adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Revert OHLVC dataformat to ccxt format

Browse Source 
* Also fixes backtesting - but data must be refreshed for now as no
conversation is happening yet
This commit is contained in:
Matthias Voppichler 2018-03-25 13:32:46 +02:00
parent dbb0a6261f
commit 016232a8e9
3 changed files with 23 additions and 25 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

13
freqtrade/analyze.py
View File

@ -44,12 +44,13 @@ class Analyze(object):
:param ticker: See exchange.get_ticker_history
:return: DataFrame
"""
columns = {'C': 'close', 'V': 'volume', 'O': 'open', 'H': 'high', 'L': 'low', 'T': 'date'}
frame = DataFrame(ticker) \
.rename(columns=columns)
if 'BV' in frame:
frame.drop('BV', 1, inplace=True)
frame['date'] = to_datetime(frame['date'], utc=True, infer_datetime_format=True)
cols = ['date', 'open', 'high', 'low', 'close', 'volume']
frame = DataFrame(ticker, columns=cols)
frame['date'] = to_datetime(frame['date'],
unit='ms',
utc=True,
infer_datetime_format=True)
frame.sort_values('date', inplace=True)
return frame

20
freqtrade/exchange/__init__.py
View File

@ -181,26 +181,18 @@ def get_ticker(pair: str, refresh: Optional[bool] = True) -> dict:
# @cached(TTLCache(maxsize=100, ttl=30))
@retrier
def get_ticker_history(pair: str, tick_interval) -> List[Dict]:
def get_ticker_history(pair: str, tick_interval) -> List[List]:
# TODO: tickers need to be in format 1m,5m
# fetch_ohlcv returns an [[datetime,o,h,l,c,v]]
if 'fetchOHLCV' not in _API.has or not _API.has['fetchOHLCV']:
logger.warning('Exhange %s does not support fetching historical candlestick data.', _API.name)
logger.warning('Exhange %s does not support fetching historical candlestick data.',
_API.name)
return []
try:
history = _API.fetch_ohlcv(pair, timeframe=str(tick_interval)+"m")
history_json = []
for candlestick in history:
history_json.append({
'T': datetime.fromtimestamp(candlestick[0]/1000.0).strftime('%Y-%m-%dT%H:%M:%S.%f'),
'O': candlestick[1],
'H': candlestick[2],
'L': candlestick[3],
'C': candlestick[4],
'V': candlestick[5],
})
return history_json
ohlcv = _API.fetch_ohlcv(pair, timeframe=str(tick_interval)+"m")
return ohlcv
except IndexError as e:
logger.warning('Empty ticker history. Msg %s', str(e))
except ccxt.NetworkError as e:

15
freqtrade/optimize/__init__.py
View File

@ -4,6 +4,7 @@ import gzip
import json
import os
from typing import Optional, List, Dict, Tuple
from datetime import datetime
from freqtrade import misc
from freqtrade.exchange import get_ticker_history
@ -135,8 +136,8 @@ def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) ->
if os.path.isfile(filename):
with open(filename, "rt") as file:
data = json.load(file)
logger.debug("Current Start: %s", data[1]['T'])
logger.debug("Current End: %s", data[-1:][0]['T'])
logger.debug("Current Start: %s", format_ms_time(data[1][0]))
logger.debug("Current End: %s", format_ms_time(data[-1:][0][0]))
else:
data = []
logger.debug("Current Start: None")
@ -146,10 +147,14 @@ def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) ->
for row in new_data:
if row not in data:
data.append(row)
logger.debug("New Start: %s", data[1]['T'])
logger.debug("New End: %s", data[-1:][0]['T'])
data = sorted(data, key=lambda data: data['T'])
logger.debug("New Start: %s", format_ms_time(data[0][0]))
logger.debug("New End: %s", format_ms_time(data[-1:][0][0]))
data = sorted(data, key=lambda data: data[0])
misc.file_dump_json(filename, data)
return True
def format_ms_time(date: str) -> str:
return datetime.fromtimestamp(date/1000.0).strftime('%Y-%m-%dT%H:%M:%S')