import re import warnings import pandas as pd import numpy as np import pytz from cachetools import TTLCache from datetime import datetime, timedelta from functools import reduce from pandas import DataFrame import talib.abstract as ta import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date from freqtrade.strategy import (IStrategy, merge_informative_pair, stoploss_from_open, informative, IntParameter, DecimalParameter, CategoricalParameter) from freqtrade.persistence import Trade import psycopg2 from questdb.ingress import Sender from sqlalchemy import create_engine, text from sqlalchemy.exc import DatabaseError #from prettytable import PrettyTable import logging log = logging.getLogger(__name__) log.setLevel(logging.DEBUG) warnings.simplefilter(action='ignore', category=pd.errors.PerformanceWarning) """ Freqtrade Consumer Strategy to receive the dataframes of producers and store them in QuestDB for storage or further processing Requirements: pip install influxdb, questdb, cachetools """ class Consumer(IStrategy): def version(self) -> str: return "v1.0" # Trailing stop: trailing_stop = False timeframe = '5m' can_short = True store_refresh_period = 300 # 5 minutes pair_cache = TTLCache(maxsize=100, ttl=store_refresh_period) stoploss = -0.06 use_custom_stoploss = False use_entry_signal = True entry_profit_only = False ignore_roi_if_entry_signal = False process_only_new_candles = False # required for consumers use_custom_stoploss = False engine = None producers = ['ft_1', 'ft_2', 'ft_3', 'ft_4','ft_5'] producer_tfs = { 'ft_1': '5m', 'ft_2': '5m', 'ft_3': '5m', 'ft_4': '5m', 'ft_5': '5m', } def bot_start(self, **kwargs) -> None: conn_str = 'postgresql+psycopg2://admin:quest@questdb:8812/qdb' self.engine = create_engine(conn_str, echo=False) return def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: pair = metadata['pair'] dataframe['mid'] = (dataframe['open'] + dataframe['close']) / 2.0 timeframe = self.timeframe #log.debug(f"Processing indicators for pair {pair} with main timeframe {timeframe}") expected_columns = [] # Initialize the variable before the loop required_columns_default_0 = [] required_columns_default_none = [] for producer in self.producers: producer_timeframe = self.producer_tfs.get(producer, '5m') #log.debug(f"Fetching data for producer {producer} with timeframe {producer_timeframe}") producer_dataframe, _ = self.dp.get_producer_df(pair, producer_name=producer, timeframe=producer_timeframe) if not producer_dataframe.empty: #log.debug(f"Data for producer {producer} is not empty.") columns = [ f'enter_long_{producer}', f'exit_long_{producer}', f'enter_short_{producer}', f'exit_short_{producer}', ] expected_columns.extend(columns) required_columns_default_0.extend([f'{col}_{producer}' for col in ['enter_long', 'enter_short', 'exit_long', 'exit_short']]) required_columns_default_none.extend([f'{col}_{producer}' for col in ['enter_tag','exit_tag']]) # Check if the suffixed versions of 'enter_long' and 'enter_short' are in producer_dataframe should_store_df = all(col in producer_dataframe.columns for col in ['enter_long', 'enter_short']) cache_key = f"{pair}_{producer}" if cache_key not in self.pair_cache and should_store_df: sdf = producer_dataframe.copy() self.store_df(sdf, producer, pair, self.engine, host='questdb', port=9009) #log.debug(f"Storing dataframe for pair {pair} and producer {producer} completed.") self.pair_cache[cache_key] = True dataframe = merge_informative_pair(dataframe, producer_dataframe, timeframe, producer_timeframe, # Using the producer's timeframe here append_timeframe=False, suffix=producer, ffill=True) else: log.debug(f"Data for producer {producer} is empty.") for col in expected_columns: if col not in dataframe.columns: if col in required_columns_default_0: dataframe[col] = 0 elif col in required_columns_default_none: dataframe[col] = None dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) dataframe['mfi'] = ta.MFI(dataframe, timeperiod=14) return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[:, 'enter_tag'] = '' long_conditions = [(dataframe[f'enter_long_{producer}'].fillna(False).astype(bool)) for producer in self.producers if f'enter_long_{producer}' in dataframe.columns] short_conditions = [(dataframe[f'enter_short_{producer}'].fillna(False).astype(bool)) for producer in self.producers if f'enter_short_{producer}' in dataframe.columns] # Checking and combining all producer conditions if long_conditions: combined_long_condition = reduce(lambda x, y: x & y, long_conditions) dataframe.loc[combined_long_condition, 'enter_tag'] += 'consumer_enter ' dataframe.loc[combined_long_condition, 'enter_long'] = 1 else: dataframe['enter_long'] = 0 if short_conditions: combined_short_condition = reduce(lambda x, y: x & y, short_conditions) dataframe.loc[combined_short_condition, 'enter_tag'] += 'consumer_enter ' dataframe.loc[combined_short_condition, 'enter_short'] = 1 else: dataframe['enter_short'] = 0 return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[:, 'exit_tag'] = '' long_exit_conditions = [(dataframe[f'exit_long_{producer}'].fillna(False).astype(bool)) for producer in self.producers if f'exit_long_{producer}' in dataframe.columns] short_exit_conditions = [(dataframe[f'exit_short_{producer}'].fillna(False).astype(bool)) for producer in self.producers if f'exit_short_{producer}' in dataframe.columns] # Checking and combining all producer conditions if long_exit_conditions: combined_long_exit_condition = reduce(lambda x, y: x & y, long_exit_conditions) dataframe.loc[combined_long_exit_condition, 'exit_tag'] += 'consumer_exit ' dataframe.loc[combined_long_exit_condition, 'exit_long'] = 1 else: dataframe['exit_long'] = 0 if short_exit_conditions: combined_short_exit_condition = reduce(lambda x, y: x & y, short_exit_conditions) dataframe.loc[combined_short_exit_condition, 'exit_tag'] += 'consumer_exit ' dataframe.loc[combined_short_exit_condition, 'exit_short'] = 1 else: dataframe['exit_short'] = 0 return dataframe def store_df(self, sdf: DataFrame, strategy: str, pair: str, engine, host: str = 'questdb', port: int = 9009) -> None: """ Store the sdf into a database for a specific strategy and pair. """ #log.debug("Starting store_df function...") ft_pair = pair pair = pair.split('/')[0] sdf.insert(0, 'pair', pair) sdf.insert(1, 'ft_pair', ft_pair) sdf.insert(2, 'time_interval', self.timeframe) sdf_clean = self.clean_dataframe(sdf) #log.debug("Cleaned the dataframe...") with engine.connect() as connection: try: last_inserted_timestamp = self.get_last_inserted_timestamp(connection, strategy, pair) log.debug(f"Last inserted row for strategy {strategy} and pair {pair}: {last_inserted_timestamp}") data_to_insert = self.get_data_to_insert(sdf_clean, last_inserted_timestamp) if not data_to_insert.empty: self.send_data_to_sender(data_to_insert, host, port, strategy) log.info(f"New rows stored for strategy: {strategy}, pair: {pair}") connection.commit() except DatabaseError as e: self.handle_database_error(e, sdf_clean, strategy, pair, host, port) def clean_dataframe(self, sdf_clean: DataFrame) -> DataFrame: sdf_clean.columns = [re.sub('[%&-]', '_', col) for col in sdf_clean.columns] sdf_clean = sdf_clean.replace(True, 1).replace(False, 0) return sdf_clean def get_last_inserted_timestamp(self, connection, strategy, pair) -> datetime: query = text(f'select max(timestamp) from {strategy} where pair = :pair') result = connection.execute(query, {"pair": pair}).fetchone() if result and result[0]: #log.debug(f"Timestamp retrieved from the database: {result[0]}") return result[0].replace(tzinfo=pytz.UTC) else: #log.debug("No rows found in the database. Returning earliest datetime in dataframe...") return datetime.min.replace(tzinfo=pytz.UTC) def send_data_to_sender(self, data_to_insert: DataFrame, host: str, port: int, strategy: str) -> None: with Sender(host, port) as sender: #log.debug(f"Sending data to QuestDB {host}:{port} for table {strategy}...") sender.dataframe(data_to_insert, table_name=strategy, at='date') sender.flush() #log.debug("Data sent successfully.") def handle_database_error(self, e: Exception, sdf: DataFrame, strategy: str, pair: str, host: str, port: int) -> None: if "table does not exist" in str(e).lower(): log.debug("Table does not exist. QuestDB will create the table.") self.send_data_to_sender(sdf, host, port, strategy) else: log.error(f"Unhandled database error: {e}") def get_data_to_insert(self, sdf: DataFrame, last_inserted_timestamp: datetime) -> DataFrame: sdf['date'] = pd.to_datetime(sdf['date']) filtered_df = sdf[sdf['date'] > last_inserted_timestamp] return filtered_df