327 lines
13 KiB
Python
327 lines
13 KiB
Python
"""
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IStrategy interface
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This module defines the interface to apply for strategies
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"""
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import logging
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from abc import ABC, abstractmethod
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from datetime import datetime
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from enum import Enum
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from typing import Dict, List, NamedTuple, Optional, Tuple
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import warnings
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import arrow
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from pandas import DataFrame
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from freqtrade import constants
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from freqtrade.exchange.exchange_helpers import parse_ticker_dataframe
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from freqtrade.persistence import Trade
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logger = logging.getLogger(__name__)
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class SignalType(Enum):
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"""
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Enum to distinguish between buy and sell signals
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"""
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BUY = "buy"
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SELL = "sell"
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class SellType(Enum):
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"""
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Enum to distinguish between sell reasons
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"""
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ROI = "roi"
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STOP_LOSS = "stop_loss"
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TRAILING_STOP_LOSS = "trailing_stop_loss"
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SELL_SIGNAL = "sell_signal"
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FORCE_SELL = "force_sell"
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NONE = ""
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class SellCheckTuple(NamedTuple):
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"""
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NamedTuple for Sell type + reason
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"""
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sell_flag: bool
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sell_type: SellType
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class IStrategy(ABC):
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"""
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Interface for freqtrade strategies
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Defines the mandatory structure must follow any custom strategies
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Attributes you can use:
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minimal_roi -> Dict: Minimal ROI designed for the strategy
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stoploss -> float: optimal stoploss designed for the strategy
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ticker_interval -> str: value of the ticker interval to use for the strategy
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"""
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_populate_fun_len: int = 0
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_buy_fun_len: int = 0
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_sell_fun_len: int = 0
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# associated minimal roi
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minimal_roi: Dict
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# associated stoploss
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stoploss: float
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# associated ticker interval
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ticker_interval: str
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def __init__(self, config: dict) -> None:
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self.config = config
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@abstractmethod
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Populate indicators that will be used in the Buy and Sell strategy
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:param dataframe: Raw data from the exchange and parsed by parse_ticker_dataframe()
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:param metadata: Additional information, like the currently traded pair
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:return: a Dataframe with all mandatory indicators for the strategies
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"""
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@abstractmethod
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def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the buy signal for the given dataframe
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:param dataframe: DataFrame
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:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
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"""
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@abstractmethod
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def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the sell signal for the given dataframe
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:param dataframe: DataFrame
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:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with sell column
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"""
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def get_strategy_name(self) -> str:
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"""
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Returns strategy class name
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"""
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return self.__class__.__name__
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def analyze_ticker(self, ticker_history: List[Dict], metadata: dict) -> DataFrame:
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"""
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Parses the given ticker history and returns a populated DataFrame
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add several TA indicators and buy signal to it
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:return DataFrame with ticker data and indicator data
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"""
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dataframe = parse_ticker_dataframe(ticker_history)
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dataframe = self.advise_indicators(dataframe, metadata)
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dataframe = self.advise_buy(dataframe, metadata)
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dataframe = self.advise_sell(dataframe, metadata)
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return dataframe
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def get_signal(self, pair: str, interval: str,
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ticker_hist: Optional[List[Dict]]) -> Tuple[bool, bool]:
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"""
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Calculates current signal based several technical analysis indicators
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:param pair: pair in format ANT/BTC
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:param interval: Interval to use (in min)
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:return: (Buy, Sell) A bool-tuple indicating buy/sell signal
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"""
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if not ticker_hist:
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logger.warning('Empty ticker history for pair %s', pair)
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return False, False
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try:
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dataframe = self.analyze_ticker(ticker_hist, {'pair': pair})
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except ValueError as error:
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logger.warning(
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'Unable to analyze ticker for pair %s: %s',
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pair,
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str(error)
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)
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return False, False
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except Exception as error:
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logger.exception(
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'Unexpected error when analyzing ticker for pair %s: %s',
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pair,
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str(error)
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)
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return False, False
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if dataframe.empty:
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logger.warning('Empty dataframe for pair %s', pair)
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return False, False
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latest = dataframe.iloc[-1]
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# Check if dataframe is out of date
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signal_date = arrow.get(latest['date'])
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interval_minutes = constants.TICKER_INTERVAL_MINUTES[interval]
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offset = self.config.get('exchange', {}).get('outdated_offset', 5)
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if signal_date < (arrow.utcnow().shift(minutes=-(interval_minutes * 2 + offset))):
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logger.warning(
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'Outdated history for pair %s. Last tick is %s minutes old',
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pair,
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(arrow.utcnow() - signal_date).seconds // 60
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)
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return False, False
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(buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1
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logger.debug(
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'trigger: %s (pair=%s) buy=%s sell=%s',
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latest['date'],
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pair,
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str(buy),
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str(sell)
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)
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return buy, sell
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def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,
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sell: bool) -> SellCheckTuple:
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"""
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This function evaluate if on the condition required to trigger a sell has been reached
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if the threshold is reached and updates the trade record.
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:return: True if trade should be sold, False otherwise
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"""
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current_profit = trade.calc_profit_percent(rate)
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stoplossflag = self.stop_loss_reached(current_rate=rate, trade=trade, current_time=date,
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current_profit=current_profit)
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if stoplossflag.sell_flag:
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return stoplossflag
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experimental = self.config.get('experimental', {})
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if buy and experimental.get('ignore_roi_if_buy_signal', False):
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logger.debug('Buy signal still active - not selling.')
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
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# Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee)
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if self.min_roi_reached(trade=trade, current_profit=current_profit, current_time=date):
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logger.debug('Required profit reached. Selling..')
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return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)
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if experimental.get('sell_profit_only', False):
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logger.debug('Checking if trade is profitable..')
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if trade.calc_profit(rate=rate) <= 0:
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
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if sell and not buy and experimental.get('use_sell_signal', False):
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logger.debug('Sell signal received. Selling..')
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return SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL)
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
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def stop_loss_reached(self, current_rate: float, trade: Trade, current_time: datetime,
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current_profit: float) -> SellCheckTuple:
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"""
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Based on current profit of the trade and configured (trailing) stoploss,
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decides to sell or not
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:param current_profit: current profit in percent
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"""
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trailing_stop = self.config.get('trailing_stop', False)
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trade.adjust_stop_loss(trade.open_rate, self.stoploss, initial=True)
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# evaluate if the stoploss was hit
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if self.stoploss is not None and trade.stop_loss >= current_rate:
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selltype = SellType.STOP_LOSS
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if trailing_stop:
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selltype = SellType.TRAILING_STOP_LOSS
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logger.debug(
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f"HIT STOP: current price at {current_rate:.6f}, "
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f"stop loss is {trade.stop_loss:.6f}, "
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f"initial stop loss was at {trade.initial_stop_loss:.6f}, "
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f"trade opened at {trade.open_rate:.6f}")
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logger.debug(f"trailing stop saved {trade.stop_loss - trade.initial_stop_loss:.6f}")
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logger.debug('Stop loss hit.')
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return SellCheckTuple(sell_flag=True, sell_type=selltype)
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# update the stop loss afterwards, after all by definition it's supposed to be hanging
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if trailing_stop:
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# check if we have a special stop loss for positive condition
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# and if profit is positive
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stop_loss_value = self.stoploss
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sl_offset = self.config.get('trailing_stop_positive_offset', 0.0)
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if 'trailing_stop_positive' in self.config and current_profit > sl_offset:
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# Ignore mypy error check in configuration that this is a float
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stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore
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logger.debug(f"using positive stop loss mode: {stop_loss_value} "
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f"with offset {sl_offset:.4g} "
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f"since we have profit {current_profit:.4f}%")
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trade.adjust_stop_loss(current_rate, stop_loss_value)
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return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
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def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool:
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"""
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Based an earlier trade and current price and ROI configuration, decides whether bot should
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sell
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:return True if bot should sell at current rate
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"""
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# Check if time matches and current rate is above threshold
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time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60
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for duration, threshold in self.minimal_roi.items():
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if time_diff <= duration:
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return False
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if current_profit > threshold:
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return True
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return False
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def tickerdata_to_dataframe(self, tickerdata: Dict[str, List]) -> Dict[str, DataFrame]:
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"""
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Creates a dataframe and populates indicators for given ticker data
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"""
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return {pair: self.advise_indicators(parse_ticker_dataframe(pair_data), {'pair': pair})
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for pair, pair_data in tickerdata.items()}
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def advise_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Populate indicators that will be used in the Buy and Sell strategy
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This method should not be overridden.
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:param dataframe: Raw data from the exchange and parsed by parse_ticker_dataframe()
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:param metadata: Additional information, like the currently traded pair
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:return: a Dataframe with all mandatory indicators for the strategies
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"""
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if self._populate_fun_len == 2:
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warnings.warn("deprecated - check out the Sample strategy to see "
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"the current function headers!", DeprecationWarning)
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return self.populate_indicators(dataframe) # type: ignore
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else:
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return self.populate_indicators(dataframe, metadata)
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def advise_buy(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the buy signal for the given dataframe
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This method should not be overridden.
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:param dataframe: DataFrame
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:param pair: Additional information, like the currently traded pair
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:return: DataFrame with buy column
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"""
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if self._buy_fun_len == 2:
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warnings.warn("deprecated - check out the Sample strategy to see "
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"the current function headers!", DeprecationWarning)
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return self.populate_buy_trend(dataframe) # type: ignore
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else:
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return self.populate_buy_trend(dataframe, metadata)
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def advise_sell(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the sell signal for the given dataframe
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This method should not be overridden.
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:param dataframe: DataFrame
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:param pair: Additional information, like the currently traded pair
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:return: DataFrame with sell column
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"""
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if self._sell_fun_len == 2:
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warnings.warn("deprecated - check out the Sample strategy to see "
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"the current function headers!", DeprecationWarning)
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return self.populate_sell_trend(dataframe) # type: ignore
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else:
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return self.populate_sell_trend(dataframe, metadata)
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