237 lines
9.8 KiB
Python
237 lines
9.8 KiB
Python
from typing import Any, Callable, NamedTuple, Optional, Union
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import pandas as pd
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from mypy_extensions import KwArg
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from pandas import DataFrame
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import timeframe_to_minutes
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PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame]
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class InformativeData(NamedTuple):
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asset: Optional[str]
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timeframe: str
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fmt: Union[str, Callable[[KwArg(str)], str], None]
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ffill: bool
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def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
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timeframe: str, timeframe_inf: str, ffill: bool = True,
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append_timeframe: bool = True,
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date_column: str = 'date') -> pd.DataFrame:
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"""
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Correctly merge informative samples to the original dataframe, avoiding lookahead bias.
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Since dates are candle open dates, merging a 15m candle that starts at 15:00, and a
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1h candle that starts at 15:00 will result in all candles to know the close at 16:00
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which they should not know.
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Moves the date of the informative pair by 1 time interval forward.
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This way, the 14:00 1h candle is merged to 15:00 15m candle, since the 14:00 1h candle is the
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last candle that's closed at 15:00, 15:15, 15:30 or 15:45.
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Assuming inf_tf = '1d' - then the resulting columns will be:
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date_1d, open_1d, high_1d, low_1d, close_1d, rsi_1d
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:param dataframe: Original dataframe
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:param informative: Informative pair, most likely loaded via dp.get_pair_dataframe
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:param timeframe: Timeframe of the original pair sample.
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:param timeframe_inf: Timeframe of the informative pair sample.
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:param ffill: Forwardfill missing values - optional but usually required
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:param append_timeframe: Rename columns by appending timeframe.
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:param date_column: A custom date column name.
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:return: Merged dataframe
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:raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe
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"""
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minutes_inf = timeframe_to_minutes(timeframe_inf)
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minutes = timeframe_to_minutes(timeframe)
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if minutes == minutes_inf:
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# No need to forwardshift if the timeframes are identical
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informative['date_merge'] = informative[date_column]
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elif minutes < minutes_inf:
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# Subtract "small" timeframe so merging is not delayed by 1 small candle
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# Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073
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informative['date_merge'] = (
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informative[date_column] + pd.to_timedelta(minutes_inf, 'm') -
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pd.to_timedelta(minutes, 'm')
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)
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else:
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raise ValueError("Tried to merge a faster timeframe to a slower timeframe."
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"This would create new rows, and can throw off your regular indicators.")
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# Rename columns to be unique
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date_merge = 'date_merge'
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if append_timeframe:
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date_merge = f'date_merge_{timeframe_inf}'
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informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns]
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# Combine the 2 dataframes
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# all indicators on the informative sample MUST be calculated before this point
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dataframe = pd.merge(dataframe, informative, left_on='date',
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right_on=date_merge, how='left')
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dataframe = dataframe.drop(date_merge, axis=1)
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if ffill:
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dataframe = dataframe.ffill()
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return dataframe
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def stoploss_from_open(open_relative_stop: float, current_profit: float) -> float:
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"""
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Given the current profit, and a desired stop loss value relative to the open price,
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return a stop loss value that is relative to the current price, and which can be
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returned from `custom_stoploss`.
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The requested stop can be positive for a stop above the open price, or negative for
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a stop below the open price. The return value is always >= 0.
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Returns 0 if the resulting stop price would be above the current price.
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:param open_relative_stop: Desired stop loss percentage relative to open price
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:param current_profit: The current profit percentage
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:return: Positive stop loss value relative to current price
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"""
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# formula is undefined for current_profit -1, return maximum value
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if current_profit == -1:
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return 1
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stoploss = 1-((1+open_relative_stop)/(1+current_profit))
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# negative stoploss values indicate the requested stop price is higher than the current price
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return max(stoploss, 0.0)
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def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float:
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"""
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Given current price and desired stop price, return a stop loss value that is relative to current
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price.
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:param stop_rate: Stop loss price.
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:param current_rate: Current asset price.
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:return: Positive stop loss value relative to current price
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"""
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return 1 - (stop_rate / current_rate)
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def informative(timeframe: str, asset: str = '',
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fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None,
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ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]:
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"""
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A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to
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define informative indicators.
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Example usage:
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@informative('1h')
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def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
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return dataframe
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:param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe.
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:param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use
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current pair.
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:param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not
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specified, defaults to:
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* {base}_{column}_{timeframe} if asset is specified and quote currency does match stake
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currency.
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* {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match
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stake currency.
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* {column}_{timeframe} if asset is not specified.
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Format string supports these format variables:
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* {asset} - full name of the asset, for example 'BTC/USDT'.
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* {base} - base currency in lower case, for example 'eth'.
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* {BASE} - same as {base}, except in upper case.
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* {quote} - quote currency in lower case, for example 'usdt'.
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* {QUOTE} - same as {quote}, except in upper case.
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* {column} - name of dataframe column.
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* {timeframe} - timeframe of informative dataframe.
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:param ffill: ffill dataframe after merging informative pair.
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"""
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_asset = asset
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_timeframe = timeframe
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_fmt = fmt
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_ffill = ffill
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def decorator(fn: PopulateIndicators):
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informative_pairs = getattr(fn, '_ft_informative', [])
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informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill))
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setattr(fn, '_ft_informative', informative_pairs)
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return fn
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return decorator
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def _format_pair_name(config, pair: str) -> str:
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return pair.format(stake_currency=config['stake_currency'],
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stake=config['stake_currency']).upper()
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def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict,
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inf_data: InformativeData,
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populate_indicators: PopulateIndicators):
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asset = inf_data.asset or ''
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timeframe = inf_data.timeframe
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fmt = inf_data.fmt
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config = strategy.config
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if asset:
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# Insert stake currency if needed.
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asset = _format_pair_name(config, asset)
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else:
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# Not specifying an asset will define informative dataframe for current pair.
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asset = metadata['pair']
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if '/' in asset:
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base, quote = asset.split('/')
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else:
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# When futures are supported this may need reevaluation.
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# base, quote = asset, None
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raise OperationalException('Not implemented.')
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# Default format. This optimizes for the common case: informative pairs using same stake
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# currency. When quote currency matches stake currency, column name will omit base currency.
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# This allows easily reconfiguring strategy to use different base currency. In a rare case
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# where it is desired to keep quote currency in column name at all times user should specify
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# fmt='{base}_{quote}_{column}_{timeframe}' format or similar.
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if not fmt:
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fmt = '{column}_{timeframe}' # Informatives of current pair
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if quote != config['stake_currency']:
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fmt = '{quote}_' + fmt # Informatives of different quote currency
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if inf_data.asset:
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fmt = '{base}_' + fmt # Informatives of other pair
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inf_metadata = {'pair': asset, 'timeframe': timeframe}
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inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe)
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inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata)
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formatter: Any = None
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if callable(fmt):
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formatter = fmt # A custom user-specified formatter function.
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else:
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formatter = fmt.format # A default string formatter.
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fmt_args = {
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'BASE': base.upper(),
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'QUOTE': quote.upper(),
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'base': base.lower(),
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'quote': quote.lower(),
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'asset': asset,
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'timeframe': timeframe,
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}
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inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args),
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inplace=True)
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date_column = formatter(column='date', **fmt_args)
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if date_column in dataframe.columns:
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raise OperationalException(f'Duplicate column name {date_column} exists in '
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f'dataframe! Ensure column names are unique!')
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dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe,
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ffill=inf_data.ffill, append_timeframe=False,
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date_column=date_column)
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return dataframe
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