Merge 705d1e4cc0 into af422c7cd4

added check for Kraken exchange

docs/lookahead-analysis.md

@@ -101,3 +101,4 @@ This could lead to a false-negative (the strategy will then be reported as non-b
 - `lookahead-analysis` has access to everything that backtesting has too.
 Please don't provoke any configs like enabling position stacking.
 If you decide to do so, then make doubly sure that you won't ever run out of `max_open_trades` amount and neither leftover money in your wallet.
+- In the results table, the `biased_indicators` column will falsely flag FreqAI target indicators defined in `set_freqai_targets()` as biased. These are not biased and can safely be ignored.

freqtrade/exchange/kraken.py

@@ -78,6 +78,7 @@ class Kraken(Exchange):
                     # x["side"], x["amount"],
                 )
                 for x in orders
+                if x["remaining"] is not None and (x["side"] == "sell" or x["price"] is not None)
             ]
             for bal in balances:
                 if not isinstance(balances[bal], dict):

freqtrade/freqai/RL/BaseEnvironment.py

@@ -47,19 +47,20 @@ class BaseEnvironment(gym.Env):
 
     def __init__(
         self,
-        df: DataFrame = DataFrame(),
-        prices: DataFrame = DataFrame(),
-        reward_kwargs: dict = {},
+        *,
+        df: DataFrame,
+        prices: DataFrame,
+        reward_kwargs: dict,
         window_size=10,
         starting_point=True,
         id: str = "baseenv-1",  # noqa: A002
         seed: int = 1,
-        config: dict = {},
+        config: dict,
         live: bool = False,
         fee: float = 0.0015,
         can_short: bool = False,
         pair: str = "",
-        df_raw: DataFrame = DataFrame(),
+        df_raw: DataFrame,
     ):
         """
         Initializes the training/eval environment.

freqtrade/freqai/RL/BaseReinforcementLearningModel.py

@@ -488,7 +488,7 @@ def make_env(
     seed: int,
     train_df: DataFrame,
     price: DataFrame,
-    env_info: Dict[str, Any] = {},
+    env_info: Dict[str, Any],
 ) -> Callable:
     """
     Utility function for multiprocessed env.

freqtrade/freqai/data_kitchen.py

@@ -214,7 +214,7 @@ class FreqaiDataKitchen:
         self,
         unfiltered_df: DataFrame,
         training_feature_list: List,
-        label_list: List = list(),
+        label_list: Optional[List] = None,
         training_filter: bool = True,
     ) -> Tuple[DataFrame, DataFrame]:
         """
@@ -244,7 +244,7 @@ class FreqaiDataKitchen:
             # we don't care about total row number (total no. datapoints) in training, we only care
             # about removing any row with NaNs
             # if labels has multiple columns (user wants to train multiple modelEs), we detect here
-            labels = unfiltered_df.filter(label_list, axis=1)
+            labels = unfiltered_df.filter(label_list or [], axis=1)
             drop_index_labels = pd.isnull(labels).any(axis=1)
             drop_index_labels = (
                 drop_index_labels.replace(True, 1).replace(False, 0).infer_objects(copy=False)
@@ -654,8 +654,8 @@ class FreqaiDataKitchen:
         pair: str,
         tf: str,
         strategy: IStrategy,
-        corr_dataframes: dict = {},
-        base_dataframes: dict = {},
+        corr_dataframes: dict,
+        base_dataframes: dict,
         is_corr_pairs: bool = False,
     ) -> DataFrame:
         """
@@ -776,7 +776,7 @@ class FreqaiDataKitchen:
         corr_dataframes: dict = {},
         base_dataframes: dict = {},
         pair: str = "",
-        prediction_dataframe: DataFrame = pd.DataFrame(),
+        prediction_dataframe: Optional[DataFrame] = None,
         do_corr_pairs: bool = True,
     ) -> DataFrame:
         """
@@ -822,7 +822,7 @@ class FreqaiDataKitchen:
                 if tf not in corr_dataframes[p]:
                     corr_dataframes[p][tf] = pd.DataFrame()
 
-        if not prediction_dataframe.empty:
+        if prediction_dataframe is not None and not prediction_dataframe.empty:
             dataframe = prediction_dataframe.copy()
             base_dataframes[self.config["timeframe"]] = dataframe.copy()
         else:

freqtrade/freqai/torch/PyTorchModelTrainer.py

@@ -25,7 +25,7 @@ class PyTorchModelTrainer(PyTorchTrainerInterface):
         criterion: nn.Module,
         device: str,
         data_convertor: PyTorchDataConvertor,
-        model_meta_data: Dict[str, Any] = {},
+        model_meta_data: Optional[Dict[str, Any]] = None,
         window_size: int = 1,
         tb_logger: Any = None,
         **kwargs,
@@ -45,6 +45,8 @@ class PyTorchModelTrainer(PyTorchTrainerInterface):
         :param n_epochs: The maximum number batches to use for evaluation.
         :param batch_size: The size of the batches to use during training.
         """
+        if model_meta_data is None:
+            model_meta_data = {}
         self.model = model
         self.optimizer = optimizer
         self.criterion = criterion

freqtrade/optimize/analysis/lookahead_helpers.py

@@ -1,7 +1,7 @@
 import logging
 import time
 from pathlib import Path
-from typing import Any, Dict, List
+from typing import Any, Dict, List, Union
 
 import pandas as pd
 from rich.text import Text
@@ -19,7 +19,9 @@ logger = logging.getLogger(__name__)
 class LookaheadAnalysisSubFunctions:
     @staticmethod
     def text_table_lookahead_analysis_instances(
-        config: Dict[str, Any], lookahead_instances: List[LookaheadAnalysis]
+        config: Dict[str, Any],
+        lookahead_instances: List[LookaheadAnalysis],
+        caption: Union[str, None] = None,
     ):
         headers = [
             "filename",
@@ -65,7 +67,9 @@ class LookaheadAnalysisSubFunctions:
                     ]
                 )
 
-        print_rich_table(data, headers, summary="Lookahead Analysis")
+        print_rich_table(
+            data, headers, summary="Lookahead Analysis", table_kwargs={"caption": caption}
+        )
         return data
 
     @staticmethod
@@ -239,8 +243,24 @@ class LookaheadAnalysisSubFunctions:
 
         # report the results
         if lookaheadAnalysis_instances:
+            caption: Union[str, None] = None
+            if any(
+                [
+                    any(
+                        [
+                            indicator.startswith("&")
+                            for indicator in inst.current_analysis.false_indicators
+                        ]
+                    )
+                    for inst in lookaheadAnalysis_instances
+                ]
+            ):
+                caption = (
+                    "Any indicators in 'biased_indicators' which are used within "
+                    "set_freqai_targets() can be ignored."
+                )
             LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
-                config, lookaheadAnalysis_instances
+                config, lookaheadAnalysis_instances, caption=caption
             )
             if config.get("lookahead_analysis_exportfilename") is not None:
                 LookaheadAnalysisSubFunctions.export_to_csv(config, lookaheadAnalysis_instances)

pyproject.toml

@@ -168,8 +168,6 @@ max-complexity = 12
 [tool.ruff.lint.per-file-ignores]
 "freqtrade/freqai/**/*.py" = [
   "S311",  # Standard pseudo-random generators are not suitable for cryptographic purposes
-  "B006",  # Bugbear - mutable default argument
-  "B008",  # bugbear - Do not perform function calls in argument defaults
 ]
 "tests/**/*.py" = [
   "S101",  # allow assert in tests

tests/freqai/test_freqai_datakitchen.py

@@ -151,7 +151,9 @@ def test_get_pair_data_for_features_with_prealoaded_data(mocker, freqai_conf):
     freqai.dd.load_all_pair_histories(timerange, freqai.dk)
 
     _, base_df = freqai.dd.get_base_and_corr_dataframes(timerange, "LTC/BTC", freqai.dk)
-    df = freqai.dk.get_pair_data_for_features("LTC/BTC", "5m", strategy, base_dataframes=base_df)
+    df = freqai.dk.get_pair_data_for_features(
+        "LTC/BTC", "5m", strategy, {}, base_dataframes=base_df
+    )
 
     assert df is base_df["5m"]
     assert not df.empty
@@ -171,7 +173,9 @@ def test_get_pair_data_for_features_without_preloaded_data(mocker, freqai_conf):
     freqai.dd.load_all_pair_histories(timerange, freqai.dk)
 
     base_df = {"5m": pd.DataFrame()}
-    df = freqai.dk.get_pair_data_for_features("LTC/BTC", "5m", strategy, base_dataframes=base_df)
+    df = freqai.dk.get_pair_data_for_features(
+        "LTC/BTC", "5m", strategy, {}, base_dataframes=base_df
+    )
 
     assert df is not base_df["5m"]
     assert not df.empty

tests/optimize/test_lookahead_analysis.py

@@ -13,6 +13,12 @@ from freqtrade.optimize.analysis.lookahead_helpers import LookaheadAnalysisSubFu
 from tests.conftest import EXMS, get_args, log_has_re, patch_exchange
 
 
+IGNORE_BIASED_INDICATORS_CAPTION = (
+    "Any indicators in 'biased_indicators' which are used within "
+    "set_freqai_targets() can be ignored."
+)
+
+
 @pytest.fixture
 def lookahead_conf(default_conf_usdt, tmp_path):
     default_conf_usdt["user_data_dir"] = tmp_path
@@ -133,6 +139,58 @@ def test_lookahead_helper_start(lookahead_conf, mocker) -> None:
     text_table_mock.reset_mock()
 
 
+@pytest.mark.parametrize(
+    "indicators, expected_caption_text",
+    [
+        (
+            ["&indicator1", "indicator2"],
+            IGNORE_BIASED_INDICATORS_CAPTION,
+        ),
+        (
+            ["indicator1", "&indicator2"],
+            IGNORE_BIASED_INDICATORS_CAPTION,
+        ),
+        (
+            ["&indicator1", "&indicator2"],
+            IGNORE_BIASED_INDICATORS_CAPTION,
+        ),
+        (["indicator1", "indicator2"], None),
+        ([], None),
+    ],
+    ids=(
+        "First of two biased indicators starts with '&'",
+        "Second of two biased indicators starts with '&'",
+        "Both biased indicators start with '&'",
+        "No biased indicators start with '&'",
+        "Empty biased indicators list",
+    ),
+)
+def test_lookahead_helper_start__caption_based_on_indicators(
+    indicators, expected_caption_text, lookahead_conf, mocker
+):
+    """Test that the table caption is only populated if a biased_indicator starts with '&'."""
+
+    single_mock = MagicMock()
+    lookahead_analysis = LookaheadAnalysis(
+        lookahead_conf,
+        {"name": "strategy_test_v3_with_lookahead_bias"},
+    )
+    lookahead_analysis.current_analysis.false_indicators = indicators
+    single_mock.return_value = lookahead_analysis
+    text_table_mock = MagicMock()
+    mocker.patch.multiple(
+        "freqtrade.optimize.analysis.lookahead_helpers.LookaheadAnalysisSubFunctions",
+        initialize_single_lookahead_analysis=single_mock,
+        text_table_lookahead_analysis_instances=text_table_mock,
+    )
+
+    LookaheadAnalysisSubFunctions.start(lookahead_conf)
+
+    text_table_mock.assert_called_once_with(
+        lookahead_conf, [lookahead_analysis], caption=expected_caption_text
+    )
+
+
 def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf):
     analysis = Analysis()
     analysis.has_bias = True
@@ -199,6 +257,53 @@ def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf
     assert len(data) == 3
 
 
+@pytest.mark.parametrize(
+    "caption",
+    [
+        "",
+        "A test caption",
+        None,
+        False,
+    ],
+    ids=(
+        "Pass empty string",
+        "Pass non-empty string",
+        "Pass None",
+        "Don't pass caption",
+    ),
+)
+def test_lookahead_helper_text_table_lookahead_analysis_instances__caption(
+    caption,
+    lookahead_conf,
+    mocker,
+):
+    """Test that the caption is passed in the table kwargs when calling print_rich_table()."""
+
+    print_rich_table_mock = MagicMock()
+    mocker.patch(
+        "freqtrade.optimize.analysis.lookahead_helpers.print_rich_table",
+        print_rich_table_mock,
+    )
+    lookahead_analysis = LookaheadAnalysis(
+        lookahead_conf,
+        {
+            "name": "strategy_test_v3_with_lookahead_bias",
+            "location": Path(lookahead_conf["strategy_path"], f"{lookahead_conf['strategy']}.py"),
+        },
+    )
+    kwargs = {}
+    if caption is not False:
+        kwargs["caption"] = caption
+
+    LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
+        lookahead_conf, [lookahead_analysis], **kwargs
+    )
+
+    assert print_rich_table_mock.call_args[-1]["table_kwargs"]["caption"] == (
+        caption if caption is not False else None
+    )
+
+
 def test_lookahead_helper_export_to_csv(lookahead_conf):
     import pandas as pd