From d84ef34740a65df4922a13b8e8e523167637ae2e Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 17 Jul 2021 18:09:08 +0300 Subject: [PATCH 01/12] A helper to calculate stoploss value from absolute price. --- docs/strategy-advanced.md | 6 ++++ docs/strategy-customization.md | 41 +++++++++++++++++++++++++++ freqtrade/strategy/__init__.py | 3 +- freqtrade/strategy/strategy_helper.py | 11 +++++++ 4 files changed, 60 insertions(+), 1 deletion(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 4409af6ea..2b9517f3b 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -288,6 +288,12 @@ Stoploss values returned from `custom_stoploss()` always specify a percentage re The helper function [`stoploss_from_open()`](strategy-customization.md#stoploss_from_open) can be used to convert from an open price relative stop, to a current price relative stop which can be returned from `custom_stoploss()`. +### Calculating stoploss percentage from absolute price + +Stoploss values returned from `custom_stoploss()` always specify a percentage relative to `current_rate`. In order to set a stoploss at specified absolute price level, we need to use `stop_rate` to calculate what percentage relative to the `current_rate` will give you the same result as if the percentage was specified from the open price. + +The helper function [`stoploss_from_absolute()`](strategy-customization.md#stoploss_from_absolute) can be used to convert from an absolute price, to a current price relative stop which can be returned from `custom_stoploss()`. + #### Stepped stoploss Instead of continuously trailing behind the current price, this example sets fixed stoploss price levels based on the current profit. diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index cfea60d22..1f8116deb 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -639,6 +639,47 @@ Stoploss values returned from `custom_stoploss` must specify a percentage relati Full examples can be found in the [Custom stoploss](strategy-advanced.md#custom-stoploss) section of the Documentation. +!!! Note + Providing invalid input to `stoploss_from_open()` may produce "CustomStoploss function did not return valid stoploss" warnings. + This may happen if `current_profit` parameter is below specified `open_relative_stop`. Such situations may arise when closing trade + is blocked by `confirm_trade_exit()` method. Warnings can be solved by never blocking stop loss sells by checking `sell_reason` in + `confirm_trade_exit()`, or by using `return stoploss_from_open(...) or 1` idiom, which will request to not change stop loss when + `current_profit < open_relative_stop`. + +### *stoploss_from_absolute()* + +In some situations it may be confusing to deal with stops relative to current rate. Instead, you may define a stoploss level using an absolute price. + +??? Example "Returning a stoploss using absolute price from the custom stoploss function" + + Say the open price was $100, and `current_price` is $121 (`current_profit` will be `0.21`). + + If we want a stop price at $107 price we can call `stoploss_from_absolute(107, current_rate)` which will return `0.1157024793`. 11.57% below $121 is $107, which is the same as 7% above $100. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, stoploss_from_open + + class AwesomeStrategy(IStrategy): + + # ... populate_* methods + + use_custom_stoploss = True + + def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, + current_rate: float, current_profit: float, **kwargs) -> float: + + # once the profit has risen above 10%, keep the stoploss at 7% above the open price + if current_profit > 0.10: + return stoploss_from_absolute(trade.open_rate * 1.07, current_rate) + + return 1 + + ``` + + Full examples can be found in the [Custom stoploss](strategy-advanced.md#custom-stoploss) section of the Documentation. ## Additional data (Wallets) diff --git a/freqtrade/strategy/__init__.py b/freqtrade/strategy/__init__.py index be655fc33..703cdabc1 100644 --- a/freqtrade/strategy/__init__.py +++ b/freqtrade/strategy/__init__.py @@ -4,4 +4,5 @@ from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timefr from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter, IntParameter, RealParameter) from freqtrade.strategy.interface import IStrategy -from freqtrade.strategy.strategy_helper import merge_informative_pair, stoploss_from_open +from freqtrade.strategy.strategy_helper import (merge_informative_pair, + stoploss_from_absolute, stoploss_from_open) diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index e089ebf31..32f7a9886 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -83,3 +83,14 @@ def stoploss_from_open(open_relative_stop: float, current_profit: float) -> floa # negative stoploss values indicate the requested stop price is higher than the current price return max(stoploss, 0.0) + + +def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: + """ + Given current price and desired stop price, return a stop loss value that is relative to current + price. + :param stop_rate: Stop loss price. + :param current_rate: Current asset price. + :return: Positive stop loss value relative to current price + """ + return 1 - (stop_rate / current_rate) From 1fdb656334208f57916fe4539ab83e9363d7b984 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 17 Jul 2021 19:19:49 +0300 Subject: [PATCH 02/12] Add a decorator which can be used to declare populate_indicators() functions for informative pairs. --- docs/strategy-customization.md | 84 +++++++++- freqtrade/edge/edge_positioning.py | 2 +- freqtrade/freqtradebot.py | 2 +- freqtrade/strategy/__init__.py | 2 +- freqtrade/strategy/interface.py | 53 ++++++- freqtrade/strategy/strategy_helper.py | 146 +++++++++++++++++- tests/rpc/test_rpc_apiserver.py | 1 + .../strats/informative_decorator_strategy.py | 75 +++++++++ tests/strategy/test_interface.py | 2 +- tests/strategy/test_strategy_helpers.py | 55 +++++++ tests/strategy/test_strategy_loading.py | 6 +- 11 files changed, 413 insertions(+), 15 deletions(-) create mode 100644 tests/strategy/strats/informative_decorator_strategy.py diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 1f8116deb..526c111c5 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -679,7 +679,89 @@ In some situations it may be confusing to deal with stops relative to current ra ``` - Full examples can be found in the [Custom stoploss](strategy-advanced.md#custom-stoploss) section of the Documentation. +### *@informative()* + +In most common case it is possible to easily define informative pairs by using a decorator. All decorated `populate_indicators_*` methods run in isolation, +not having access to data from other informative pairs, in the end all informative dataframes are merged and passed to main `populate_indicators()` method. +When hyperopting, please follow instructions of [optimizing an indicator parameter](hyperopt.md#optimizing-an-indicator-parameter). + +??? Example "Fast and easy way to define informative pairs" + + Most of the time we do not need power and flexibility offered by `merge_informative_pair()`, therefore we can use a decorator to quickly define informative pairs. + + ``` python + + from datetime import datetime + from freqtrade.persistence import Trade + from freqtrade.strategy import IStrategy, informative + + class AwesomeStrategy(IStrategy): + + # This method is not required. + # def informative_pairs(self): ... + + # Define informative upper timeframe for each pair. Decorators can be stacked on same + # method. Available in populate_indicators as 'rsi_30m' and 'rsi_1h'. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. Available in populate_indicators and other methods as + # 'btc_rsi_1h'. Current stake currency should be specified as {stake} format variable + # instead of hardcoding actual stake currency. Available in populate_indicators and other + # methods as 'btc_rsi_1h'. + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/ETH informative pair. You must specify quote currency if it is different from + # stake currency. Available in populate_indicators and other methods as 'eth_btc_rsi_1h'. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + # Define BTC/STAKE informative pair. A custom formatter may be specified for formatting + # column names. Format string supports these format variables: + # * {asset} - full name of the asset, for example 'BTC/USDT'. + # * {base} - base currency in lower case, for example 'eth'. + # * {BASE} - same as {base}, except in upper case. + # * {quote} - quote currency in lower case, for example 'usdt'. + # * {QUOTE} - same as {quote}, except in upper case. + # * {column} - name of dataframe column. + # * {timeframe} - timeframe of informative dataframe. + # A callable `fmt(**kwargs) -> str` may be specified, to implement custom formatting. + # Available in populate_indicators and other methods as 'rsi_upper'. + @informative('1h', 'BTC/{stake}', '{name}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi_upper'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + return dataframe + + ``` + + See docstring of `@informative()` decorator for more information. + +!!! Note + Do not use `@informative` decorator if you need to use data of one informative pair when generating another informative pair. Instead, define informative pairs + manually as described [in the DataProvider section](#complete-data-provider-sample). + +!!! Warning + Methods tagged with `@informative()` decorator must always have unique names! Re-using same name (for example when copy-pasting already defined informative method) + will overwrite previously defined method and not produce any errors due to limitations of Python programming language. In such cases you will find that indicators + created in earlier-defined methods are not available in the dataframe. Carefully review method names and make sure they are unique! + +!!! Warning + When using a legacy hyperopt implementation informative pairs defined with a decorator will not be executed. Please update your strategy if necessary. ## Additional data (Wallets) diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index f12b1b37d..1950f0d08 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -119,7 +119,7 @@ class Edge: ) # Download informative pairs too res = defaultdict(list) - for p, t in self.strategy.informative_pairs(): + for p, t in self.strategy.gather_informative_pairs(): res[t].append(p) for timeframe, inf_pairs in res.items(): timerange_startup = deepcopy(self._timerange) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 7f668273c..bdc438c9a 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -160,7 +160,7 @@ class FreqtradeBot(LoggingMixin): # Refreshing candles self.dataprovider.refresh(self.pairlists.create_pair_list(self.active_pair_whitelist), - self.strategy.informative_pairs()) + self.strategy.gather_informative_pairs()) strategy_safe_wrapper(self.strategy.bot_loop_start, supress_error=True)() diff --git a/freqtrade/strategy/__init__.py b/freqtrade/strategy/__init__.py index 703cdabc1..a7de34916 100644 --- a/freqtrade/strategy/__init__.py +++ b/freqtrade/strategy/__init__.py @@ -4,5 +4,5 @@ from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timefr from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter, IntParameter, RealParameter) from freqtrade.strategy.interface import IStrategy -from freqtrade.strategy.strategy_helper import (merge_informative_pair, +from freqtrade.strategy.strategy_helper import (informative, merge_informative_pair, stoploss_from_absolute, stoploss_from_open) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 00ad3faf0..8e8b8b404 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -6,7 +6,7 @@ import logging import warnings from abc import ABC, abstractmethod from datetime import datetime, timedelta, timezone -from typing import Dict, List, Optional, Tuple, Union +from typing import Any, Callable, Dict, List, Optional, Tuple, Union import arrow from pandas import DataFrame @@ -19,6 +19,8 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.exchange.exchange import timeframe_to_next_date from freqtrade.persistence import PairLocks, Trade from freqtrade.strategy.hyper import HyperStrategyMixin +from freqtrade.strategy.strategy_helper import (InformativeData, _create_and_merge_informative_pair, + _format_pair_name) from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.wallets import Wallets @@ -134,6 +136,39 @@ class IStrategy(ABC, HyperStrategyMixin): self._last_candle_seen_per_pair: Dict[str, datetime] = {} super().__init__(config) + # Gather informative pairs from @informative-decorated methods. + self._ft_informative: Dict[ + Tuple[str, str], Tuple[InformativeData, + Callable[[Any, DataFrame, dict], DataFrame]]] = {} + for attr_name in dir(self.__class__): + cls_method = getattr(self.__class__, attr_name) + if not callable(cls_method): + continue + ft_informative = getattr(cls_method, '_ft_informative', []) + if not isinstance(ft_informative, list): + # Type check is required because mocker would return a mock object that evaluates to + # True, confusing this code. + continue + for informative_data in ft_informative: + asset = informative_data.asset + timeframe = informative_data.timeframe + if asset: + pair = _format_pair_name(self.config, asset) + if (pair, timeframe) in self._ft_informative: + raise OperationalException(f'Informative pair {pair} {timeframe} can not ' + f'be defined more than once!') + self._ft_informative[(pair, timeframe)] = (informative_data, cls_method) + elif self.dp is not None: + for pair in self.dp.current_whitelist(): + if (pair, timeframe) in self._ft_informative: + raise OperationalException(f'Informative pair {pair} {timeframe} can ' + f'not be defined more than once!') + self._ft_informative[(pair, timeframe)] = (informative_data, cls_method) + + def _format_pair(self, pair: str) -> str: + return pair.format(stake_currency=self.config['stake_currency'], + stake=self.config['stake_currency']).upper() + @abstractmethod def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ @@ -377,6 +412,14 @@ class IStrategy(ABC, HyperStrategyMixin): # END - Intended to be overridden by strategy ### + def gather_informative_pairs(self) -> ListPairsWithTimeframes: + """ + Internal method which gathers all informative pairs (user or automatically defined). + """ + informative_pairs = self.informative_pairs() + informative_pairs += list(self._ft_informative.keys()) + return list(set(informative_pairs)) + def get_strategy_name(self) -> str: """ Returns strategy class name @@ -793,6 +836,14 @@ class IStrategy(ABC, HyperStrategyMixin): :return: a Dataframe with all mandatory indicators for the strategies """ logger.debug(f"Populating indicators for pair {metadata.get('pair')}.") + + # call populate_indicators_Nm() which were tagged with @informative decorator. + for (pair, timeframe), (informative_data, populate_fn) in self._ft_informative.items(): + if not informative_data.asset and pair != metadata['pair']: + continue + dataframe = _create_and_merge_informative_pair( + self, dataframe, metadata, informative_data, populate_fn) + if self._populate_fun_len == 2: warnings.warn("deprecated - check out the Sample strategy to see " "the current function headers!", DeprecationWarning) diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index 32f7a9886..aa828d330 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -1,10 +1,24 @@ +from typing import Any, Callable, NamedTuple, Optional, Union + import pandas as pd +from mypy_extensions import KwArg +from pandas import DataFrame +from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes +class InformativeData(NamedTuple): + asset: Optional[str] + timeframe: str + fmt: Union[str, Callable[[KwArg(str)], str], None] + ffill: bool + + def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, - timeframe: str, timeframe_inf: str, ffill: bool = True) -> pd.DataFrame: + timeframe: str, timeframe_inf: str, ffill: bool = True, + append_timeframe: bool = True, + date_column: str = 'date') -> pd.DataFrame: """ Correctly merge informative samples to the original dataframe, avoiding lookahead bias. @@ -24,6 +38,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, :param timeframe: Timeframe of the original pair sample. :param timeframe_inf: Timeframe of the informative pair sample. :param ffill: Forwardfill missing values - optional but usually required + :param append_timeframe: Rename columns by appending timeframe. + :param date_column: A custom date column name. :return: Merged dataframe :raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe """ @@ -32,25 +48,29 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, minutes = timeframe_to_minutes(timeframe) if minutes == minutes_inf: # No need to forwardshift if the timeframes are identical - informative['date_merge'] = informative["date"] + informative['date_merge'] = informative[date_column] elif minutes < minutes_inf: # Subtract "small" timeframe so merging is not delayed by 1 small candle # Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073 informative['date_merge'] = ( - informative["date"] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm') + informative[date_column] + pd.to_timedelta(minutes_inf, 'm') - + pd.to_timedelta(minutes, 'm') ) else: raise ValueError("Tried to merge a faster timeframe to a slower timeframe." "This would create new rows, and can throw off your regular indicators.") # Rename columns to be unique - informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] + date_merge = 'date_merge' + if append_timeframe: + date_merge = f'date_merge_{timeframe_inf}' + informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] # Combine the 2 dataframes # all indicators on the informative sample MUST be calculated before this point dataframe = pd.merge(dataframe, informative, left_on='date', - right_on=f'date_merge_{timeframe_inf}', how='left') - dataframe = dataframe.drop(f'date_merge_{timeframe_inf}', axis=1) + right_on=date_merge, how='left') + dataframe = dataframe.drop(date_merge, axis=1) if ffill: dataframe = dataframe.ffill() @@ -94,3 +114,117 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: :return: Positive stop loss value relative to current price """ return 1 - (stop_rate / current_rate) + + +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, + ffill: bool = True) -> Callable[[Callable[[Any, DataFrame, dict], DataFrame]], + Callable[[Any, DataFrame, dict], DataFrame]]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to {asset}_{name}_{timeframe} if asset is specified, or {name}_{timeframe} + otherwise. + * {asset}: name of informative asset, provided in lower-case, with / replaced with _. Stake + currency is not included in this string. + * {name}: user-specified dataframe column name. + * {timeframe}: informative timeframe. + :param ffill: ffill dataframe after mering informative pair. + """ + _asset = asset + _timeframe = timeframe + _fmt = fmt + _ffill = ffill + + def decorator(fn: Callable[[Any, DataFrame, dict], DataFrame]): + informative_pairs = getattr(fn, '_ft_informative', []) + informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) + setattr(fn, '_ft_informative', informative_pairs) + return fn + return decorator + + +def _format_pair_name(config, pair: str) -> str: + return pair.format(stake_currency=config['stake_currency'], + stake=config['stake_currency']).upper() + + +def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, + metadata: dict, informative_data: InformativeData, + populate_indicators: Callable[[Any, DataFrame, dict], + DataFrame]): + asset = informative_data.asset or '' + timeframe = informative_data.timeframe + fmt = informative_data.fmt + ffill = informative_data.ffill + config = strategy.config + dp = strategy.dp + + if asset: + # Insert stake currency if needed. + asset = _format_pair_name(config, asset) + else: + # Not specifying an asset will define informative dataframe for current pair. + asset = metadata['pair'] + + if '/' in asset: + base, quote = asset.split('/') + else: + # When futures are supported this may need reevaluation. + # base, quote = asset, None + raise OperationalException('Not implemented.') + + # Default format. This optimizes for the common case: informative pairs using same stake + # currency. When quote currency matches stake currency, column name will omit base currency. + # This allows easily reconfiguring strategy to use different base currency. In a rare case + # where it is desired to keep quote currency in column name at all times user should specify + # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. + if not fmt: + fmt = '{column}_{timeframe}' # Informatives of current pair + if asset != metadata['pair']: + if quote == config['stake_currency']: + fmt = '{base}_' + fmt # Informatives of other pair + else: + fmt = '{base}_{quote}_' + fmt # Informatives of different quote currency + + inf_metadata = {'pair': asset, 'timeframe': timeframe} + inf_dataframe = dp.get_pair_dataframe(asset, timeframe) + inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) + + formatter: Any = None + if callable(fmt): + formatter = fmt # A custom user-specified formatter function. + else: + formatter = fmt.format # A default string formatter. + + fmt_args = { + 'BASE': base.upper(), + 'QUOTE': quote.upper(), + 'base': base.lower(), + 'quote': quote.lower(), + 'asset': asset, + 'timeframe': timeframe, + } + inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), + inplace=True) + + date_column = formatter(column='date', **fmt_args) + if date_column in dataframe.columns: + raise OperationalException(f'Duplicate column name {date_column} exists in ' + f'dataframe! Ensure column names are unique!') + dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, + ffill=ffill, append_timeframe=False, + date_column=date_column) + return dataframe diff --git a/tests/rpc/test_rpc_apiserver.py b/tests/rpc/test_rpc_apiserver.py index 2852486ed..43eb70938 100644 --- a/tests/rpc/test_rpc_apiserver.py +++ b/tests/rpc/test_rpc_apiserver.py @@ -1218,6 +1218,7 @@ def test_api_strategies(botclient): assert_response(rc) assert rc.json() == {'strategies': [ 'HyperoptableStrategy', + 'InformativeDecoratorTest', 'StrategyTestV2', 'TestStrategyLegacyV1' ]} diff --git a/tests/strategy/strats/informative_decorator_strategy.py b/tests/strategy/strats/informative_decorator_strategy.py new file mode 100644 index 000000000..a32ad79e8 --- /dev/null +++ b/tests/strategy/strats/informative_decorator_strategy.py @@ -0,0 +1,75 @@ +# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement + +from pandas import DataFrame + +from freqtrade.strategy import informative, merge_informative_pair +from freqtrade.strategy.interface import IStrategy + + +class InformativeDecoratorTest(IStrategy): + """ + Strategy used by tests freqtrade bot. + Please do not modify this strategy, it's intended for internal use only. + Please look at the SampleStrategy in the user_data/strategy directory + or strategy repository https://github.com/freqtrade/freqtrade-strategies + for samples and inspiration. + """ + INTERFACE_VERSION = 2 + stoploss = -0.10 + timeframe = '5m' + startup_candle_count: int = 20 + + def informative_pairs(self): + return [('BTC/USDT', '5m')] + + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['buy'] = 0 + return dataframe + + def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['sell'] = 0 + return dataframe + + # Decorator stacking test. + @informative('30m') + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Simple informative test. + @informative('1h', 'BTC/{stake}') + def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Quote currency different from stake currency test. + @informative('1h', 'ETH/BTC') + def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Formatting test. + @informative('30m', 'BTC/{stake}', '{column}_{BASE}_{QUOTE}_{base}_{quote}_{asset}_{timeframe}') + def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + # Custom formatter test + @informative('30m', 'ETH/{stake}', fmt=lambda column, **kwargs: column + '_from_callable') + def populate_indicators_eth_30m(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = 14 + return dataframe + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + # Strategy timeframe indicators for current pair. + dataframe['rsi'] = 14 + # Informative pairs are available in this method. + dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h'] + + # Mixing manual informative pairs with decorators. + informative = self.dp.get_pair_dataframe('BTC/USDT', '5m') + informative['rsi'] = 14 + dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True) + + return dataframe diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 250dcf63d..dcb9e3e64 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -607,7 +607,7 @@ def test_is_informative_pairs_callback(default_conf): strategy = StrategyResolver.load_strategy(default_conf) # Should return empty # Uses fallback to base implementation - assert [] == strategy.informative_pairs() + assert [] == strategy.gather_informative_pairs() @pytest.mark.parametrize('error', [ diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 3b84fc254..7784f3f77 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -4,6 +4,7 @@ import numpy as np import pandas as pd import pytest +from freqtrade.data.dataprovider import DataProvider from freqtrade.strategy import merge_informative_pair, stoploss_from_open, timeframe_to_minutes @@ -132,3 +133,57 @@ def test_stoploss_from_open(): assert stoploss == 0 else: assert isclose(stop_price, expected_stop_price, rel_tol=0.00001) + + +def test_informative_decorator(mocker, default_conf): + test_data_5m = generate_test_data('5m', 40) + test_data_30m = generate_test_data('30m', 40) + test_data_1h = generate_test_data('1h', 40) + data = { + ('XRP/USDT', '5m'): test_data_5m, + ('XRP/USDT', '30m'): test_data_30m, + ('XRP/USDT', '1h'): test_data_1h, + ('LTC/USDT', '5m'): test_data_5m, + ('LTC/USDT', '30m'): test_data_30m, + ('LTC/USDT', '1h'): test_data_1h, + ('BTC/USDT', '30m'): test_data_30m, + ('BTC/USDT', '5m'): test_data_5m, + ('BTC/USDT', '1h'): test_data_1h, + ('ETH/USDT', '1h'): test_data_1h, + ('ETH/USDT', '30m'): test_data_30m, + ('ETH/BTC', '1h'): test_data_1h, + } + from .strats.informative_decorator_strategy import InformativeDecoratorTest + default_conf['stake_currency'] = 'USDT' + InformativeDecoratorTest.dp = DataProvider({}, None, None) + mocker.patch.object(InformativeDecoratorTest.dp, 'current_whitelist', return_value=[ + 'XRP/USDT', 'LTC/USDT' + ]) + strategy = InformativeDecoratorTest(config=default_conf) + + assert len(strategy._ft_informative) == 8 + informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'), + ('LTC/USDT', '30m'), ('BTC/USDT', '1h'), ('BTC/USDT', '30m'), + ('BTC/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')] + for inf_pair in informative_pairs: + assert inf_pair in strategy.gather_informative_pairs() + + def test_historic_ohlcv(pair, timeframe): + return data[(pair, timeframe or strategy.timeframe)].copy() + mocker.patch('freqtrade.data.dataprovider.DataProvider.historic_ohlcv', + side_effect=test_historic_ohlcv) + + analyzed = strategy.advise_all_indicators( + {p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')}) + expected_columns = [ + 'rsi_1h', 'rsi_30m', # Stacked informative decorators + 'btc_rsi_1h', # BTC 1h informative + 'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting + 'rsi_from_callable', # Custom column formatter + 'eth_btc_rsi_1h', # Quote currency not matching stake currency + 'rsi', 'rsi_less', # Non-informative columns + 'rsi_5m', # Manual informative dataframe + ] + for _, dataframe in analyzed.items(): + for col in expected_columns: + assert col in dataframe.columns diff --git a/tests/strategy/test_strategy_loading.py b/tests/strategy/test_strategy_loading.py index 2cbc9d0c6..3a30a824a 100644 --- a/tests/strategy/test_strategy_loading.py +++ b/tests/strategy/test_strategy_loading.py @@ -35,7 +35,7 @@ def test_search_all_strategies_no_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=False) assert isinstance(strategies, list) - assert len(strategies) == 3 + assert len(strategies) == 4 assert isinstance(strategies[0], dict) @@ -43,10 +43,10 @@ def test_search_all_strategies_with_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=True) assert isinstance(strategies, list) - assert len(strategies) == 4 + assert len(strategies) == 5 # with enum_failed=True search_all_objects() shall find 2 good strategies # and 1 which fails to load - assert len([x for x in strategies if x['class'] is not None]) == 3 + assert len([x for x in strategies if x['class'] is not None]) == 4 assert len([x for x in strategies if x['class'] is None]) == 1 From f2a1d9d2fc8efe238e47f5404dd6c924511e683b Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 5 Sep 2021 09:54:05 +0300 Subject: [PATCH 03/12] [SQUASH] Address PR comments. --- docs/strategy-customization.md | 56 ++++++++++++++++++++------- freqtrade/strategy/interface.py | 18 ++++----- freqtrade/strategy/strategy_helper.py | 32 +++++++++------ 3 files changed, 72 insertions(+), 34 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 526c111c5..f2bf6cf7c 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -681,9 +681,47 @@ In some situations it may be confusing to deal with stops relative to current ra ### *@informative()* +``` python +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake + curerncy. + * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match + stake curerncy. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ +``` + In most common case it is possible to easily define informative pairs by using a decorator. All decorated `populate_indicators_*` methods run in isolation, not having access to data from other informative pairs, in the end all informative dataframes are merged and passed to main `populate_indicators()` method. -When hyperopting, please follow instructions of [optimizing an indicator parameter](hyperopt.md#optimizing-an-indicator-parameter). +When hyperopting, use of hyperoptable parameter `.value` attribute is not supported. Please use `.range` attribute. See [optimizing an indicator parameter](hyperopt.md#optimizing-an-indicator-parameter) +for more information. ??? Example "Fast and easy way to define informative pairs" @@ -725,17 +763,9 @@ When hyperopting, please follow instructions of [optimizing an indicator paramet return dataframe # Define BTC/STAKE informative pair. A custom formatter may be specified for formatting - # column names. Format string supports these format variables: - # * {asset} - full name of the asset, for example 'BTC/USDT'. - # * {base} - base currency in lower case, for example 'eth'. - # * {BASE} - same as {base}, except in upper case. - # * {quote} - quote currency in lower case, for example 'usdt'. - # * {QUOTE} - same as {quote}, except in upper case. - # * {column} - name of dataframe column. - # * {timeframe} - timeframe of informative dataframe. - # A callable `fmt(**kwargs) -> str` may be specified, to implement custom formatting. - # Available in populate_indicators and other methods as 'rsi_upper'. - @informative('1h', 'BTC/{stake}', '{name}') + # column names. A callable `fmt(**kwargs) -> str` may be specified, to implement custom + # formatting. Available in populate_indicators and other methods as 'rsi_upper'. + @informative('1h', 'BTC/{stake}', '{column}') def populate_indicators_btc_1h_2(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['rsi_upper'] = ta.RSI(dataframe, timeperiod=14) return dataframe @@ -749,8 +779,6 @@ When hyperopting, please follow instructions of [optimizing an indicator paramet ``` - See docstring of `@informative()` decorator for more information. - !!! Note Do not use `@informative` decorator if you need to use data of one informative pair when generating another informative pair. Instead, define informative pairs manually as described [in the DataProvider section](#complete-data-provider-sample). diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 8e8b8b404..0546deb01 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -6,7 +6,7 @@ import logging import warnings from abc import ABC, abstractmethod from datetime import datetime, timedelta, timezone -from typing import Any, Callable, Dict, List, Optional, Tuple, Union +from typing import Dict, List, Optional, Tuple, Union import arrow from pandas import DataFrame @@ -19,7 +19,8 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.exchange.exchange import timeframe_to_next_date from freqtrade.persistence import PairLocks, Trade from freqtrade.strategy.hyper import HyperStrategyMixin -from freqtrade.strategy.strategy_helper import (InformativeData, _create_and_merge_informative_pair, +from freqtrade.strategy.strategy_helper import (InformativeData, PopulateIndicators, + _create_and_merge_informative_pair, _format_pair_name) from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.wallets import Wallets @@ -138,20 +139,23 @@ class IStrategy(ABC, HyperStrategyMixin): # Gather informative pairs from @informative-decorated methods. self._ft_informative: Dict[ - Tuple[str, str], Tuple[InformativeData, - Callable[[Any, DataFrame, dict], DataFrame]]] = {} + Tuple[str, str], Tuple[InformativeData, PopulateIndicators]] = {} for attr_name in dir(self.__class__): cls_method = getattr(self.__class__, attr_name) if not callable(cls_method): continue - ft_informative = getattr(cls_method, '_ft_informative', []) + ft_informative = getattr(cls_method, '_ft_informative', None) if not isinstance(ft_informative, list): # Type check is required because mocker would return a mock object that evaluates to # True, confusing this code. continue + strategy_timeframe_minutes = timeframe_to_minutes(self.timeframe) for informative_data in ft_informative: asset = informative_data.asset timeframe = informative_data.timeframe + if timeframe_to_minutes(timeframe) < strategy_timeframe_minutes: + raise OperationalException('Informative timeframe must be equal or higher than ' + 'strategy timeframe!') if asset: pair = _format_pair_name(self.config, asset) if (pair, timeframe) in self._ft_informative: @@ -165,10 +169,6 @@ class IStrategy(ABC, HyperStrategyMixin): f'not be defined more than once!') self._ft_informative[(pair, timeframe)] = (informative_data, cls_method) - def _format_pair(self, pair: str) -> str: - return pair.format(stake_currency=self.config['stake_currency'], - stake=self.config['stake_currency']).upper() - @abstractmethod def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index aa828d330..64d9bdea8 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -8,6 +8,9 @@ from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes +PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] + + class InformativeData(NamedTuple): asset: Optional[str] timeframe: str @@ -118,8 +121,7 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: def informative(timeframe: str, asset: str = '', fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, - ffill: bool = True) -> Callable[[Callable[[Any, DataFrame, dict], DataFrame]], - Callable[[Any, DataFrame, dict], DataFrame]]: + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: """ A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to define informative indicators. @@ -131,24 +133,32 @@ def informative(timeframe: str, asset: str = '', dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) return dataframe - :param timeframe: Informative timeframe. Must always be higher than strategy timeframe. + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use current pair. :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not - specified, defaults to {asset}_{name}_{timeframe} if asset is specified, or {name}_{timeframe} - otherwise. - * {asset}: name of informative asset, provided in lower-case, with / replaced with _. Stake - currency is not included in this string. - * {name}: user-specified dataframe column name. - * {timeframe}: informative timeframe. - :param ffill: ffill dataframe after mering informative pair. + specified, defaults to: + * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake + curerncy. + * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match + stake curerncy. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. """ _asset = asset _timeframe = timeframe _fmt = fmt _ffill = ffill - def decorator(fn: Callable[[Any, DataFrame, dict], DataFrame]): + def decorator(fn: PopulateIndicators): informative_pairs = getattr(fn, '_ft_informative', []) informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) setattr(fn, '_ft_informative', informative_pairs) From dfa61b7ad2297a94b0b26309ca74c64a7c1d08a7 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Tue, 7 Sep 2021 15:40:53 +0300 Subject: [PATCH 04/12] [SQUASH] Fix informatives for each pair not being created because dataprovider was not available. Fix not being able to have informative dataframe of a pair in whitelist. --- docs/strategy-customization.md | 4 +-- freqtrade/freqtradebot.py | 10 ++++--- freqtrade/optimize/backtesting.py | 3 +- freqtrade/optimize/edge_cli.py | 3 ++ freqtrade/strategy/interface.py | 38 +++++++++++++++---------- freqtrade/strategy/strategy_helper.py | 13 ++++----- tests/strategy/test_strategy_helpers.py | 9 +++--- 7 files changed, 47 insertions(+), 33 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index f2bf6cf7c..a994d9acd 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -702,9 +702,9 @@ def informative(timeframe: str, asset: str = '', :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not specified, defaults to: * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake - curerncy. + currency. * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match - stake curerncy. + stake currency. * {column}_{timeframe} if asset is not specified. Format string supports these format variables: * {asset} - full name of the asset, for example 'BTC/USDT'. diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index bdc438c9a..b79916639 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -83,10 +83,12 @@ class FreqtradeBot(LoggingMixin): self.dataprovider = DataProvider(self.config, self.exchange, self.pairlists) - # Attach Dataprovider to Strategy baseclass - IStrategy.dp = self.dataprovider - # Attach Wallets to Strategy baseclass - IStrategy.wallets = self.wallets + # Attach Dataprovider to strategy instance + self.strategy.dp = self.dataprovider + # Attach Wallets to strategy instance + self.strategy.wallets = self.wallets + # Late initialization (may depend on dp/wallets) + self.strategy._initialize() # Initializing Edge only if enabled self.edge = Edge(self.config, self.exchange, self.strategy) if \ diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 3e06bfa1b..ef491ae5e 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -154,11 +154,12 @@ class Backtesting: self.strategy: IStrategy = strategy strategy.dp = self.dataprovider # Attach Wallets to Strategy baseclass - IStrategy.wallets = self.wallets + strategy.wallets = self.wallets # Set stoploss_on_exchange to false for backtesting, # since a "perfect" stoploss-sell is assumed anyway # And the regular "stoploss" function would not apply to that case self.strategy.order_types['stoploss_on_exchange'] = False + strategy._initialize() def _load_protections(self, strategy: IStrategy): if self.config.get('enable_protections', False): diff --git a/freqtrade/optimize/edge_cli.py b/freqtrade/optimize/edge_cli.py index 417faa685..abb5ca635 100644 --- a/freqtrade/optimize/edge_cli.py +++ b/freqtrade/optimize/edge_cli.py @@ -8,6 +8,7 @@ from typing import Any, Dict from freqtrade import constants from freqtrade.configuration import TimeRange, validate_config_consistency +from freqtrade.data.dataprovider import DataProvider from freqtrade.edge import Edge from freqtrade.optimize.optimize_reports import generate_edge_table from freqtrade.resolvers import ExchangeResolver, StrategyResolver @@ -33,6 +34,8 @@ class EdgeCli: self.config['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) self.strategy = StrategyResolver.load_strategy(self.config) + self.strategy.dp = DataProvider(config, None) + self.strategy._initialize() validate_config_consistency(self.config) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 0546deb01..951979212 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -137,9 +137,13 @@ class IStrategy(ABC, HyperStrategyMixin): self._last_candle_seen_per_pair: Dict[str, datetime] = {} super().__init__(config) + def _initialize(self): + """ + Late initialization tasks, which may depend on availability of dataprovider/wallets/etc. + """ # Gather informative pairs from @informative-decorated methods. self._ft_informative: Dict[ - Tuple[str, str], Tuple[InformativeData, PopulateIndicators]] = {} + Tuple[str, str], List[Tuple[InformativeData, PopulateIndicators]]] = {} for attr_name in dir(self.__class__): cls_method = getattr(self.__class__, attr_name) if not callable(cls_method): @@ -158,16 +162,19 @@ class IStrategy(ABC, HyperStrategyMixin): 'strategy timeframe!') if asset: pair = _format_pair_name(self.config, asset) - if (pair, timeframe) in self._ft_informative: - raise OperationalException(f'Informative pair {pair} {timeframe} can not ' - f'be defined more than once!') - self._ft_informative[(pair, timeframe)] = (informative_data, cls_method) - elif self.dp is not None: + try: + self._ft_informative[(pair, timeframe)].append( + (informative_data, cls_method)) + except KeyError: + self._ft_informative[(pair, timeframe)] = [(informative_data, cls_method)] + else: for pair in self.dp.current_whitelist(): - if (pair, timeframe) in self._ft_informative: - raise OperationalException(f'Informative pair {pair} {timeframe} can ' - f'not be defined more than once!') - self._ft_informative[(pair, timeframe)] = (informative_data, cls_method) + try: + self._ft_informative[(pair, timeframe)].append( + (informative_data, cls_method)) + except KeyError: + self._ft_informative[(pair, timeframe)] = \ + [(informative_data, cls_method)] @abstractmethod def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: @@ -838,11 +845,12 @@ class IStrategy(ABC, HyperStrategyMixin): logger.debug(f"Populating indicators for pair {metadata.get('pair')}.") # call populate_indicators_Nm() which were tagged with @informative decorator. - for (pair, timeframe), (informative_data, populate_fn) in self._ft_informative.items(): - if not informative_data.asset and pair != metadata['pair']: - continue - dataframe = _create_and_merge_informative_pair( - self, dataframe, metadata, informative_data, populate_fn) + for (pair, timeframe), informatives in self._ft_informative.items(): + for (informative_data, populate_fn) in informatives: + if not informative_data.asset and pair != metadata['pair']: + continue + dataframe = _create_and_merge_informative_pair( + self, dataframe, metadata, informative_data, populate_fn) if self._populate_fun_len == 2: warnings.warn("deprecated - check out the Sample strategy to see " diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index 64d9bdea8..a4023f953 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -139,9 +139,9 @@ def informative(timeframe: str, asset: str = '', :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not specified, defaults to: * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake - curerncy. + currency. * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match - stake curerncy. + stake currency. * {column}_{timeframe} if asset is not specified. Format string supports these format variables: * {asset} - full name of the asset, for example 'BTC/USDT'. @@ -203,11 +203,10 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. if not fmt: fmt = '{column}_{timeframe}' # Informatives of current pair - if asset != metadata['pair']: - if quote == config['stake_currency']: - fmt = '{base}_' + fmt # Informatives of other pair - else: - fmt = '{base}_{quote}_' + fmt # Informatives of different quote currency + if quote != config['stake_currency']: + fmt = '{quote}_' + fmt # Informatives of different quote currency + if informative_data.asset: + fmt = '{base}_' + fmt # Informatives of other pair inf_metadata = {'pair': asset, 'timeframe': timeframe} inf_dataframe = dp.get_pair_dataframe(asset, timeframe) diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 7784f3f77..0ee554ede 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -155,11 +155,12 @@ def test_informative_decorator(mocker, default_conf): } from .strats.informative_decorator_strategy import InformativeDecoratorTest default_conf['stake_currency'] = 'USDT' - InformativeDecoratorTest.dp = DataProvider({}, None, None) - mocker.patch.object(InformativeDecoratorTest.dp, 'current_whitelist', return_value=[ - 'XRP/USDT', 'LTC/USDT' - ]) strategy = InformativeDecoratorTest(config=default_conf) + strategy.dp = DataProvider({}, None, None) + mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[ + 'XRP/USDT', 'LTC/USDT', 'BTC/USDT' + ]) + strategy._initialize() assert len(strategy._ft_informative) == 8 informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'), From f81df19b934b738bf148f51fdb5a9c7ab1dfb34f Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Tue, 7 Sep 2021 15:53:12 +0300 Subject: [PATCH 05/12] [TMP] Make tests not fail for now. --- freqtrade/strategy/interface.py | 18 ++++++++++-------- 1 file changed, 10 insertions(+), 8 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 951979212..6e312e15d 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -424,7 +424,8 @@ class IStrategy(ABC, HyperStrategyMixin): Internal method which gathers all informative pairs (user or automatically defined). """ informative_pairs = self.informative_pairs() - informative_pairs += list(self._ft_informative.keys()) + if hasattr(self, '_ft_informative'): + informative_pairs += list(self._ft_informative.keys()) return list(set(informative_pairs)) def get_strategy_name(self) -> str: @@ -844,13 +845,14 @@ class IStrategy(ABC, HyperStrategyMixin): """ logger.debug(f"Populating indicators for pair {metadata.get('pair')}.") - # call populate_indicators_Nm() which were tagged with @informative decorator. - for (pair, timeframe), informatives in self._ft_informative.items(): - for (informative_data, populate_fn) in informatives: - if not informative_data.asset and pair != metadata['pair']: - continue - dataframe = _create_and_merge_informative_pair( - self, dataframe, metadata, informative_data, populate_fn) + if hasattr(self, '_ft_informative'): + # call populate_indicators_Nm() which were tagged with @informative decorator. + for (pair, timeframe), informatives in self._ft_informative.items(): + for (informative_data, populate_fn) in informatives: + if not informative_data.asset and pair != metadata['pair']: + continue + dataframe = _create_and_merge_informative_pair( + self, dataframe, metadata, informative_data, populate_fn) if self._populate_fun_len == 2: warnings.warn("deprecated - check out the Sample strategy to see " From 5dc78a0c66f385edd14db16a806e1f75bd453e83 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Fri, 10 Sep 2021 09:36:52 +0300 Subject: [PATCH 06/12] [SQUASH] Get rid of _initialize() and fix informatives for dynamic pairlists. --- freqtrade/freqtradebot.py | 2 - freqtrade/optimize/backtesting.py | 1 - freqtrade/optimize/edge_cli.py | 1 - freqtrade/strategy/interface.py | 56 ++++++++----------------- freqtrade/strategy/strategy_helper.py | 17 ++++---- tests/strategy/test_strategy_helpers.py | 3 +- 6 files changed, 27 insertions(+), 53 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index b79916639..1cb8988ff 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -87,8 +87,6 @@ class FreqtradeBot(LoggingMixin): self.strategy.dp = self.dataprovider # Attach Wallets to strategy instance self.strategy.wallets = self.wallets - # Late initialization (may depend on dp/wallets) - self.strategy._initialize() # Initializing Edge only if enabled self.edge = Edge(self.config, self.exchange, self.strategy) if \ diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index ef491ae5e..79c861ee8 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -159,7 +159,6 @@ class Backtesting: # since a "perfect" stoploss-sell is assumed anyway # And the regular "stoploss" function would not apply to that case self.strategy.order_types['stoploss_on_exchange'] = False - strategy._initialize() def _load_protections(self, strategy: IStrategy): if self.config.get('enable_protections', False): diff --git a/freqtrade/optimize/edge_cli.py b/freqtrade/optimize/edge_cli.py index abb5ca635..f211da750 100644 --- a/freqtrade/optimize/edge_cli.py +++ b/freqtrade/optimize/edge_cli.py @@ -35,7 +35,6 @@ class EdgeCli: self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) self.strategy = StrategyResolver.load_strategy(self.config) self.strategy.dp = DataProvider(config, None) - self.strategy._initialize() validate_config_consistency(self.config) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 6e312e15d..00c56f5df 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -121,7 +121,7 @@ class IStrategy(ABC, HyperStrategyMixin): # Class level variables (intentional) containing # the dataprovider (dp) (access to other candles, historic data, ...) # and wallets - access to the current balance. - dp: Optional[DataProvider] = None + dp: DataProvider wallets: Optional[Wallets] = None # Filled from configuration stake_currency: str @@ -137,44 +137,23 @@ class IStrategy(ABC, HyperStrategyMixin): self._last_candle_seen_per_pair: Dict[str, datetime] = {} super().__init__(config) - def _initialize(self): - """ - Late initialization tasks, which may depend on availability of dataprovider/wallets/etc. - """ # Gather informative pairs from @informative-decorated methods. - self._ft_informative: Dict[ - Tuple[str, str], List[Tuple[InformativeData, PopulateIndicators]]] = {} + self._ft_informative: List[Tuple[InformativeData, PopulateIndicators]] = [] for attr_name in dir(self.__class__): cls_method = getattr(self.__class__, attr_name) if not callable(cls_method): continue - ft_informative = getattr(cls_method, '_ft_informative', None) - if not isinstance(ft_informative, list): + informative_data_list = getattr(cls_method, '_ft_informative', None) + if not isinstance(informative_data_list, list): # Type check is required because mocker would return a mock object that evaluates to # True, confusing this code. continue strategy_timeframe_minutes = timeframe_to_minutes(self.timeframe) - for informative_data in ft_informative: - asset = informative_data.asset - timeframe = informative_data.timeframe - if timeframe_to_minutes(timeframe) < strategy_timeframe_minutes: + for informative_data in informative_data_list: + if timeframe_to_minutes(informative_data.timeframe) < strategy_timeframe_minutes: raise OperationalException('Informative timeframe must be equal or higher than ' 'strategy timeframe!') - if asset: - pair = _format_pair_name(self.config, asset) - try: - self._ft_informative[(pair, timeframe)].append( - (informative_data, cls_method)) - except KeyError: - self._ft_informative[(pair, timeframe)] = [(informative_data, cls_method)] - else: - for pair in self.dp.current_whitelist(): - try: - self._ft_informative[(pair, timeframe)].append( - (informative_data, cls_method)) - except KeyError: - self._ft_informative[(pair, timeframe)] = \ - [(informative_data, cls_method)] + self._ft_informative.append((informative_data, cls_method)) @abstractmethod def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: @@ -424,8 +403,13 @@ class IStrategy(ABC, HyperStrategyMixin): Internal method which gathers all informative pairs (user or automatically defined). """ informative_pairs = self.informative_pairs() - if hasattr(self, '_ft_informative'): - informative_pairs += list(self._ft_informative.keys()) + for inf_data, _ in self._ft_informative: + if inf_data.asset: + pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe) + informative_pairs.append(pair_tf) + else: + for pair in self.dp.current_whitelist(): + informative_pairs.append((pair, inf_data.timeframe)) return list(set(informative_pairs)) def get_strategy_name(self) -> str: @@ -845,14 +829,10 @@ class IStrategy(ABC, HyperStrategyMixin): """ logger.debug(f"Populating indicators for pair {metadata.get('pair')}.") - if hasattr(self, '_ft_informative'): - # call populate_indicators_Nm() which were tagged with @informative decorator. - for (pair, timeframe), informatives in self._ft_informative.items(): - for (informative_data, populate_fn) in informatives: - if not informative_data.asset and pair != metadata['pair']: - continue - dataframe = _create_and_merge_informative_pair( - self, dataframe, metadata, informative_data, populate_fn) + # call populate_indicators_Nm() which were tagged with @informative decorator. + for inf_data, populate_fn in self._ft_informative: + dataframe = _create_and_merge_informative_pair( + self, dataframe, metadata, inf_data, populate_fn) if self._populate_fun_len == 2: warnings.warn("deprecated - check out the Sample strategy to see " diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index a4023f953..15c6d8a69 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -171,14 +171,13 @@ def _format_pair_name(config, pair: str) -> str: stake=config['stake_currency']).upper() -def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, - metadata: dict, informative_data: InformativeData, - populate_indicators: Callable[[Any, DataFrame, dict], - DataFrame]): - asset = informative_data.asset or '' - timeframe = informative_data.timeframe - fmt = informative_data.fmt - ffill = informative_data.ffill +def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, + inf_data: InformativeData, + populate_indicators: PopulateIndicators): + asset = inf_data.asset or '' + timeframe = inf_data.timeframe + fmt = inf_data.fmt + ffill = inf_data.ffill config = strategy.config dp = strategy.dp @@ -205,7 +204,7 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, fmt = '{column}_{timeframe}' # Informatives of current pair if quote != config['stake_currency']: fmt = '{quote}_' + fmt # Informatives of different quote currency - if informative_data.asset: + if inf_data.asset: fmt = '{base}_' + fmt # Informatives of other pair inf_metadata = {'pair': asset, 'timeframe': timeframe} diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 0ee554ede..95ca0416f 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -160,9 +160,8 @@ def test_informative_decorator(mocker, default_conf): mocker.patch.object(strategy.dp, 'current_whitelist', return_value=[ 'XRP/USDT', 'LTC/USDT', 'BTC/USDT' ]) - strategy._initialize() - assert len(strategy._ft_informative) == 8 + assert len(strategy._ft_informative) == 6 # Equal to number of decorators used informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'), ('LTC/USDT', '30m'), ('BTC/USDT', '1h'), ('BTC/USDT', '30m'), ('BTC/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')] From bb6ae682fc7d82175196741e31723c5f797ffd2f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 12 Sep 2021 09:59:10 +0200 Subject: [PATCH 07/12] Small simplifications --- docs/strategy-customization.md | 2 +- freqtrade/strategy/strategy_helper.py | 6 ++---- 2 files changed, 3 insertions(+), 5 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index a994d9acd..800dd9326 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -783,7 +783,7 @@ for more information. Do not use `@informative` decorator if you need to use data of one informative pair when generating another informative pair. Instead, define informative pairs manually as described [in the DataProvider section](#complete-data-provider-sample). -!!! Warning +!!! Warning "Duplicate method names" Methods tagged with `@informative()` decorator must always have unique names! Re-using same name (for example when copy-pasting already defined informative method) will overwrite previously defined method and not produce any errors due to limitations of Python programming language. In such cases you will find that indicators created in earlier-defined methods are not available in the dataframe. Carefully review method names and make sure they are unique! diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index 15c6d8a69..746d656df 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -177,9 +177,7 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: asset = inf_data.asset or '' timeframe = inf_data.timeframe fmt = inf_data.fmt - ffill = inf_data.ffill config = strategy.config - dp = strategy.dp if asset: # Insert stake currency if needed. @@ -208,7 +206,7 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: fmt = '{base}_' + fmt # Informatives of other pair inf_metadata = {'pair': asset, 'timeframe': timeframe} - inf_dataframe = dp.get_pair_dataframe(asset, timeframe) + inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) formatter: Any = None @@ -233,6 +231,6 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: raise OperationalException(f'Duplicate column name {date_column} exists in ' f'dataframe! Ensure column names are unique!') dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, - ffill=ffill, append_timeframe=False, + ffill=inf_data.ffill, append_timeframe=False, date_column=date_column) return dataframe From e88c4701bb2c321ed7cd5d6fed7fa6db6f4f41f6 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 12 Sep 2021 18:26:41 +0300 Subject: [PATCH 08/12] [SQUASH] Address PR comments. --- docs/strategy-customization.md | 19 ++- freqtrade/strategy/__init__.py | 5 +- freqtrade/strategy/informative_decorator.py | 134 ++++++++++++++++++++ freqtrade/strategy/interface.py | 11 +- freqtrade/strategy/strategy_helper.py | 132 ------------------- 5 files changed, 152 insertions(+), 149 deletions(-) create mode 100644 freqtrade/strategy/informative_decorator.py diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 800dd9326..671768bfa 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -652,9 +652,7 @@ In some situations it may be confusing to deal with stops relative to current ra ??? Example "Returning a stoploss using absolute price from the custom stoploss function" - Say the open price was $100, and `current_price` is $121 (`current_profit` will be `0.21`). - - If we want a stop price at $107 price we can call `stoploss_from_absolute(107, current_rate)` which will return `0.1157024793`. 11.57% below $121 is $107, which is the same as 7% above $100. + If we want to trail a stop price at 2xATR below current proce we can call `stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate)`. ``` python @@ -664,18 +662,17 @@ In some situations it may be confusing to deal with stops relative to current ra class AwesomeStrategy(IStrategy): - # ... populate_* methods - use_custom_stoploss = True + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['atr'] = ta.ATR(dataframe, timeperiod=14) + return dataframe + def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: - - # once the profit has risen above 10%, keep the stoploss at 7% above the open price - if current_profit > 0.10: - return stoploss_from_absolute(trade.open_rate * 1.07, current_rate) - - return 1 + dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) + candle = dataframe.iloc[-1].squeeze() + return stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate) ``` diff --git a/freqtrade/strategy/__init__.py b/freqtrade/strategy/__init__.py index a7de34916..2ea0ad2b4 100644 --- a/freqtrade/strategy/__init__.py +++ b/freqtrade/strategy/__init__.py @@ -3,6 +3,7 @@ from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timefr timeframe_to_prev_date, timeframe_to_seconds) from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter, IntParameter, RealParameter) +from freqtrade.strategy.informative_decorator import informative from freqtrade.strategy.interface import IStrategy -from freqtrade.strategy.strategy_helper import (informative, merge_informative_pair, - stoploss_from_absolute, stoploss_from_open) +from freqtrade.strategy.strategy_helper import (merge_informative_pair, stoploss_from_absolute, + stoploss_from_open) diff --git a/freqtrade/strategy/informative_decorator.py b/freqtrade/strategy/informative_decorator.py new file mode 100644 index 000000000..f09e634b0 --- /dev/null +++ b/freqtrade/strategy/informative_decorator.py @@ -0,0 +1,134 @@ +from typing import Any, Callable, NamedTuple, Optional, Union + +from mypy_extensions import KwArg +from pandas import DataFrame + +from freqtrade.exceptions import OperationalException +from freqtrade.strategy.strategy_helper import merge_informative_pair + + +PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] + + +class InformativeData(NamedTuple): + asset: Optional[str] + timeframe: str + fmt: Union[str, Callable[[KwArg(str)], str], None] + ffill: bool + + +def informative(timeframe: str, asset: str = '', + fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, + ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: + """ + A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to + define informative indicators. + + Example usage: + + @informative('1h') + def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) + return dataframe + + :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. + :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use + current pair. + :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not + specified, defaults to: + * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake + currency. + * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match + stake currency. + * {column}_{timeframe} if asset is not specified. + Format string supports these format variables: + * {asset} - full name of the asset, for example 'BTC/USDT'. + * {base} - base currency in lower case, for example 'eth'. + * {BASE} - same as {base}, except in upper case. + * {quote} - quote currency in lower case, for example 'usdt'. + * {QUOTE} - same as {quote}, except in upper case. + * {column} - name of dataframe column. + * {timeframe} - timeframe of informative dataframe. + :param ffill: ffill dataframe after merging informative pair. + """ + _asset = asset + _timeframe = timeframe + _fmt = fmt + _ffill = ffill + + def decorator(fn: PopulateIndicators): + informative_pairs = getattr(fn, '_ft_informative', []) + informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) + setattr(fn, '_ft_informative', informative_pairs) + return fn + return decorator + + +def _format_pair_name(config, pair: str) -> str: + return pair.format(stake_currency=config['stake_currency'], + stake=config['stake_currency']).upper() + + +def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, + inf_data: InformativeData, + populate_indicators: PopulateIndicators): + asset = inf_data.asset or '' + timeframe = inf_data.timeframe + fmt = inf_data.fmt + config = strategy.config + + if asset: + # Insert stake currency if needed. + asset = _format_pair_name(config, asset) + else: + # Not specifying an asset will define informative dataframe for current pair. + asset = metadata['pair'] + + if '/' in asset: + base, quote = asset.split('/') + else: + # When futures are supported this may need reevaluation. + # base, quote = asset, None + raise OperationalException('Not implemented.') + + # Default format. This optimizes for the common case: informative pairs using same stake + # currency. When quote currency matches stake currency, column name will omit base currency. + # This allows easily reconfiguring strategy to use different base currency. In a rare case + # where it is desired to keep quote currency in column name at all times user should specify + # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. + if not fmt: + fmt = '{column}_{timeframe}' # Informatives of current pair + if quote != config['stake_currency']: + fmt = '{quote}_' + fmt # Informatives of different quote currency + if inf_data.asset: + fmt = '{base}_' + fmt # Informatives of other pair + + inf_metadata = {'pair': asset, 'timeframe': timeframe} + inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) + inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) + + formatter: Any = None + if callable(fmt): + formatter = fmt # A custom user-specified formatter function. + else: + formatter = fmt.format # A default string formatter. + + fmt_args = { + 'BASE': base.upper(), + 'QUOTE': quote.upper(), + 'base': base.lower(), + 'quote': quote.lower(), + 'asset': asset, + 'timeframe': timeframe, + } + inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), + inplace=True) + + date_column = formatter(column='date', **fmt_args) + if date_column in dataframe.columns: + raise OperationalException(f'Duplicate column name {date_column} exists in ' + f'dataframe! Ensure column names are unique!') + dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, + ffill=inf_data.ffill, append_timeframe=False, + date_column=date_column) + return dataframe diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 00c56f5df..7420bd9fd 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -19,9 +19,9 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds from freqtrade.exchange.exchange import timeframe_to_next_date from freqtrade.persistence import PairLocks, Trade from freqtrade.strategy.hyper import HyperStrategyMixin -from freqtrade.strategy.strategy_helper import (InformativeData, PopulateIndicators, - _create_and_merge_informative_pair, - _format_pair_name) +from freqtrade.strategy.informative_decorator import (InformativeData, PopulateIndicators, + _create_and_merge_informative_pair, + _format_pair_name) from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.wallets import Wallets @@ -121,7 +121,7 @@ class IStrategy(ABC, HyperStrategyMixin): # Class level variables (intentional) containing # the dataprovider (dp) (access to other candles, historic data, ...) # and wallets - access to the current balance. - dp: DataProvider + dp: Optional[DataProvider] wallets: Optional[Wallets] = None # Filled from configuration stake_currency: str @@ -408,6 +408,9 @@ class IStrategy(ABC, HyperStrategyMixin): pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe) informative_pairs.append(pair_tf) else: + if not self.dp: + raise OperationalException('@informative decorator with unspecified asset ' + 'requires DataProvider instance.') for pair in self.dp.current_whitelist(): informative_pairs.append((pair, inf_data.timeframe)) return list(set(informative_pairs)) diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index 746d656df..f813b39c5 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -1,23 +1,8 @@ -from typing import Any, Callable, NamedTuple, Optional, Union - import pandas as pd -from mypy_extensions import KwArg -from pandas import DataFrame -from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes -PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] - - -class InformativeData(NamedTuple): - asset: Optional[str] - timeframe: str - fmt: Union[str, Callable[[KwArg(str)], str], None] - ffill: bool - - def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, timeframe: str, timeframe_inf: str, ffill: bool = True, append_timeframe: bool = True, @@ -117,120 +102,3 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: :return: Positive stop loss value relative to current price """ return 1 - (stop_rate / current_rate) - - -def informative(timeframe: str, asset: str = '', - fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, - ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: - """ - A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to - define informative indicators. - - Example usage: - - @informative('1h') - def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) - return dataframe - - :param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe. - :param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use - current pair. - :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not - specified, defaults to: - * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake - currency. - * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match - stake currency. - * {column}_{timeframe} if asset is not specified. - Format string supports these format variables: - * {asset} - full name of the asset, for example 'BTC/USDT'. - * {base} - base currency in lower case, for example 'eth'. - * {BASE} - same as {base}, except in upper case. - * {quote} - quote currency in lower case, for example 'usdt'. - * {QUOTE} - same as {quote}, except in upper case. - * {column} - name of dataframe column. - * {timeframe} - timeframe of informative dataframe. - :param ffill: ffill dataframe after merging informative pair. - """ - _asset = asset - _timeframe = timeframe - _fmt = fmt - _ffill = ffill - - def decorator(fn: PopulateIndicators): - informative_pairs = getattr(fn, '_ft_informative', []) - informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) - setattr(fn, '_ft_informative', informative_pairs) - return fn - return decorator - - -def _format_pair_name(config, pair: str) -> str: - return pair.format(stake_currency=config['stake_currency'], - stake=config['stake_currency']).upper() - - -def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, - inf_data: InformativeData, - populate_indicators: PopulateIndicators): - asset = inf_data.asset or '' - timeframe = inf_data.timeframe - fmt = inf_data.fmt - config = strategy.config - - if asset: - # Insert stake currency if needed. - asset = _format_pair_name(config, asset) - else: - # Not specifying an asset will define informative dataframe for current pair. - asset = metadata['pair'] - - if '/' in asset: - base, quote = asset.split('/') - else: - # When futures are supported this may need reevaluation. - # base, quote = asset, None - raise OperationalException('Not implemented.') - - # Default format. This optimizes for the common case: informative pairs using same stake - # currency. When quote currency matches stake currency, column name will omit base currency. - # This allows easily reconfiguring strategy to use different base currency. In a rare case - # where it is desired to keep quote currency in column name at all times user should specify - # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. - if not fmt: - fmt = '{column}_{timeframe}' # Informatives of current pair - if quote != config['stake_currency']: - fmt = '{quote}_' + fmt # Informatives of different quote currency - if inf_data.asset: - fmt = '{base}_' + fmt # Informatives of other pair - - inf_metadata = {'pair': asset, 'timeframe': timeframe} - inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) - inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) - - formatter: Any = None - if callable(fmt): - formatter = fmt # A custom user-specified formatter function. - else: - formatter = fmt.format # A default string formatter. - - fmt_args = { - 'BASE': base.upper(), - 'QUOTE': quote.upper(), - 'base': base.lower(), - 'quote': quote.lower(), - 'asset': asset, - 'timeframe': timeframe, - } - inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), - inplace=True) - - date_column = formatter(column='date', **fmt_args) - if date_column in dataframe.columns: - raise OperationalException(f'Duplicate column name {date_column} exists in ' - f'dataframe! Ensure column names are unique!') - dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, - ffill=inf_data.ffill, append_timeframe=False, - date_column=date_column) - return dataframe From 7e6aa9390ae9c970f8b22afb591161492f833807 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 18 Sep 2021 10:17:50 +0300 Subject: [PATCH 09/12] [SQUASH] Unconditionally include quote currency when asset is explicitly specified. Added docs suggesting to use string formatting to make strategy independent of configured stake currency. --- docs/strategy-customization.md | 26 +++++++++++++++++---- freqtrade/strategy/informative_decorator.py | 11 +++------ tests/strategy/test_strategy_helpers.py | 2 +- 3 files changed, 25 insertions(+), 14 deletions(-) diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 671768bfa..2b22dd274 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -698,10 +698,7 @@ def informative(timeframe: str, asset: str = '', current pair. :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not specified, defaults to: - * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake - currency. - * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match - stake currency. + * {base}_{quote}_{column}_{timeframe} if asset is specified. * {column}_{timeframe} if asset is not specified. Format string supports these format variables: * {asset} - full name of the asset, for example 'BTC/USDT'. @@ -746,7 +743,7 @@ for more information. # Define BTC/STAKE informative pair. Available in populate_indicators and other methods as # 'btc_rsi_1h'. Current stake currency should be specified as {stake} format variable # instead of hardcoding actual stake currency. Available in populate_indicators and other - # methods as 'btc_rsi_1h'. + # methods as 'btc_usdt_rsi_1h' (when stake currency is USDT). @informative('1h', 'BTC/{stake}') def populate_indicators_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) @@ -780,6 +777,25 @@ for more information. Do not use `@informative` decorator if you need to use data of one informative pair when generating another informative pair. Instead, define informative pairs manually as described [in the DataProvider section](#complete-data-provider-sample). +!!! Note + Use string formatting when accessing informative dataframes of other pairs. This will allow easily changing stake currency in config without having to adjust strategy code. + + ``` python + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + stake = self.config['stake_currency'] + dataframe.loc[ + ( + (dataframe[f'btc_{stake}_rsi_1h'] < 35) + & + (dataframe['volume'] > 0) + ), + ['buy', 'buy_tag']] = (1, 'buy_signal_rsi') + + return dataframe + ``` + + Alternatively column renaming may be used to remove stake currency from column names: `@informative('1h', 'BTC/{stake}', fmt='{base}_{column}_{timeframe}')`. + !!! Warning "Duplicate method names" Methods tagged with `@informative()` decorator must always have unique names! Re-using same name (for example when copy-pasting already defined informative method) will overwrite previously defined method and not produce any errors due to limitations of Python programming language. In such cases you will find that indicators diff --git a/freqtrade/strategy/informative_decorator.py b/freqtrade/strategy/informative_decorator.py index f09e634b0..c8ebf5989 100644 --- a/freqtrade/strategy/informative_decorator.py +++ b/freqtrade/strategy/informative_decorator.py @@ -36,10 +36,7 @@ def informative(timeframe: str, asset: str = '', current pair. :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not specified, defaults to: - * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake - currency. - * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match - stake currency. + * {base}_{quote}_{column}_{timeframe} if asset is specified. * {column}_{timeframe} if asset is not specified. Format string supports these format variables: * {asset} - full name of the asset, for example 'BTC/USDT'. @@ -88,7 +85,7 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: base, quote = asset.split('/') else: # When futures are supported this may need reevaluation. - # base, quote = asset, None + # base, quote = asset, '' raise OperationalException('Not implemented.') # Default format. This optimizes for the common case: informative pairs using same stake @@ -98,10 +95,8 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. if not fmt: fmt = '{column}_{timeframe}' # Informatives of current pair - if quote != config['stake_currency']: - fmt = '{quote}_' + fmt # Informatives of different quote currency if inf_data.asset: - fmt = '{base}_' + fmt # Informatives of other pair + fmt = '{base}_{quote}_' + fmt # Informatives of other pairs inf_metadata = {'pair': asset, 'timeframe': timeframe} inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe) diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 95ca0416f..d4206ba8c 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -177,7 +177,7 @@ def test_informative_decorator(mocker, default_conf): {p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')}) expected_columns = [ 'rsi_1h', 'rsi_30m', # Stacked informative decorators - 'btc_rsi_1h', # BTC 1h informative + 'btc_usdt_rsi_1h', # BTC 1h informative 'rsi_BTC_USDT_btc_usdt_BTC/USDT_30m', # Column formatting 'rsi_from_callable', # Custom column formatter 'eth_btc_rsi_1h', # Quote currency not matching stake currency From e4ca42faec580a3c336298d42402fec0d8e56f93 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 18 Sep 2021 10:18:33 +0300 Subject: [PATCH 10/12] [SQUASH] Update stoploss_from_absolute to behave more like stoploss_from_open and add a test for it. --- freqtrade/strategy/strategy_helper.py | 16 +++++++++++++++- tests/strategy/test_strategy_helpers.py | 11 ++++++++++- 2 files changed, 25 insertions(+), 2 deletions(-) diff --git a/freqtrade/strategy/strategy_helper.py b/freqtrade/strategy/strategy_helper.py index f813b39c5..175bcaccb 100644 --- a/freqtrade/strategy/strategy_helper.py +++ b/freqtrade/strategy/strategy_helper.py @@ -97,8 +97,22 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: """ Given current price and desired stop price, return a stop loss value that is relative to current price. + + The requested stop can be positive for a stop above the open price, or negative for + a stop below the open price. The return value is always >= 0. + + Returns 0 if the resulting stop price would be above the current price. + :param stop_rate: Stop loss price. :param current_rate: Current asset price. :return: Positive stop loss value relative to current price """ - return 1 - (stop_rate / current_rate) + + # formula is undefined for current_rate 0, return maximum value + if current_rate == 0: + return 1 + + stoploss = 1 - (stop_rate / current_rate) + + # negative stoploss values indicate the requested stop price is higher than the current price + return max(stoploss, 0.0) diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index d4206ba8c..9132382fa 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -5,7 +5,8 @@ import pandas as pd import pytest from freqtrade.data.dataprovider import DataProvider -from freqtrade.strategy import merge_informative_pair, stoploss_from_open, timeframe_to_minutes +from freqtrade.strategy import (merge_informative_pair, stoploss_from_open, timeframe_to_minutes, + stoploss_from_absolute) def generate_test_data(timeframe: str, size: int): @@ -135,6 +136,14 @@ def test_stoploss_from_open(): assert isclose(stop_price, expected_stop_price, rel_tol=0.00001) +def test_stoploss_from_absolute(): + assert stoploss_from_absolute(90, 100) == 1 - (90 / 100) + assert stoploss_from_absolute(100, 100) == 0 + assert stoploss_from_absolute(110, 100) == 0 + assert stoploss_from_absolute(100, 0) == 1 + assert stoploss_from_absolute(0, 100) == 1 + + def test_informative_decorator(mocker, default_conf): test_data_5m = generate_test_data('5m', 40) test_data_30m = generate_test_data('30m', 40) From 713e7819f7e534a36984f9f4c76a11bbfd948896 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 18 Sep 2021 15:27:58 +0300 Subject: [PATCH 11/12] [SQUASH] Remove mypy import. --- freqtrade/strategy/informative_decorator.py | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) diff --git a/freqtrade/strategy/informative_decorator.py b/freqtrade/strategy/informative_decorator.py index c8ebf5989..4c5f21108 100644 --- a/freqtrade/strategy/informative_decorator.py +++ b/freqtrade/strategy/informative_decorator.py @@ -1,6 +1,5 @@ from typing import Any, Callable, NamedTuple, Optional, Union -from mypy_extensions import KwArg from pandas import DataFrame from freqtrade.exceptions import OperationalException @@ -13,12 +12,12 @@ PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] class InformativeData(NamedTuple): asset: Optional[str] timeframe: str - fmt: Union[str, Callable[[KwArg(str)], str], None] + fmt: Union[str, Callable[[Any], str], None] ffill: bool def informative(timeframe: str, asset: str = '', - fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, + fmt: Optional[Union[str, Callable[[Any], str]]] = None, ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: """ A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to From eab7f8f6944e77fa7ae69bf99fe885aa76aea5a5 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 18 Sep 2021 15:44:21 +0300 Subject: [PATCH 12/12] [SQUASH] Doh. --- tests/strategy/test_strategy_helpers.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/tests/strategy/test_strategy_helpers.py b/tests/strategy/test_strategy_helpers.py index 9132382fa..a01b55050 100644 --- a/tests/strategy/test_strategy_helpers.py +++ b/tests/strategy/test_strategy_helpers.py @@ -5,8 +5,8 @@ import pandas as pd import pytest from freqtrade.data.dataprovider import DataProvider -from freqtrade.strategy import (merge_informative_pair, stoploss_from_open, timeframe_to_minutes, - stoploss_from_absolute) +from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open, + timeframe_to_minutes) def generate_test_data(timeframe: str, size: int):