Improve merge_informative_pairs to properly merge correct timeframes

explanation in #4073, closes #4073

freqtrade/strategy/strategy_helper.py

@@ -24,15 +24,24 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
     :param timeframe: Timeframe of the original pair sample.
     :param timeframe_inf: Timeframe of the informative pair sample.
     :param ffill: Forwardfill missing values - optional but usually required
+    :return: Merged dataframe
+    :raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe
     """
 
     minutes_inf = timeframe_to_minutes(timeframe_inf)
     minutes = timeframe_to_minutes(timeframe)
-    if minutes >= minutes_inf:
+    if minutes == minutes_inf:
         # No need to forwardshift if the timeframes are identical
         informative['date_merge'] = informative["date"]
+    elif minutes < minutes_inf:
+        # Subtract "small" timeframe so merging is not delayed by 1 small candle
+        # Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073
+        informative['date_merge'] = (
+            informative["date"] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm')
+            )
     else:
-        informative['date_merge'] = informative["date"] + pd.to_timedelta(minutes_inf, 'm')
+        raise ValueError("Tried to merge a faster timeframe to a slower timeframe."
+                         "This would create new rows, and can throw off your regular indicators.")
 
     # Rename columns to be unique
     informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns]

tests/strategy/test_strategy_helpers.py

@@ -1,5 +1,6 @@
 import numpy as np
 import pandas as pd
+import pytest
 
 from freqtrade.strategy import merge_informative_pair, timeframe_to_minutes
 
@@ -47,17 +48,17 @@ def test_merge_informative_pair():
     assert 'volume_1h' in result.columns
     assert result['volume'].equals(data['volume'])
 
-    # First 4 rows are empty
+    # First 3 rows are empty
     assert result.iloc[0]['date_1h'] is pd.NaT
     assert result.iloc[1]['date_1h'] is pd.NaT
     assert result.iloc[2]['date_1h'] is pd.NaT
-    assert result.iloc[3]['date_1h'] is pd.NaT
     # Next 4 rows contain the starting date (0:00)
+    assert result.iloc[3]['date_1h'] == result.iloc[0]['date']
     assert result.iloc[4]['date_1h'] == result.iloc[0]['date']
     assert result.iloc[5]['date_1h'] == result.iloc[0]['date']
     assert result.iloc[6]['date_1h'] == result.iloc[0]['date']
-    assert result.iloc[7]['date_1h'] == result.iloc[0]['date']
     # Next 4 rows contain the next Hourly date original date row 4
+    assert result.iloc[7]['date_1h'] == result.iloc[4]['date']
     assert result.iloc[8]['date_1h'] == result.iloc[4]['date']
 
 
@@ -86,3 +87,11 @@ def test_merge_informative_pair_same():
 
     # Dates match 1:1
     assert result['date_15m'].equals(result['date'])
+
+
+def test_merge_informative_pair_lower():
+    data = generate_test_data('1h', 40)
+    informative = generate_test_data('15m', 40)
+
+    with pytest.raises(ValueError, match=r"Tried to merge a faster timeframe .*"):
+        merge_informative_pair(data, informative, '1h', '15m', ffill=True)