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Merged feat/short into lev-strat

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This commit is contained in:
Sam Germain
2021-09-19 17:44:12 -06:00
parent a89c67787b
commit 778f0d9d0a
41 changed files with 3173 additions and 614 deletions
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46
freqtrade/strategy/interface.py
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@@ -19,6 +19,9 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import timeframe_to_next_date
from freqtrade.persistence import PairLocks, Trade
from freqtrade.strategy.hyper import HyperStrategyMixin
from freqtrade.strategy.informative_decorator import (InformativeData, PopulateIndicators,
_create_and_merge_informative_pair,
_format_pair_name)
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.wallets import Wallets
@@ -118,7 +121,7 @@ class IStrategy(ABC, HyperStrategyMixin):
# Class level variables (intentional) containing
# the dataprovider (dp) (access to other candles, historic data, ...)
# and wallets - access to the current balance.
dp: Optional[DataProvider] = None
dp: Optional[DataProvider]
wallets: Optional[Wallets] = None
# Filled from configuration
stake_currency: str
@@ -134,6 +137,24 @@ class IStrategy(ABC, HyperStrategyMixin):
self._last_candle_seen_per_pair: Dict[str, datetime] = {}
super().__init__(config)
# Gather informative pairs from @informative-decorated methods.
self._ft_informative: List[Tuple[InformativeData, PopulateIndicators]] = []
for attr_name in dir(self.__class__):
cls_method = getattr(self.__class__, attr_name)
if not callable(cls_method):
continue
informative_data_list = getattr(cls_method, '_ft_informative', None)
if not isinstance(informative_data_list, list):
# Type check is required because mocker would return a mock object that evaluates to
# True, confusing this code.
continue
strategy_timeframe_minutes = timeframe_to_minutes(self.timeframe)
for informative_data in informative_data_list:
if timeframe_to_minutes(informative_data.timeframe) < strategy_timeframe_minutes:
raise OperationalException('Informative timeframe must be equal or higher than '
'strategy timeframe!')
self._ft_informative.append((informative_data, cls_method))
@abstractmethod
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
@@ -379,6 +400,23 @@ class IStrategy(ABC, HyperStrategyMixin):
# END - Intended to be overridden by strategy
###
def gather_informative_pairs(self) -> ListPairsWithTimeframes:
"""
Internal method which gathers all informative pairs (user or automatically defined).
"""
informative_pairs = self.informative_pairs()
for inf_data, _ in self._ft_informative:
if inf_data.asset:
pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe)
informative_pairs.append(pair_tf)
else:
if not self.dp:
raise OperationalException('@informative decorator with unspecified asset '
'requires DataProvider instance.')
for pair in self.dp.current_whitelist():
informative_pairs.append((pair, inf_data.timeframe))
return list(set(informative_pairs))
def get_strategy_name(self) -> str:
"""
Returns strategy class name
@@ -878,6 +916,12 @@ class IStrategy(ABC, HyperStrategyMixin):
:return: a Dataframe with all mandatory indicators for the strategies
"""
logger.debug(f"Populating indicators for pair {metadata.get('pair')}.")
# call populate_indicators_Nm() which were tagged with @informative decorator.
for inf_data, populate_fn in self._ft_informative:
dataframe = _create_and_merge_informative_pair(
self, dataframe, metadata, inf_data, populate_fn)
if self._populate_fun_len == 2:
warnings.warn("deprecated - check out the Sample strategy to see "
"the current function headers!", DeprecationWarning)