mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 10:21:59 +00:00
810 lines
31 KiB
Python
810 lines
31 KiB
Python
# pragma pylint: disable=too-few-public-methods
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"""
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bot constants
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"""
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from typing import Any, Dict, List, Literal, Optional, Tuple
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from freqtrade.enums import CandleType, PriceType, RPCMessageType
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DOCS_LINK = "https://www.freqtrade.io/en/stable"
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DEFAULT_CONFIG = "config.json"
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PROCESS_THROTTLE_SECS = 5 # sec
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HYPEROPT_EPOCH = 100 # epochs
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RETRY_TIMEOUT = 30 # sec
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TIMEOUT_UNITS = ["minutes", "seconds"]
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EXPORT_OPTIONS = ["none", "trades", "signals"]
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DEFAULT_DB_PROD_URL = "sqlite:///tradesv3.sqlite"
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DEFAULT_DB_DRYRUN_URL = "sqlite:///tradesv3.dryrun.sqlite"
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UNLIMITED_STAKE_AMOUNT = "unlimited"
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DEFAULT_AMOUNT_RESERVE_PERCENT = 0.05
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REQUIRED_ORDERTIF = ["entry", "exit"]
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REQUIRED_ORDERTYPES = ["entry", "exit", "stoploss", "stoploss_on_exchange"]
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PRICING_SIDES = ["ask", "bid", "same", "other"]
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ORDERTYPE_POSSIBILITIES = ["limit", "market"]
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_ORDERTIF_POSSIBILITIES = ["GTC", "FOK", "IOC", "PO"]
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ORDERTIF_POSSIBILITIES = _ORDERTIF_POSSIBILITIES + [t.lower() for t in _ORDERTIF_POSSIBILITIES]
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STOPLOSS_PRICE_TYPES = [p for p in PriceType]
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HYPEROPT_LOSS_BUILTIN = [
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"ShortTradeDurHyperOptLoss",
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"OnlyProfitHyperOptLoss",
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"SharpeHyperOptLoss",
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"SharpeHyperOptLossDaily",
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"SortinoHyperOptLoss",
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"SortinoHyperOptLossDaily",
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"CalmarHyperOptLoss",
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"MaxDrawDownHyperOptLoss",
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"MaxDrawDownRelativeHyperOptLoss",
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"ProfitDrawDownHyperOptLoss",
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]
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AVAILABLE_PAIRLISTS = [
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"StaticPairList",
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"VolumePairList",
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"ProducerPairList",
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"RemotePairList",
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"MarketCapPairList",
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"AgeFilter",
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"FullTradesFilter",
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"OffsetFilter",
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"PerformanceFilter",
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"PrecisionFilter",
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"PriceFilter",
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"RangeStabilityFilter",
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"ShuffleFilter",
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"SpreadFilter",
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"VolatilityFilter",
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]
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AVAILABLE_PROTECTIONS = ["CooldownPeriod", "LowProfitPairs", "MaxDrawdown", "StoplossGuard"]
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AVAILABLE_DATAHANDLERS = ["json", "jsongz", "hdf5", "feather", "parquet"]
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BACKTEST_BREAKDOWNS = ["day", "week", "month"]
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BACKTEST_CACHE_AGE = ["none", "day", "week", "month"]
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BACKTEST_CACHE_DEFAULT = "day"
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DRY_RUN_WALLET = 1000
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DATETIME_PRINT_FORMAT = "%Y-%m-%d %H:%M:%S"
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MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
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DEFAULT_DATAFRAME_COLUMNS = ["date", "open", "high", "low", "close", "volume"]
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# Don't modify sequence of DEFAULT_TRADES_COLUMNS
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# it has wide consequences for stored trades files
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DEFAULT_TRADES_COLUMNS = ["timestamp", "id", "type", "side", "price", "amount", "cost"]
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DEFAULT_ORDERFLOW_COLUMNS = ["level", "bid", "ask", "delta"]
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TRADES_DTYPES = {
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"timestamp": "int64",
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"id": "str",
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"type": "str",
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"side": "str",
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"price": "float64",
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"amount": "float64",
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"cost": "float64",
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}
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TRADING_MODES = ["spot", "margin", "futures"]
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MARGIN_MODES = ["cross", "isolated", ""]
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LAST_BT_RESULT_FN = ".last_result.json"
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FTHYPT_FILEVERSION = "fthypt_fileversion"
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USERPATH_HYPEROPTS = "hyperopts"
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USERPATH_STRATEGIES = "strategies"
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USERPATH_NOTEBOOKS = "notebooks"
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USERPATH_FREQAIMODELS = "freqaimodels"
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TELEGRAM_SETTING_OPTIONS = ["on", "off", "silent"]
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WEBHOOK_FORMAT_OPTIONS = ["form", "json", "raw"]
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FULL_DATAFRAME_THRESHOLD = 100
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CUSTOM_TAG_MAX_LENGTH = 255
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DL_DATA_TIMEFRAMES = ["1m", "5m"]
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ENV_VAR_PREFIX = "FREQTRADE__"
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CANCELED_EXCHANGE_STATES = ("cancelled", "canceled", "expired")
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NON_OPEN_EXCHANGE_STATES = CANCELED_EXCHANGE_STATES + ("closed",)
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# Define decimals per coin for outputs
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# Only used for outputs.
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DECIMAL_PER_COIN_FALLBACK = 3 # Should be low to avoid listing all possible FIAT's
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DECIMALS_PER_COIN = {
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"BTC": 8,
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"ETH": 5,
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}
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DUST_PER_COIN = {"BTC": 0.0001, "ETH": 0.01}
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# Source files with destination directories within user-directory
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USER_DATA_FILES = {
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"sample_strategy.py": USERPATH_STRATEGIES,
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"sample_hyperopt_loss.py": USERPATH_HYPEROPTS,
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"strategy_analysis_example.ipynb": USERPATH_NOTEBOOKS,
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}
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SUPPORTED_FIAT = [
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"AUD",
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"BRL",
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"CAD",
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"CHF",
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"CLP",
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"CNY",
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"CZK",
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"DKK",
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"EUR",
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"GBP",
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"HKD",
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"HUF",
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"IDR",
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"ILS",
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"INR",
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"JPY",
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"KRW",
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"MXN",
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"MYR",
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"NOK",
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"NZD",
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"PHP",
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"PKR",
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"PLN",
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"RUB",
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"UAH",
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"SEK",
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"SGD",
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"THB",
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"TRY",
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"TWD",
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"ZAR",
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"USD",
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"BTC",
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"ETH",
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"XRP",
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"LTC",
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"BCH",
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"BNB",
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"", # Allow empty field in config.
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]
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MINIMAL_CONFIG = {
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"stake_currency": "",
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"dry_run": True,
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"exchange": {
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"name": "",
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"key": "",
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"secret": "",
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"pair_whitelist": [],
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"ccxt_async_config": {},
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},
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}
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__MESSAGE_TYPE_DICT: Dict[str, Dict[str, str]] = {x: {"type": "object"} for x in RPCMessageType}
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# Required json-schema for user specified config
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CONF_SCHEMA = {
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"type": "object",
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"properties": {
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"max_open_trades": {"type": ["integer", "number"], "minimum": -1},
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"new_pairs_days": {"type": "integer", "default": 30},
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"timeframe": {"type": "string"},
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"stake_currency": {"type": "string"},
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"stake_amount": {
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"type": ["number", "string"],
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"minimum": 0.0001,
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"pattern": UNLIMITED_STAKE_AMOUNT,
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},
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"tradable_balance_ratio": {"type": "number", "minimum": 0.0, "maximum": 1, "default": 0.99},
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"available_capital": {
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"type": "number",
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"minimum": 0,
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},
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"amend_last_stake_amount": {"type": "boolean", "default": False},
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"last_stake_amount_min_ratio": {
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"type": "number",
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"minimum": 0.0,
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"maximum": 1.0,
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"default": 0.5,
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},
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"fiat_display_currency": {"type": "string", "enum": SUPPORTED_FIAT},
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"dry_run": {"type": "boolean"},
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"dry_run_wallet": {"type": "number", "default": DRY_RUN_WALLET},
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"cancel_open_orders_on_exit": {"type": "boolean", "default": False},
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"process_only_new_candles": {"type": "boolean"},
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"minimal_roi": {
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"type": "object",
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"patternProperties": {"^[0-9.]+$": {"type": "number"}},
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},
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"amount_reserve_percent": {"type": "number", "minimum": 0.0, "maximum": 0.5},
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"stoploss": {"type": "number", "maximum": 0, "exclusiveMaximum": True},
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"trailing_stop": {"type": "boolean"},
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"trailing_stop_positive": {"type": "number", "minimum": 0, "maximum": 1},
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"trailing_stop_positive_offset": {"type": "number", "minimum": 0, "maximum": 1},
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"trailing_only_offset_is_reached": {"type": "boolean"},
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"use_exit_signal": {"type": "boolean"},
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"exit_profit_only": {"type": "boolean"},
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"exit_profit_offset": {"type": "number"},
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"fee": {"type": "number", "minimum": 0, "maximum": 0.1},
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"ignore_roi_if_entry_signal": {"type": "boolean"},
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"ignore_buying_expired_candle_after": {"type": "number"},
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"trading_mode": {"type": "string", "enum": TRADING_MODES},
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"margin_mode": {"type": "string", "enum": MARGIN_MODES},
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"reduce_df_footprint": {"type": "boolean", "default": False},
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"minimum_trade_amount": {"type": "number", "default": 10},
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"targeted_trade_amount": {"type": "number", "default": 20},
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"lookahead_analysis_exportfilename": {"type": "string"},
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"startup_candle": {
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"type": "array",
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"uniqueItems": True,
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"default": [199, 399, 499, 999, 1999],
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},
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"liquidation_buffer": {"type": "number", "minimum": 0.0, "maximum": 0.99},
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"backtest_breakdown": {
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"type": "array",
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"items": {"type": "string", "enum": BACKTEST_BREAKDOWNS},
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},
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"bot_name": {"type": "string"},
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"unfilledtimeout": {
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"type": "object",
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"properties": {
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"entry": {"type": "number", "minimum": 1},
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"exit": {"type": "number", "minimum": 1},
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"exit_timeout_count": {"type": "number", "minimum": 0, "default": 0},
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"unit": {"type": "string", "enum": TIMEOUT_UNITS, "default": "minutes"},
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},
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},
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"entry_pricing": {
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"type": "object",
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"properties": {
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"price_last_balance": {
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"type": "number",
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"minimum": 0,
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"maximum": 1,
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"exclusiveMaximum": False,
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},
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"price_side": {"type": "string", "enum": PRICING_SIDES, "default": "same"},
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"use_order_book": {"type": "boolean"},
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"order_book_top": {
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"type": "integer",
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"minimum": 1,
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"maximum": 50,
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},
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"check_depth_of_market": {
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"type": "object",
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"properties": {
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"enabled": {"type": "boolean"},
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"bids_to_ask_delta": {"type": "number", "minimum": 0},
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},
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},
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},
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"required": ["price_side"],
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},
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"exit_pricing": {
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"type": "object",
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"properties": {
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"price_side": {"type": "string", "enum": PRICING_SIDES, "default": "same"},
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"price_last_balance": {
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"type": "number",
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"minimum": 0,
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"maximum": 1,
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"exclusiveMaximum": False,
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},
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"use_order_book": {"type": "boolean"},
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"order_book_top": {
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"type": "integer",
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"minimum": 1,
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"maximum": 50,
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},
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},
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"required": ["price_side"],
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},
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"custom_price_max_distance_ratio": {"type": "number", "minimum": 0.0},
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"order_types": {
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"type": "object",
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"properties": {
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"entry": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
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"exit": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
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"force_exit": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
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"force_entry": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
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"emergency_exit": {
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"type": "string",
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"enum": ORDERTYPE_POSSIBILITIES,
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"default": "market",
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},
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"stoploss": {"type": "string", "enum": ORDERTYPE_POSSIBILITIES},
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"stoploss_on_exchange": {"type": "boolean"},
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"stoploss_price_type": {"type": "string", "enum": STOPLOSS_PRICE_TYPES},
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"stoploss_on_exchange_interval": {"type": "number"},
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"stoploss_on_exchange_limit_ratio": {
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"type": "number",
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"minimum": 0.0,
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"maximum": 1.0,
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},
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},
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"required": ["entry", "exit", "stoploss", "stoploss_on_exchange"],
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},
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"order_time_in_force": {
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"type": "object",
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"properties": {
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"entry": {"type": "string", "enum": ORDERTIF_POSSIBILITIES},
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"exit": {"type": "string", "enum": ORDERTIF_POSSIBILITIES},
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},
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"required": REQUIRED_ORDERTIF,
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},
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"coingecko": {
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"type": "object",
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"properties": {
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"is_demo": {"type": "boolean", "default": True},
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"api_key": {"type": "string"},
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},
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"required": ["is_demo", "api_key"],
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},
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"exchange": {"$ref": "#/definitions/exchange"},
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"edge": {"$ref": "#/definitions/edge"},
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"freqai": {"$ref": "#/definitions/freqai"},
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"external_message_consumer": {"$ref": "#/definitions/external_message_consumer"},
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"experimental": {
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"type": "object",
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"properties": {"block_bad_exchanges": {"type": "boolean"}},
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},
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"pairlists": {
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"type": "array",
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"items": {
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"type": "object",
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"properties": {
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"method": {"type": "string", "enum": AVAILABLE_PAIRLISTS},
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},
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"required": ["method"],
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},
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},
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"protections": {
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"type": "array",
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"items": {
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"type": "object",
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"properties": {
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"method": {"type": "string", "enum": AVAILABLE_PROTECTIONS},
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"stop_duration": {"type": "number", "minimum": 0.0},
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"stop_duration_candles": {"type": "number", "minimum": 0},
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"trade_limit": {"type": "number", "minimum": 1},
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"lookback_period": {"type": "number", "minimum": 1},
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"lookback_period_candles": {"type": "number", "minimum": 1},
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},
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"required": ["method"],
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},
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},
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"telegram": {
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"type": "object",
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"properties": {
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"enabled": {"type": "boolean"},
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"token": {"type": "string"},
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"chat_id": {"type": "string"},
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"allow_custom_messages": {"type": "boolean", "default": True},
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"balance_dust_level": {"type": "number", "minimum": 0.0},
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"notification_settings": {
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"type": "object",
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"default": {},
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"properties": {
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"status": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
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"warning": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
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"startup": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
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"entry": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
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"entry_fill": {
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"type": "string",
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"enum": TELEGRAM_SETTING_OPTIONS,
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"default": "off",
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},
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"entry_cancel": {
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"type": "string",
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"enum": TELEGRAM_SETTING_OPTIONS,
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},
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"exit": {
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"type": ["string", "object"],
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"additionalProperties": {
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"type": "string",
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"enum": TELEGRAM_SETTING_OPTIONS,
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},
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},
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"exit_fill": {
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"type": "string",
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"enum": TELEGRAM_SETTING_OPTIONS,
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"default": "on",
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},
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"exit_cancel": {"type": "string", "enum": TELEGRAM_SETTING_OPTIONS},
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"protection_trigger": {
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"type": "string",
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"enum": TELEGRAM_SETTING_OPTIONS,
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"default": "on",
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},
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"protection_trigger_global": {
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"type": "string",
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"enum": TELEGRAM_SETTING_OPTIONS,
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"default": "on",
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},
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"show_candle": {
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"type": "string",
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"enum": ["off", "ohlc"],
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"default": "off",
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},
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"strategy_msg": {
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"type": "string",
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"enum": TELEGRAM_SETTING_OPTIONS,
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"default": "on",
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},
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},
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},
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"reload": {"type": "boolean"},
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},
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"required": ["enabled", "token", "chat_id"],
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},
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"webhook": {
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"type": "object",
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"properties": {
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"enabled": {"type": "boolean"},
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"url": {"type": "string"},
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"format": {"type": "string", "enum": WEBHOOK_FORMAT_OPTIONS, "default": "form"},
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"retries": {"type": "integer", "minimum": 0},
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"retry_delay": {"type": "number", "minimum": 0},
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**__MESSAGE_TYPE_DICT,
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# **{x: {'type': 'object'} for x in RPCMessageType},
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# Below -> Deprecated
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"webhookentry": {"type": "object"},
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"webhookentrycancel": {"type": "object"},
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"webhookentryfill": {"type": "object"},
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"webhookexit": {"type": "object"},
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"webhookexitcancel": {"type": "object"},
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"webhookexitfill": {"type": "object"},
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"webhookstatus": {"type": "object"},
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},
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},
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"discord": {
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"type": "object",
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"properties": {
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"enabled": {"type": "boolean"},
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"webhook_url": {"type": "string"},
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"exit_fill": {
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"type": "array",
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"items": {"type": "object"},
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"default": [
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{"Trade ID": "{trade_id}"},
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{"Exchange": "{exchange}"},
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{"Pair": "{pair}"},
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{"Direction": "{direction}"},
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{"Open rate": "{open_rate}"},
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{"Close rate": "{close_rate}"},
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{"Amount": "{amount}"},
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{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
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{"Close date": "{close_date:%Y-%m-%d %H:%M:%S}"},
|
|
{"Profit": "{profit_amount} {stake_currency}"},
|
|
{"Profitability": "{profit_ratio:.2%}"},
|
|
{"Enter tag": "{enter_tag}"},
|
|
{"Exit Reason": "{exit_reason}"},
|
|
{"Strategy": "{strategy}"},
|
|
{"Timeframe": "{timeframe}"},
|
|
],
|
|
},
|
|
"entry_fill": {
|
|
"type": "array",
|
|
"items": {"type": "object"},
|
|
"default": [
|
|
{"Trade ID": "{trade_id}"},
|
|
{"Exchange": "{exchange}"},
|
|
{"Pair": "{pair}"},
|
|
{"Direction": "{direction}"},
|
|
{"Open rate": "{open_rate}"},
|
|
{"Amount": "{amount}"},
|
|
{"Open date": "{open_date:%Y-%m-%d %H:%M:%S}"},
|
|
{"Enter tag": "{enter_tag}"},
|
|
{"Strategy": "{strategy} {timeframe}"},
|
|
],
|
|
},
|
|
},
|
|
},
|
|
"api_server": {
|
|
"type": "object",
|
|
"properties": {
|
|
"enabled": {"type": "boolean"},
|
|
"listen_ip_address": {"format": "ipv4"},
|
|
"listen_port": {"type": "integer", "minimum": 1024, "maximum": 65535},
|
|
"username": {"type": "string"},
|
|
"password": {"type": "string"},
|
|
"ws_token": {"type": ["string", "array"], "items": {"type": "string"}},
|
|
"jwt_secret_key": {"type": "string"},
|
|
"CORS_origins": {"type": "array", "items": {"type": "string"}},
|
|
"verbosity": {"type": "string", "enum": ["error", "info"]},
|
|
},
|
|
"required": ["enabled", "listen_ip_address", "listen_port", "username", "password"],
|
|
},
|
|
"db_url": {"type": "string"},
|
|
"export": {"type": "string", "enum": EXPORT_OPTIONS, "default": "trades"},
|
|
"disableparamexport": {"type": "boolean"},
|
|
"initial_state": {"type": "string", "enum": ["running", "stopped"]},
|
|
"force_entry_enable": {"type": "boolean"},
|
|
"disable_dataframe_checks": {"type": "boolean"},
|
|
"internals": {
|
|
"type": "object",
|
|
"default": {},
|
|
"properties": {
|
|
"process_throttle_secs": {"type": "integer"},
|
|
"interval": {"type": "integer"},
|
|
"sd_notify": {"type": "boolean"},
|
|
},
|
|
},
|
|
"dataformat_ohlcv": {
|
|
"type": "string",
|
|
"enum": AVAILABLE_DATAHANDLERS,
|
|
"default": "feather",
|
|
},
|
|
"dataformat_trades": {
|
|
"type": "string",
|
|
"enum": AVAILABLE_DATAHANDLERS,
|
|
"default": "feather",
|
|
},
|
|
"position_adjustment_enable": {"type": "boolean"},
|
|
"max_entry_position_adjustment": {"type": ["integer", "number"], "minimum": -1},
|
|
"orderflow": {
|
|
"type": "object",
|
|
"properties": {
|
|
"cache_size": {"type": "number", "minimum": 1, "default": 1000},
|
|
"max_candles": {"type": "number", "minimum": 1, "default": 1500},
|
|
"scale": {"type": "number", "minimum": 0.0},
|
|
"stacked_imbalance_range": {"type": "number", "minimum": 0},
|
|
"imbalance_volume": {"type": "number", "minimum": 0},
|
|
"imbalance_ratio": {"type": "number", "minimum": 0.0},
|
|
},
|
|
"required": [
|
|
"max_candles",
|
|
"scale",
|
|
"stacked_imbalance_range",
|
|
"imbalance_volume",
|
|
"imbalance_ratio",
|
|
],
|
|
},
|
|
},
|
|
"definitions": {
|
|
"exchange": {
|
|
"type": "object",
|
|
"properties": {
|
|
"name": {"type": "string"},
|
|
"key": {"type": "string", "default": ""},
|
|
"secret": {"type": "string", "default": ""},
|
|
"password": {"type": "string", "default": ""},
|
|
"uid": {"type": "string"},
|
|
"pair_whitelist": {
|
|
"type": "array",
|
|
"items": {
|
|
"type": "string",
|
|
},
|
|
"uniqueItems": True,
|
|
},
|
|
"pair_blacklist": {
|
|
"type": "array",
|
|
"items": {
|
|
"type": "string",
|
|
},
|
|
"uniqueItems": True,
|
|
},
|
|
"unknown_fee_rate": {"type": "number"},
|
|
"outdated_offset": {"type": "integer", "minimum": 1},
|
|
"markets_refresh_interval": {"type": "integer"},
|
|
"ccxt_config": {"type": "object"},
|
|
"ccxt_async_config": {"type": "object"},
|
|
},
|
|
"required": ["name"],
|
|
},
|
|
"edge": {
|
|
"type": "object",
|
|
"properties": {
|
|
"enabled": {"type": "boolean"},
|
|
"process_throttle_secs": {"type": "integer", "minimum": 600},
|
|
"calculate_since_number_of_days": {"type": "integer"},
|
|
"allowed_risk": {"type": "number"},
|
|
"stoploss_range_min": {"type": "number"},
|
|
"stoploss_range_max": {"type": "number"},
|
|
"stoploss_range_step": {"type": "number"},
|
|
"minimum_winrate": {"type": "number"},
|
|
"minimum_expectancy": {"type": "number"},
|
|
"min_trade_number": {"type": "number"},
|
|
"max_trade_duration_minute": {"type": "integer"},
|
|
"remove_pumps": {"type": "boolean"},
|
|
},
|
|
"required": ["process_throttle_secs", "allowed_risk"],
|
|
},
|
|
"external_message_consumer": {
|
|
"type": "object",
|
|
"properties": {
|
|
"enabled": {"type": "boolean", "default": False},
|
|
"producers": {
|
|
"type": "array",
|
|
"items": {
|
|
"type": "object",
|
|
"properties": {
|
|
"name": {"type": "string"},
|
|
"host": {"type": "string"},
|
|
"port": {
|
|
"type": "integer",
|
|
"default": 8080,
|
|
"minimum": 0,
|
|
"maximum": 65535,
|
|
},
|
|
"secure": {"type": "boolean", "default": False},
|
|
"ws_token": {"type": "string"},
|
|
},
|
|
"required": ["name", "host", "ws_token"],
|
|
},
|
|
},
|
|
"wait_timeout": {"type": "integer", "minimum": 0},
|
|
"sleep_time": {"type": "integer", "minimum": 0},
|
|
"ping_timeout": {"type": "integer", "minimum": 0},
|
|
"remove_entry_exit_signals": {"type": "boolean", "default": False},
|
|
"initial_candle_limit": {
|
|
"type": "integer",
|
|
"minimum": 0,
|
|
"maximum": 1500,
|
|
"default": 1500,
|
|
},
|
|
"message_size_limit": { # In megabytes
|
|
"type": "integer",
|
|
"minimum": 1,
|
|
"maximum": 20,
|
|
"default": 8,
|
|
},
|
|
},
|
|
"required": ["producers"],
|
|
},
|
|
"freqai": {
|
|
"type": "object",
|
|
"properties": {
|
|
"enabled": {"type": "boolean", "default": False},
|
|
"keras": {"type": "boolean", "default": False},
|
|
"write_metrics_to_disk": {"type": "boolean", "default": False},
|
|
"purge_old_models": {"type": ["boolean", "number"], "default": 2},
|
|
"conv_width": {"type": "integer", "default": 1},
|
|
"train_period_days": {"type": "integer", "default": 0},
|
|
"backtest_period_days": {"type": "number", "default": 7},
|
|
"identifier": {"type": "string", "default": "example"},
|
|
"feature_parameters": {
|
|
"type": "object",
|
|
"properties": {
|
|
"include_corr_pairlist": {"type": "array"},
|
|
"include_timeframes": {"type": "array"},
|
|
"label_period_candles": {"type": "integer"},
|
|
"include_shifted_candles": {"type": "integer", "default": 0},
|
|
"DI_threshold": {"type": "number", "default": 0},
|
|
"weight_factor": {"type": "number", "default": 0},
|
|
"principal_component_analysis": {"type": "boolean", "default": False},
|
|
"use_SVM_to_remove_outliers": {"type": "boolean", "default": False},
|
|
"plot_feature_importances": {"type": "integer", "default": 0},
|
|
"svm_params": {
|
|
"type": "object",
|
|
"properties": {
|
|
"shuffle": {"type": "boolean", "default": False},
|
|
"nu": {"type": "number", "default": 0.1},
|
|
},
|
|
},
|
|
"shuffle_after_split": {"type": "boolean", "default": False},
|
|
"buffer_train_data_candles": {"type": "integer", "default": 0},
|
|
},
|
|
"required": [
|
|
"include_timeframes",
|
|
"include_corr_pairlist",
|
|
],
|
|
},
|
|
"data_split_parameters": {
|
|
"type": "object",
|
|
"properties": {
|
|
"test_size": {"type": "number"},
|
|
"random_state": {"type": "integer"},
|
|
"shuffle": {"type": "boolean", "default": False},
|
|
},
|
|
},
|
|
"model_training_parameters": {"type": "object"},
|
|
"rl_config": {
|
|
"type": "object",
|
|
"properties": {
|
|
"drop_ohlc_from_features": {"type": "boolean", "default": False},
|
|
"train_cycles": {"type": "integer"},
|
|
"max_trade_duration_candles": {"type": "integer"},
|
|
"add_state_info": {"type": "boolean", "default": False},
|
|
"max_training_drawdown_pct": {"type": "number", "default": 0.02},
|
|
"cpu_count": {"type": "integer", "default": 1},
|
|
"model_type": {"type": "string", "default": "PPO"},
|
|
"policy_type": {"type": "string", "default": "MlpPolicy"},
|
|
"net_arch": {"type": "array", "default": [128, 128]},
|
|
"randomize_starting_position": {"type": "boolean", "default": False},
|
|
"progress_bar": {"type": "boolean", "default": True},
|
|
"model_reward_parameters": {
|
|
"type": "object",
|
|
"properties": {
|
|
"rr": {"type": "number", "default": 1},
|
|
"profit_aim": {"type": "number", "default": 0.025},
|
|
},
|
|
},
|
|
},
|
|
},
|
|
},
|
|
"required": [
|
|
"enabled",
|
|
"train_period_days",
|
|
"backtest_period_days",
|
|
"identifier",
|
|
"feature_parameters",
|
|
"data_split_parameters",
|
|
],
|
|
},
|
|
},
|
|
}
|
|
|
|
SCHEMA_TRADE_REQUIRED = [
|
|
"exchange",
|
|
"timeframe",
|
|
"max_open_trades",
|
|
"stake_currency",
|
|
"stake_amount",
|
|
"tradable_balance_ratio",
|
|
"last_stake_amount_min_ratio",
|
|
"dry_run",
|
|
"dry_run_wallet",
|
|
"exit_pricing",
|
|
"entry_pricing",
|
|
"stoploss",
|
|
"minimal_roi",
|
|
"internals",
|
|
"dataformat_ohlcv",
|
|
"dataformat_trades",
|
|
]
|
|
|
|
SCHEMA_BACKTEST_REQUIRED = [
|
|
"exchange",
|
|
"stake_currency",
|
|
"stake_amount",
|
|
"dry_run_wallet",
|
|
"dataformat_ohlcv",
|
|
"dataformat_trades",
|
|
]
|
|
SCHEMA_BACKTEST_REQUIRED_FINAL = SCHEMA_BACKTEST_REQUIRED + [
|
|
"stoploss",
|
|
"minimal_roi",
|
|
"max_open_trades",
|
|
]
|
|
|
|
SCHEMA_MINIMAL_REQUIRED = [
|
|
"exchange",
|
|
"dry_run",
|
|
"dataformat_ohlcv",
|
|
"dataformat_trades",
|
|
]
|
|
SCHEMA_MINIMAL_WEBSERVER = SCHEMA_MINIMAL_REQUIRED + [
|
|
"api_server",
|
|
]
|
|
|
|
CANCEL_REASON = {
|
|
"TIMEOUT": "cancelled due to timeout",
|
|
"PARTIALLY_FILLED_KEEP_OPEN": "partially filled - keeping order open",
|
|
"PARTIALLY_FILLED": "partially filled",
|
|
"FULLY_CANCELLED": "fully cancelled",
|
|
"ALL_CANCELLED": "cancelled (all unfilled and partially filled open orders cancelled)",
|
|
"CANCELLED_ON_EXCHANGE": "cancelled on exchange",
|
|
"FORCE_EXIT": "forcesold",
|
|
"REPLACE": "cancelled to be replaced by new limit order",
|
|
"REPLACE_FAILED": "failed to replace order, deleting Trade",
|
|
"USER_CANCEL": "user requested order cancel",
|
|
}
|
|
|
|
# List of pairs with their timeframes
|
|
PairWithTimeframe = Tuple[str, str, CandleType]
|
|
ListPairsWithTimeframes = List[PairWithTimeframe]
|
|
|
|
# Type for trades list
|
|
TradeList = List[List]
|
|
# ticks, pair, timeframe, CandleType
|
|
TickWithTimeframe = Tuple[str, str, CandleType, Optional[int], Optional[int]]
|
|
ListTicksWithTimeframes = List[TickWithTimeframe]
|
|
|
|
LongShort = Literal["long", "short"]
|
|
EntryExit = Literal["entry", "exit"]
|
|
BuySell = Literal["buy", "sell"]
|
|
MakerTaker = Literal["maker", "taker"]
|
|
BidAsk = Literal["bid", "ask"]
|
|
OBLiteral = Literal["asks", "bids"]
|
|
|
|
Config = Dict[str, Any]
|
|
# Exchange part of the configuration.
|
|
ExchangeConfig = Dict[str, Any]
|
|
IntOrInf = float
|
|
|
|
|
|
EntryExecuteMode = Literal["initial", "pos_adjust", "replace"]
|