'
|
|
DEFAULT_AMOUNT_RESERVE_PERCENT = 0.05
|
|
REQUIRED_ORDERTIF = ['entry', 'exit']
|
|
REQUIRED_ORDERTYPES = ['entry', 'exit', 'stoploss', 'stoploss_on_exchange']
|
|
PRICING_SIDES = ['ask', 'bid', 'same', 'other']
|
|
ORDERTYPE_POSSIBILITIES = ['limit', 'market']
|
|
_ORDERTIF_POSSIBILITIES = ['GTC', 'FOK', 'IOC', 'PO']
|
|
ORDERTIF_POSSIBILITIES = _ORDERTIF_POSSIBILITIES + [t.lower() for t in _ORDERTIF_POSSIBILITIES]
|
|
STOPLOSS_PRICE_TYPES = [p for p in PriceType]
|
|
HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
|
|
'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
|
|
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
|
|
'CalmarHyperOptLoss',
|
|
'MaxDrawDownHyperOptLoss', 'MaxDrawDownRelativeHyperOptLoss',
|
|
'ProfitDrawDownHyperOptLoss']
|
|
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'ProducerPairList', 'RemotePairList',
|
|
'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
|
|
'PrecisionFilter', 'PriceFilter', 'RangeStabilityFilter',
|
|
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
|
|
AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
|
|
AVAILABLE_DATAHANDLERS_TRADES = ['json', 'jsongz', 'hdf5']
|
|
AVAILABLE_DATAHANDLERS = AVAILABLE_DATAHANDLERS_TRADES + ['feather', 'parquet']
|
|
BACKTEST_BREAKDOWNS = ['day', 'week', 'month']
|
|
BACKTEST_CACHE_AGE = ['none', 'day', 'week', 'month']
|
|
BACKTEST_CACHE_DEFAULT = 'day'
|
|
DRY_RUN_WALLET = 1000
|
|
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'
|
|
MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
|
|
DEFAULT_DATAFRAME_COLUMNS = ['date', 'open', 'high', 'low', 'close', 'volume']
|
|
# Don't modify sequence of DEFAULT_TRADES_COLUMNS
|
|
# it has wide consequences for stored trades files
|
|
DEFAULT_TRADES_COLUMNS = ['timestamp', 'id', 'type', 'side', 'price', 'amount', 'cost']
|
|
TRADING_MODES = ['spot', 'margin', 'futures']
|
|
MARGIN_MODES = ['cross', 'isolated', '']
|
|
|
|
LAST_BT_RESULT_FN = '.last_result.json'
|
|
FTHYPT_FILEVERSION = 'fthypt_fileversion'
|
|
|
|
USERPATH_HYPEROPTS = 'hyperopts'
|
|
USERPATH_STRATEGIES = 'strategies'
|
|
USERPATH_NOTEBOOKS = 'notebooks'
|
|
USERPATH_FREQAIMODELS = 'freqaimodels'
|
|
|
|
TELEGRAM_SETTING_OPTIONS = ['on', 'off', 'silent']
|
|
WEBHOOK_FORMAT_OPTIONS = ['form', 'json', 'raw']
|
|
FULL_DATAFRAME_THRESHOLD = 100
|
|
|
|
ENV_VAR_PREFIX = 'FREQTRADE__'
|
|
|
|
NON_OPEN_EXCHANGE_STATES = ('cancelled', 'canceled', 'closed', 'expired')
|
|
|
|
# Define decimals per coin for outputs
|
|
# Only used for outputs.
|
|
DECIMAL_PER_COIN_FALLBACK = 3 # Should be low to avoid listing all possible FIAT's
|
|
DECIMALS_PER_COIN = {
|
|
'BTC': 8,
|
|
'ETH': 5,
|
|
}
|
|
|
|
DUST_PER_COIN = {
|
|
'BTC': 0.0001,
|
|
'ETH': 0.01
|
|
}
|
|
|
|
# Source files with destination directories within user-directory
|
|
USER_DATA_FILES = {
|
|
'sample_strategy.py': USERPATH_STRATEGIES,
|
|
'sample_hyperopt_loss.py': USERPATH_HYPEROPTS,
|
|
'strategy_analysis_example.ipynb': USERPATH_NOTEBOOKS,
|
|
}
|
|
|
|
SUPPORTED_FIAT = [
|
|
"AUD", "BRL", "CAD", "CHF", "CLP", "CNY", "CZK", "DKK",
|
|
"EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY",
|
|
"KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN",
|
|
"RUB", "UAH", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR",
|
|
"USD", "BTC", "ETH", "XRP", "LTC", "BCH"
|
|
]
|
|
|
|
MINIMAL_CONFIG = {
|
|
"stake_currency": "",
|
|
"dry_run": True,
|
|
"exchange": {
|
|
"name": "",
|
|
"key": "",
|
|
"secret": "",
|
|
"pair_whitelist": [],
|
|
"ccxt_async_config": {
|
|
}
|
|
}
|
|
}
|
|
|
|
# Required json-schema for user specified config
|
|
CONF_SCHEMA = {
|
|
'type': 'object',
|
|
'properties': {
|
|
'max_open_trades': {'type': ['integer', 'number'], 'minimum': -1},
|
|
'new_pairs_days': {'type': 'integer', 'default': 30},
|
|
'timeframe': {'type': 'string'},
|
|
'stake_currency': {'type': 'string'},
|
|
'stake_amount': {
|
|
'type': ['number', 'string'],
|
|
'minimum': 0.0001,
|
|
'pattern': UNLIMITED_STAKE_AMOUNT
|
|
},
|
|
'tradable_balance_ratio': {
|
|
'type': 'number',
|
|
'minimum': 0.0,
|
|
'maximum': 1,
|
|
'default': 0.99
|
|
},
|
|
'available_capital': {
|
|
'type': 'number',
|
|
'minimum': 0,
|
|
},
|
|
'amend_last_stake_amount': {'type': 'boolean', 'default': False},
|
|
'last_stake_amount_min_ratio': {
|
|
'type': 'number', 'minimum': 0.0, 'maximum': 1.0, 'default': 0.5
|
|
},
|
|
'fiat_display_currency': {'type': 'string', 'enum': SUPPORTED_FIAT},
|
|
'dry_run': {'type': 'boolean'},
|
|
'dry_run_wallet': {'type': 'number', 'default': DRY_RUN_WALLET},
|
|
'cancel_open_orders_on_exit': {'type': 'boolean', 'default': False},
|
|
'process_only_new_candles': {'type': 'boolean'},
|
|
'minimal_roi': {
|
|
'type': 'object',
|
|
'patternProperties': {
|
|
'^[0-9.]+$': {'type': 'number'}
|
|
},
|
|
'minProperties': 1
|
|
},
|
|
'amount_reserve_percent': {'type': 'number', 'minimum': 0.0, 'maximum': 0.5},
|
|
'stoploss': {'type': 'number', 'maximum': 0, 'exclusiveMaximum': True, 'minimum': -1},
|
|
'trailing_stop': {'type': 'boolean'},
|
|
'trailing_stop_positive': {'type': 'number', 'minimum': 0, 'maximum': 1},
|
|
'trailing_stop_positive_offset': {'type': 'number', 'minimum': 0, 'maximum': 1},
|
|
'trailing_only_offset_is_reached': {'type': 'boolean'},
|
|
'use_exit_signal': {'type': 'boolean'},
|
|
'exit_profit_only': {'type': 'boolean'},
|
|
'exit_profit_offset': {'type': 'number'},
|
|
'ignore_roi_if_entry_signal': {'type': 'boolean'},
|
|
'ignore_buying_expired_candle_after': {'type': 'number'},
|
|
'trading_mode': {'type': 'string', 'enum': TRADING_MODES},
|
|
'margin_mode': {'type': 'string', 'enum': MARGIN_MODES},
|
|
'reduce_df_footprint': {'type': 'boolean', 'default': False},
|
|
'liquidation_buffer': {'type': 'number', 'minimum': 0.0, 'maximum': 0.99},
|
|
'backtest_breakdown': {
|
|
'type': 'array',
|
|
'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}
|
|
},
|
|
'bot_name': {'type': 'string'},
|
|
'unfilledtimeout': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'entry': {'type': 'number', 'minimum': 1},
|
|
'exit': {'type': 'number', 'minimum': 1},
|
|
'exit_timeout_count': {'type': 'number', 'minimum': 0, 'default': 0},
|
|
'unit': {'type': 'string', 'enum': TIMEOUT_UNITS, 'default': 'minutes'}
|
|
}
|
|
},
|
|
'entry_pricing': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'price_last_balance': {
|
|
'type': 'number',
|
|
'minimum': 0,
|
|
'maximum': 1,
|
|
'exclusiveMaximum': False,
|
|
},
|
|
'price_side': {'type': 'string', 'enum': PRICING_SIDES, 'default': 'same'},
|
|
'use_order_book': {'type': 'boolean'},
|
|
'order_book_top': {'type': 'integer', 'minimum': 1, 'maximum': 50, },
|
|
'check_depth_of_market': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'enabled': {'type': 'boolean'},
|
|
'bids_to_ask_delta': {'type': 'number', 'minimum': 0},
|
|
}
|
|
},
|
|
},
|
|
'required': ['price_side']
|
|
},
|
|
'exit_pricing': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'price_side': {'type': 'string', 'enum': PRICING_SIDES, 'default': 'same'},
|
|
'price_last_balance': {
|
|
'type': 'number',
|
|
'minimum': 0,
|
|
'maximum': 1,
|
|
'exclusiveMaximum': False,
|
|
},
|
|
'use_order_book': {'type': 'boolean'},
|
|
'order_book_top': {'type': 'integer', 'minimum': 1, 'maximum': 50, },
|
|
},
|
|
'required': ['price_side']
|
|
},
|
|
'custom_price_max_distance_ratio': {
|
|
'type': 'number', 'minimum': 0.0
|
|
},
|
|
'order_types': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'entry': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
|
|
'exit': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
|
|
'force_exit': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
|
|
'force_entry': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
|
|
'emergency_exit': {
|
|
'type': 'string',
|
|
'enum': ORDERTYPE_POSSIBILITIES,
|
|
'default': 'market'},
|
|
'stoploss': {'type': 'string', 'enum': ORDERTYPE_POSSIBILITIES},
|
|
'stoploss_on_exchange': {'type': 'boolean'},
|
|
'stoploss_price_type': {'type': 'string', 'enum': STOPLOSS_PRICE_TYPES},
|
|
'stoploss_on_exchange_interval': {'type': 'number'},
|
|
'stoploss_on_exchange_limit_ratio': {'type': 'number', 'minimum': 0.0,
|
|
'maximum': 1.0}
|
|
},
|
|
'required': ['entry', 'exit', 'stoploss', 'stoploss_on_exchange']
|
|
},
|
|
'order_time_in_force': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'entry': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES},
|
|
'exit': {'type': 'string', 'enum': ORDERTIF_POSSIBILITIES}
|
|
},
|
|
'required': REQUIRED_ORDERTIF
|
|
},
|
|
'exchange': {'$ref': '#/definitions/exchange'},
|
|
'edge': {'$ref': '#/definitions/edge'},
|
|
'freqai': {'$ref': '#/definitions/freqai'},
|
|
'external_message_consumer': {'$ref': '#/definitions/external_message_consumer'},
|
|
'experimental': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'block_bad_exchanges': {'type': 'boolean'}
|
|
}
|
|
},
|
|
'pairlists': {
|
|
'type': 'array',
|
|
'items': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'method': {'type': 'string', 'enum': AVAILABLE_PAIRLISTS},
|
|
},
|
|
'required': ['method'],
|
|
}
|
|
},
|
|
'protections': {
|
|
'type': 'array',
|
|
'items': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'method': {'type': 'string', 'enum': AVAILABLE_PROTECTIONS},
|
|
'stop_duration': {'type': 'number', 'minimum': 0.0},
|
|
'stop_duration_candles': {'type': 'number', 'minimum': 0},
|
|
'trade_limit': {'type': 'number', 'minimum': 1},
|
|
'lookback_period': {'type': 'number', 'minimum': 1},
|
|
'lookback_period_candles': {'type': 'number', 'minimum': 1},
|
|
},
|
|
'required': ['method'],
|
|
}
|
|
},
|
|
'telegram': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'enabled': {'type': 'boolean'},
|
|
'token': {'type': 'string'},
|
|
'chat_id': {'type': 'string'},
|
|
'allow_custom_messages': {'type': 'boolean', 'default': True},
|
|
'balance_dust_level': {'type': 'number', 'minimum': 0.0},
|
|
'notification_settings': {
|
|
'type': 'object',
|
|
'default': {},
|
|
'properties': {
|
|
'status': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
|
|
'warning': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
|
|
'startup': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
|
|
'entry': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
|
|
'entry_fill': {
|
|
'type': 'string',
|
|
'enum': TELEGRAM_SETTING_OPTIONS,
|
|
'default': 'off'
|
|
},
|
|
'entry_cancel': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS, },
|
|
'exit': {
|
|
'type': ['string', 'object'],
|
|
'additionalProperties': {
|
|
'type': 'string',
|
|
'enum': TELEGRAM_SETTING_OPTIONS
|
|
}
|
|
},
|
|
'exit_fill': {
|
|
'type': 'string',
|
|
'enum': TELEGRAM_SETTING_OPTIONS,
|
|
'default': 'on'
|
|
},
|
|
'exit_cancel': {'type': 'string', 'enum': TELEGRAM_SETTING_OPTIONS},
|
|
'protection_trigger': {
|
|
'type': 'string',
|
|
'enum': TELEGRAM_SETTING_OPTIONS,
|
|
'default': 'on'
|
|
},
|
|
'protection_trigger_global': {
|
|
'type': 'string',
|
|
'enum': TELEGRAM_SETTING_OPTIONS,
|
|
'default': 'on'
|
|
},
|
|
'show_candle': {
|
|
'type': 'string',
|
|
'enum': ['off', 'ohlc'],
|
|
'default': 'off'
|
|
},
|
|
'strategy_msg': {
|
|
'type': 'string',
|
|
'enum': TELEGRAM_SETTING_OPTIONS,
|
|
'default': 'on'
|
|
},
|
|
}
|
|
},
|
|
'reload': {'type': 'boolean'},
|
|
},
|
|
'required': ['enabled', 'token', 'chat_id'],
|
|
},
|
|
'webhook': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'enabled': {'type': 'boolean'},
|
|
'url': {'type': 'string'},
|
|
'format': {'type': 'string', 'enum': WEBHOOK_FORMAT_OPTIONS, 'default': 'form'},
|
|
'retries': {'type': 'integer', 'minimum': 0},
|
|
'retry_delay': {'type': 'number', 'minimum': 0},
|
|
**dict([(x, {'type': 'object'}) for x in RPCMessageType]),
|
|
# Below -> Deprecated
|
|
'webhookentry': {'type': 'object'},
|
|
'webhookentrycancel': {'type': 'object'},
|
|
'webhookentryfill': {'type': 'object'},
|
|
'webhookexit': {'type': 'object'},
|
|
'webhookexitcancel': {'type': 'object'},
|
|
'webhookexitfill': {'type': 'object'},
|
|
'webhookstatus': {'type': 'object'},
|
|
},
|
|
},
|
|
'discord': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'enabled': {'type': 'boolean'},
|
|
'webhook_url': {'type': 'string'},
|
|
"exit_fill": {
|
|
'type': 'array', 'items': {'type': 'object'},
|
|
'default': [
|
|
{"Trade ID": "{trade_id}"},
|
|
{"Exchange": "{exchange}"},
|
|
{"Pair": "{pair}"},
|
|
{"Direction": "{direction}"},
|
|
{"Open rate": "{open_rate}"},
|
|
{"Close rate": "{close_rate}"},
|
|
{"Amount": "{amount}"},
|
|
{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
|
|
{"Close date": "{close_date:%Y-%m-%d %H:%M:%S}"},
|
|
{"Profit": "{profit_amount} {stake_currency}"},
|
|
{"Profitability": "{profit_ratio:.2%}"},
|
|
{"Enter tag": "{enter_tag}"},
|
|
{"Exit Reason": "{exit_reason}"},
|
|
{"Strategy": "{strategy}"},
|
|
{"Timeframe": "{timeframe}"},
|
|
]
|
|
},
|
|
"entry_fill": {
|
|
'type': 'array', 'items': {'type': 'object'},
|
|
'default': [
|
|
{"Trade ID": "{trade_id}"},
|
|
{"Exchange": "{exchange}"},
|
|
{"Pair": "{pair}"},
|
|
{"Direction": "{direction}"},
|
|
{"Open rate": "{open_rate}"},
|
|
{"Amount": "{amount}"},
|
|
{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
|
|
{"Enter tag": "{enter_tag}"},
|
|
{"Strategy": "{strategy} {timeframe}"},
|
|
]
|
|
},
|
|
}
|
|
},
|
|
'api_server': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'enabled': {'type': 'boolean'},
|
|
'listen_ip_address': {'format': 'ipv4'},
|
|
'listen_port': {
|
|
'type': 'integer',
|
|
'minimum': 1024,
|
|
'maximum': 65535
|
|
},
|
|
'username': {'type': 'string'},
|
|
'password': {'type': 'string'},
|
|
'ws_token': {'type': ['string', 'array'], 'items': {'type': 'string'}},
|
|
'jwt_secret_key': {'type': 'string'},
|
|
'CORS_origins': {'type': 'array', 'items': {'type': 'string'}},
|
|
'verbosity': {'type': 'string', 'enum': ['error', 'info']},
|
|
},
|
|
'required': ['enabled', 'listen_ip_address', 'listen_port', 'username', 'password']
|
|
},
|
|
'db_url': {'type': 'string'},
|
|
'export': {'type': 'string', 'enum': EXPORT_OPTIONS, 'default': 'trades'},
|
|
'disableparamexport': {'type': 'boolean'},
|
|
'initial_state': {'type': 'string', 'enum': ['running', 'stopped']},
|
|
'force_entry_enable': {'type': 'boolean'},
|
|
'disable_dataframe_checks': {'type': 'boolean'},
|
|
'internals': {
|
|
'type': 'object',
|
|
'default': {},
|
|
'properties': {
|
|
'process_throttle_secs': {'type': 'integer'},
|
|
'interval': {'type': 'integer'},
|
|
'sd_notify': {'type': 'boolean'},
|
|
}
|
|
},
|
|
'dataformat_ohlcv': {
|
|
'type': 'string',
|
|
'enum': AVAILABLE_DATAHANDLERS,
|
|
'default': 'json'
|
|
},
|
|
'dataformat_trades': {
|
|
'type': 'string',
|
|
'enum': AVAILABLE_DATAHANDLERS_TRADES,
|
|
'default': 'jsongz'
|
|
},
|
|
'position_adjustment_enable': {'type': 'boolean'},
|
|
'max_entry_position_adjustment': {'type': ['integer', 'number'], 'minimum': -1},
|
|
},
|
|
'definitions': {
|
|
'exchange': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'name': {'type': 'string'},
|
|
'sandbox': {'type': 'boolean', 'default': False},
|
|
'key': {'type': 'string', 'default': ''},
|
|
'secret': {'type': 'string', 'default': ''},
|
|
'password': {'type': 'string', 'default': ''},
|
|
'uid': {'type': 'string'},
|
|
'pair_whitelist': {
|
|
'type': 'array',
|
|
'items': {
|
|
'type': 'string',
|
|
},
|
|
'uniqueItems': True
|
|
},
|
|
'pair_blacklist': {
|
|
'type': 'array',
|
|
'items': {
|
|
'type': 'string',
|
|
},
|
|
'uniqueItems': True
|
|
},
|
|
'unknown_fee_rate': {'type': 'number'},
|
|
'outdated_offset': {'type': 'integer', 'minimum': 1},
|
|
'markets_refresh_interval': {'type': 'integer'},
|
|
'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']
|
|
},
|
|
'external_message_consumer': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'enabled': {'type': 'boolean', 'default': False},
|
|
'producers': {
|
|
'type': 'array',
|
|
'items': {
|
|
'type': 'object',
|
|
'properties': {
|
|
'name': {'type': 'string'},
|
|
'host': {'type': 'string'},
|
|
'port': {
|
|
'type': 'integer',
|
|
'default': 8080,
|
|
'minimum': 0,
|
|
'maximum': 65535
|
|
},
|
|
'secure': {'type': 'boolean', 'default': False},
|
|
'ws_token': {'type': 'string'},
|
|
},
|
|
'required': ['name', 'host', 'ws_token']
|
|
}
|
|
},
|
|
'wait_timeout': {'type': 'integer', 'minimum': 0},
|
|
'sleep_time': {'type': 'integer', 'minimum': 0},
|
|
'ping_timeout': {'type': 'integer', 'minimum': 0},
|
|
'remove_entry_exit_signals': {'type': 'boolean', 'default': False},
|
|
'initial_candle_limit': {
|
|
'type': 'integer',
|
|
'minimum': 0,
|
|
'maximum': 1500,
|
|
'default': 1500
|
|
},
|
|
'message_size_limit': { # In megabytes
|
|
'type': 'integer',
|
|
'minimum': 1,
|
|
'maxmium': 20,
|
|
'default': 8,
|
|
}
|
|
},
|
|
'required': ['producers']
|
|
},
|
|
"freqai": {
|
|
"type": "object",
|
|
"properties": {
|
|
"enabled": {"type": "boolean", "default": False},
|
|
"keras": {"type": "boolean", "default": False},
|
|
"write_metrics_to_disk": {"type": "boolean", "default": False},
|
|
"purge_old_models": {"type": "boolean", "default": True},
|
|
"conv_width": {"type": "integer", "default": 1},
|
|
"train_period_days": {"type": "integer", "default": 0},
|
|
"backtest_period_days": {"type": "number", "default": 7},
|
|
"identifier": {"type": "string", "default": "example"},
|
|
"feature_parameters": {
|
|
"type": "object",
|
|
"properties": {
|
|
"include_corr_pairlist": {"type": "array"},
|
|
"include_timeframes": {"type": "array"},
|
|
"label_period_candles": {"type": "integer"},
|
|
"include_shifted_candles": {"type": "integer", "default": 0},
|
|
"DI_threshold": {"type": "number", "default": 0},
|
|
"weight_factor": {"type": "number", "default": 0},
|
|
"principal_component_analysis": {"type": "boolean", "default": False},
|
|
"use_SVM_to_remove_outliers": {"type": "boolean", "default": False},
|
|
"plot_feature_importances": {"type": "integer", "default": 0},
|
|
"svm_params": {"type": "object",
|
|
"properties": {
|
|
"shuffle": {"type": "boolean", "default": False},
|
|
"nu": {"type": "number", "default": 0.1}
|
|
},
|
|
}
|
|
},
|
|
"required": ["include_timeframes", "include_corr_pairlist", ]
|
|
},
|
|
"data_split_parameters": {
|
|
"type": "object",
|
|
"properties": {
|
|
"test_size": {"type": "number"},
|
|
"random_state": {"type": "integer"},
|
|
"shuffle": {"type": "boolean", "default": False}
|
|
},
|
|
},
|
|
"model_training_parameters": {
|
|
"type": "object"
|
|
},
|
|
"rl_config": {
|
|
"type": "object",
|
|
"properties": {
|
|
"train_cycles": {"type": "integer"},
|
|
"max_trade_duration_candles": {"type": "integer"},
|
|
"add_state_info": {"type": "boolean", "default": False},
|
|
"max_training_drawdown_pct": {"type": "number", "default": 0.02},
|
|
"cpu_count": {"type": "integer", "default": 1},
|
|
"model_type": {"type": "string", "default": "PPO"},
|
|
"policy_type": {"type": "string", "default": "MlpPolicy"},
|
|
"net_arch": {"type": "array", "default": [128, 128]},
|
|
"randomize_startinng_position": {"type": "boolean", "default": False},
|
|
"model_reward_parameters": {
|
|
"type": "object",
|
|
"properties": {
|
|
"rr": {"type": "number", "default": 1},
|
|
"profit_aim": {"type": "number", "default": 0.025}
|
|
}
|
|
}
|
|
},
|
|
},
|
|
},
|
|
"required": [
|
|
"enabled",
|
|
"train_period_days",
|
|
"backtest_period_days",
|
|
"identifier",
|
|
"feature_parameters",
|
|
"data_split_parameters"
|
|
]
|
|
},
|
|
},
|
|
}
|
|
|
|
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',
|
|
'stake_currency',
|
|
'stake_amount',
|
|
'dry_run_wallet',
|
|
'dataformat_ohlcv',
|
|
'dataformat_trades',
|
|
]
|
|
SCHEMA_BACKTEST_REQUIRED_FINAL = SCHEMA_BACKTEST_REQUIRED + [
|
|
'stoploss',
|
|
'minimal_roi',
|
|
'max_open_trades'
|
|
]
|
|
|
|
SCHEMA_MINIMAL_REQUIRED = [
|
|
'exchange',
|
|
'dry_run',
|
|
'dataformat_ohlcv',
|
|
'dataformat_trades',
|
|
]
|
|
|
|
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']
|
|
MakerTaker = Literal['maker', 'taker']
|
|
BidAsk = Literal['bid', 'ask']
|
|
OBLiteral = Literal['asks', 'bids']
|
|
|
|
Config = Dict[str, Any]
|
|
IntOrInf = float
|