Merge branch 'v7.0.0'

README.md

@@ -4,7 +4,7 @@
 
 :warning: **Used at one's own risk** :warning:
 
-v7.0.0
+v7.0.1
 
 
 ## Overview

configs/template.json

@@ -61,7 +61,7 @@
           "max_n_cancellations_per_batch": 5,
           "max_n_creations_per_batch": 3,
           "minimum_coin_age_days": 30.0,
-          "noisiness_rolling_mean_window_size": 60,
+          "ohlcv_rolling_window": 60,
           "pnls_max_lookback_days": 30.0,
           "price_distance_threshold": 0.002,
           "relative_volume_filter_clip_pct": 0.5,

docs/backtesting.md

@@ -1,3 +1,18 @@
 # Backtesting
 
-Coming soon...
+Passivbot includes a backtester which will simulate the bot's behavior on past price data. Historical 1m candlestick data is automatically downloaded and cached for all coins.
+
+## Usage
+
+```shell
+python3 src/backtest.py
+```
+Or
+```shell
+python3 src/backtest.py path/to/config.json
+```
+If no config is specified, it will default to `configs/template.json`
+
+## Backtest Results
+
+Metrics and plots are dumped to `backtests/{exchange}/`.

docs/configuration.md

@@ -130,8 +130,8 @@ If a position is stuck, bot will use profits made on other positions to realize
 - `leverage`: leverage set on exchange. Default 10.
 - `max_n_cancellations_per_batch`: will cancel n open orders per execution
 - `max_n_creations_per_batch`: will create n new orders per execution
-- `minimum_market_age_days`: disallow coins younger than a given number of days
-- `noisiness_rolling_mean_window_size`: number of minutes to look into the past to compute noisiness
+- `minimum_coin_age_days`: disallow coins younger than a given number of days
+- `ohlcv_rolling_window`: number of minutes to look into the past to compute volume and noisiness, used for dynamic coin selection in forager mode.
 	- noisiness is normalized relative range of 1m ohlcvs: `mean((high - low) / close)`
 	- in forager mode, bot will select coins with highest noisiness for opening positions
 - `pnls_max_lookback_days`: how far into the past to fetch pnl history

docs/optimizing.md

@@ -1,3 +1,22 @@
 # Optimizing
 
-Coming soon...
+Passivbot's config parameters may be automatically optimized by iterating many backtests and extracting the optimal config.
+
+## Usage
+
+```shell
+python3 src/optimize.py
+```
+Or
+```shell
+python3 src/optimize.py path/to/config.json
+```
+If no config is specified, it will default to `configs/template.json`
+
+## Optimizing Results
+
+All backtest results produced by the optimizer are stored in `optimize_results/`
+
+## Analyzing Results
+
+After optimization is complete, the script `src/tools/extract_best_config.py` will be run, analyzing all the backtest results and dumping the best one to `optimize_results_analysis/`

passivbot-rust/src/lib.rs

@@ -20,6 +20,9 @@ fn passivbot_rust(m: &Bound<'_, PyModule>) -> PyResult<()> {
     m.add_function(wrap_pyfunction!(round_, m)?)?;
     m.add_function(wrap_pyfunction!(round_up, m)?)?;
     m.add_function(wrap_pyfunction!(round_dn, m)?)?;
+    m.add_function(wrap_pyfunction!(round_dynamic, m)?)?;
+    m.add_function(wrap_pyfunction!(round_dynamic_up, m)?)?;
+    m.add_function(wrap_pyfunction!(round_dynamic_dn, m)?)?;
     m.add_function(wrap_pyfunction!(calc_diff, m)?)?;
     m.add_function(wrap_pyfunction!(qty_to_cost, m)?)?;
     m.add_function(wrap_pyfunction!(cost_to_qty, m)?)?;

passivbot-rust/src/utils.rs

@@ -29,6 +29,39 @@ pub fn round_dn(n: f64, step: f64) -> f64 {
     round_to_decimal_places(result, 10)
 }
 
+#[pyfunction]
+pub fn round_dynamic(n: f64, d: i32) -> f64 {
+    if n == 0.0 {
+        return n;
+    }
+    let shift = d - (n.abs().log10().floor() as i32) - 1;
+    let multiplier = 10f64.powi(shift);
+    let result = (n * multiplier).round() / multiplier;
+    round_to_decimal_places(result, 10)
+}
+
+#[pyfunction]
+pub fn round_dynamic_up(n: f64, d: i32) -> f64 {
+    if n == 0.0 {
+        return n;
+    }
+    let shift = d - (n.abs().log10().floor() as i32) - 1;
+    let multiplier = 10f64.powi(shift);
+    let result = (n * multiplier).ceil() / multiplier;
+    round_to_decimal_places(result, 10)
+}
+
+#[pyfunction]
+pub fn round_dynamic_dn(n: f64, d: i32) -> f64 {
+    if n == 0.0 {
+        return n;
+    }
+    let shift = d - (n.abs().log10().floor() as i32) - 1;
+    let multiplier = 10f64.powi(shift);
+    let result = (n * multiplier).floor() / multiplier;
+    round_to_decimal_places(result, 10)
+}
+
 #[pyfunction]
 pub fn calc_diff(x: f64, y: f64) -> f64 {
     if y == 0.0 {

src/backtest.py

@@ -12,6 +12,9 @@
     load_config,
     dump_config,
     coin_to_symbol,
+    add_arguments_recursively,
+    update_config_with_args,
+    format_config,
 )
 from pure_funcs import (
     get_template_live_config,
@@ -111,46 +114,9 @@ def check_nested(d0, d1):
     return check_nested(dict0, dict1)
 
 
-def add_argparse_args_to_config(config, args):
-    for key, value in vars(args).items():
-        try:
-            if value is None:
-                continue
-            if key == "symbols":
-                symbols = sorted([xf for x in set(value.split(",")) if (xf := coin_to_symbol(x))])
-                if symbols != sorted(set(config["live"]["approved_coins"])):
-                    logging.info(f"new symbols: {symbols}")
-                    config["live"]["approved_coins"] = [coin_to_symbol(x) for x in symbols]
-                    config["backtest"]["symbols"] = config["live"]["approved_coins"]
-            elif key in config["backtest"]:
-                if not isinstance(config["backtest"][key], dict):
-                    if config["backtest"][key] != value:
-                        logging.info(f"changing backtest {key} {config['backtest'][key]} -> {value}")
-                        config["backtest"][key] = value
-            elif key in config["optimize"]:
-                if not isinstance(config["optimize"][key], dict):
-                    if config["optimize"][key] != value:
-                        logging.info(f"changing optimize {key} {config['optimize'][key]} -> {value}")
-                        config["optimize"][key] = value
-            elif key in config["optimize"]["bounds"]:
-                new_value = [value, value]
-                if config["optimize"]["bounds"][key] != new_value:
-                    logging.info(f"fixing optimizing bound {key} to {value}")
-                    config["optimize"]["bounds"][key] = new_value
-            elif key in config["optimize"]["limits"]:
-                old_value = config["optimize"]["limits"][key]
-                if old_value != value:
-                    logging.info(f"changing optimizing limit {key} from {old_value} to {value}")
-                    config["optimize"]["limits"][key] = value
-        except Exception as e:
-            raise Exception(f"failed to add argparse arg to config {key}: {e}")
-    return config
-
-
 async def prepare_hlcvs_mss(config):
     results_path = oj(
         config["backtest"]["base_dir"],
-        "forager",
         config["backtest"]["exchange"],
         "",
     )
@@ -246,36 +212,8 @@ def plot_forager(results_path, symbols: [str], fdf: pd.DataFrame, bal_eq, hlcs):
         plt.savefig(oj(plots_dir, f"{symbol}.png"))
 
 
-def add_argparse_args_backtest(parser):
-    parser_items = [
-        ("s", "symbols", "symbols", str, ", comma separated (SYM1USDT,SYM2USDT,...)"),
-        ("e", "exchange", "exchange", str, ""),
-        ("sd", "start_date", "start_date", str, ""),
-        (
-            "ed",
-            "end_date",
-            "end_date",
-            str,
-            ", if end date is 'now', will use current date as end date",
-        ),
-        ("sb", "starting_balance", "starting_balance", float, ""),
-        ("bd", "base_dir", "base_dir", str, ""),
-    ]
-    for k0, k1, d, t, h in parser_items:
-        parser.add_argument(
-            *[f"-{k0}", f"--{k1}"] + ([f"--{k1.replace('_', '-')}"] if "_" in k1 else []),
-            type=t,
-            required=False,
-            dest=d,
-            default=None,
-            help=f"specify {k1}{h}, overriding value from hjson config.",
-        )
-    args = parser.parse_args()
-    return args
-
-
 def calc_preferred_coins(hlcvs, config):
-    w_size = config["live"]["noisiness_rolling_mean_window_size"]
+    w_size = config["live"]["ohlcv_rolling_window"]
     n_coins = hlcvs.shape[1]
 
     # Calculate noisiness indices
@@ -327,9 +265,22 @@ async def main():
     )
     parser = argparse.ArgumentParser(prog="backtest", description="run forager backtest")
     parser.add_argument("config_path", type=str, default=None, help="path to hjson passivbot config")
-    args = add_argparse_args_backtest(parser)
+    template_config = get_template_live_config("v7")
+    del template_config["optimize"]
+    keep_live_keys = {
+        "approved_coins",
+        "minimum_coin_age_days",
+        "ohlcv_rolling_window",
+        "relative_volume_filter_clip_pct",
+    }
+    for key in sorted(template_config["live"]):
+        if key not in keep_live_keys:
+            del template_config["live"][key]
+    add_arguments_recursively(parser, template_config)
+    args = parser.parse_args()
     config = load_config("configs/template.hjson" if args.config_path is None else args.config_path)
-    config = add_argparse_args_to_config(config, args)
+    update_config_with_args(config, args)
+    config = format_config(config)
     symbols, hlcvs, mss, results_path = await prepare_hlcvs_mss(config)
     config["backtest"]["symbols"] = symbols
     preferred_coins = calc_preferred_coins(hlcvs, config)

src/downloader.py

@@ -21,7 +21,7 @@
 from dateutil import parser
 from tqdm import tqdm
 
-from njit_funcs import calc_samples, round_up, round_dn, round_
+from njit_funcs import calc_samples
 from procedures import (
     prepare_backtest_config,
     make_get_filepath,

src/optimize.py

@@ -4,11 +4,11 @@
 import asyncio
 import argparse
 import multiprocessing
+import subprocess
 from multiprocessing import shared_memory
 from backtest import (
     prepare_hlcvs_mss,
     prep_backtest_args,
-    add_argparse_args_to_config,
     calc_preferred_coins,
 )
 from pure_funcs import (
@@ -214,57 +214,16 @@ def cleanup(self):
         self.shared_preferred_coins.unlink()
 
 
-def add_argparse_args_optimize(parser):
-    parser_items = [
-        ("s", "symbols", "symbols", str, ", comma separated (SYM1USDT,SYM2USDT,...)"),
-        ("e", "exchange", "exchange", str, ""),
-        ("sd", "start_date", "start_date", str, ""),
-        (
-            "ed",
-            "end_date",
-            "end_date",
-            str,
-            ", if end date is 'now', will use current date as end date",
-        ),
-        ("sb", "starting_balance", "starting_balance", float, ""),
-        ("bd", "base_dir", "base_dir", str, ""),
-        ("c", "n_cpus", "n_cpus", int, ""),
-        ("i", "iters", "iters", int, ""),
-        ("p", "population_size", "population_size", int, ""),
-    ]
-    template = get_template_live_config("v7")
-    shortened_already_added = set([x[0] for x in parser_items])
-    for key in list(template["optimize"]["bounds"]) + list(template["optimize"]["limits"]):
-        shortened = "".join([x[0] for x in key.split("_")])
-        if shortened in shortened_already_added:
-            for i in range(100):
-                shortened = "".join([x[0] for x in key.split("_")]) + str(i)
-                if shortened not in shortened_already_added:
-                    break
-            else:
-                raise Exception(f"too many duplicates of shortened key {key}")
-        parser_items.append((shortened, key, key, float, ", fixing optimizing bounds"))
-        shortened_already_added.add(shortened)
-    for k0, k1, d, t, h in parser_items:
-        parser.add_argument(
-            *[f"-{k0}", f"--{k1}"] + ([f"--{k1.replace('_', '-')}"] if "_" in k1 else []),
-            type=t,
-            required=False,
-            dest=d,
-            default=None,
-            help=f"specify {k1}{h}, overriding value from config.",
-        )
+def add_extra_options(parser):
     parser.add_argument(
         "-t",
         "--start",
         type=str,
         required=False,
         dest="starting_configs",
         default=None,
-        help="start with given live configs.  single json file or dir with multiple json files",
+        help="Start with given live configs. Single json file or dir with multiple json files",
     )
-    args = parser.parse_args()
-    return args
 
 
 def get_starting_configs(starting_configs: str):
@@ -296,13 +255,24 @@ def configs_to_individuals(cfgs):
 
 async def main():
     manage_rust_compilation()
-    parser = argparse.ArgumentParser(prog="optimize", description="run forager optimizer")
+    parser = argparse.ArgumentParser(prog="optimize", description="run optimizer")
     parser.add_argument(
         "config_path", type=str, default=None, nargs="?", help="path to json passivbot config"
     )
-    # add_arguments_recursively(parser, get_template_live_config("v7"))
-    # args = parser.parse_args()
-    args = add_argparse_args_optimize(parser)
+    template_config = get_template_live_config("v7")
+    del template_config["bot"]
+    keep_live_keys = {
+        "approved_coins",
+        "minimum_coin_age_days",
+        "ohlcv_rolling_window",
+        "relative_volume_filter_clip_pct",
+    }
+    for key in sorted(template_config["live"]):
+        if key not in keep_live_keys:
+            del template_config["live"][key]
+    add_arguments_recursively(parser, template_config)
+    add_extra_options(parser)
+    args = parser.parse_args()
     signal.signal(signal.SIGINT, signal_handler)
     logging.basicConfig(
         format="%(asctime)s %(levelname)-8s %(message)s",
@@ -315,7 +285,9 @@ async def main():
     else:
         logging.info(f"loading config {args.config_path}")
         config = load_config(args.config_path)
-    config = add_argparse_args_to_config(config, args)
+    old_config = deepcopy(config)
+    update_config_with_args(config, args)
+    config = format_config(config)
     symbols, hlcvs, mss, results_path = await prepare_hlcvs_mss(config)
     config["backtest"]["symbols"] = symbols
     preferred_coins = calc_preferred_coins(hlcvs, config)
@@ -325,7 +297,7 @@ async def main():
     coins_fname = "_".join(coins) if len(coins) <= 6 else f"{len(coins)}_coins"
     hash_snippet = uuid4().hex[:8]
     config["results_filename"] = make_get_filepath(
-        f"opt_results_forager/{date_fname}_{coins_fname}_{hash_snippet}_all_results.txt"
+        f"optimize_results/{date_fname}_{coins_fname}_{hash_snippet}_all_results.txt"
     )
     try:
         evaluator = Evaluator(hlcs, preferred_coins, config, mss)
@@ -426,6 +398,17 @@ def create_individual():
         print(logbook)
 
         logging.info(f"Optimization complete.")
+        try:
+            logging.info(f"Extracting best config...")
+            result = subprocess.run(
+                ["python3", "src/tools/extract_best_config.py", config["results_filename"], "-v"],
+                check=True,
+                capture_output=True,
+                text=True,
+            )
+            print(result.stdout)
+        except Exception as e:
+            logging.error(f"failed to extract best config {e}")
         ########
     except Exception as e:
         traceback.print_exc()