Lock pair until a new candle arrives

This commit is contained in:
Matthias 2020-08-24 11:09:09 +02:00
parent 8b767eedfd
commit c272944834
3 changed files with 42 additions and 26 deletions

View File

@ -433,7 +433,9 @@ class FreqtradeBot:
""" """
logger.debug(f"create_trade for pair {pair}") logger.debug(f"create_trade for pair {pair}")
if self.strategy.is_pair_locked(pair): analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
if self.strategy.is_pair_locked(
pair, analyzed_df.iloc[-1]['date'] if len(analyzed_df) > 0 else None):
logger.info(f"Pair {pair} is currently locked.") logger.info(f"Pair {pair} is currently locked.")
return False return False
@ -444,7 +446,6 @@ class FreqtradeBot:
return False return False
# running get_signal on historical data fetched # running get_signal on historical data fetched
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
(buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df) (buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df)
if buy and not sell: if buy and not sell:

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@ -2,6 +2,7 @@
IStrategy interface IStrategy interface
This module defines the interface to apply for strategies This module defines the interface to apply for strategies
""" """
from freqtrade.exchange.exchange import timeframe_to_next_date
import logging import logging
import warnings import warnings
from abc import ABC, abstractmethod from abc import ABC, abstractmethod
@ -297,13 +298,22 @@ class IStrategy(ABC):
if pair in self._pair_locked_until: if pair in self._pair_locked_until:
del self._pair_locked_until[pair] del self._pair_locked_until[pair]
def is_pair_locked(self, pair: str) -> bool: def is_pair_locked(self, pair: str, candle_date: datetime = None) -> bool:
""" """
Checks if a pair is currently locked Checks if a pair is currently locked
""" """
if pair not in self._pair_locked_until: if pair not in self._pair_locked_until:
return False return False
return self._pair_locked_until[pair] >= datetime.now(timezone.utc) if not candle_date:
return self._pair_locked_until[pair] >= datetime.now(timezone.utc)
else:
# Locking should happen until a new candle arrives
lock_time = timeframe_to_next_date(self.timeframe, candle_date)
# lock_time = candle_date + timedelta(minutes=timeframe_to_minutes(self.timeframe))
res = self._pair_locked_until[pair] > lock_time
logger.debug(f"pair time = {lock_time} - pair_lock = {self._pair_locked_until[pair]} "
f"- res: {res}")
return res
def analyze_ticker(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def analyze_ticker(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
""" """
@ -438,12 +448,6 @@ class IStrategy(ABC):
) )
return False, False return False, False
# Check if dataframe has new candle
if (arrow.utcnow() - latest_date).total_seconds() // 60 >= timeframe_minutes:
logger.warning('Old candle for pair %s. Last candle is %s minutes old',
pair, int((arrow.utcnow() - latest_date).total_seconds() // 60))
return False, False
(buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1 (buy, sell) = latest[SignalType.BUY.value] == 1, latest[SignalType.SELL.value] == 1
logger.debug('trigger: %s (pair=%s) buy=%s sell=%s', logger.debug('trigger: %s (pair=%s) buy=%s sell=%s',
latest['date'], pair, str(buy), str(sell)) latest['date'], pair, str(buy), str(sell))

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@ -1,6 +1,7 @@
# pragma pylint: disable=missing-docstring, C0103 # pragma pylint: disable=missing-docstring, C0103
import logging import logging
from datetime import datetime, timedelta, timezone
from unittest.mock import MagicMock from unittest.mock import MagicMock
import arrow import arrow
@ -8,12 +9,12 @@ import pytest
from pandas import DataFrame from pandas import DataFrame
from freqtrade.configuration import TimeRange from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import load_data from freqtrade.data.history import load_data
from freqtrade.exceptions import StrategyError from freqtrade.exceptions import StrategyError
from freqtrade.persistence import Trade from freqtrade.persistence import Trade
from freqtrade.resolvers import StrategyResolver from freqtrade.resolvers import StrategyResolver
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.data.dataprovider import DataProvider
from tests.conftest import log_has, log_has_re from tests.conftest import log_has, log_has_re
from .strats.default_strategy import DefaultStrategy from .strats.default_strategy import DefaultStrategy
@ -87,21 +88,6 @@ def test_get_signal_exception_valueerror(default_conf, mocker, caplog, ohlcv_his
assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog) assert log_has_re(r'Strategy caused the following exception: xyz.*', caplog)
def test_get_signal_old_candle(default_conf, mocker, caplog, ohlcv_history):
caplog.set_level(logging.INFO)
# default_conf defines a 5m interval. we check interval of previous candle
# this is necessary as the last candle is removed (partial candles) by default
oldtime = arrow.utcnow().shift(minutes=-10)
ticks = DataFrame([{'buy': 1, 'date': oldtime}])
mocker.patch.object(
_STRATEGY, '_analyze_ticker_internal',
return_value=DataFrame(ticks)
)
assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'],
ohlcv_history)
assert log_has('Old candle for pair xyz. Last candle is 10 minutes old', caplog)
def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history): def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
# default_conf defines a 5m interval. we check interval * 2 + 5m # default_conf defines a 5m interval. we check interval * 2 + 5m
# this is necessary as the last candle is removed (partial candles) by default # this is necessary as the last candle is removed (partial candles) by default
@ -402,6 +388,31 @@ def test_is_pair_locked(default_conf):
strategy.unlock_pair(pair) strategy.unlock_pair(pair)
assert not strategy.is_pair_locked(pair) assert not strategy.is_pair_locked(pair)
pair = 'BTC/USDT'
# Lock until 14:30
lock_time = datetime(2020, 5, 1, 14, 30, 0, tzinfo=timezone.utc)
strategy.lock_pair(pair, lock_time)
# Lock is in the past ...
assert not strategy.is_pair_locked(pair)
# latest candle is from 14:20, lock goes to 14:30
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-10))
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-50))
# latest candle is from 14:25 (lock should be lifted)
# Since this is the "new candle" available at 14:30
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-4))
# Should not be locked after time expired
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=10))
# Change timeframe to 15m
strategy.timeframe = '15m'
# Candle from 14:14 - lock goes until 14:30
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-16))
assert strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15, seconds=-2))
# Candle from 14:15 - lock goes until 14:30
assert not strategy.is_pair_locked(pair, lock_time + timedelta(minutes=-15))
def test_is_informative_pairs_callback(default_conf): def test_is_informative_pairs_callback(default_conf):
default_conf.update({'strategy': 'TestStrategyLegacy'}) default_conf.update({'strategy': 'TestStrategyLegacy'})