from typing import Any, Callable, NamedTuple, Optional, Union import pandas as pd from mypy_extensions import KwArg from pandas import DataFrame from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame] class InformativeData(NamedTuple): asset: Optional[str] timeframe: str fmt: Union[str, Callable[[KwArg(str)], str], None] ffill: bool def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame, timeframe: str, timeframe_inf: str, ffill: bool = True, append_timeframe: bool = True, date_column: str = 'date') -> pd.DataFrame: """ Correctly merge informative samples to the original dataframe, avoiding lookahead bias. Since dates are candle open dates, merging a 15m candle that starts at 15:00, and a 1h candle that starts at 15:00 will result in all candles to know the close at 16:00 which they should not know. Moves the date of the informative pair by 1 time interval forward. This way, the 14:00 1h candle is merged to 15:00 15m candle, since the 14:00 1h candle is the last candle that's closed at 15:00, 15:15, 15:30 or 15:45. Assuming inf_tf = '1d' - then the resulting columns will be: date_1d, open_1d, high_1d, low_1d, close_1d, rsi_1d :param dataframe: Original dataframe :param informative: Informative pair, most likely loaded via dp.get_pair_dataframe :param timeframe: Timeframe of the original pair sample. :param timeframe_inf: Timeframe of the informative pair sample. :param ffill: Forwardfill missing values - optional but usually required :param append_timeframe: Rename columns by appending timeframe. :param date_column: A custom date column name. :return: Merged dataframe :raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe """ minutes_inf = timeframe_to_minutes(timeframe_inf) minutes = timeframe_to_minutes(timeframe) if minutes == minutes_inf: # No need to forwardshift if the timeframes are identical informative['date_merge'] = informative[date_column] elif minutes < minutes_inf: # Subtract "small" timeframe so merging is not delayed by 1 small candle # Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073 informative['date_merge'] = ( informative[date_column] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm') ) else: raise ValueError("Tried to merge a faster timeframe to a slower timeframe." "This would create new rows, and can throw off your regular indicators.") # Rename columns to be unique date_merge = 'date_merge' if append_timeframe: date_merge = f'date_merge_{timeframe_inf}' informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns] # Combine the 2 dataframes # all indicators on the informative sample MUST be calculated before this point dataframe = pd.merge(dataframe, informative, left_on='date', right_on=date_merge, how='left') dataframe = dataframe.drop(date_merge, axis=1) if ffill: dataframe = dataframe.ffill() return dataframe def stoploss_from_open(open_relative_stop: float, current_profit: float) -> float: """ Given the current profit, and a desired stop loss value relative to the open price, return a stop loss value that is relative to the current price, and which can be returned from `custom_stoploss`. The requested stop can be positive for a stop above the open price, or negative for a stop below the open price. The return value is always >= 0. Returns 0 if the resulting stop price would be above the current price. :param open_relative_stop: Desired stop loss percentage relative to open price :param current_profit: The current profit percentage :return: Positive stop loss value relative to current price """ # formula is undefined for current_profit -1, return maximum value if current_profit == -1: return 1 stoploss = 1-((1+open_relative_stop)/(1+current_profit)) # negative stoploss values indicate the requested stop price is higher than the current price return max(stoploss, 0.0) def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: """ Given current price and desired stop price, return a stop loss value that is relative to current price. :param stop_rate: Stop loss price. :param current_rate: Current asset price. :return: Positive stop loss value relative to current price """ return 1 - (stop_rate / current_rate) def informative(timeframe: str, asset: str = '', fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None, ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]: """ A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to define informative indicators. Example usage: @informative('1h') def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) return dataframe :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. :param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not specified, defaults to: * {base}_{column}_{timeframe} if asset is specified and quote currency does match stake curerncy. * {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match stake curerncy. * {column}_{timeframe} if asset is not specified. Format string supports these format variables: * {asset} - full name of the asset, for example 'BTC/USDT'. * {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. * {column} - name of dataframe column. * {timeframe} - timeframe of informative dataframe. :param ffill: ffill dataframe after merging informative pair. """ _asset = asset _timeframe = timeframe _fmt = fmt _ffill = ffill def decorator(fn: PopulateIndicators): informative_pairs = getattr(fn, '_ft_informative', []) informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill)) setattr(fn, '_ft_informative', informative_pairs) return fn return decorator def _format_pair_name(config, pair: str) -> str: return pair.format(stake_currency=config['stake_currency'], stake=config['stake_currency']).upper() def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict, informative_data: InformativeData, populate_indicators: Callable[[Any, DataFrame, dict], DataFrame]): asset = informative_data.asset or '' timeframe = informative_data.timeframe fmt = informative_data.fmt ffill = informative_data.ffill config = strategy.config dp = strategy.dp if asset: # Insert stake currency if needed. asset = _format_pair_name(config, asset) else: # Not specifying an asset will define informative dataframe for current pair. asset = metadata['pair'] if '/' in asset: base, quote = asset.split('/') else: # When futures are supported this may need reevaluation. # base, quote = asset, None raise OperationalException('Not implemented.') # 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. # This allows easily reconfiguring strategy to use different base currency. In a rare case # where it is desired to keep quote currency in column name at all times user should specify # fmt='{base}_{quote}_{column}_{timeframe}' format or similar. if not fmt: fmt = '{column}_{timeframe}' # Informatives of current pair if asset != metadata['pair']: if quote == config['stake_currency']: fmt = '{base}_' + fmt # Informatives of other pair else: fmt = '{base}_{quote}_' + fmt # Informatives of different quote currency inf_metadata = {'pair': asset, 'timeframe': timeframe} inf_dataframe = dp.get_pair_dataframe(asset, timeframe) inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata) formatter: Any = None if callable(fmt): formatter = fmt # A custom user-specified formatter function. else: formatter = fmt.format # A default string formatter. fmt_args = { 'BASE': base.upper(), 'QUOTE': quote.upper(), 'base': base.lower(), 'quote': quote.lower(), 'asset': asset, 'timeframe': timeframe, } inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args), inplace=True) date_column = formatter(column='date', **fmt_args) if date_column in dataframe.columns: raise OperationalException(f'Duplicate column name {date_column} exists in ' f'dataframe! Ensure column names are unique!') dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe, ffill=ffill, append_timeframe=False, date_column=date_column) return dataframe