freqtrade_origin/freqtrade/rpc/api_server/api_backtest.py

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import asyncio
import logging
from copy import deepcopy
from datetime import datetime
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from pathlib import Path
from typing import Any, Dict, List
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from fastapi import APIRouter, BackgroundTasks, Depends
from fastapi.exceptions import HTTPException
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from freqtrade.configuration.config_validation import validate_config_consistency
from freqtrade.constants import Config
from freqtrade.data.btanalysis import (delete_backtest_result, get_backtest_resultlist,
load_and_merge_backtest_result)
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from freqtrade.enums import BacktestState
from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.exchange.common import remove_exchange_credentials
from freqtrade.misc import deep_merge_dicts, is_file_in_dir
from freqtrade.rpc.api_server.api_schemas import (BacktestHistoryEntry, BacktestRequest,
BacktestResponse)
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from freqtrade.rpc.api_server.deps import get_config
from freqtrade.rpc.api_server.webserver_bgwork import ApiBG
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from freqtrade.rpc.rpc import RPCException
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from freqtrade.types import get_BacktestResultType_default
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logger = logging.getLogger(__name__)
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# Private API, protected by authentication and webserver_mode dependency
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router = APIRouter()
def __run_backtest_bg(btconfig: Config):
from freqtrade.optimize.optimize_reports import generate_backtest_stats, store_backtest_stats
from freqtrade.resolvers import StrategyResolver
asyncio.set_event_loop(asyncio.new_event_loop())
try:
# Reload strategy
lastconfig = ApiBG.bt['last_config']
strat = StrategyResolver.load_strategy(btconfig)
validate_config_consistency(btconfig)
if (
not ApiBG.bt['bt']
or lastconfig.get('timeframe') != strat.timeframe
or lastconfig.get('timeframe_detail') != btconfig.get('timeframe_detail')
or lastconfig.get('timerange') != btconfig['timerange']
):
from freqtrade.optimize.backtesting import Backtesting
ApiBG.bt['bt'] = Backtesting(btconfig)
ApiBG.bt['bt'].load_bt_data_detail()
else:
ApiBG.bt['bt'].config = btconfig
ApiBG.bt['bt'].init_backtest()
# Only reload data if timeframe changed.
if (
not ApiBG.bt['data']
or not ApiBG.bt['timerange']
or lastconfig.get('timeframe') != strat.timeframe
or lastconfig.get('timerange') != btconfig['timerange']
):
ApiBG.bt['data'], ApiBG.bt['timerange'] = ApiBG.bt[
'bt'].load_bt_data()
lastconfig['timerange'] = btconfig['timerange']
lastconfig['timeframe'] = strat.timeframe
lastconfig['protections'] = btconfig.get('protections', [])
lastconfig['enable_protections'] = btconfig.get('enable_protections')
lastconfig['dry_run_wallet'] = btconfig.get('dry_run_wallet')
ApiBG.bt['bt'].enable_protections = btconfig.get('enable_protections', False)
ApiBG.bt['bt'].strategylist = [strat]
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ApiBG.bt['bt'].results = get_BacktestResultType_default()
ApiBG.bt['bt'].load_prior_backtest()
ApiBG.bt['bt'].abort = False
if (ApiBG.bt['bt'].results and
strat.get_strategy_name() in ApiBG.bt['bt'].results['strategy']):
# When previous result hash matches - reuse that result and skip backtesting.
logger.info(f'Reusing result of previous backtest for {strat.get_strategy_name()}')
else:
min_date, max_date = ApiBG.bt['bt'].backtest_one_strategy(
strat, ApiBG.bt['data'], ApiBG.bt['timerange'])
ApiBG.bt['bt'].results = generate_backtest_stats(
ApiBG.bt['data'], ApiBG.bt['bt'].all_results,
min_date=min_date, max_date=max_date)
if btconfig.get('export', 'none') == 'trades':
store_backtest_stats(
btconfig['exportfilename'], ApiBG.bt['bt'].results,
datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
)
logger.info("Backtest finished.")
except (Exception, OperationalException, DependencyException) as e:
logger.exception(f"Backtesting caused an error: {e}")
ApiBG.bt['bt_error'] = str(e)
pass
finally:
ApiBG.bgtask_running = False
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@router.post('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest'])
async def api_start_backtest(
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bt_settings: BacktestRequest, background_tasks: BackgroundTasks,
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config=Depends(get_config)):
ApiBG.bt['bt_error'] = None
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"""Start backtesting if not done so already"""
if ApiBG.bgtask_running:
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raise RPCException('Bot Background task already running')
if ':' in bt_settings.strategy:
raise HTTPException(status_code=500, detail="base64 encoded strategies are not allowed.")
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btconfig = deepcopy(config)
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remove_exchange_credentials(btconfig['exchange'], True)
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settings = dict(bt_settings)
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if settings.get('freqai', None) is not None:
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settings['freqai'] = dict(settings['freqai'])
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# Pydantic models will contain all keys, but non-provided ones are None
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btconfig = deep_merge_dicts(settings, btconfig, allow_null_overrides=False)
try:
btconfig['stake_amount'] = float(btconfig['stake_amount'])
except ValueError:
pass
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# Force dry-run for backtesting
btconfig['dry_run'] = True
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# Start backtesting
# Initialize backtesting object
background_tasks.add_task(__run_backtest_bg, btconfig=btconfig)
ApiBG.bgtask_running = True
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return {
"status": "running",
"running": True,
"progress": 0,
"step": str(BacktestState.STARTUP),
"status_msg": "Backtest started",
}
@router.get('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest'])
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def api_get_backtest():
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"""
Get backtesting result.
Returns Result after backtesting has been ran.
"""
from freqtrade.persistence import LocalTrade
if ApiBG.bgtask_running:
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return {
"status": "running",
"running": True,
"step": (ApiBG.bt['bt'].progress.action if ApiBG.bt['bt']
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else str(BacktestState.STARTUP)),
"progress": ApiBG.bt['bt'].progress.progress if ApiBG.bt['bt'] else 0,
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"trade_count": len(LocalTrade.trades),
"status_msg": "Backtest running",
}
if not ApiBG.bt['bt']:
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return {
"status": "not_started",
"running": False,
"step": "",
"progress": 0,
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"status_msg": "Backtest not yet executed"
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}
if ApiBG.bt['bt_error']:
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return {
"status": "error",
"running": False,
"step": "",
"progress": 0,
"status_msg": f"Backtest failed with {ApiBG.bt['bt_error']}"
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}
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return {
"status": "ended",
"running": False,
"status_msg": "Backtest ended",
"step": "finished",
"progress": 1,
"backtest_result": ApiBG.bt['bt'].results,
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}
@router.delete('/backtest', response_model=BacktestResponse, tags=['webserver', 'backtest'])
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def api_delete_backtest():
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"""Reset backtesting"""
if ApiBG.bgtask_running:
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return {
"status": "running",
"running": True,
"step": "",
"progress": 0,
"status_msg": "Backtest running",
}
if ApiBG.bt['bt']:
ApiBG.bt['bt'].cleanup()
del ApiBG.bt['bt']
ApiBG.bt['bt'] = None
del ApiBG.bt['data']
ApiBG.bt['data'] = None
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logger.info("Backtesting reset")
return {
"status": "reset",
"running": False,
"step": "",
"progress": 0,
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"status_msg": "Backtest reset",
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}
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@router.get('/backtest/abort', response_model=BacktestResponse, tags=['webserver', 'backtest'])
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def api_backtest_abort():
if not ApiBG.bgtask_running:
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return {
"status": "not_running",
"running": False,
"step": "",
"progress": 0,
"status_msg": "Backtest ended",
}
ApiBG.bt['bt'].abort = True
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return {
"status": "stopping",
"running": False,
"step": "",
"progress": 0,
"status_msg": "Backtest ended",
}
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@router.get('/backtest/history', response_model=List[BacktestHistoryEntry],
tags=['webserver', 'backtest'])
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def api_backtest_history(config=Depends(get_config)):
# Get backtest result history, read from metadata files
return get_backtest_resultlist(config['user_data_dir'] / 'backtest_results')
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@router.get('/backtest/history/result', response_model=BacktestResponse,
tags=['webserver', 'backtest'])
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def api_backtest_history_result(filename: str, strategy: str, config=Depends(get_config)):
# Get backtest result history, read from metadata files
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bt_results_base: Path = config['user_data_dir'] / 'backtest_results'
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fn = (bt_results_base / filename).with_suffix('.json')
results: Dict[str, Any] = {
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'metadata': {},
'strategy': {},
'strategy_comparison': [],
}
if not is_file_in_dir(fn, bt_results_base):
raise HTTPException(status_code=404, detail="File not found.")
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load_and_merge_backtest_result(strategy, fn, results)
return {
"status": "ended",
"running": False,
"step": "",
"progress": 1,
"status_msg": "Historic result",
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"backtest_result": results,
}
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@router.delete('/backtest/history/{file}', response_model=List[BacktestHistoryEntry],
tags=['webserver', 'backtest'])
def api_delete_backtest_history_entry(file: str, config=Depends(get_config)):
# Get backtest result history, read from metadata files
bt_results_base: Path = config['user_data_dir'] / 'backtest_results'
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file_abs = (bt_results_base / file).with_suffix('.json')
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# Ensure file is in backtest_results directory
if not is_file_in_dir(file_abs, bt_results_base):
raise HTTPException(status_code=404, detail="File not found.")
delete_backtest_result(file_abs)
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return get_backtest_resultlist(config['user_data_dir'] / 'backtest_results')