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ruff format: plugins/protections
This commit is contained in:
parent
700b7acb6f
commit
6bfe7aa72d
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@ -1,6 +1,7 @@
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"""
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Protection manager class
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"""
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import logging
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from datetime import datetime, timezone
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from typing import Dict, List, Optional
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@ -16,14 +17,13 @@ logger = logging.getLogger(__name__)
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class ProtectionManager:
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def __init__(self, config: Config, protections: List) -> None:
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self._config = config
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self._protection_handlers: List[IProtection] = []
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for protection_handler_config in protections:
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protection_handler = ProtectionResolver.load_protection(
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protection_handler_config['method'],
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protection_handler_config["method"],
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config=config,
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protection_config=protection_handler_config,
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)
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@ -45,8 +45,9 @@ class ProtectionManager:
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"""
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return [{p.name: p.short_desc()} for p in self._protection_handlers]
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def global_stop(self, now: Optional[datetime] = None,
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side: LongShort = 'long') -> Optional[PairLock]:
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def global_stop(
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self, now: Optional[datetime] = None, side: LongShort = "long"
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) -> Optional[PairLock]:
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if not now:
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now = datetime.now(timezone.utc)
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result = None
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@ -56,20 +57,22 @@ class ProtectionManager:
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if lock and lock.until:
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if not PairLocks.is_global_lock(lock.until, side=lock.lock_side):
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result = PairLocks.lock_pair(
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'*', lock.until, lock.reason, now=now, side=lock.lock_side)
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"*", lock.until, lock.reason, now=now, side=lock.lock_side
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)
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return result
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def stop_per_pair(self, pair, now: Optional[datetime] = None,
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side: LongShort = 'long') -> Optional[PairLock]:
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def stop_per_pair(
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self, pair, now: Optional[datetime] = None, side: LongShort = "long"
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) -> Optional[PairLock]:
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if not now:
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now = datetime.now(timezone.utc)
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result = None
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for protection_handler in self._protection_handlers:
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if protection_handler.has_local_stop:
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lock = protection_handler.stop_per_pair(
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pair=pair, date_now=now, side=side)
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lock = protection_handler.stop_per_pair(pair=pair, date_now=now, side=side)
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if lock and lock.until:
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if not PairLocks.is_pair_locked(pair, lock.until, lock.lock_side):
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result = PairLocks.lock_pair(
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pair, lock.until, lock.reason, now=now, side=lock.lock_side)
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pair, lock.until, lock.reason, now=now, side=lock.lock_side
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)
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return result
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@ -1,4 +1,3 @@
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import logging
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from datetime import datetime, timedelta
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from typing import Optional
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@ -12,7 +11,6 @@ logger = logging.getLogger(__name__)
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class CooldownPeriod(IProtection):
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has_global_stop: bool = False
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has_local_stop: bool = True
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@ -20,13 +18,13 @@ class CooldownPeriod(IProtection):
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"""
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LockReason to use
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"""
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return (f'Cooldown period for {self.stop_duration_str}.')
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return f"Cooldown period for {self.stop_duration_str}."
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def short_desc(self) -> str:
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"""
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Short method description - used for startup-messages
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"""
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return (f"{self.name} - Cooldown period of {self.stop_duration_str}.")
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return f"{self.name} - Cooldown period of {self.stop_duration_str}."
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def _cooldown_period(self, pair: str, date_now: datetime) -> Optional[ProtectionReturn]:
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"""
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@ -66,7 +64,8 @@ class CooldownPeriod(IProtection):
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return None
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def stop_per_pair(
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self, pair: str, date_now: datetime, side: LongShort) -> Optional[ProtectionReturn]:
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self, pair: str, date_now: datetime, side: LongShort
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) -> Optional[ProtectionReturn]:
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"""
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Stops trading (position entering) for this pair
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This must evaluate to true for the whole period of the "cooldown period".
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@ -1,4 +1,3 @@
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import logging
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from abc import ABC, abstractmethod
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from dataclasses import dataclass
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@ -20,11 +19,10 @@ class ProtectionReturn:
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lock: bool
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until: datetime
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reason: Optional[str]
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lock_side: str = '*'
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lock_side: str = "*"
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class IProtection(LoggingMixin, ABC):
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# Can globally stop the bot
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has_global_stop: bool = False
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# Can stop trading for one pair
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@ -36,19 +34,19 @@ class IProtection(LoggingMixin, ABC):
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self._stop_duration_candles: Optional[int] = None
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self._lookback_period_candles: Optional[int] = None
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tf_in_min = timeframe_to_minutes(config['timeframe'])
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if 'stop_duration_candles' in protection_config:
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self._stop_duration_candles = int(protection_config.get('stop_duration_candles', 1))
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self._stop_duration = (tf_in_min * self._stop_duration_candles)
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tf_in_min = timeframe_to_minutes(config["timeframe"])
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if "stop_duration_candles" in protection_config:
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self._stop_duration_candles = int(protection_config.get("stop_duration_candles", 1))
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self._stop_duration = tf_in_min * self._stop_duration_candles
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else:
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self._stop_duration_candles = None
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self._stop_duration = int(protection_config.get('stop_duration', 60))
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if 'lookback_period_candles' in protection_config:
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self._lookback_period_candles = int(protection_config.get('lookback_period_candles', 1))
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self._stop_duration = int(protection_config.get("stop_duration", 60))
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if "lookback_period_candles" in protection_config:
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self._lookback_period_candles = int(protection_config.get("lookback_period_candles", 1))
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self._lookback_period = tf_in_min * self._lookback_period_candles
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else:
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self._lookback_period_candles = None
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self._lookback_period = int(protection_config.get('lookback_period', 60))
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self._lookback_period = int(protection_config.get("lookback_period", 60))
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LoggingMixin.__init__(self, logger)
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@ -62,11 +60,12 @@ class IProtection(LoggingMixin, ABC):
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Output configured stop duration in either candles or minutes
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"""
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if self._stop_duration_candles:
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return (f"{self._stop_duration_candles} "
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f"{plural(self._stop_duration_candles, 'candle', 'candles')}")
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return (
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f"{self._stop_duration_candles} "
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f"{plural(self._stop_duration_candles, 'candle', 'candles')}"
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)
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else:
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return (f"{self._stop_duration} "
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f"{plural(self._stop_duration, 'minute', 'minutes')}")
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return f"{self._stop_duration} " f"{plural(self._stop_duration, 'minute', 'minutes')}"
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@property
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def lookback_period_str(self) -> str:
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Output configured lookback period in either candles or minutes
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"""
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if self._lookback_period_candles:
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return (f"{self._lookback_period_candles} "
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f"{plural(self._lookback_period_candles, 'candle', 'candles')}")
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return (
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f"{self._lookback_period_candles} "
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f"{plural(self._lookback_period_candles, 'candle', 'candles')}"
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)
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else:
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return (f"{self._lookback_period} "
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f"{plural(self._lookback_period, 'minute', 'minutes')}")
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return (
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f"{self._lookback_period} " f"{plural(self._lookback_period, 'minute', 'minutes')}"
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)
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@abstractmethod
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def short_desc(self) -> str:
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@ -96,7 +98,8 @@ class IProtection(LoggingMixin, ABC):
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@abstractmethod
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def stop_per_pair(
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self, pair: str, date_now: datetime, side: LongShort) -> Optional[ProtectionReturn]:
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self, pair: str, date_now: datetime, side: LongShort
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) -> Optional[ProtectionReturn]:
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"""
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Stops trading (position entering) for this pair
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This must evaluate to true for the whole period of the "cooldown period".
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@ -1,4 +1,3 @@
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import logging
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from datetime import datetime, timedelta
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from typing import Any, Dict, Optional
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@ -12,33 +11,37 @@ logger = logging.getLogger(__name__)
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class LowProfitPairs(IProtection):
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has_global_stop: bool = False
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has_local_stop: bool = True
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def __init__(self, config: Config, protection_config: Dict[str, Any]) -> None:
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super().__init__(config, protection_config)
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self._trade_limit = protection_config.get('trade_limit', 1)
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self._required_profit = protection_config.get('required_profit', 0.0)
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self._only_per_side = protection_config.get('only_per_side', False)
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self._trade_limit = protection_config.get("trade_limit", 1)
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self._required_profit = protection_config.get("required_profit", 0.0)
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self._only_per_side = protection_config.get("only_per_side", False)
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def short_desc(self) -> str:
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"""
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Short method description - used for startup-messages
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"""
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return (f"{self.name} - Low Profit Protection, locks pairs with "
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f"profit < {self._required_profit} within {self.lookback_period_str}.")
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return (
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f"{self.name} - Low Profit Protection, locks pairs with "
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f"profit < {self._required_profit} within {self.lookback_period_str}."
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)
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def _reason(self, profit: float) -> str:
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"""
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LockReason to use
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"""
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return (f'{profit} < {self._required_profit} in {self.lookback_period_str}, '
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f'locking for {self.stop_duration_str}.')
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return (
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f"{profit} < {self._required_profit} in {self.lookback_period_str}, "
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f"locking for {self.stop_duration_str}."
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)
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def _low_profit(
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self, date_now: datetime, pair: str, side: LongShort) -> Optional[ProtectionReturn]:
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self, date_now: datetime, pair: str, side: LongShort
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) -> Optional[ProtectionReturn]:
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"""
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Evaluate recent trades for pair
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"""
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return None
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profit = sum(
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trade.close_profit for trade in trades if trade.close_profit
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and (not self._only_per_side or trade.trade_direction == side)
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)
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trade.close_profit
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for trade in trades
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if trade.close_profit and (not self._only_per_side or trade.trade_direction == side)
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)
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if profit < self._required_profit:
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self.log_once(
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f"Trading for {pair} stopped due to {profit:.2f} < {self._required_profit} "
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f"within {self._lookback_period} minutes.", logger.info)
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f"within {self._lookback_period} minutes.",
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logger.info,
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)
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until = self.calculate_lock_end(trades, self._stop_duration)
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return ProtectionReturn(
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lock=True,
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until=until,
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reason=self._reason(profit),
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lock_side=(side if self._only_per_side else '*')
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lock_side=(side if self._only_per_side else "*"),
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)
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return None
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@ -85,7 +91,8 @@ class LowProfitPairs(IProtection):
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return None
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def stop_per_pair(
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self, pair: str, date_now: datetime, side: LongShort) -> Optional[ProtectionReturn]:
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self, pair: str, date_now: datetime, side: LongShort
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) -> Optional[ProtectionReturn]:
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"""
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Stops trading (position entering) for this pair
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This must evaluate to true for the whole period of the "cooldown period".
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@ -1,4 +1,3 @@
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import logging
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from datetime import datetime, timedelta
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from typing import Any, Dict, Optional
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@ -15,30 +14,33 @@ logger = logging.getLogger(__name__)
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class MaxDrawdown(IProtection):
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has_global_stop: bool = True
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has_local_stop: bool = False
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def __init__(self, config: Config, protection_config: Dict[str, Any]) -> None:
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super().__init__(config, protection_config)
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self._trade_limit = protection_config.get('trade_limit', 1)
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self._max_allowed_drawdown = protection_config.get('max_allowed_drawdown', 0.0)
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self._trade_limit = protection_config.get("trade_limit", 1)
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self._max_allowed_drawdown = protection_config.get("max_allowed_drawdown", 0.0)
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# TODO: Implement checks to limit max_drawdown to sensible values
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def short_desc(self) -> str:
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"""
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Short method description - used for startup-messages
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"""
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return (f"{self.name} - Max drawdown protection, stop trading if drawdown is > "
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f"{self._max_allowed_drawdown} within {self.lookback_period_str}.")
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return (
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f"{self.name} - Max drawdown protection, stop trading if drawdown is > "
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f"{self._max_allowed_drawdown} within {self.lookback_period_str}."
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)
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def _reason(self, drawdown: float) -> str:
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"""
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LockReason to use
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"""
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return (f'{drawdown} passed {self._max_allowed_drawdown} in {self.lookback_period_str}, '
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f'locking for {self.stop_duration_str}.')
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return (
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f"{drawdown} passed {self._max_allowed_drawdown} in {self.lookback_period_str}, "
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f"locking for {self.stop_duration_str}."
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)
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def _max_drawdown(self, date_now: datetime) -> Optional[ProtectionReturn]:
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"""
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@ -57,14 +59,16 @@ class MaxDrawdown(IProtection):
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# Drawdown is always positive
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try:
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# TODO: This should use absolute profit calculation, considering account balance.
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drawdown, _, _, _, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
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drawdown, _, _, _, _, _ = calculate_max_drawdown(trades_df, value_col="close_profit")
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except ValueError:
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return None
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if drawdown > self._max_allowed_drawdown:
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self.log_once(
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f"Trading stopped due to Max Drawdown {drawdown:.2f} > {self._max_allowed_drawdown}"
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f" within {self.lookback_period_str}.", logger.info)
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f" within {self.lookback_period_str}.",
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logger.info,
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)
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until = self.calculate_lock_end(trades, self._stop_duration)
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return ProtectionReturn(
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@ -85,7 +89,8 @@ class MaxDrawdown(IProtection):
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return self._max_drawdown(date_now)
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def stop_per_pair(
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self, pair: str, date_now: datetime, side: LongShort) -> Optional[ProtectionReturn]:
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self, pair: str, date_now: datetime, side: LongShort
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) -> Optional[ProtectionReturn]:
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"""
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Stops trading (position entering) for this pair
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This must evaluate to true for the whole period of the "cooldown period".
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|
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@ -1,4 +1,3 @@
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import logging
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from datetime import datetime, timedelta
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from typing import Any, Dict, Optional
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|
@ -13,44 +12,59 @@ logger = logging.getLogger(__name__)
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class StoplossGuard(IProtection):
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has_global_stop: bool = True
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has_local_stop: bool = True
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def __init__(self, config: Config, protection_config: Dict[str, Any]) -> None:
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super().__init__(config, protection_config)
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self._trade_limit = protection_config.get('trade_limit', 10)
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self._disable_global_stop = protection_config.get('only_per_pair', False)
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self._only_per_side = protection_config.get('only_per_side', False)
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self._profit_limit = protection_config.get('required_profit', 0.0)
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self._trade_limit = protection_config.get("trade_limit", 10)
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self._disable_global_stop = protection_config.get("only_per_pair", False)
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self._only_per_side = protection_config.get("only_per_side", False)
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self._profit_limit = protection_config.get("required_profit", 0.0)
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def short_desc(self) -> str:
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"""
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Short method description - used for startup-messages
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"""
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return (f"{self.name} - Frequent Stoploss Guard, {self._trade_limit} stoplosses "
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f"with profit < {self._profit_limit:.2%} within {self.lookback_period_str}.")
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return (
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f"{self.name} - Frequent Stoploss Guard, {self._trade_limit} stoplosses "
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f"with profit < {self._profit_limit:.2%} within {self.lookback_period_str}."
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)
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def _reason(self) -> str:
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"""
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LockReason to use
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"""
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return (f'{self._trade_limit} stoplosses in {self._lookback_period} min, '
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f'locking for {self._stop_duration} min.')
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return (
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f"{self._trade_limit} stoplosses in {self._lookback_period} min, "
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f"locking for {self._stop_duration} min."
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)
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def _stoploss_guard(self, date_now: datetime, pair: Optional[str],
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side: LongShort) -> Optional[ProtectionReturn]:
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def _stoploss_guard(
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self, date_now: datetime, pair: Optional[str], side: LongShort
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) -> Optional[ProtectionReturn]:
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"""
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Evaluate recent trades
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"""
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look_back_until = date_now - timedelta(minutes=self._lookback_period)
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trades1 = Trade.get_trades_proxy(pair=pair, is_open=False, close_date=look_back_until)
|
||||
trades = [trade for trade in trades1 if (str(trade.exit_reason) in (
|
||||
ExitType.TRAILING_STOP_LOSS.value, ExitType.STOP_LOSS.value,
|
||||
ExitType.STOPLOSS_ON_EXCHANGE.value, ExitType.LIQUIDATION.value)
|
||||
and trade.close_profit and trade.close_profit < self._profit_limit)]
|
||||
trades = [
|
||||
trade
|
||||
for trade in trades1
|
||||
if (
|
||||
str(trade.exit_reason)
|
||||
in (
|
||||
ExitType.TRAILING_STOP_LOSS.value,
|
||||
ExitType.STOP_LOSS.value,
|
||||
ExitType.STOPLOSS_ON_EXCHANGE.value,
|
||||
ExitType.LIQUIDATION.value,
|
||||
)
|
||||
and trade.close_profit
|
||||
and trade.close_profit < self._profit_limit
|
||||
)
|
||||
]
|
||||
|
||||
if self._only_per_side:
|
||||
# Long or short trades only
|
||||
|
@ -59,15 +73,18 @@ class StoplossGuard(IProtection):
|
|||
if len(trades) < self._trade_limit:
|
||||
return None
|
||||
|
||||
self.log_once(f"Trading stopped due to {self._trade_limit} "
|
||||
f"stoplosses within {self._lookback_period} minutes.", logger.info)
|
||||
self.log_once(
|
||||
f"Trading stopped due to {self._trade_limit} "
|
||||
f"stoplosses within {self._lookback_period} minutes.",
|
||||
logger.info,
|
||||
)
|
||||
until = self.calculate_lock_end(trades, self._stop_duration)
|
||||
return ProtectionReturn(
|
||||
lock=True,
|
||||
until=until,
|
||||
reason=self._reason(),
|
||||
lock_side=(side if self._only_per_side else '*')
|
||||
)
|
||||
lock_side=(side if self._only_per_side else "*"),
|
||||
)
|
||||
|
||||
def global_stop(self, date_now: datetime, side: LongShort) -> Optional[ProtectionReturn]:
|
||||
"""
|
||||
|
@ -81,7 +98,8 @@ class StoplossGuard(IProtection):
|
|||
return self._stoploss_guard(date_now, None, side)
|
||||
|
||||
def stop_per_pair(
|
||||
self, pair: str, date_now: datetime, side: LongShort) -> Optional[ProtectionReturn]:
|
||||
self, pair: str, date_now: datetime, side: LongShort
|
||||
) -> Optional[ProtectionReturn]:
|
||||
"""
|
||||
Stops trading (position entering) for this pair
|
||||
This must evaluate to true for the whole period of the "cooldown period".
|
||||
|
|
Loading…
Reference in New Issue
Block a user