stable/freqtrade/data/history/idatahandler.py

"""
Abstract datahandler interface.
It's subclasses handle and storing data from disk.

"""
import logging
from abc import ABC, abstractclassmethod, abstractmethod
from copy import deepcopy
from datetime import datetime, timezone
from pathlib import Path
from typing import List, Optional, Type

from pandas import DataFrame

from freqtrade.configuration import TimeRange
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.data.converter import (clean_ohlcv_dataframe,
                                      trades_remove_duplicates, trim_dataframe)
from freqtrade.exchange import timeframe_to_seconds

logger = logging.getLogger(__name__)

# Type for trades list
TradeList = List[List]


class IDataHandler(ABC):

    def __init__(self, datadir: Path) -> None:
        self._datadir = datadir

    @abstractclassmethod
    def ohlcv_get_available_data(cls, datadir: Path) -> ListPairsWithTimeframes:
        """
        Returns a list of all pairs with ohlcv data available in this datadir
        :param datadir: Directory to search for ohlcv files
        :return: List of Tuples of (pair, timeframe)
        """

    @abstractclassmethod
    def ohlcv_get_pairs(cls, datadir: Path, timeframe: str) -> List[str]:
        """
        Returns a list of all pairs with ohlcv data available in this datadir
        for the specified timeframe
        :param datadir: Directory to search for ohlcv files
        :param timeframe: Timeframe to search pairs for
        :return: List of Pairs
        """

    @abstractmethod
    def ohlcv_store(self, pair: str, timeframe: str, data: DataFrame) -> None:
        """
        Store data in json format "values".
            format looks as follows:
            [[<date>,<open>,<high>,<low>,<close>]]
        :param pair: Pair - used to generate filename
        :timeframe: Timeframe - used to generate filename
        :data: Dataframe containing OHLCV data
        :return: None
        """

    @abstractmethod
    def _ohlcv_load(self, pair: str, timeframe: str,
                    timerange: Optional[TimeRange] = None,
                    ) -> DataFrame:
        """
        Internal method used to load data for one pair from disk.
        Implements the loading and conversion to a Pandas dataframe.
        Timerange trimming and dataframe validation happens outside of this method.
        :param pair: Pair to load data
        :param timeframe: Timeframe (e.g. "5m")
        :param timerange: Limit data to be loaded to this timerange.
                        Optionally implemented by subclasses to avoid loading
                        all data where possible.
        :return: DataFrame with ohlcv data, or empty DataFrame
        """

    @abstractmethod
    def ohlcv_purge(self, pair: str, timeframe: str) -> bool:
        """
        Remove data for this pair
        :param pair: Delete data for this pair.
        :param timeframe: Timeframe (e.g. "5m")
        :return: True when deleted, false if file did not exist.
        """

    @abstractmethod
    def ohlcv_append(self, pair: str, timeframe: str, data: DataFrame) -> None:
        """
        Append data to existing data structures
        :param pair: Pair
        :param timeframe: Timeframe this ohlcv data is for
        :param data: Data to append.
        """

    @abstractclassmethod
    def trades_get_pairs(cls, datadir: Path) -> List[str]:
        """
        Returns a list of all pairs for which trade data is available in this
        :param datadir: Directory to search for ohlcv files
        :return: List of Pairs
        """

    @abstractmethod
    def trades_store(self, pair: str, data: TradeList) -> None:
        """
        Store trades data (list of Dicts) to file
        :param pair: Pair - used for filename
        :param data: List of Lists containing trade data,
                     column sequence as in DEFAULT_TRADES_COLUMNS
        """

    @abstractmethod
    def trades_append(self, pair: str, data: TradeList):
        """
        Append data to existing files
        :param pair: Pair - used for filename
        :param data: List of Lists containing trade data,
                     column sequence as in DEFAULT_TRADES_COLUMNS
        """

    @abstractmethod
    def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
        """
        Load a pair from file, either .json.gz or .json
        :param pair: Load trades for this pair
        :param timerange: Timerange to load trades for - currently not implemented
        :return: List of trades
        """

    @abstractmethod
    def trades_purge(self, pair: str) -> bool:
        """
        Remove data for this pair
        :param pair: Delete data for this pair.
        :return: True when deleted, false if file did not exist.
        """

    def trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
        """
        Load a pair from file, either .json.gz or .json
        Removes duplicates in the process.
        :param pair: Load trades for this pair
        :param timerange: Timerange to load trades for - currently not implemented
        :return: List of trades
        """
        return trades_remove_duplicates(self._trades_load(pair, timerange=timerange))

    def ohlcv_load(self, pair, timeframe: str,
                   timerange: Optional[TimeRange] = None,
                   fill_missing: bool = True,
                   drop_incomplete: bool = True,
                   startup_candles: int = 0,
                   warn_no_data: bool = True
                   ) -> DataFrame:
        """
        Load cached candle (OHLCV) data for the given pair.

        :param pair: Pair to load data for
        :param timeframe: Timeframe (e.g. "5m")
        :param timerange: Limit data to be loaded to this timerange
        :param fill_missing: Fill missing values with "No action"-candles
        :param drop_incomplete: Drop last candle assuming it may be incomplete.
        :param startup_candles: Additional candles to load at the start of the period
        :param warn_no_data: Log a warning message when no data is found
        :return: DataFrame with ohlcv data, or empty DataFrame
        """
        # Fix startup period
        timerange_startup = deepcopy(timerange)
        if startup_candles > 0 and timerange_startup:
            timerange_startup.subtract_start(timeframe_to_seconds(timeframe) * startup_candles)

        pairdf = self._ohlcv_load(pair, timeframe,
                                  timerange=timerange_startup)
        if self._check_empty_df(pairdf, pair, timeframe, warn_no_data):
            return pairdf
        else:
            enddate = pairdf.iloc[-1]['date']

            if timerange_startup:
                self._validate_pairdata(pair, pairdf, timerange_startup)
                pairdf = trim_dataframe(pairdf, timerange_startup)
                if self._check_empty_df(pairdf, pair, timeframe, warn_no_data):
                    return pairdf

            # incomplete candles should only be dropped if we didn't trim the end beforehand.
            pairdf = clean_ohlcv_dataframe(pairdf, timeframe,
                                           pair=pair,
                                           fill_missing=fill_missing,
                                           drop_incomplete=(drop_incomplete and
                                                            enddate == pairdf.iloc[-1]['date']))
            self._check_empty_df(pairdf, pair, timeframe, warn_no_data)
            return pairdf

    def _check_empty_df(self, pairdf: DataFrame, pair: str, timeframe: str, warn_no_data: bool):
        """
        Warn on empty dataframe
        """
        if pairdf.empty:
            if warn_no_data:
                logger.warning(
                    f'No history data for pair: "{pair}", timeframe: {timeframe}. '
                    'Use `freqtrade download-data` to download the data'
                )
            return True
        return False

    def _validate_pairdata(self, pair, pairdata: DataFrame, timerange: TimeRange):
        """
        Validates pairdata for missing data at start end end and logs warnings.
        :param pairdata: Dataframe to validate
        :param timerange: Timerange specified for start and end dates
        """

        if timerange.starttype == 'date':
            start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc)
            if pairdata.iloc[0]['date'] > start:
                logger.warning(f"Missing data at start for pair {pair}, "
                               f"data starts at {pairdata.iloc[0]['date']:%Y-%m-%d %H:%M:%S}")
        if timerange.stoptype == 'date':
            stop = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc)
            if pairdata.iloc[-1]['date'] < stop:
                logger.warning(f"Missing data at end for pair {pair}, "
                               f"data ends at {pairdata.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}")


def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
    """
    Get datahandler class.
    Could be done using Resolvers, but since this may be called often and resolvers
    are rather expensive, doing this directly should improve performance.
    :param datatype: datatype to use.
    :return: Datahandler class
    """

    if datatype == 'json':
        from .jsondatahandler import JsonDataHandler
        return JsonDataHandler
    elif datatype == 'jsongz':
        from .jsondatahandler import JsonGzDataHandler
        return JsonGzDataHandler
    else:
        raise ValueError(f"No datahandler for datatype {datatype} available.")


def get_datahandler(datadir: Path, data_format: str = None,
                    data_handler: IDataHandler = None) -> IDataHandler:
    """
    :param datadir: Folder to save data
    :data_format: dataformat to use
    :data_handler: returns this datahandler if it exists or initializes a new one
    """

    if not data_handler:
        HandlerClass = get_datahandlerclass(data_format or 'json')
        data_handler = HandlerClass(datadir)
    return data_handler