stable/freqtrade/rpc/api_server/api_backtest.py
2023-02-23 20:06:10 +01:00

261 lines
9.7 KiB
Python

import asyncio
import logging
from copy import deepcopy
from datetime import datetime
from typing import Any, Dict, List
from fastapi import APIRouter, BackgroundTasks, Depends
from fastapi.exceptions import HTTPException
from freqtrade.configuration.config_validation import validate_config_consistency
from freqtrade.data.btanalysis import get_backtest_resultlist, load_and_merge_backtest_result
from freqtrade.enums import BacktestState
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.misc import deep_merge_dicts
from freqtrade.rpc.api_server.api_schemas import (BacktestHistoryEntry, BacktestRequest,
BacktestResponse)
from freqtrade.rpc.api_server.deps import get_config, is_webserver_mode
from freqtrade.rpc.api_server.webserver import ApiServer
from freqtrade.rpc.rpc import RPCException
logger = logging.getLogger(__name__)
# Private API, protected by authentication
router = APIRouter()
@router.post('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest'])
async def api_start_backtest( # noqa: C901
bt_settings: BacktestRequest, background_tasks: BackgroundTasks,
config=Depends(get_config), ws_mode=Depends(is_webserver_mode)):
ApiServer._bt['bt_error'] = None
"""Start backtesting if not done so already"""
if ApiServer._bgtask_running:
raise RPCException('Bot Background task already running')
if ':' in bt_settings.strategy:
raise HTTPException(status_code=500, detail="base64 encoded strategies are not allowed.")
btconfig = deepcopy(config)
settings = dict(bt_settings)
if settings.get('freqai', None) is not None:
settings['freqai'] = dict(settings['freqai'])
# Pydantic models will contain all keys, but non-provided ones are None
btconfig = deep_merge_dicts(settings, btconfig, allow_null_overrides=False)
try:
btconfig['stake_amount'] = float(btconfig['stake_amount'])
except ValueError:
pass
# Force dry-run for backtesting
btconfig['dry_run'] = True
# Start backtesting
# Initialize backtesting object
def run_backtest():
from freqtrade.optimize.optimize_reports import (generate_backtest_stats,
store_backtest_stats)
from freqtrade.resolvers import StrategyResolver
asyncio.set_event_loop(asyncio.new_event_loop())
try:
# Reload strategy
lastconfig = ApiServer._bt['last_config']
strat = StrategyResolver.load_strategy(btconfig)
validate_config_consistency(btconfig)
if (
not ApiServer._bt['bt']
or lastconfig.get('timeframe') != strat.timeframe
or lastconfig.get('timeframe_detail') != btconfig.get('timeframe_detail')
or lastconfig.get('timerange') != btconfig['timerange']
):
from freqtrade.optimize.backtesting import Backtesting
ApiServer._bt['bt'] = Backtesting(btconfig)
ApiServer._bt['bt'].load_bt_data_detail()
else:
ApiServer._bt['bt'].config = btconfig
ApiServer._bt['bt'].init_backtest()
# Only reload data if timeframe changed.
if (
not ApiServer._bt['data']
or not ApiServer._bt['timerange']
or lastconfig.get('timeframe') != strat.timeframe
or lastconfig.get('timerange') != btconfig['timerange']
):
ApiServer._bt['data'], ApiServer._bt['timerange'] = ApiServer._bt[
'bt'].load_bt_data()
lastconfig['timerange'] = btconfig['timerange']
lastconfig['timeframe'] = strat.timeframe
lastconfig['protections'] = btconfig.get('protections', [])
lastconfig['enable_protections'] = btconfig.get('enable_protections')
lastconfig['dry_run_wallet'] = btconfig.get('dry_run_wallet')
ApiServer._bt['bt'].enable_protections = btconfig.get('enable_protections', False)
ApiServer._bt['bt'].strategylist = [strat]
ApiServer._bt['bt'].results = {}
ApiServer._bt['bt'].load_prior_backtest()
ApiServer._bt['bt'].abort = False
if (ApiServer._bt['bt'].results and
strat.get_strategy_name() in ApiServer._bt['bt'].results['strategy']):
# When previous result hash matches - reuse that result and skip backtesting.
logger.info(f'Reusing result of previous backtest for {strat.get_strategy_name()}')
else:
min_date, max_date = ApiServer._bt['bt'].backtest_one_strategy(
strat, ApiServer._bt['data'], ApiServer._bt['timerange'])
ApiServer._bt['bt'].results = generate_backtest_stats(
ApiServer._bt['data'], ApiServer._bt['bt'].all_results,
min_date=min_date, max_date=max_date)
if btconfig.get('export', 'none') == 'trades':
store_backtest_stats(
btconfig['exportfilename'], ApiServer._bt['bt'].results,
datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
)
logger.info("Backtest finished.")
except (Exception, OperationalException, DependencyException) as e:
logger.exception(f"Backtesting caused an error: {e}")
ApiServer._bt['bt_error'] = str(e)
pass
finally:
ApiServer._bgtask_running = False
background_tasks.add_task(run_backtest)
ApiServer._bgtask_running = True
return {
"status": "running",
"running": True,
"progress": 0,
"step": str(BacktestState.STARTUP),
"status_msg": "Backtest started",
}
@router.get('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest'])
def api_get_backtest(ws_mode=Depends(is_webserver_mode)):
"""
Get backtesting result.
Returns Result after backtesting has been ran.
"""
from freqtrade.persistence import LocalTrade
if ApiServer._bgtask_running:
return {
"status": "running",
"running": True,
"step": (ApiServer._bt['bt'].progress.action if ApiServer._bt['bt']
else str(BacktestState.STARTUP)),
"progress": ApiServer._bt['bt'].progress.progress if ApiServer._bt['bt'] else 0,
"trade_count": len(LocalTrade.trades),
"status_msg": "Backtest running",
}
if not ApiServer._bt['bt']:
return {
"status": "not_started",
"running": False,
"step": "",
"progress": 0,
"status_msg": "Backtest not yet executed"
}
if ApiServer._bt['bt_error']:
return {
"status": "error",
"running": False,
"step": "",
"progress": 0,
"status_msg": f"Backtest failed with {ApiServer._bt['bt_error']}"
}
return {
"status": "ended",
"running": False,
"status_msg": "Backtest ended",
"step": "finished",
"progress": 1,
"backtest_result": ApiServer._bt['bt'].results,
}
@router.delete('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest'])
def api_delete_backtest(ws_mode=Depends(is_webserver_mode)):
"""Reset backtesting"""
if ApiServer._bgtask_running:
return {
"status": "running",
"running": True,
"step": "",
"progress": 0,
"status_msg": "Backtest running",
}
if ApiServer._bt['bt']:
ApiServer._bt['bt'].cleanup()
del ApiServer._bt['bt']
ApiServer._bt['bt'] = None
del ApiServer._bt['data']
ApiServer._bt['data'] = None
logger.info("Backtesting reset")
return {
"status": "reset",
"running": False,
"step": "",
"progress": 0,
"status_msg": "Backtest reset",
}
@router.get('/backtest/abort', response_model=BacktestResponse, tags=['webserver', 'backtest'])
def api_backtest_abort(ws_mode=Depends(is_webserver_mode)):
if not ApiServer._bgtask_running:
return {
"status": "not_running",
"running": False,
"step": "",
"progress": 0,
"status_msg": "Backtest ended",
}
ApiServer._bt['bt'].abort = True
return {
"status": "stopping",
"running": False,
"step": "",
"progress": 0,
"status_msg": "Backtest ended",
}
@router.get('/backtest/history', response_model=List[BacktestHistoryEntry],
tags=['webserver', 'backtest'])
def api_backtest_history(config=Depends(get_config), ws_mode=Depends(is_webserver_mode)):
# Get backtest result history, read from metadata files
return get_backtest_resultlist(config['user_data_dir'] / 'backtest_results')
@router.get('/backtest/history/result', response_model=BacktestResponse,
tags=['webserver', 'backtest'])
def api_backtest_history_result(filename: str, strategy: str, config=Depends(get_config),
ws_mode=Depends(is_webserver_mode)):
# Get backtest result history, read from metadata files
fn = config['user_data_dir'] / 'backtest_results' / filename
results: Dict[str, Any] = {
'metadata': {},
'strategy': {},
'strategy_comparison': [],
}
load_and_merge_backtest_result(strategy, fn, results)
return {
"status": "ended",
"running": False,
"step": "",
"progress": 1,
"status_msg": "Historic result",
"backtest_result": results,
}