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Merge pull request #9369 from freqtrade/feat/informative_base

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informative assets -> {base}
pull/9375/head
Matthias 3 years ago committed by GitHub
parent 05ef4f9b6f 61ed6aee62
commit e4186cde9e
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5 changed files with 59 additions and 25 deletions
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9
docs/strategy-customization.md
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@ -486,17 +486,18 @@ for more information.
: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.
current pair. Also supports limited pair format strings (see below)
:param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not
specified, defaults to:
* {base}_{quote}_{column}_{timeframe} if asset is specified.
* {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'.
Pair format supports these format variables:
* {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.
Format string additionally supports this variables.
* {asset} - full name of the asset, for example 'BTC/USDT'.
* {column} - name of dataframe column.
* {timeframe} - timeframe of informative dataframe.
:param ffill: ffill dataframe after merging informative pair.

41
freqtrade/strategy/informative_decorator.py
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@ -1,5 +1,5 @@
from dataclasses import dataclass
from typing import Any, Callable, Optional, Union
from typing import Any, Callable, Dict, Optional, Union
from pandas import DataFrame
@ -38,17 +38,18 @@ def informative(timeframe: str, asset: str = '',
: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.
current pair. Also supports limited pair format strings (see below)
:param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not
specified, defaults to:
* {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'.
Pair format supports these format variables:
* {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.
Format string additionally supports this variables.
* {asset} - full name of the asset, for example 'BTC/USDT'.
* {column} - name of dataframe column.
* {timeframe} - timeframe of informative dataframe.
:param ffill: ffill dataframe after merging informative pair.
@ -68,9 +69,25 @@ def informative(timeframe: str, asset: str = '',
return decorator
def _format_pair_name(config, pair: str) -> str:
return pair.format(stake_currency=config['stake_currency'],
stake=config['stake_currency']).upper()
def __get_pair_formats(market: Optional[Dict[str, Any]]) -> Dict[str, str]:
if not market:
return {}
base = market['base']
quote = market['quote']
return {
'base': base.lower(),
'BASE': base.upper(),
'quote': quote.lower(),
'QUOTE': quote.upper(),
}
def _format_pair_name(config, pair: str, market: Optional[Dict[str, Any]] = None) -> str:
return pair.format(
stake_currency=config['stake_currency'],
stake=config['stake_currency'],
**__get_pair_formats(market),
).upper()
def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict,
@ -85,7 +102,8 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata:
if asset:
# Insert stake currency if needed.
asset = _format_pair_name(config, asset)
market1 = strategy.dp.market(metadata['pair'])
asset = _format_pair_name(config, asset, market1)
else:
# Not specifying an asset will define informative dataframe for current pair.
asset = metadata['pair']
@ -93,8 +111,6 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata:
market = strategy.dp.market(asset)
if market is None:
raise OperationalException(f'Market {asset} is not available.')
base = market['base']
quote = market['quote']
# 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.
@ -117,10 +133,7 @@ def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata:
formatter = fmt.format # A default string formatter.
fmt_args = {
'BASE': base.upper(),
'QUOTE': quote.upper(),
'base': base.lower(),
'quote': quote.lower(),
**__get_pair_formats(market),
'asset': asset,
'timeframe': timeframe,
}

23
freqtrade/strategy/interface.py
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@ -756,12 +756,23 @@ class IStrategy(ABC, HyperStrategyMixin):
candle_type = (inf_data.candle_type if inf_data.candle_type
else self.config.get('candle_type_def', CandleType.SPOT))
if inf_data.asset:
pair_tf = (
_format_pair_name(self.config, inf_data.asset),
inf_data.timeframe,
candle_type,
)
informative_pairs.append(pair_tf)
if any(s in inf_data.asset for s in ("{BASE}", "{base}")):
for pair in self.dp.current_whitelist():
pair_tf = (
_format_pair_name(self.config, inf_data.asset, self.dp.market(pair)),
inf_data.timeframe,
candle_type,
)
informative_pairs.append(pair_tf)
else:
pair_tf = (
_format_pair_name(self.config, inf_data.asset),
inf_data.timeframe,
candle_type,
)
informative_pairs.append(pair_tf)
else:
for pair in self.dp.current_whitelist():
informative_pairs.append((pair, inf_data.timeframe, candle_type))

5
tests/strategy/strats/informative_decorator_strategy.py
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@ -47,6 +47,11 @@ class InformativeDecoratorTest(IStrategy):
dataframe['rsi'] = 14
return dataframe
@informative('1h', '{base}/BTC')
def populate_indicators_base_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe['rsi'] = 14
return dataframe
# Quote currency different from stake currency test.
@informative('1h', 'ETH/BTC', candle_type='spot')
def populate_indicators_eth_btc_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

6
tests/strategy/test_strategy_helpers.py
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@ -277,9 +277,11 @@ def test_informative_decorator(mocker, default_conf_usdt, trading_mode):
('XRP/USDT', '5m', candle_def): test_data_5m,
('XRP/USDT', '30m', candle_def): test_data_30m,
('XRP/USDT', '1h', candle_def): test_data_1h,
('XRP/BTC', '1h', candle_def): test_data_1h, # from {base}/BTC
('LTC/USDT', '5m', candle_def): test_data_5m,
('LTC/USDT', '30m', candle_def): test_data_30m,
('LTC/USDT', '1h', candle_def): test_data_1h,
('LTC/BTC', '1h', candle_def): test_data_1h, # from {base}/BTC
('NEO/USDT', '30m', candle_def): test_data_30m,
('NEO/USDT', '5m', CandleType.SPOT): test_data_5m, # Explicit request with '' as candletype
('NEO/USDT', '15m', candle_def): test_data_5m, # Explicit request with '' as candletype
@ -296,10 +298,12 @@ def test_informative_decorator(mocker, default_conf_usdt, trading_mode):
'XRP/USDT', 'LTC/USDT', 'NEO/USDT'
])
assert len(strategy._ft_informative) == 6 # Equal to number of decorators used
assert len(strategy._ft_informative) == 7 # Equal to number of decorators used
informative_pairs = [
('XRP/USDT', '1h', candle_def),
('XRP/BTC', '1h', candle_def),
('LTC/USDT', '1h', candle_def),
('LTC/BTC', '1h', candle_def),
('XRP/USDT', '30m', candle_def),
('LTC/USDT', '30m', candle_def),
('NEO/USDT', '1h', candle_def),

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