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Merge pull request #5780 from samgermain/mark-price-candles

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Mark price candles
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Matthias 2021-12-09 06:24:54 +01:00 committed by GitHub
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20
docs/data-download.md
View File

@ -29,6 +29,7 @@ usage: freqtrade download-data [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--erase]
[--data-format-ohlcv {json,jsongz,hdf5}]
[--data-format-trades {json,jsongz,hdf5}]
[--trading-mode {spot,margin,futures}]
optional arguments:
-h, --help show this help message and exit
@ -59,6 +60,8 @@ optional arguments:
--data-format-trades {json,jsongz,hdf5}
Storage format for downloaded trades data. (default:
`jsongz`).
--trading-mode {spot,margin,futures}
Select Trading mode
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
@ -193,11 +196,14 @@ usage: freqtrade convert-data [-h] [-v] [--logfile FILE] [-V] [-c PATH]
{json,jsongz,hdf5} --format-to
{json,jsongz,hdf5} [--erase]
[-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]]
[--exchange EXCHANGE]
[--trading-mode {spot,margin,futures}]
[--candle-types {spot,,futures,mark,index,premiumIndex,funding_rate} [{spot,,futures,mark,index,premiumIndex,funding_rate} ...]]
optional arguments:
-h, --help show this help message and exit
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Show profits for only these pairs. Pairs are space-
Limit command to these pairs. Pairs are space-
separated.
--format-from {json,jsongz,hdf5}
Source format for data conversion.
@ -208,6 +214,12 @@ optional arguments:
-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...], --timeframes {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]
Specify which tickers to download. Space-separated
list. Default: `1m 5m`.
--exchange EXCHANGE Exchange name (default: `bittrex`). Only valid if no
config is provided.
--trading-mode {spot,margin,futures}
Select Trading mode
--candle-types {spot,,futures,mark,index,premiumIndex,funding_rate} [{spot,,futures,mark,index,premiumIndex,funding_rate} ...]
Select candle type to use
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
@ -224,6 +236,7 @@ Common arguments:
Path to directory with historical backtesting data.
--userdir PATH, --user-data-dir PATH
Path to userdata directory.
```
##### Example converting data
@ -347,6 +360,7 @@ usage: freqtrade list-data [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
[--userdir PATH] [--exchange EXCHANGE]
[--data-format-ohlcv {json,jsongz,hdf5}]
[-p PAIRS [PAIRS ...]]
[--trading-mode {spot,margin,futures}]
optional arguments:
-h, --help show this help message and exit
@ -356,8 +370,10 @@ optional arguments:
Storage format for downloaded candle (OHLCV) data.
(default: `json`).
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Show profits for only these pairs. Pairs are space-
Limit command to these pairs. Pairs are space-
separated.
--trading-mode {spot,margin,futures}
Select Trading mode
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).

8
freqtrade/commands/arguments.py
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@ -61,15 +61,17 @@ ARGS_BUILD_CONFIG = ["config"]
ARGS_BUILD_STRATEGY = ["user_data_dir", "strategy", "template"]
ARGS_CONVERT_DATA = ["pairs", "format_from", "format_to", "erase"]
ARGS_CONVERT_DATA_OHLCV = ARGS_CONVERT_DATA + ["timeframes"]
ARGS_CONVERT_DATA_OHLCV = ARGS_CONVERT_DATA + ["timeframes", "exchange", "trading_mode",
"candle_types"]
ARGS_CONVERT_TRADES = ["pairs", "timeframes", "exchange", "dataformat_ohlcv", "dataformat_trades"]
ARGS_LIST_DATA = ["exchange", "dataformat_ohlcv", "pairs"]
ARGS_LIST_DATA = ["exchange", "dataformat_ohlcv", "pairs", "trading_mode"]
ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "include_inactive",
"timerange", "download_trades", "exchange", "timeframes",
"erase", "dataformat_ohlcv", "dataformat_trades"]
"erase", "dataformat_ohlcv", "dataformat_trades", "trading_mode"]
ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit",
"db_url", "trade_source", "export", "exportfilename",

7
freqtrade/commands/cli_options.py
View File

@ -5,6 +5,7 @@ from argparse import SUPPRESS, ArgumentTypeError
from freqtrade import __version__, constants
from freqtrade.constants import HYPEROPT_LOSS_BUILTIN
from freqtrade.enums import CandleType
def check_int_positive(value: str) -> int:
@ -353,6 +354,12 @@ AVAILABLE_CLI_OPTIONS = {
help='Select Trading mode',
choices=constants.TRADING_MODES,
),
"candle_types": Arg(
'--candle-types',
help='Select candle type to use',
choices=[c.value for c in CandleType],
nargs='+',
),
# Script options
"pairs": Arg(
'-p', '--pairs',

29
freqtrade/commands/data_commands.py
View File

@ -8,7 +8,7 @@ from freqtrade.configuration import TimeRange, setup_utils_configuration
from freqtrade.data.converter import convert_ohlcv_format, convert_trades_format
from freqtrade.data.history import (convert_trades_to_ohlcv, refresh_backtest_ohlcv_data,
refresh_backtest_trades_data)
from freqtrade.enums import RunMode
from freqtrade.enums import CandleType, RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.exchange.exchange import market_is_active
@ -64,6 +64,8 @@ def start_download_data(args: Dict[str, Any]) -> None:
try:
if config.get('download_trades'):
if config.get('trading_mode') == 'futures':
raise OperationalException("Trade download not supported for futures.")
pairs_not_available = refresh_backtest_trades_data(
exchange, pairs=expanded_pairs, datadir=config['datadir'],
timerange=timerange, new_pairs_days=config['new_pairs_days'],
@ -81,7 +83,9 @@ def start_download_data(args: Dict[str, Any]) -> None:
exchange, pairs=expanded_pairs, timeframes=config['timeframes'],
datadir=config['datadir'], timerange=timerange,
new_pairs_days=config['new_pairs_days'],
erase=bool(config.get('erase')), data_format=config['dataformat_ohlcv'])
erase=bool(config.get('erase')), data_format=config['dataformat_ohlcv'],
trading_mode=config.get('trading_mode', 'spot'),
)
except KeyboardInterrupt:
sys.exit("SIGINT received, aborting ...")
@ -133,9 +137,11 @@ def start_convert_data(args: Dict[str, Any], ohlcv: bool = True) -> None:
"""
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
if ohlcv:
candle_types = [CandleType.from_string(ct) for ct in config.get('candle_types', ['spot'])]
for candle_type in candle_types:
convert_ohlcv_format(config,
convert_from=args['format_from'], convert_to=args['format_to'],
erase=args['erase'])
erase=args['erase'], candle_type=candle_type)
else:
convert_trades_format(config,
convert_from=args['format_from'], convert_to=args['format_to'],
@ -154,17 +160,24 @@ def start_list_data(args: Dict[str, Any]) -> None:
from freqtrade.data.history.idatahandler import get_datahandler
dhc = get_datahandler(config['datadir'], config['dataformat_ohlcv'])
paircombs = dhc.ohlcv_get_available_data(config['datadir'])
# TODO-lev: trading-mode should be parsed at config level, and available as Enum in the config.
paircombs = dhc.ohlcv_get_available_data(config['datadir'], config.get('trading_mode', 'spot'))
if args['pairs']:
paircombs = [comb for comb in paircombs if comb[0] in args['pairs']]
print(f"Found {len(paircombs)} pair / timeframe combinations.")
groupedpair = defaultdict(list)
for pair, timeframe in sorted(paircombs, key=lambda x: (x[0], timeframe_to_minutes(x[1]))):
groupedpair[pair].append(timeframe)
for pair, timeframe, candle_type in sorted(
paircombs,
key=lambda x: (x[0], timeframe_to_minutes(x[1]), x[2])
):
groupedpair[(pair, candle_type)].append(timeframe)
if groupedpair:
print(tabulate([(pair, ', '.join(timeframes)) for pair, timeframes in groupedpair.items()],
headers=("Pair", "Timeframe"),
print(tabulate([
(pair, ', '.join(timeframes), candle_type)
for (pair, candle_type), timeframes in groupedpair.items()
],
headers=("Pair", "Timeframe", "Type"),
tablefmt='psql', stralign='right'))

6
freqtrade/configuration/configuration.py
View File

@ -13,7 +13,7 @@ from freqtrade.configuration.deprecated_settings import process_temporary_deprec
from freqtrade.configuration.directory_operations import create_datadir, create_userdata_dir
from freqtrade.configuration.environment_vars import enironment_vars_to_dict
from freqtrade.configuration.load_config import load_config_file, load_file
from freqtrade.enums import NON_UTIL_MODES, TRADING_MODES, RunMode
from freqtrade.enums import NON_UTIL_MODES, TRADING_MODES, CandleType, RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.loggers import setup_logging
from freqtrade.misc import deep_merge_dicts, parse_db_uri_for_logging
@ -433,6 +433,10 @@ class Configuration:
logstring='Detected --new-pairs-days: {}')
self._args_to_config(config, argname='trading_mode',
logstring='Detected --trading-mode: {}')
config['candle_type_def'] = CandleType.get_default(config.get('trading_mode', 'spot'))
self._args_to_config(config, argname='candle_types',
logstring='Detected --candle-types: {}')
def _process_runmode(self, config: Dict[str, Any]) -> None:

4
freqtrade/constants.py
View File

@ -5,6 +5,8 @@ bot constants
"""
from typing import List, Tuple
from freqtrade.enums import CandleType
DEFAULT_CONFIG = 'config.json'
DEFAULT_EXCHANGE = 'bittrex'
@ -475,7 +477,7 @@ CANCEL_REASON = {
}
# List of pairs with their timeframes
PairWithTimeframe = Tuple[str, str]
PairWithTimeframe = Tuple[str, str, CandleType]
ListPairsWithTimeframes = List[PairWithTimeframe]
# Type for trades list

31
freqtrade/data/converter.py
View File

@ -11,6 +11,7 @@ import pandas as pd
from pandas import DataFrame, to_datetime
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TradeList
from freqtrade.enums import CandleType
logger = logging.getLogger(__name__)
@ -261,13 +262,20 @@ def convert_trades_format(config: Dict[str, Any], convert_from: str, convert_to:
src.trades_purge(pair=pair)
def convert_ohlcv_format(config: Dict[str, Any], convert_from: str, convert_to: str, erase: bool):
def convert_ohlcv_format(
config: Dict[str, Any],
convert_from: str,
convert_to: str,
erase: bool,
candle_type: CandleType
):
"""
Convert OHLCV from one format to another
:param config: Config dictionary
:param convert_from: Source format
:param convert_to: Target format
:param erase: Erase source data (does not apply if source and target format are identical)
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
from freqtrade.data.history.idatahandler import get_datahandler
src = get_datahandler(config['datadir'], convert_from)
@ -279,8 +287,11 @@ def convert_ohlcv_format(config: Dict[str, Any], convert_from: str, convert_to:
config['pairs'] = []
# Check timeframes or fall back to timeframe.
for timeframe in timeframes:
config['pairs'].extend(src.ohlcv_get_pairs(config['datadir'],
timeframe))
config['pairs'].extend(src.ohlcv_get_pairs(
config['datadir'],
timeframe,
candle_type=candle_type
))
logger.info(f"Converting candle (OHLCV) data for {config['pairs']}")
for timeframe in timeframes:
@ -289,10 +300,16 @@ def convert_ohlcv_format(config: Dict[str, Any], convert_from: str, convert_to:
timerange=None,
fill_missing=False,
drop_incomplete=False,
startup_candles=0)
logger.info(f"Converting {len(data)} candles for {pair}")
startup_candles=0,
candle_type=candle_type)
logger.info(f"Converting {len(data)} {candle_type} candles for {pair}")
if len(data) > 0:
trg.ohlcv_store(pair=pair, timeframe=timeframe, data=data)
trg.ohlcv_store(
pair=pair,
timeframe=timeframe,
data=data,
candle_type=candle_type
)
if erase and convert_from != convert_to:
logger.info(f"Deleting source data for {pair} / {timeframe}")
src.ohlcv_purge(pair=pair, timeframe=timeframe)
src.ohlcv_purge(pair=pair, timeframe=timeframe, candle_type=candle_type)

62
freqtrade/data/dataprovider.py
View File

@ -13,7 +13,7 @@ from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.constants import ListPairsWithTimeframes, PairWithTimeframe
from freqtrade.data.history import load_pair_history
from freqtrade.enums import RunMode
from freqtrade.enums import CandleType, RunMode
from freqtrade.exceptions import ExchangeError, OperationalException
from freqtrade.exchange import Exchange, timeframe_to_seconds
@ -41,7 +41,13 @@ class DataProvider:
"""
self.__slice_index = limit_index
def _set_cached_df(self, pair: str, timeframe: str, dataframe: DataFrame) -> None:
def _set_cached_df(
self,
pair: str,
timeframe: str,
dataframe: DataFrame,
candle_type: CandleType
) -> None:
"""
Store cached Dataframe.
Using private method as this should never be used by a user
@ -49,8 +55,10 @@ class DataProvider:
:param pair: pair to get the data for
:param timeframe: Timeframe to get data for
:param dataframe: analyzed dataframe
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
self.__cached_pairs[(pair, timeframe)] = (dataframe, datetime.now(timezone.utc))
self.__cached_pairs[(pair, timeframe, candle_type)] = (
dataframe, datetime.now(timezone.utc))
def add_pairlisthandler(self, pairlists) -> None:
"""
@ -58,13 +66,20 @@ class DataProvider:
"""
self._pairlists = pairlists
def historic_ohlcv(self, pair: str, timeframe: str = None) -> DataFrame:
def historic_ohlcv(
self,
pair: str,
timeframe: str = None,
candle_type: str = ''
) -> DataFrame:
"""
Get stored historical candle (OHLCV) data
:param pair: pair to get the data for
:param timeframe: timeframe to get data for
:param candle_type: '', mark, index, premiumIndex, or funding_rate
"""
saved_pair = (pair, str(timeframe))
candleType = CandleType.from_string(candle_type)
saved_pair = (pair, str(timeframe), candleType)
if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange')))
@ -77,26 +92,36 @@ class DataProvider:
timeframe=timeframe or self._config['timeframe'],
datadir=self._config['datadir'],
timerange=timerange,
data_format=self._config.get('dataformat_ohlcv', 'json')
data_format=self._config.get('dataformat_ohlcv', 'json'),
candle_type=candleType,
)
return self.__cached_pairs_backtesting[saved_pair].copy()
def get_pair_dataframe(self, pair: str, timeframe: str = None) -> DataFrame:
def get_pair_dataframe(
self,
pair: str,
timeframe: str = None,
candle_type: str = ''
) -> DataFrame:
"""
Return pair candle (OHLCV) data, either live or cached historical -- depending
on the runmode.
Only combinations in the pairlist or which have been specified as informative pairs
will be available.
:param pair: pair to get the data for
:param timeframe: timeframe to get data for
:return: Dataframe for this pair
:param candle_type: '', mark, index, premiumIndex, or funding_rate
"""
if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
# Get live OHLCV data.
data = self.ohlcv(pair=pair, timeframe=timeframe)
data = self.ohlcv(pair=pair, timeframe=timeframe, candle_type=candle_type)
else:
# Get historical OHLCV data (cached on disk).
data = self.historic_ohlcv(pair=pair, timeframe=timeframe)
data = self.historic_ohlcv(pair=pair, timeframe=timeframe, candle_type=candle_type)
if len(data) == 0:
logger.warning(f"No data found for ({pair}, {timeframe}).")
logger.warning(f"No data found for ({pair}, {timeframe}, {candle_type}).")
return data
def get_analyzed_dataframe(self, pair: str, timeframe: str) -> Tuple[DataFrame, datetime]:
@ -109,7 +134,7 @@ class DataProvider:
combination.
Returns empty dataframe and Epoch 0 (1970-01-01) if no dataframe was cached.
"""
pair_key = (pair, timeframe)
pair_key = (pair, timeframe, CandleType.SPOT)
if pair_key in self.__cached_pairs:
if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
df, date = self.__cached_pairs[pair_key]
@ -177,20 +202,29 @@ class DataProvider:
raise OperationalException(NO_EXCHANGE_EXCEPTION)
return list(self._exchange._klines.keys())
def ohlcv(self, pair: str, timeframe: str = None, copy: bool = True) -> DataFrame:
def ohlcv(
self,
pair: str,
timeframe: str = None,
copy: bool = True,
candle_type: str = ''
) -> DataFrame:
"""
Get candle (OHLCV) data for the given pair as DataFrame
Please use the `available_pairs` method to verify which pairs are currently cached.
:param pair: pair to get the data for
:param timeframe: Timeframe to get data for
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param copy: copy dataframe before returning if True.
Use False only for read-only operations (where the dataframe is not modified)
"""
if self._exchange is None:
raise OperationalException(NO_EXCHANGE_EXCEPTION)
if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
return self._exchange.klines((pair, timeframe or self._config['timeframe']),
copy=copy)
return self._exchange.klines(
(pair, timeframe or self._config['timeframe'], CandleType.from_string(candle_type)),
copy=copy
)
else:
return DataFrame()

62
freqtrade/data/history/hdf5datahandler.py
View File

@ -9,6 +9,7 @@ import pandas as pd
from freqtrade.configuration import TimeRange
from freqtrade.constants import (DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS,
ListPairsWithTimeframes, TradeList)
from freqtrade.enums import CandleType
from .idatahandler import IDataHandler
@ -21,44 +22,61 @@ class HDF5DataHandler(IDataHandler):
_columns = DEFAULT_DATAFRAME_COLUMNS
@classmethod
def ohlcv_get_available_data(cls, datadir: Path) -> ListPairsWithTimeframes:
def ohlcv_get_available_data(cls, datadir: Path, trading_mode: str) -> ListPairsWithTimeframes:
"""
Returns a list of all pairs with ohlcv data available in this datadir
:param datadir: Directory to search for ohlcv files
:param trading_mode: trading-mode to be used
:return: List of Tuples of (pair, timeframe)
"""
_tmp = [re.search(r'^([a-zA-Z_]+)\-(\d+\S+)(?=.h5)', p.name)
for p in datadir.glob("*.h5")]
return [(match[1].replace('_', '/'), match[2]) for match in _tmp
if match and len(match.groups()) > 1]
if trading_mode == 'futures':
datadir = datadir.joinpath('futures')
_tmp = [
re.search(
cls._OHLCV_REGEX, p.name
) for p in datadir.glob("*.h5")
]
return [
(
cls.rebuild_pair_from_filename(match[1]),
match[2],
CandleType.from_string(match[3])
) for match in _tmp if match and len(match.groups()) > 1]
@classmethod
def ohlcv_get_pairs(cls, datadir: Path, timeframe: str) -> List[str]:
def ohlcv_get_pairs(cls, datadir: Path, timeframe: str, candle_type: CandleType) -> 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
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: List of Pairs
"""
candle = ""
if candle_type != CandleType.SPOT:
datadir = datadir.joinpath('futures')
candle = f"-{candle_type}"
_tmp = [re.search(r'^(\S+)(?=\-' + timeframe + '.h5)', p.name)
for p in datadir.glob(f"*{timeframe}.h5")]
_tmp = [re.search(r'^(\S+)(?=\-' + timeframe + candle + '.h5)', p.name)
for p in datadir.glob(f"*{timeframe}{candle}.h5")]
# Check if regex found something and only return these results
return [match[0].replace('_', '/') for match in _tmp if match]
return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match]
def ohlcv_store(self, pair: str, timeframe: str, data: pd.DataFrame) -> None:
def ohlcv_store(
self, pair: str, timeframe: str, data: pd.DataFrame, candle_type: CandleType) -> None:
"""
Store data in hdf5 file.
:param pair: Pair - used to generate filename
:param timeframe: Timeframe - used to generate filename
:param data: Dataframe containing OHLCV data
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: None
"""
key = self._pair_ohlcv_key(pair, timeframe)
_data = data.copy()
filename = self._pair_data_filename(self._datadir, pair, timeframe)
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
_data.loc[:, self._columns].to_hdf(
filename, key, mode='a', complevel=9, complib='blosc',
@ -66,7 +84,8 @@ class HDF5DataHandler(IDataHandler):
)
def _ohlcv_load(self, pair: str, timeframe: str,
timerange: Optional[TimeRange] = None) -> pd.DataFrame:
timerange: Optional[TimeRange], candle_type: CandleType
) -> pd.DataFrame:
"""
Internal method used to load data for one pair from disk.
Implements the loading and conversion to a Pandas dataframe.
@ -76,10 +95,16 @@ class HDF5DataHandler(IDataHandler):
:param timerange: Limit data to be loaded to this timerange.
Optionally implemented by subclasses to avoid loading
all data where possible.
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
key = self._pair_ohlcv_key(pair, timeframe)
filename = self._pair_data_filename(self._datadir, pair, timeframe)
filename = self._pair_data_filename(
self._datadir,
pair,
timeframe,
candle_type=candle_type
)
if not filename.exists():
return pd.DataFrame(columns=self._columns)
@ -98,12 +123,19 @@ class HDF5DataHandler(IDataHandler):
'low': 'float', 'close': 'float', 'volume': 'float'})
return pairdata
def ohlcv_append(self, pair: str, timeframe: str, data: pd.DataFrame) -> None:
def ohlcv_append(
self,
pair: str,
timeframe: str,
data: pd.DataFrame,
candle_type: CandleType
) -> None:
"""
Append data to existing data structures
:param pair: Pair
:param timeframe: Timeframe this ohlcv data is for
:param data: Data to append.
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
raise NotImplementedError()
@ -117,7 +149,7 @@ class HDF5DataHandler(IDataHandler):
_tmp = [re.search(r'^(\S+)(?=\-trades.h5)', p.name)
for p in datadir.glob("*trades.h5")]
# Check if regex found something and only return these results to avoid exceptions.
return [match[0].replace('_', '/') for match in _tmp if match]
return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match]
def trades_store(self, pair: str, data: TradeList) -> None:
"""

86
freqtrade/data/history/history_utils.py
View File

@ -12,6 +12,7 @@ from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS
from freqtrade.data.converter import (clean_ohlcv_dataframe, ohlcv_to_dataframe,
trades_remove_duplicates, trades_to_ohlcv)
from freqtrade.data.history.idatahandler import IDataHandler, get_datahandler
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Exchange
from freqtrade.misc import format_ms_time
@ -29,6 +30,7 @@ def load_pair_history(pair: str,
startup_candles: int = 0,
data_format: str = None,
data_handler: IDataHandler = None,
candle_type: CandleType = CandleType.SPOT
) -> DataFrame:
"""
Load cached ohlcv history for the given pair.
@ -43,6 +45,7 @@ def load_pair_history(pair: str,
:param startup_candles: Additional candles to load at the start of the period
:param data_handler: Initialized data-handler to use.
Will be initialized from data_format if not set
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
data_handler = get_datahandler(datadir, data_format, data_handler)
@ -53,6 +56,7 @@ def load_pair_history(pair: str,
fill_missing=fill_up_missing,
drop_incomplete=drop_incomplete,
startup_candles=startup_candles,
candle_type=candle_type
)
@ -64,6 +68,7 @@ def load_data(datadir: Path,
startup_candles: int = 0,
fail_without_data: bool = False,
data_format: str = 'json',
candle_type: CandleType = CandleType.SPOT
) -> Dict[str, DataFrame]:
"""
Load ohlcv history data for a list of pairs.
@ -76,6 +81,7 @@ def load_data(datadir: Path,
:param startup_candles: Additional candles to load at the start of the period
:param fail_without_data: Raise OperationalException if no data is found.
:param data_format: Data format which should be used. Defaults to json
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: dict(<pair>:<Dataframe>)
"""
result: Dict[str, DataFrame] = {}
@ -89,7 +95,8 @@ def load_data(datadir: Path,
datadir=datadir, timerange=timerange,
fill_up_missing=fill_up_missing,
startup_candles=startup_candles,
data_handler=data_handler
data_handler=data_handler,
candle_type=candle_type
)
if not hist.empty:
result[pair] = hist
@ -105,6 +112,7 @@ def refresh_data(datadir: Path,
exchange: Exchange,
data_format: str = None,
timerange: Optional[TimeRange] = None,
candle_type: CandleType = CandleType.SPOT
) -> None:
"""
Refresh ohlcv history data for a list of pairs.
@ -115,17 +123,24 @@ def refresh_data(datadir: Path,
:param exchange: Exchange object
:param data_format: dataformat to use
:param timerange: Limit data to be loaded to this timerange
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
data_handler = get_datahandler(datadir, data_format)
for idx, pair in enumerate(pairs):
process = f'{idx}/{len(pairs)}'
_download_pair_history(pair=pair, process=process,
timeframe=timeframe, datadir=datadir,
timerange=timerange, exchange=exchange, data_handler=data_handler)
timerange=timerange, exchange=exchange, data_handler=data_handler,
candle_type=candle_type)
def _load_cached_data_for_updating(pair: str, timeframe: str, timerange: Optional[TimeRange],
data_handler: IDataHandler) -> Tuple[DataFrame, Optional[int]]:
def _load_cached_data_for_updating(
pair: str,
timeframe: str,
timerange: Optional[TimeRange],
data_handler: IDataHandler,
candle_type: CandleType = CandleType.SPOT
) -> Tuple[DataFrame, Optional[int]]:
"""
Load cached data to download more data.
If timerange is passed in, checks whether data from an before the stored data will be
@ -142,7 +157,8 @@ def _load_cached_data_for_updating(pair: str, timeframe: str, timerange: Optiona
# Intentionally don't pass timerange in - since we need to load the full dataset.
data = data_handler.ohlcv_load(pair, timeframe=timeframe,
timerange=None, fill_missing=False,
drop_incomplete=True, warn_no_data=False)
drop_incomplete=True, warn_no_data=False,
candle_type=candle_type)
if not data.empty:
if start and start < data.iloc[0]['date']:
# Earlier data than existing data requested, redownload all
@ -161,7 +177,9 @@ def _download_pair_history(pair: str, *,
process: str = '',
new_pairs_days: int = 30,
data_handler: IDataHandler = None,
timerange: Optional[TimeRange] = None) -> bool:
timerange: Optional[TimeRange] = None,
candle_type: CandleType = CandleType.SPOT
) -> bool:
"""
Download latest candles from the exchange for the pair and timeframe passed in parameters
The data is downloaded starting from the last correct data that
@ -173,6 +191,7 @@ def _download_pair_history(pair: str, *,
:param pair: pair to download
:param timeframe: Timeframe (e.g "5m")
:param timerange: range of time to download
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: bool with success state
"""
data_handler = get_datahandler(datadir, data_handler=data_handler)
@ -185,7 +204,8 @@ def _download_pair_history(pair: str, *,
# data, since_ms = _load_cached_data_for_updating_old(datadir, pair, timeframe, timerange)
data, since_ms = _load_cached_data_for_updating(pair, timeframe, timerange,
data_handler=data_handler)
data_handler=data_handler,
candle_type=candle_type)
logger.debug("Current Start: %s",
f"{data.iloc[0]['date']:%Y-%m-%d %H:%M:%S}" if not data.empty else 'None')
@ -198,7 +218,8 @@ def _download_pair_history(pair: str, *,
since_ms=since_ms if since_ms else
arrow.utcnow().shift(
days=-new_pairs_days).int_timestamp * 1000,
is_new_pair=data.empty
is_new_pair=data.empty,
candle_type=candle_type,
)
# TODO: Maybe move parsing to exchange class (?)
new_dataframe = ohlcv_to_dataframe(new_data, timeframe, pair,
@ -216,7 +237,7 @@ def _download_pair_history(pair: str, *,
logger.debug("New End: %s",
f"{data.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}" if not data.empty else 'None')
data_handler.ohlcv_store(pair, timeframe, data=data)
data_handler.ohlcv_store(pair, timeframe, data=data, candle_type=candle_type)
return True
except Exception:
@ -227,9 +248,11 @@ def _download_pair_history(pair: str, *,
def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes: List[str],
datadir: Path, timerange: Optional[TimeRange] = None,
datadir: Path, trading_mode: str,
timerange: Optional[TimeRange] = None,
new_pairs_days: int = 30, erase: bool = False,
data_format: str = None) -> List[str]:
data_format: str = None,
) -> List[str]:
"""
Refresh stored ohlcv data for backtesting and hyperopt operations.
Used by freqtrade download-data subcommand.
@ -237,6 +260,7 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
"""
pairs_not_available = []
data_handler = get_datahandler(datadir, data_format)
candle_type = CandleType.get_default(trading_mode)
for idx, pair in enumerate(pairs, start=1):
if pair not in exchange.markets:
pairs_not_available.append(pair)
@ -245,16 +269,32 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
for timeframe in timeframes:
if erase:
if data_handler.ohlcv_purge(pair, timeframe):
logger.info(
f'Deleting existing data for pair {pair}, interval {timeframe}.')
if data_handler.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
logger.info(f'Downloading pair {pair}, interval {timeframe}.')
process = f'{idx}/{len(pairs)}'
_download_pair_history(pair=pair, process=process,
datadir=datadir, exchange=exchange,
timerange=timerange, data_handler=data_handler,
timeframe=str(timeframe), new_pairs_days=new_pairs_days)
timeframe=str(timeframe), new_pairs_days=new_pairs_days,
candle_type=candle_type)
if trading_mode == 'futures':
# Predefined candletype (and timeframe) depending on exchange
# Downloads what is necessary to backtest based on futures data.
timeframe = exchange._ft_has['mark_ohlcv_timeframe']
candle_type = CandleType.from_string(exchange._ft_has['mark_ohlcv_price'])
# TODO: this could be in most parts to the above.
if erase:
if data_handler.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
_download_pair_history(pair=pair, process=process,
datadir=datadir, exchange=exchange,
timerange=timerange, data_handler=data_handler,
timeframe=str(timeframe), new_pairs_days=new_pairs_days,
candle_type=candle_type)
return pairs_not_available
@ -353,10 +393,16 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir:
return pairs_not_available
def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str],
datadir: Path, timerange: TimeRange, erase: bool = False,
def convert_trades_to_ohlcv(
pairs: List[str],
timeframes: List[str],
datadir: Path,
timerange: TimeRange,
erase: bool = False,
data_format_ohlcv: str = 'json',
data_format_trades: str = 'jsongz') -> None:
data_format_trades: str = 'jsongz',
candle_type: CandleType = CandleType.SPOT
) -> None:
"""
Convert stored trades data to ohlcv data
"""
@ -367,12 +413,12 @@ def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str],
trades = data_handler_trades.trades_load(pair)
for timeframe in timeframes:
if erase:
if data_handler_ohlcv.ohlcv_purge(pair, timeframe):
if data_handler_ohlcv.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
try:
ohlcv = trades_to_ohlcv(trades, timeframe)
# Store ohlcv
data_handler_ohlcv.ohlcv_store(pair, timeframe, data=ohlcv)
data_handler_ohlcv.ohlcv_store(pair, timeframe, data=ohlcv, candle_type=candle_type)
except ValueError:
logger.exception(f'Could not convert {pair} to OHLCV.')

79
freqtrade/data/history/idatahandler.py
View File

@ -4,6 +4,7 @@ It's subclasses handle and storing data from disk.
"""
import logging
import re
from abc import ABC, abstractclassmethod, abstractmethod
from copy import deepcopy
from datetime import datetime, timezone
@ -16,6 +17,7 @@ from freqtrade import misc
from freqtrade.configuration import TimeRange
from freqtrade.constants import ListPairsWithTimeframes, TradeList
from freqtrade.data.converter import clean_ohlcv_dataframe, trades_remove_duplicates, trim_dataframe
from freqtrade.enums import CandleType
from freqtrade.exchange import timeframe_to_seconds
@ -24,6 +26,8 @@ logger = logging.getLogger(__name__)
class IDataHandler(ABC):
_OHLCV_REGEX = r'^([a-zA-Z_-]+)\-(\d+\S)\-?([a-zA-Z_]*)?(?=\.)'
def __init__(self, datadir: Path) -> None:
self._datadir = datadir
@ -35,36 +39,40 @@ class IDataHandler(ABC):
raise NotImplementedError()
@abstractclassmethod
def ohlcv_get_available_data(cls, datadir: Path) -> ListPairsWithTimeframes:
def ohlcv_get_available_data(cls, datadir: Path, trading_mode: str) -> ListPairsWithTimeframes:
"""
Returns a list of all pairs with ohlcv data available in this datadir
:param datadir: Directory to search for ohlcv files
:param trading_mode: trading-mode to be used
:return: List of Tuples of (pair, timeframe)
"""
@abstractclassmethod
def ohlcv_get_pairs(cls, datadir: Path, timeframe: str) -> List[str]:
def ohlcv_get_pairs(cls, datadir: Path, timeframe: str, candle_type: CandleType) -> 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
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: List of Pairs
"""
@abstractmethod
def ohlcv_store(self, pair: str, timeframe: str, data: DataFrame) -> None:
def ohlcv_store(
self, pair: str, timeframe: str, data: DataFrame, candle_type: CandleType) -> None:
"""
Store ohlcv data.
:param pair: Pair - used to generate filename
:param timeframe: Timeframe - used to generate filename
:param data: Dataframe containing OHLCV data
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: None
"""
@abstractmethod
def _ohlcv_load(self, pair: str, timeframe: str,
timerange: Optional[TimeRange] = None,
def _ohlcv_load(self, pair: str, timeframe: str, timerange: Optional[TimeRange],
candle_type: CandleType
) -> DataFrame:
"""
Internal method used to load data for one pair from disk.
@ -75,29 +83,38 @@ class IDataHandler(ABC):
:param timerange: Limit data to be loaded to this timerange.
Optionally implemented by subclasses to avoid loading
all data where possible.
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
def ohlcv_purge(self, pair: str, timeframe: str) -> bool:
def ohlcv_purge(self, pair: str, timeframe: str, candle_type: CandleType) -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:param timeframe: Timeframe (e.g. "5m")
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe)
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
if filename.exists():
filename.unlink()
return True
return False
@abstractmethod
def ohlcv_append(self, pair: str, timeframe: str, data: DataFrame) -> None:
def ohlcv_append(
self,
pair: str,
timeframe: str,
data: DataFrame,
candle_type: CandleType
) -> None:
"""
Append data to existing data structures
:param pair: Pair
:param timeframe: Timeframe this ohlcv data is for
:param data: Data to append.
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
@abstractclassmethod
@ -158,9 +175,29 @@ class IDataHandler(ABC):
return trades_remove_duplicates(self._trades_load(pair, timerange=timerange))
@classmethod
def _pair_data_filename(cls, datadir: Path, pair: str, timeframe: str) -> Path:
def create_dir_if_needed(cls, datadir: Path):
"""
Creates datadir if necessary
should only create directories for "futures" mode at the moment.
"""
if not datadir.parent.is_dir():
datadir.parent.mkdir()
@classmethod
def _pair_data_filename(
cls,
datadir: Path,
pair: str,
timeframe: str,
candle_type: CandleType
) -> Path:
pair_s = misc.pair_to_filename(pair)
filename = datadir.joinpath(f'{pair_s}-{timeframe}.{cls._get_file_extension()}')
candle = ""
if candle_type != CandleType.SPOT:
datadir = datadir.joinpath('futures')
candle = f"-{candle_type}"
filename = datadir.joinpath(
f'{pair_s}-{timeframe}{candle}.{cls._get_file_extension()}')
return filename
@classmethod
@ -169,12 +206,23 @@ class IDataHandler(ABC):
filename = datadir.joinpath(f'{pair_s}-trades.{cls._get_file_extension()}')
return filename
@staticmethod
def rebuild_pair_from_filename(pair: str) -> str:
"""
Rebuild pair name from filename
Assumes a asset name of max. 7 length to also support BTC-PERP and BTC-PERP:USD names.
"""
res = re.sub(r'^(([A-Za-z]{1,10})|^([A-Za-z\-]{1,6}))(_)', r'\g<1>/', pair, 1)
res = re.sub('_', ':', res, 1)
return res
def ohlcv_load(self, pair, timeframe: str,
candle_type: CandleType,
timerange: Optional[TimeRange] = None,
fill_missing: bool = True,
drop_incomplete: bool = True,
startup_candles: int = 0,
warn_no_data: bool = True
warn_no_data: bool = True,
) -> DataFrame:
"""
Load cached candle (OHLCV) data for the given pair.
@ -186,6 +234,7 @@ class IDataHandler(ABC):
: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
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
# Fix startup period
@ -193,8 +242,12 @@ class IDataHandler(ABC):
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)
pairdf = self._ohlcv_load(
pair,
timeframe,
timerange=timerange_startup,
candle_type=candle_type
)
if self._check_empty_df(pairdf, pair, timeframe, warn_no_data):
return pairdf
else:

69
freqtrade/data/history/jsondatahandler.py
View File

@ -10,6 +10,7 @@ from freqtrade import misc
from freqtrade.configuration import TimeRange
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, ListPairsWithTimeframes, TradeList
from freqtrade.data.converter import trades_dict_to_list
from freqtrade.enums import CandleType
from .idatahandler import IDataHandler
@ -23,33 +24,48 @@ class JsonDataHandler(IDataHandler):
_columns = DEFAULT_DATAFRAME_COLUMNS
@classmethod
def ohlcv_get_available_data(cls, datadir: Path) -> ListPairsWithTimeframes:
def ohlcv_get_available_data(cls, datadir: Path, trading_mode: str) -> ListPairsWithTimeframes:
"""
Returns a list of all pairs with ohlcv data available in this datadir
:param datadir: Directory to search for ohlcv files
:param trading_mode: trading-mode to be used
:return: List of Tuples of (pair, timeframe)
"""
_tmp = [re.search(r'^([a-zA-Z_]+)\-(\d+\S+)(?=.json)', p.name)
for p in datadir.glob(f"*.{cls._get_file_extension()}")]
return [(match[1].replace('_', '/'), match[2]) for match in _tmp
if match and len(match.groups()) > 1]
if trading_mode == 'futures':
datadir = datadir.joinpath('futures')
_tmp = [
re.search(
cls._OHLCV_REGEX, p.name
) for p in datadir.glob(f"*.{cls._get_file_extension()}")]
return [
(
cls.rebuild_pair_from_filename(match[1]),
match[2],
CandleType.from_string(match[3])
) for match in _tmp if match and len(match.groups()) > 1]
@classmethod
def ohlcv_get_pairs(cls, datadir: Path, timeframe: str) -> List[str]:
def ohlcv_get_pairs(cls, datadir: Path, timeframe: str, candle_type: CandleType) -> 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
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: List of Pairs
"""
candle = ""
if candle_type != CandleType.SPOT:
datadir = datadir.joinpath('futures')
candle = f"-{candle_type}"
_tmp = [re.search(r'^(\S+)(?=\-' + timeframe + '.json)', p.name)
for p in datadir.glob(f"*{timeframe}.{cls._get_file_extension()}")]
_tmp = [re.search(r'^(\S+)(?=\-' + timeframe + candle + '.json)', p.name)
for p in datadir.glob(f"*{timeframe}{candle}.{cls._get_file_extension()}")]
# Check if regex found something and only return these results
return [match[0].replace('_', '/') for match in _tmp if match]
return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match]
def ohlcv_store(self, pair: str, timeframe: str, data: DataFrame) -> None:
def ohlcv_store(
self, pair: str, timeframe: str, data: DataFrame, candle_type: CandleType) -> None:
"""
Store data in json format "values".
format looks as follows:
@ -57,9 +73,11 @@ class JsonDataHandler(IDataHandler):
:param pair: Pair - used to generate filename
:param timeframe: Timeframe - used to generate filename
:param data: Dataframe containing OHLCV data
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: None
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe)
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
self.create_dir_if_needed(filename)
_data = data.copy()
# Convert date to int
_data['date'] = _data['date'].view(np.int64) // 1000 // 1000
@ -70,7 +88,7 @@ class JsonDataHandler(IDataHandler):
compression='gzip' if self._use_zip else None)
def _ohlcv_load(self, pair: str, timeframe: str,
timerange: Optional[TimeRange] = None,
timerange: Optional[TimeRange], candle_type: CandleType
) -> DataFrame:
"""
Internal method used to load data for one pair from disk.
@ -81,9 +99,10 @@ class JsonDataHandler(IDataHandler):
:param timerange: Limit data to be loaded to this timerange.
Optionally implemented by subclasses to avoid loading
all data where possible.
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe)
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type=candle_type)
if not filename.exists():
return DataFrame(columns=self._columns)
try:
@ -100,25 +119,19 @@ class JsonDataHandler(IDataHandler):
infer_datetime_format=True)
return pairdata
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.
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe)
if filename.exists():
filename.unlink()
return True
return False
def ohlcv_append(self, pair: str, timeframe: str, data: DataFrame) -> None:
def ohlcv_append(
self,
pair: str,
timeframe: str,
data: DataFrame,
candle_type: CandleType
) -> None:
"""
Append data to existing data structures
:param pair: Pair
:param timeframe: Timeframe this ohlcv data is for
:param data: Data to append.
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
raise NotImplementedError()
@ -132,7 +145,7 @@ class JsonDataHandler(IDataHandler):
_tmp = [re.search(r'^(\S+)(?=\-trades.json)', p.name)
for p in datadir.glob(f"*trades.{cls._get_file_extension()}")]
# Check if regex found something and only return these results to avoid exceptions.
return [match[0].replace('_', '/') for match in _tmp if match]
return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match]
def trades_store(self, pair: str, data: TradeList) -> None:
"""

4
freqtrade/edge/edge_positioning.py
View File

@ -119,8 +119,8 @@ class Edge:
)
# Download informative pairs too
res = defaultdict(list)
for p, t in self.strategy.gather_informative_pairs():
res[t].append(p)
for pair, timeframe, _ in self.strategy.gather_informative_pairs():
res[timeframe].append(pair)
for timeframe, inf_pairs in res.items():
timerange_startup = deepcopy(self._timerange)
timerange_startup.subtract_start(timeframe_to_seconds(

1
freqtrade/enums/__init__.py
View File

@ -1,5 +1,6 @@
# flake8: noqa: F401
from freqtrade.enums.backteststate import BacktestState
from freqtrade.enums.candletype import CandleType
from freqtrade.enums.collateral import Collateral
from freqtrade.enums.rpcmessagetype import RPCMessageType
from freqtrade.enums.runmode import NON_UTIL_MODES, OPTIMIZE_MODES, TRADING_MODES, RunMode

25
freqtrade/enums/candletype.py Normal file
View File

@ -0,0 +1,25 @@
from enum import Enum
class CandleType(str, Enum):
"""Enum to distinguish candle types"""
SPOT = "spot"
FUTURES = "futures"
MARK = "mark"
INDEX = "index"
PREMIUMINDEX = "premiumIndex"
# TODO-lev: not sure this belongs here, as the datatype is really different
FUNDING_RATE = "funding_rate"
@staticmethod
def from_string(value: str) -> 'CandleType':
if not value:
# Default to spot
return CandleType.SPOT
return CandleType(value)
@staticmethod
def get_default(trading_mode: str) -> 'CandleType':
if trading_mode == 'futures':
return CandleType.FUTURES
return CandleType.SPOT

25
freqtrade/exchange/binance.py
View File

@ -8,7 +8,7 @@ from typing import Dict, List, Optional, Tuple
import arrow
import ccxt
from freqtrade.enums import Collateral, TradingMode
from freqtrade.enums import CandleType, Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
@ -197,23 +197,30 @@ class Binance(Exchange):
raise OperationalException(e) from e
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False,
raise_: bool = False
) -> Tuple[str, str, List]:
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False, raise_: bool = False,
) -> Tuple[str, str, str, List]:
"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
Does not work for other exchanges, which don't return the earliest data when called with "0"
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
if is_new_pair:
x = await self._async_get_candle_history(pair, timeframe, 0)
if x and x[2] and x[2][0] and x[2][0][0] > since_ms:
x = await self._async_get_candle_history(pair, timeframe, candle_type, 0)
if x and x[3] and x[3][0] and x[3][0][0] > since_ms:
# Set starting date to first available candle.
since_ms = x[2][0][0]
since_ms = x[3][0][0]
logger.info(f"Candle-data for {pair} available starting with "
f"{arrow.get(since_ms // 1000).isoformat()}.")
return await super()._async_get_historic_ohlcv(
pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair,
raise_=raise_)
pair=pair,
timeframe=timeframe,
since_ms=since_ms,
is_new_pair=is_new_pair,
raise_=raise_,
candle_type=candle_type
)
def funding_fee_cutoff(self, open_date: datetime):
"""

4
freqtrade/exchange/common.py
View File

@ -43,10 +43,14 @@ EXCHANGE_HAS_REQUIRED = [
EXCHANGE_HAS_OPTIONAL = [
# Private
'fetchMyTrades', # Trades for order - fee detection
# 'setLeverage', # Margin/Futures trading
# 'setMarginMode', # Margin/Futures trading
# 'fetchFundingHistory', # Futures trading
# Public
'fetchOrderBook', 'fetchL2OrderBook', 'fetchTicker', # OR for pricing
'fetchTickers', # For volumepairlist?
'fetchTrades', # Downloading trades data
# 'fetchFundingRateHistory', # Futures trading
]

105
freqtrade/exchange/exchange.py
View File

@ -20,9 +20,9 @@ from ccxt.base.decimal_to_precision import (ROUND_DOWN, ROUND_UP, TICK_SIZE, TRU
from pandas import DataFrame
from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES,
ListPairsWithTimeframes)
ListPairsWithTimeframes, PairWithTimeframe)
from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.enums import Collateral, TradingMode
from freqtrade.enums import CandleType, Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
InvalidOrderException, OperationalException, PricingError,
RetryableOrderError, TemporaryError)
@ -70,6 +70,7 @@ class Exchange:
"l2_limit_range": None,
"l2_limit_range_required": True, # Allow Empty L2 limit (kucoin)
"mark_ohlcv_price": "mark",
"mark_ohlcv_timeframe": "8h",
"ccxt_futures_name": "swap"
}
_ft_has: Dict = {}
@ -92,7 +93,7 @@ class Exchange:
self._config.update(config)
# Holds last candle refreshed time of each pair
self._pairs_last_refresh_time: Dict[Tuple[str, str], int] = {}
self._pairs_last_refresh_time: Dict[PairWithTimeframe, int] = {}
# Timestamp of last markets refresh
self._last_markets_refresh: int = 0
@ -105,7 +106,7 @@ class Exchange:
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
# Holds candles
self._klines: Dict[Tuple[str, str], DataFrame] = {}
self._klines: Dict[PairWithTimeframe, DataFrame] = {}
# Holds all open sell orders for dry_run
self._dry_run_open_orders: Dict[str, Any] = {}
@ -359,7 +360,7 @@ class Exchange:
or (self.trading_mode == TradingMode.FUTURES and self.market_is_future(market))
)
def klines(self, pair_interval: Tuple[str, str], copy: bool = True) -> DataFrame:
def klines(self, pair_interval: PairWithTimeframe, copy: bool = True) -> DataFrame:
if pair_interval in self._klines:
return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
else:
@ -1314,7 +1315,8 @@ class Exchange:
# Historic data
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False) -> List:
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False) -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@ -1322,34 +1324,38 @@ class Exchange:
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:return: List with candle (OHLCV) data
"""
pair, timeframe, data = asyncio.get_event_loop().run_until_complete(
pair, _, _, data = asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms, is_new_pair=is_new_pair))
since_ms=since_ms, is_new_pair=is_new_pair,
candle_type=candle_type))
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
return data
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int) -> DataFrame:
since_ms: int, candle_type: CandleType) -> DataFrame:
"""
Minimal wrapper around get_historic_ohlcv - converting the result into a dataframe
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: OHLCV DataFrame
"""
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms)
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms, candle_type=candle_type)
return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False,
raise_: bool = False
) -> Tuple[str, str, List]:
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False, raise_: bool = False,
) -> Tuple[str, str, str, List]:
"""
Download historic ohlcv
:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@ -1359,7 +1365,7 @@ class Exchange:
arrow.utcnow().shift(seconds=one_call // 1000).humanize(only_distance=True)
)
input_coroutines = [self._async_get_candle_history(
pair, timeframe, since) for since in
pair, timeframe, candle_type, since) for since in
range(since_ms, arrow.utcnow().int_timestamp * 1000, one_call)]
data: List = []
@ -1375,16 +1381,16 @@ class Exchange:
continue
else:
# Deconstruct tuple if it's not an exception
p, _, new_data = res
if p == pair:
p, _, c, new_data = res
if p == pair and c == candle_type:
data.extend(new_data)
# Sort data again after extending the result - above calls return in "async order"
data = sorted(data, key=lambda x: x[0])
return pair, timeframe, data
return pair, timeframe, candle_type, data
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True
) -> Dict[Tuple[str, str], DataFrame]:
) -> Dict[PairWithTimeframe, DataFrame]:
"""
Refresh in-memory OHLCV asynchronously and set `_klines` with the result
Loops asynchronously over pair_list and downloads all pairs async (semi-parallel).
@ -1399,9 +1405,9 @@ class Exchange:
input_coroutines = []
cached_pairs = []
# Gather coroutines to run
for pair, timeframe in set(pair_list):
if ((pair, timeframe) not in self._klines or not cache
or self._now_is_time_to_refresh(pair, timeframe)):
for pair, timeframe, candle_type in set(pair_list):
if ((pair, timeframe, candle_type) not in self._klines or not cache
or self._now_is_time_to_refresh(pair, timeframe, candle_type)):
if not since_ms and self.required_candle_call_count > 1:
# Multiple calls for one pair - to get more history
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@ -1411,17 +1417,17 @@ class Exchange:
if since_ms:
input_coroutines.append(self._async_get_historic_ohlcv(
pair, timeframe, since_ms=since_ms, raise_=True))
pair, timeframe, since_ms=since_ms, raise_=True, candle_type=candle_type))
else:
# One call ... "regular" refresh
input_coroutines.append(self._async_get_candle_history(
pair, timeframe, since_ms=since_ms))
pair, timeframe, since_ms=since_ms, candle_type=candle_type))
else:
logger.debug(
"Using cached candle (OHLCV) data for pair %s, timeframe %s ...",
pair, timeframe
"Using cached candle (OHLCV) data for pair %s, timeframe %s, candleType %s ...",
pair, timeframe, candle_type
)
cached_pairs.append((pair, timeframe))
cached_pairs.append((pair, timeframe, candle_type))
results_df = {}
# Chunk requests into batches of 100 to avoid overwelming ccxt Throttling
@ -1429,42 +1435,53 @@ class Exchange:
results = asyncio.get_event_loop().run_until_complete(
asyncio.gather(*input_coro, return_exceptions=True))
# handle caching
for res in results:
if isinstance(res, Exception):
logger.warning(f"Async code raised an exception: {repr(res)}")
continue
# Deconstruct tuple (has 3 elements)
pair, timeframe, ticks = res
# Deconstruct tuple (has 4 elements)
pair, timeframe, c_type, ticks = res
# keeping last candle time as last refreshed time of the pair
if ticks:
self._pairs_last_refresh_time[(pair, timeframe)] = ticks[-1][0] // 1000
self._pairs_last_refresh_time[(pair, timeframe, c_type)] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
ohlcv_df = ohlcv_to_dataframe(
ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
results_df[(pair, timeframe)] = ohlcv_df
results_df[(pair, timeframe, c_type)] = ohlcv_df
if cache:
self._klines[(pair, timeframe)] = ohlcv_df
self._klines[(pair, timeframe, c_type)] = ohlcv_df
# Return cached klines
for pair, timeframe in cached_pairs:
results_df[(pair, timeframe)] = self.klines((pair, timeframe), copy=False)
for pair, timeframe, c_type in cached_pairs:
results_df[(pair, timeframe, c_type)] = self.klines(
(pair, timeframe, c_type),
copy=False
)
return results_df
def _now_is_time_to_refresh(self, pair: str, timeframe: str) -> bool:
def _now_is_time_to_refresh(self, pair: str, timeframe: str, candle_type: CandleType) -> bool:
# Timeframe in seconds
interval_in_sec = timeframe_to_seconds(timeframe)
return not ((self._pairs_last_refresh_time.get((pair, timeframe), 0)
+ interval_in_sec) >= arrow.utcnow().int_timestamp)
return not (
(self._pairs_last_refresh_time.get(
(pair, timeframe, candle_type),
0
) + interval_in_sec) >= arrow.utcnow().int_timestamp
)
@retrier_async
async def _async_get_candle_history(self, pair: str, timeframe: str,
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
async def _async_get_candle_history(
self,
pair: str,
timeframe: str,
candle_type: CandleType,
since_ms: Optional[int] = None,
) -> Tuple[str, str, str, List]:
"""
Asynchronously get candle history data using fetch_ohlcv
:param candle_type: '', mark, index, premiumIndex, or funding_rate
returns tuple: (pair, timeframe, ohlcv_list)
"""
try:
@ -1474,7 +1491,9 @@ class Exchange:
"Fetching pair %s, interval %s, since %s %s...",
pair, timeframe, since_ms, s
)
params = self._ft_has.get('ohlcv_params', {})
params = deepcopy(self._ft_has.get('ohlcv_params', {}))
if candle_type != CandleType.SPOT:
params.update({'price': candle_type})
data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe,
since=since_ms,
limit=self.ohlcv_candle_limit(timeframe),
@ -1489,9 +1508,9 @@ class Exchange:
data = sorted(data, key=lambda x: x[0])
except IndexError:
logger.exception("Error loading %s. Result was %s.", pair, data)
return pair, timeframe, []
return pair, timeframe, candle_type, []
logger.debug("Done fetching pair %s, interval %s ...", pair, timeframe)
return pair, timeframe, data
return pair, timeframe, candle_type, data
except ccxt.NotSupported as e:
raise OperationalException(

1
freqtrade/exchange/ftx.py
View File

@ -21,6 +21,7 @@ class Ftx(Exchange):
"stoploss_on_exchange": True,
"ohlcv_candle_limit": 1500,
"mark_ohlcv_price": "index",
"mark_ohlcv_timeframe": "1h",
"ccxt_futures_name": "future"
}

1
freqtrade/exchange/kraken.py
View File

@ -22,6 +22,7 @@ class Kraken(Exchange):
"ohlcv_candle_limit": 720,
"trades_pagination": "id",
"trades_pagination_arg": "since",
"mark_ohlcv_timeframe": "4h",
}
_supported_trading_mode_collateral_pairs: List[Tuple[TradingMode, Collateral]] = [

2
freqtrade/misc.py
View File

@ -109,7 +109,7 @@ def file_load_json(file):
def pair_to_filename(pair: str) -> str:
for ch in ['/', '-', ' ', '.', '@', '$', '+', ':']:
for ch in ['/', ' ', '.', '@', '$', '+', ':']:
pair = pair.replace(ch, '_')
return pair

6
freqtrade/optimize/backtesting.py
View File

@ -17,8 +17,7 @@ from freqtrade.data import history
from freqtrade.data.btanalysis import trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframe, trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import BacktestState, SellType
from freqtrade.enums.tradingmode import TradingMode
from freqtrade.enums import BacktestState, CandleType, SellType, TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.mixins import LoggingMixin
@ -290,7 +289,8 @@ class Backtesting:
df_analyzed.loc[:, col] = 0 if col not in ('enter_tag', 'exit_tag') else None
# Update dataprovider cache
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed)
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed, CandleType.SPOT)
# TODO-lev: Candle-type should be conditional, either "spot" or futures
df_analyzed = df_analyzed.drop(df_analyzed.head(1).index)

8
freqtrade/plugins/pairlist/AgeFilter.py
View File

@ -9,6 +9,7 @@ import arrow
from pandas import DataFrame
from freqtrade.configuration import PeriodicCache
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.plugins.pairlist.IPairList import IPairList
@ -71,8 +72,8 @@ class AgeFilter(IPairList):
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist
"""
needed_pairs = [
(p, '1d') for p in pairlist
needed_pairs: ListPairsWithTimeframes = [
(p, '1d', self._config['candle_type_def']) for p in pairlist
if p not in self._symbolsChecked and p not in self._symbolsCheckFailed]
if not needed_pairs:
# Remove pairs that have been removed before
@ -88,7 +89,8 @@ class AgeFilter(IPairList):
candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False)
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
daily_candles = candles[(p, '1d', self._config['candle_type_def'])] if (
p, '1d', self._config['candle_type_def']) in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
self.log_once(f"Validated {len(pairlist)} pairs.", logger.info)

2
freqtrade/plugins/pairlist/ShuffleFilter.py
View File

@ -5,7 +5,7 @@ import logging
import random
from typing import Any, Dict, List
from freqtrade.enums.runmode import RunMode
from freqtrade.enums import RunMode
from freqtrade.plugins.pairlist.IPairList import IPairList

8
freqtrade/plugins/pairlist/VolatilityFilter.py
View File

@ -11,6 +11,7 @@ import numpy as np
from cachetools.ttl import TTLCache
from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.plugins.pairlist.IPairList import IPairList
@ -33,6 +34,7 @@ class VolatilityFilter(IPairList):
self._min_volatility = pairlistconfig.get('min_volatility', 0)
self._max_volatility = pairlistconfig.get('max_volatility', sys.maxsize)
self._refresh_period = pairlistconfig.get('refresh_period', 1440)
self._def_candletype = self._config['candle_type_def']
self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period)
@ -67,7 +69,8 @@ class VolatilityFilter(IPairList):
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist
"""
needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache]
needed_pairs: ListPairsWithTimeframes = [
(p, '1d', self._def_candletype) for p in pairlist if p not in self._pair_cache]
since_ms = (arrow.utcnow()
.floor('day')
@ -81,7 +84,8 @@ class VolatilityFilter(IPairList):
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
daily_candles = candles[(p, '1d', self._def_candletype)] if (
p, '1d', self._def_candletype) in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
return pairlist

17
freqtrade/plugins/pairlist/VolumePairList.py
View File

@ -10,6 +10,7 @@ from typing import Any, Dict, List
import arrow
from cachetools.ttl import TTLCache
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.misc import format_ms_time
@ -43,6 +44,7 @@ class VolumePairList(IPairList):
self._lookback_days = self._pairlistconfig.get('lookback_days', 0)
self._lookback_timeframe = self._pairlistconfig.get('lookback_timeframe', '1d')
self._lookback_period = self._pairlistconfig.get('lookback_period', 0)
self._def_candletype = self._config['candle_type_def']
if (self._lookback_days > 0) & (self._lookback_period > 0):
raise OperationalException(
@ -159,11 +161,10 @@ class VolumePairList(IPairList):
self.log_once(f"Using volume range of {self._lookback_period} candles, timeframe: "
f"{self._lookback_timeframe}, starting from {format_ms_time(since_ms)} "
f"till {format_ms_time(to_ms)}", logger.info)
needed_pairs = [
(p, self._lookback_timeframe) for p in
[
s['symbol'] for s in filtered_tickers
] if p not in self._pair_cache
needed_pairs: ListPairsWithTimeframes = [
(p, self._lookback_timeframe, self._def_candletype) for p in
[s['symbol'] for s in filtered_tickers]
if p not in self._pair_cache
]
# Get all candles
@ -174,8 +175,10 @@ class VolumePairList(IPairList):
)
for i, p in enumerate(filtered_tickers):
pair_candles = candles[
(p['symbol'], self._lookback_timeframe)
] if (p['symbol'], self._lookback_timeframe) in candles else None
(p['symbol'], self._lookback_timeframe, self._def_candletype)
] if (
p['symbol'], self._lookback_timeframe, self._def_candletype
) in candles else None
# in case of candle data calculate typical price and quoteVolume for candle
if pair_candles is not None and not pair_candles.empty:
pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']

8
freqtrade/plugins/pairlist/rangestabilityfilter.py
View File

@ -9,6 +9,7 @@ import arrow
from cachetools.ttl import TTLCache
from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.plugins.pairlist.IPairList import IPairList
@ -28,6 +29,7 @@ class RangeStabilityFilter(IPairList):
self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01)
self._max_rate_of_change = pairlistconfig.get('max_rate_of_change', None)
self._refresh_period = pairlistconfig.get('refresh_period', 1440)
self._def_candletype = self._config['candle_type_def']
self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period)
@ -65,7 +67,8 @@ class RangeStabilityFilter(IPairList):
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist
"""
needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache]
needed_pairs: ListPairsWithTimeframes = [
(p, '1d', self._def_candletype) for p in pairlist if p not in self._pair_cache]
since_ms = (arrow.utcnow()
.floor('day')
@ -79,7 +82,8 @@ class RangeStabilityFilter(IPairList):
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
daily_candles = candles[(p, '1d', self._def_candletype)] if (
p, '1d', self._def_candletype) in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
return pairlist

3
freqtrade/plugins/pairlistmanager.py
View File

@ -8,6 +8,7 @@ from typing import Dict, List
from cachetools import TTLCache, cached
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.plugins.pairlist.IPairList import IPairList
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
@ -138,4 +139,4 @@ class PairListManager():
"""
Create list of pair tuples with (pair, timeframe)
"""
return [(pair, timeframe or self._config['timeframe']) for pair in pairs]
return [(pair, timeframe or self._config['timeframe'], CandleType.SPOT) for pair in pairs]

13
freqtrade/rpc/api_server/api_v1.py
View File

@ -9,6 +9,7 @@ from fastapi.exceptions import HTTPException
from freqtrade import __version__
from freqtrade.constants import USERPATH_STRATEGIES
from freqtrade.data.history import get_datahandler
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.rpc import RPC
from freqtrade.rpc.api_server.api_schemas import (AvailablePairs, Balances, BlacklistPayload,
@ -250,16 +251,22 @@ def get_strategy(strategy: str, config=Depends(get_config)):
@router.get('/available_pairs', response_model=AvailablePairs, tags=['candle data'])
def list_available_pairs(timeframe: Optional[str] = None, stake_currency: Optional[str] = None,
config=Depends(get_config)):
candletype: Optional[CandleType] = None, config=Depends(get_config)):
dh = get_datahandler(config['datadir'], config.get('dataformat_ohlcv', None))
pair_interval = dh.ohlcv_get_available_data(config['datadir'])
trading_mode = config.get('trading_mode', 'spot')
pair_interval = dh.ohlcv_get_available_data(config['datadir'], trading_mode)
if timeframe:
pair_interval = [pair for pair in pair_interval if pair[1] == timeframe]
if stake_currency:
pair_interval = [pair for pair in pair_interval if pair[0].endswith(stake_currency)]
if candletype:
pair_interval = [pair for pair in pair_interval if pair[2] == candletype]
else:
candle_type = CandleType.get_default(trading_mode)
pair_interval = [pair for pair in pair_interval if pair[2] == candle_type]
pair_interval = sorted(pair_interval, key=lambda x: x[0])
pairs = list({x[0] for x in pair_interval})

7
freqtrade/strategy/informative_decorator.py
View File

@ -2,6 +2,7 @@ from typing import Any, Callable, NamedTuple, Optional, Union
from pandas import DataFrame
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.strategy.strategy_helper import merge_informative_pair
@ -14,6 +15,7 @@ class InformativeData(NamedTuple):
timeframe: str
fmt: Union[str, Callable[[Any], str], None]
ffill: bool
candle_type: CandleType
def informative(timeframe: str, asset: str = '',
@ -46,6 +48,7 @@ def informative(timeframe: str, asset: str = '',
* {column} - name of dataframe column.
* {timeframe} - timeframe of informative dataframe.
:param ffill: ffill dataframe after merging informative pair.
:param candle_type: '', mark, index, premiumIndex, or funding_rate
"""
_asset = asset
_timeframe = timeframe
@ -54,7 +57,9 @@ def informative(timeframe: str, asset: str = '',
def decorator(fn: PopulateIndicators):
informative_pairs = getattr(fn, '_ft_informative', [])
informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill))
# TODO-lev: Add candle_type to InformativeData
informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill,
CandleType.SPOT))
setattr(fn, '_ft_informative', informative_pairs)
return fn
return decorator

19
freqtrade/strategy/interface.py
View File

@ -13,7 +13,7 @@ from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import SellType, SignalDirection, SignalTagType, SignalType
from freqtrade.enums import CandleType, SellType, SignalDirection, SignalTagType, SignalType
from freqtrade.exceptions import OperationalException, StrategyError
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import timeframe_to_next_date
@ -422,16 +422,25 @@ class IStrategy(ABC, HyperStrategyMixin):
Internal method which gathers all informative pairs (user or automatically defined).
"""
informative_pairs = self.informative_pairs()
# Compatibility code for 2 tuple informative pairs
informative_pairs = [
(p[0], p[1], CandleType.from_string(p[2]) if len(
p) > 2 else self.config.get('candle_type_def', CandleType.SPOT))
for p in informative_pairs]
for inf_data, _ in self._ft_informative:
if inf_data.asset:
pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe)
pair_tf = (
_format_pair_name(self.config, inf_data.asset),
inf_data.timeframe,
inf_data.candle_type
)
informative_pairs.append(pair_tf)
else:
if not self.dp:
raise OperationalException('@informative decorator with unspecified asset '
'requires DataProvider instance.')
for pair in self.dp.current_whitelist():
informative_pairs.append((pair, inf_data.timeframe))
informative_pairs.append((pair, inf_data.timeframe, inf_data.candle_type))
return list(set(informative_pairs))
def get_strategy_name(self) -> str:
@ -522,7 +531,9 @@ class IStrategy(ABC, HyperStrategyMixin):
dataframe = self.analyze_ticker(dataframe, metadata)
self._last_candle_seen_per_pair[pair] = dataframe.iloc[-1]['date']
if self.dp:
self.dp._set_cached_df(pair, self.timeframe, dataframe)
self.dp._set_cached_df(
pair, self.timeframe, dataframe,
candle_type=self.config.get('candle_type_def', CandleType.SPOT))
else:
logger.debug("Skipping TA Analysis for already analyzed candle")
dataframe[SignalType.ENTER_LONG.value] = 0

38
tests/commands/test_commands.py
View File

@ -814,6 +814,18 @@ def test_download_data_trades(mocker, caplog):
assert dl_mock.call_args[1]['timerange'].starttype == "date"
assert dl_mock.call_count == 1
assert convert_mock.call_count == 1
args = [
"download-data",
"--exchange", "kraken",
"--pairs", "ETH/BTC", "XRP/BTC",
"--days", "20",
"--trading-mode", "futures",
"--dl-trades"
]
with pytest.raises(OperationalException,
match="Trade download not supported for futures."):
start_download_data(get_args(args))
def test_start_convert_trades(mocker, caplog):
@ -1327,8 +1339,8 @@ def test_start_list_data(testdatadir, capsys):
start_list_data(pargs)
captured = capsys.readouterr()
assert "Found 17 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe |\n" in captured.out
assert "\n| UNITTEST/BTC | 1m, 5m, 8m, 30m |\n" in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| UNITTEST/BTC | 1m, 5m, 8m, 30m | spot |\n" in captured.out
args = [
"list-data",
@ -1343,9 +1355,27 @@ def test_start_list_data(testdatadir, capsys):
start_list_data(pargs)
captured = capsys.readouterr()
assert "Found 2 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe |\n" in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "UNITTEST/BTC" not in captured.out
assert "\n| XRP/ETH | 1m, 5m |\n" in captured.out
assert "\n| XRP/ETH | 1m, 5m | spot |\n" in captured.out
args = [
"list-data",
"--data-format-ohlcv",
"json",
"--trading-mode", "futures",
"--datadir",
str(testdatadir),
]
pargs = get_args(args)
pargs['config'] = None
start_list_data(pargs)
captured = capsys.readouterr()
assert "Found 3 pair / timeframe combinations." in captured.out
assert "\n| Pair | Timeframe | Type |\n" in captured.out
assert "\n| XRP/USDT | 1h | futures |\n" in captured.out
assert "\n| XRP/USDT | 1h | mark |\n" in captured.out
@pytest.mark.usefixtures("init_persistence")

4
tests/conftest.py
View File

@ -18,8 +18,7 @@ from freqtrade import constants
from freqtrade.commands import Arguments
from freqtrade.data.converter import ohlcv_to_dataframe
from freqtrade.edge import PairInfo
from freqtrade.enums import Collateral, RunMode, TradingMode
from freqtrade.enums.signaltype import SignalDirection
from freqtrade.enums import CandleType, Collateral, RunMode, SignalDirection, TradingMode
from freqtrade.exchange import Exchange
from freqtrade.freqtradebot import FreqtradeBot
from freqtrade.persistence import LocalTrade, Trade, init_db
@ -459,6 +458,7 @@ def get_default_conf(testdatadir):
"disableparamexport": True,
"internals": {},
"export": "none",
"candle_type_def": CandleType.SPOT,
}
return configuration

82
tests/data/test_converter.py
View File

@ -12,6 +12,8 @@ from freqtrade.data.converter import (convert_ohlcv_format, convert_trades_forma
trades_to_ohlcv, trim_dataframe)
from freqtrade.data.history import (get_timerange, load_data, load_pair_history,
validate_backtest_data)
from freqtrade.data.history.idatahandler import IDataHandler
from freqtrade.enums import CandleType
from tests.conftest import log_has, log_has_re
from tests.data.test_history import _clean_test_file
@ -75,7 +77,8 @@ def test_ohlcv_fill_up_missing_data(testdatadir, caplog):
def test_ohlcv_fill_up_missing_data2(caplog):
timeframe = '5m'
ticks = [[
ticks = [
[
1511686200000, # 8:50:00
8.794e-05, # open
8.948e-05, # high
@ -133,7 +136,8 @@ def test_ohlcv_fill_up_missing_data2(caplog):
def test_ohlcv_drop_incomplete(caplog):
timeframe = '1d'
ticks = [[
ticks = [
[
1559750400000, # 2019-06-04
8.794e-05, # open
8.948e-05, # high
@ -287,42 +291,56 @@ def test_convert_trades_format(default_conf, testdatadir, tmpdir):
file['new'].unlink()
def test_convert_ohlcv_format(default_conf, testdatadir, tmpdir):
@pytest.mark.parametrize('file_base,candletype', [
(['XRP_ETH-5m', 'XRP_ETH-1m'], CandleType.SPOT),
(['UNITTEST_USDT-1h-mark', 'XRP_USDT-1h-mark'], CandleType.MARK),
(['XRP_USDT-1h-futures'], CandleType.FUTURES),
])
def test_convert_ohlcv_format(default_conf, testdatadir, tmpdir, file_base, candletype):
tmpdir1 = Path(tmpdir)
prependix = '' if candletype == CandleType.SPOT else 'futures/'
files_orig = []
files_temp = []
files_new = []
for file in file_base:
file_orig = testdatadir / f"{prependix}{file}.json"
file_temp = tmpdir1 / f"{prependix}{file}.json"
file_new = tmpdir1 / f"{prependix}{file}.json.gz"
IDataHandler.create_dir_if_needed(file_temp)
copyfile(file_orig, file_temp)
file1_orig = testdatadir / "XRP_ETH-5m.json"
file1 = tmpdir1 / "XRP_ETH-5m.json"
file1_new = tmpdir1 / "XRP_ETH-5m.json.gz"
file2_orig = testdatadir / "XRP_ETH-1m.json"
file2 = tmpdir1 / "XRP_ETH-1m.json"
file2_new = tmpdir1 / "XRP_ETH-1m.json.gz"
copyfile(file1_orig, file1)
copyfile(file2_orig, file2)
files_orig.append(file_orig)
files_temp.append(file_temp)
files_new.append(file_new)
default_conf['datadir'] = tmpdir1
default_conf['pairs'] = ['XRP_ETH']
default_conf['timeframes'] = ['1m', '5m']
default_conf['pairs'] = ['XRP_ETH', 'XRP_USDT', 'UNITTEST_USDT']
default_conf['timeframes'] = ['1m', '5m', '1h']
assert not file1_new.exists()
assert not file2_new.exists()
assert not file_new.exists()
convert_ohlcv_format(default_conf, convert_from='json',
convert_to='jsongz', erase=False)
assert file1_new.exists()
assert file2_new.exists()
assert file1.exists()
assert file2.exists()
convert_ohlcv_format(
default_conf,
convert_from='json',
convert_to='jsongz',
erase=False,
candle_type=candletype
)
for file in (files_temp + files_new):
assert file.exists()
# Remove original files
file1.unlink()
file2.unlink()
for file in (files_temp):
file.unlink()
# Convert back
convert_ohlcv_format(default_conf, convert_from='jsongz',
convert_to='json', erase=True)
assert file1.exists()
assert file2.exists()
assert not file1_new.exists()
assert not file2_new.exists()
convert_ohlcv_format(
default_conf,
convert_from='jsongz',
convert_to='json',
erase=True,
candle_type=candletype
)
for file in (files_temp):
assert file.exists()
for file in (files_new):
assert not file.exists()

80
tests/data/test_dataprovider.py
View File

@ -5,40 +5,49 @@ import pytest
from pandas import DataFrame
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import RunMode
from freqtrade.enums import CandleType, RunMode
from freqtrade.exceptions import ExchangeError, OperationalException
from freqtrade.plugins.pairlistmanager import PairListManager
from tests.conftest import get_patched_exchange
def test_ohlcv(mocker, default_conf, ohlcv_history):
@pytest.mark.parametrize('candle_type', [
'mark',
'',
])
def test_dp_ohlcv(mocker, default_conf, ohlcv_history, candle_type):
default_conf["runmode"] = RunMode.DRY_RUN
timeframe = default_conf["timeframe"]
exchange = get_patched_exchange(mocker, default_conf)
exchange._klines[("XRP/BTC", timeframe)] = ohlcv_history
exchange._klines[("UNITTEST/BTC", timeframe)] = ohlcv_history
candletype = CandleType.from_string(candle_type)
exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history
dp = DataProvider(default_conf, exchange)
assert dp.runmode == RunMode.DRY_RUN
assert ohlcv_history.equals(dp.ohlcv("UNITTEST/BTC", timeframe))
assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe), DataFrame)
assert dp.ohlcv("UNITTEST/BTC", timeframe) is not ohlcv_history
assert dp.ohlcv("UNITTEST/BTC", timeframe, copy=False) is ohlcv_history
assert not dp.ohlcv("UNITTEST/BTC", timeframe).empty
assert dp.ohlcv("NONESENSE/AAA", timeframe).empty
assert ohlcv_history.equals(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype))
assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype), DataFrame)
assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype) is not ohlcv_history
assert dp.ohlcv("UNITTEST/BTC", timeframe, copy=False, candle_type=candletype) is ohlcv_history
assert not dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candletype).empty
assert dp.ohlcv("NONESENSE/AAA", timeframe, candle_type=candletype).empty
# Test with and without parameter
assert dp.ohlcv("UNITTEST/BTC", timeframe).equals(dp.ohlcv("UNITTEST/BTC"))
assert dp.ohlcv(
"UNITTEST/BTC",
timeframe,
candle_type=candletype
).equals(dp.ohlcv("UNITTEST/BTC", candle_type=candle_type))
default_conf["runmode"] = RunMode.LIVE
dp = DataProvider(default_conf, exchange)
assert dp.runmode == RunMode.LIVE
assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe), DataFrame)
assert isinstance(dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
default_conf["runmode"] = RunMode.BACKTEST
dp = DataProvider(default_conf, exchange)
assert dp.runmode == RunMode.BACKTEST
assert dp.ohlcv("UNITTEST/BTC", timeframe).empty
assert dp.ohlcv("UNITTEST/BTC", timeframe, candle_type=candle_type).empty
def test_historic_ohlcv(mocker, default_conf, ohlcv_history):
@ -77,37 +86,50 @@ def test_historic_ohlcv_dataformat(mocker, default_conf, ohlcv_history):
jsonloadmock.assert_not_called()
def test_get_pair_dataframe(mocker, default_conf, ohlcv_history):
@pytest.mark.parametrize('candle_type', [
'mark',
'futures',
'',
])
def test_get_pair_dataframe(mocker, default_conf, ohlcv_history, candle_type):
default_conf["runmode"] = RunMode.DRY_RUN
timeframe = default_conf["timeframe"]
exchange = get_patched_exchange(mocker, default_conf)
exchange._klines[("XRP/BTC", timeframe)] = ohlcv_history
exchange._klines[("UNITTEST/BTC", timeframe)] = ohlcv_history
candletype = CandleType.from_string(candle_type)
exchange._klines[("XRP/BTC", timeframe, candletype)] = ohlcv_history
exchange._klines[("UNITTEST/BTC", timeframe, candletype)] = ohlcv_history
dp = DataProvider(default_conf, exchange)
assert dp.runmode == RunMode.DRY_RUN
assert ohlcv_history.equals(dp.get_pair_dataframe("UNITTEST/BTC", timeframe))
assert isinstance(dp.get_pair_dataframe("UNITTEST/BTC", timeframe), DataFrame)
assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe) is not ohlcv_history
assert not dp.get_pair_dataframe("UNITTEST/BTC", timeframe).empty
assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe).empty
assert ohlcv_history.equals(dp.get_pair_dataframe(
"UNITTEST/BTC", timeframe, candle_type=candle_type))
assert ohlcv_history.equals(dp.get_pair_dataframe(
"UNITTEST/BTC", timeframe, candle_type=candletype))
assert isinstance(dp.get_pair_dataframe(
"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe,
candle_type=candle_type) is not ohlcv_history
assert not dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type).empty
assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty
# Test with and without parameter
assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe)\
.equals(dp.get_pair_dataframe("UNITTEST/BTC"))
assert dp.get_pair_dataframe("UNITTEST/BTC", timeframe, candle_type=candle_type)\
.equals(dp.get_pair_dataframe("UNITTEST/BTC", candle_type=candle_type))
default_conf["runmode"] = RunMode.LIVE
dp = DataProvider(default_conf, exchange)
assert dp.runmode == RunMode.LIVE
assert isinstance(dp.get_pair_dataframe("UNITTEST/BTC", timeframe), DataFrame)
assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe).empty
assert isinstance(dp.get_pair_dataframe(
"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe, candle_type=candle_type).empty
historymock = MagicMock(return_value=ohlcv_history)
mocker.patch("freqtrade.data.dataprovider.load_pair_history", historymock)
default_conf["runmode"] = RunMode.BACKTEST
dp = DataProvider(default_conf, exchange)
assert dp.runmode == RunMode.BACKTEST
assert isinstance(dp.get_pair_dataframe("UNITTEST/BTC", timeframe), DataFrame)
assert isinstance(dp.get_pair_dataframe(
"UNITTEST/BTC", timeframe, candle_type=candle_type), DataFrame)
# assert dp.get_pair_dataframe("NONESENSE/AAA", timeframe).empty
@ -230,8 +252,8 @@ def test_get_analyzed_dataframe(mocker, default_conf, ohlcv_history):
exchange = get_patched_exchange(mocker, default_conf)
dp = DataProvider(default_conf, exchange)
dp._set_cached_df("XRP/BTC", timeframe, ohlcv_history)
dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history)
dp._set_cached_df("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history, CandleType.SPOT)
assert dp.runmode == RunMode.DRY_RUN
dataframe, time = dp.get_analyzed_dataframe("UNITTEST/BTC", timeframe)
@ -276,7 +298,7 @@ def test_no_exchange_mode(default_conf):
dp.refresh([()])
with pytest.raises(OperationalException, match=message):
dp.ohlcv('XRP/USDT', '5m')
dp.ohlcv('XRP/USDT', '5m', '')
with pytest.raises(OperationalException, match=message):
dp.market('XRP/USDT')

271
tests/data/test_history.py
View File

@ -1,6 +1,7 @@
# pragma pylint: disable=missing-docstring, protected-access, C0103
import json
import re
import uuid
from pathlib import Path
from shutil import copyfile
@ -23,6 +24,7 @@ from freqtrade.data.history.history_utils import (_download_pair_history, _downl
validate_backtest_data)
from freqtrade.data.history.idatahandler import IDataHandler, get_datahandler, get_datahandlerclass
from freqtrade.data.history.jsondatahandler import JsonDataHandler, JsonGzDataHandler
from freqtrade.enums import CandleType
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.misc import file_dump_json
from freqtrade.resolvers import StrategyResolver
@ -95,6 +97,17 @@ def test_load_data_1min_timeframe(ohlcv_history, mocker, caplog, testdatadir) ->
)
def test_load_data_mark(ohlcv_history, mocker, caplog, testdatadir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ohlcv_history)
file = testdatadir / 'futures/UNITTEST_USDT-1h-mark.json'
load_data(datadir=testdatadir, timeframe='1h', pairs=['UNITTEST/BTC'], candle_type='mark')
assert file.is_file()
assert not log_has(
'Download history data for pair: "UNITTEST/USDT", interval: 1m '
'and store in None.', caplog
)
def test_load_data_startup_candles(mocker, caplog, default_conf, testdatadir) -> None:
ltfmock = mocker.patch(
'freqtrade.data.history.jsondatahandler.JsonDataHandler._ohlcv_load',
@ -110,8 +123,9 @@ def test_load_data_startup_candles(mocker, caplog, default_conf, testdatadir) ->
assert ltfmock.call_args_list[0][1]['timerange'].startts == timerange.startts - 20 * 60
@pytest.mark.parametrize('candle_type', ['mark', ''])
def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog,
default_conf, tmpdir) -> None:
default_conf, tmpdir, candle_type) -> None:
"""
Test load_pair_history() with 1 min timeframe
"""
@ -121,7 +135,7 @@ def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog,
file = tmpdir1 / 'MEME_BTC-1m.json'
# do not download a new pair if refresh_pairs isn't set
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC')
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC', candle_type=candle_type)
assert not file.is_file()
assert log_has(
'No history data for pair: "MEME/BTC", timeframe: 1m. '
@ -131,7 +145,7 @@ def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog,
# download a new pair if refresh_pairs is set
refresh_data(datadir=tmpdir1, timeframe='1m', pairs=['MEME/BTC'],
exchange=exchange)
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC')
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC', candle_type=candle_type)
assert file.is_file()
assert log_has_re(
r'Download history data for pair: "MEME/BTC" \(0/1\), timeframe: 1m '
@ -143,19 +157,31 @@ def test_testdata_path(testdatadir) -> None:
assert str(Path('tests') / 'testdata') in str(testdatadir)
@pytest.mark.parametrize("pair,expected_result", [
("ETH/BTC", 'freqtrade/hello/world/ETH_BTC-5m.json'),
("Fabric Token/ETH", 'freqtrade/hello/world/Fabric_Token_ETH-5m.json'),
("ETHH20", 'freqtrade/hello/world/ETHH20-5m.json'),
(".XBTBON2H", 'freqtrade/hello/world/_XBTBON2H-5m.json'),
("ETHUSD.d", 'freqtrade/hello/world/ETHUSD_d-5m.json'),
("ACC_OLD/BTC", 'freqtrade/hello/world/ACC_OLD_BTC-5m.json'),
@pytest.mark.parametrize("pair,expected_result,candle_type", [
("ETH/BTC", 'freqtrade/hello/world/ETH_BTC-5m.json', ""),
("Fabric Token/ETH", 'freqtrade/hello/world/Fabric_Token_ETH-5m.json', ""),
("ETHH20", 'freqtrade/hello/world/ETHH20-5m.json', ""),
(".XBTBON2H", 'freqtrade/hello/world/_XBTBON2H-5m.json', ""),
("ETHUSD.d", 'freqtrade/hello/world/ETHUSD_d-5m.json', ""),
("ACC_OLD/BTC", 'freqtrade/hello/world/ACC_OLD_BTC-5m.json', ""),
("ETH/BTC", 'freqtrade/hello/world/futures/ETH_BTC-5m-mark.json', "mark"),
("ACC_OLD/BTC", 'freqtrade/hello/world/futures/ACC_OLD_BTC-5m-index.json', "index"),
])
def test_json_pair_data_filename(pair, expected_result):
fn = JsonDataHandler._pair_data_filename(Path('freqtrade/hello/world'), pair, '5m')
def test_json_pair_data_filename(pair, expected_result, candle_type):
fn = JsonDataHandler._pair_data_filename(
Path('freqtrade/hello/world'),
pair,
'5m',
CandleType.from_string(candle_type)
)
assert isinstance(fn, Path)
assert fn == Path(expected_result)
fn = JsonGzDataHandler._pair_data_filename(Path('freqtrade/hello/world'), pair, '5m')
fn = JsonGzDataHandler._pair_data_filename(
Path('freqtrade/hello/world'),
pair,
'5m',
candle_type=CandleType.from_string(candle_type)
)
assert isinstance(fn, Path)
assert fn == Path(expected_result + '.gz')
@ -229,24 +255,38 @@ def test_load_cached_data_for_updating(mocker, testdatadir) -> None:
assert start_ts is None
def test_download_pair_history(ohlcv_history_list, mocker, default_conf, tmpdir) -> None:
@pytest.mark.parametrize('candle_type,subdir,file_tail', [
('mark', 'futures/', '-mark'),
('spot', '', ''),
])
def test_download_pair_history(
ohlcv_history_list,
mocker,
default_conf,
tmpdir,
candle_type,
subdir,
file_tail
) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ohlcv_history_list)
exchange = get_patched_exchange(mocker, default_conf)
tmpdir1 = Path(tmpdir)
file1_1 = tmpdir1 / 'MEME_BTC-1m.json'
file1_5 = tmpdir1 / 'MEME_BTC-5m.json'
file2_1 = tmpdir1 / 'CFI_BTC-1m.json'
file2_5 = tmpdir1 / 'CFI_BTC-5m.json'
file1_1 = tmpdir1 / f'{subdir}MEME_BTC-1m{file_tail}.json'
file1_5 = tmpdir1 / f'{subdir}MEME_BTC-5m{file_tail}.json'
file2_1 = tmpdir1 / f'{subdir}CFI_BTC-1m{file_tail}.json'
file2_5 = tmpdir1 / f'{subdir}CFI_BTC-5m{file_tail}.json'
assert not file1_1.is_file()
assert not file2_1.is_file()
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='MEME/BTC',
timeframe='1m')
timeframe='1m',
candle_type=candle_type)
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='CFI/BTC',
timeframe='1m')
timeframe='1m',
candle_type=candle_type)
assert not exchange._pairs_last_refresh_time
assert file1_1.is_file()
assert file2_1.is_file()
@ -260,10 +300,12 @@ def test_download_pair_history(ohlcv_history_list, mocker, default_conf, tmpdir)
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='MEME/BTC',
timeframe='5m')
timeframe='5m',
candle_type=candle_type)
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='CFI/BTC',
timeframe='5m')
timeframe='5m',
candle_type=candle_type)
assert not exchange._pairs_last_refresh_time
assert file1_5.is_file()
assert file2_5.is_file()
@ -283,7 +325,9 @@ def test_download_pair_history2(mocker, default_conf, testdatadir) -> None:
timeframe='1m')
_download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/BTC",
timeframe='3m')
assert json_dump_mock.call_count == 2
_download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/USDT",
timeframe='1h', candle_type='mark')
assert json_dump_mock.call_count == 3
def test_download_backtesting_data_exception(mocker, caplog, default_conf, tmpdir) -> None:
@ -443,7 +487,13 @@ def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> No
assert len(caplog.record_tuples) == 0
def test_refresh_backtest_ohlcv_data(mocker, default_conf, markets, caplog, testdatadir):
@pytest.mark.parametrize('trademode,callcount', [
('spot', 4),
('margin', 4),
('futures', 6),
])
def test_refresh_backtest_ohlcv_data(
mocker, default_conf, markets, caplog, testdatadir, trademode, callcount):
dl_mock = mocker.patch('freqtrade.data.history.history_utils._download_pair_history',
MagicMock())
mocker.patch(
@ -456,10 +506,11 @@ def test_refresh_backtest_ohlcv_data(mocker, default_conf, markets, caplog, test
timerange = TimeRange.parse_timerange("20190101-20190102")
refresh_backtest_ohlcv_data(exchange=ex, pairs=["ETH/BTC", "XRP/BTC"],
timeframes=["1m", "5m"], datadir=testdatadir,
timerange=timerange, erase=True
timerange=timerange, erase=True,
trading_mode=trademode
)
assert dl_mock.call_count == 4
assert dl_mock.call_count == callcount
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
assert log_has("Downloading pair ETH/BTC, interval 1m.", caplog)
@ -477,7 +528,8 @@ def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir):
unav_pairs = refresh_backtest_ohlcv_data(exchange=ex, pairs=["BTT/BTC", "LTC/USDT"],
timeframes=["1m", "5m"],
datadir=testdatadir,
timerange=timerange, erase=False
timerange=timerange, erase=False,
trading_mode='spot'
)
assert dl_mock.call_count == 0
@ -605,33 +657,99 @@ def test_convert_trades_to_ohlcv(testdatadir, tmpdir, caplog):
def test_datahandler_ohlcv_get_pairs(testdatadir):
pairs = JsonDataHandler.ohlcv_get_pairs(testdatadir, '5m')
pairs = JsonDataHandler.ohlcv_get_pairs(testdatadir, '5m', candle_type=CandleType.SPOT)
# Convert to set to avoid failures due to sorting
assert set(pairs) == {'UNITTEST/BTC', 'XLM/BTC', 'ETH/BTC', 'TRX/BTC', 'LTC/BTC',
'XMR/BTC', 'ZEC/BTC', 'ADA/BTC', 'ETC/BTC', 'NXT/BTC',
'DASH/BTC', 'XRP/ETH'}
pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, '8m')
pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, '8m', candle_type=CandleType.SPOT)
assert set(pairs) == {'UNITTEST/BTC'}
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '5m')
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '5m', candle_type=CandleType.SPOT)
assert set(pairs) == {'UNITTEST/BTC'}
pairs = JsonDataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
assert set(pairs) == {'UNITTEST/USDT', 'XRP/USDT'}
pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.FUTURES)
assert set(pairs) == {'XRP/USDT'}
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
assert set(pairs) == {'UNITTEST/USDT'}
@pytest.mark.parametrize('filename,pair,timeframe,candletype', [
('XMR_BTC-5m.json', 'XMR_BTC', '5m', ''),
('XMR_USDT-1h.h5', 'XMR_USDT', '1h', ''),
('BTC-PERP-1h.h5', 'BTC-PERP', '1h', ''),
('BTC_USDT-2h.jsongz', 'BTC_USDT', '2h', ''),
('BTC_USDT-2h-mark.jsongz', 'BTC_USDT', '2h', 'mark'),
('XMR_USDT-1h-mark.h5', 'XMR_USDT', '1h', 'mark'),
('XMR_USDT-1h-random.h5', 'XMR_USDT', '1h', 'random'),
('BTC-PERP-1h-index.h5', 'BTC-PERP', '1h', 'index'),
('XMR_USDT_USDT-1h-mark.h5', 'XMR_USDT_USDT', '1h', 'mark'),
])
def test_datahandler_ohlcv_regex(filename, pair, timeframe, candletype):
regex = JsonDataHandler._OHLCV_REGEX
match = re.search(regex, filename)
assert len(match.groups()) > 1
assert match[1] == pair
assert match[2] == timeframe
assert match[3] == candletype
@pytest.mark.parametrize('input,expected', [
('XMR_USDT', 'XMR/USDT'),
('BTC_USDT', 'BTC/USDT'),
('USDT_BUSD', 'USDT/BUSD'),
('BTC_USDT_USDT', 'BTC/USDT:USDT'), # Futures
('XRP_USDT_USDT', 'XRP/USDT:USDT'), # futures
('BTC-PERP', 'BTC-PERP'),
('BTC-PERP_USDT', 'BTC-PERP:USDT'), # potential FTX case
('UNITTEST_USDT', 'UNITTEST/USDT'),
])
def test_rebuild_pair_from_filename(input, expected):
assert IDataHandler.rebuild_pair_from_filename(input) == expected
def test_datahandler_ohlcv_get_available_data(testdatadir):
paircombs = JsonDataHandler.ohlcv_get_available_data(testdatadir)
paircombs = JsonDataHandler.ohlcv_get_available_data(testdatadir, 'spot')
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {('UNITTEST/BTC', '5m'), ('ETH/BTC', '5m'), ('XLM/BTC', '5m'),
('TRX/BTC', '5m'), ('LTC/BTC', '5m'), ('XMR/BTC', '5m'),
('ZEC/BTC', '5m'), ('UNITTEST/BTC', '1m'), ('ADA/BTC', '5m'),
('ETC/BTC', '5m'), ('NXT/BTC', '5m'), ('DASH/BTC', '5m'),
('XRP/ETH', '1m'), ('XRP/ETH', '5m'), ('UNITTEST/BTC', '30m'),
('UNITTEST/BTC', '8m'), ('NOPAIR/XXX', '4m')}
assert set(paircombs) == {
('UNITTEST/BTC', '5m', CandleType.SPOT),
('ETH/BTC', '5m', CandleType.SPOT),
('XLM/BTC', '5m', CandleType.SPOT),
('TRX/BTC', '5m', CandleType.SPOT),
('LTC/BTC', '5m', CandleType.SPOT),
('XMR/BTC', '5m', CandleType.SPOT),
('ZEC/BTC', '5m', CandleType.SPOT),
('UNITTEST/BTC', '1m', CandleType.SPOT),
('ADA/BTC', '5m', CandleType.SPOT),
('ETC/BTC', '5m', CandleType.SPOT),
('NXT/BTC', '5m', CandleType.SPOT),
('DASH/BTC', '5m', CandleType.SPOT),
('XRP/ETH', '1m', CandleType.SPOT),
('XRP/ETH', '5m', CandleType.SPOT),
('UNITTEST/BTC', '30m', CandleType.SPOT),
('UNITTEST/BTC', '8m', CandleType.SPOT),
('NOPAIR/XXX', '4m', CandleType.SPOT),
}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir)
assert set(paircombs) == {('UNITTEST/BTC', '8m')}
paircombs = HDF5DataHandler.ohlcv_get_available_data(testdatadir)
assert set(paircombs) == {('UNITTEST/BTC', '5m')}
paircombs = JsonDataHandler.ohlcv_get_available_data(testdatadir, 'futures')
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {
('UNITTEST/USDT', '1h', 'mark'),
('XRP/USDT', '1h', 'futures'),
('XRP/USDT', '1h', 'mark'),
}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir, 'spot')
assert set(paircombs) == {('UNITTEST/BTC', '8m', CandleType.SPOT)}
paircombs = HDF5DataHandler.ohlcv_get_available_data(testdatadir, 'spot')
assert set(paircombs) == {('UNITTEST/BTC', '5m', CandleType.SPOT)}
def test_jsondatahandler_trades_get_pairs(testdatadir):
@ -644,21 +762,29 @@ def test_jsondatahandler_ohlcv_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = JsonGzDataHandler(testdatadir)
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', '')
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', candle_type='mark')
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert unlinkmock.call_count == 1
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', '')
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', candle_type='mark')
assert unlinkmock.call_count == 2
def test_jsondatahandler_ohlcv_load(testdatadir, caplog):
dh = JsonDataHandler(testdatadir)
df = dh.ohlcv_load('XRP/ETH', '5m')
df = dh.ohlcv_load('XRP/ETH', '5m', 'spot')
assert len(df) == 711
df_mark = dh.ohlcv_load('UNITTEST/USDT', '1h', candle_type="mark")
assert len(df_mark) == 99
df_no_mark = dh.ohlcv_load('UNITTEST/USDT', '1h', 'spot')
assert len(df_no_mark) == 0
# Failure case (empty array)
df1 = dh.ohlcv_load('NOPAIR/XXX', '4m')
df1 = dh.ohlcv_load('NOPAIR/XXX', '4m', 'spot')
assert len(df1) == 0
assert log_has("Could not load data for NOPAIR/XXX.", caplog)
assert df.columns.equals(df1.columns)
@ -691,7 +817,9 @@ def test_jsondatahandler_trades_purge(mocker, testdatadir):
def test_datahandler_ohlcv_append(datahandler, testdatadir, ):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame())
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame(), CandleType.SPOT)
with pytest.raises(NotImplementedError):
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame(), CandleType.MARK)
@pytest.mark.parametrize('datahandler', AVAILABLE_DATAHANDLERS)
@ -773,35 +901,52 @@ def test_hdf5datahandler_trades_purge(mocker, testdatadir):
assert unlinkmock.call_count == 1
def test_hdf5datahandler_ohlcv_load_and_resave(testdatadir, tmpdir):
@pytest.mark.parametrize('pair,timeframe,candle_type,candle_append,startdt,enddt', [
# Data goes from 2018-01-10 - 2018-01-30
('UNITTEST/BTC', '5m', 'spot', '', '2018-01-15', '2018-01-19'),
# Mark data goes from to 2021-11-15 2021-11-19
('UNITTEST/USDT', '1h', 'mark', '-mark', '2021-11-16', '2021-11-18'),
])
def test_hdf5datahandler_ohlcv_load_and_resave(
testdatadir,
tmpdir,
pair,
timeframe,
candle_type,
candle_append,
startdt, enddt
):
tmpdir1 = Path(tmpdir)
tmpdir2 = tmpdir1
if candle_type not in ('', 'spot'):
tmpdir2 = tmpdir1 / 'futures'
tmpdir2.mkdir()
dh = HDF5DataHandler(testdatadir)
ohlcv = dh.ohlcv_load('UNITTEST/BTC', '5m')
ohlcv = dh._ohlcv_load(pair, timeframe, None, candle_type=candle_type)
assert isinstance(ohlcv, DataFrame)
assert len(ohlcv) > 0
file = tmpdir1 / 'UNITTEST_NEW-5m.h5'
file = tmpdir2 / f"UNITTEST_NEW-{timeframe}{candle_append}.h5"
assert not file.is_file()
dh1 = HDF5DataHandler(tmpdir1)
dh1.ohlcv_store('UNITTEST/NEW', '5m', ohlcv)
dh1.ohlcv_store('UNITTEST/NEW', timeframe, ohlcv, candle_type=candle_type)
assert file.is_file()
assert not ohlcv[ohlcv['date'] < '2018-01-15'].empty
assert not ohlcv[ohlcv['date'] < startdt].empty
# Data gores from 2018-01-10 - 2018-01-30
timerange = TimeRange.parse_timerange('20180115-20180119')
timerange = TimeRange.parse_timerange(f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
# Call private function to ensure timerange is filtered in hdf5
ohlcv = dh._ohlcv_load('UNITTEST/BTC', '5m', timerange)
ohlcv1 = dh1._ohlcv_load('UNITTEST/NEW', '5m', timerange)
ohlcv = dh._ohlcv_load(pair, timeframe, timerange, candle_type=candle_type)
ohlcv1 = dh1._ohlcv_load('UNITTEST/NEW', timeframe, timerange, candle_type=candle_type)
assert len(ohlcv) == len(ohlcv1)
assert ohlcv.equals(ohlcv1)
assert ohlcv[ohlcv['date'] < '2018-01-15'].empty
assert ohlcv[ohlcv['date'] > '2018-01-19'].empty
assert ohlcv[ohlcv['date'] < startdt].empty
assert ohlcv[ohlcv['date'] > enddt].empty
# Try loading inexisting file
ohlcv = dh.ohlcv_load('UNITTEST/NONEXIST', '5m')
ohlcv = dh.ohlcv_load('UNITTEST/NONEXIST', timeframe, candle_type=candle_type)
assert ohlcv.empty
@ -809,12 +954,14 @@ def test_hdf5datahandler_ohlcv_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = HDF5DataHandler(testdatadir)
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', '')
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', candle_type='mark')
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert unlinkmock.call_count == 1
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', '')
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m', candle_type='mark')
assert unlinkmock.call_count == 2
def test_gethandlerclass():

12
tests/exchange/test_binance.py
View File

@ -343,7 +343,8 @@ def test__set_leverage_binance(mocker, default_conf):
@pytest.mark.asyncio
async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog):
@pytest.mark.parametrize('candle_type', ['mark', ''])
async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, candle_type):
ohlcv = [
[
int((datetime.now(timezone.utc).timestamp() - 1000) * 1000),
@ -360,16 +361,17 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog):
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pair = 'ETH/BTC'
respair, restf, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=False)
respair, restf, restype, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=False, candle_type=candle_type)
assert respair == pair
assert restf == '5m'
assert restype == candle_type
# Call with very old timestamp - causes tons of requests
assert exchange._api_async.fetch_ohlcv.call_count > 400
# assert res == ohlcv
exchange._api_async.fetch_ohlcv.reset_mock()
_, _, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=True)
_, _, _, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=True, candle_type=candle_type)
# Called twice - one "init" call - and one to get the actual data.
assert exchange._api_async.fetch_ohlcv.call_count == 2

30
tests/exchange/test_ccxt_compat.py
View File

@ -11,6 +11,7 @@ from pathlib import Path
import pytest
from freqtrade.enums import CandleType
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
from tests.conftest import get_default_conf_usdt
@ -51,14 +52,12 @@ EXCHANGES = {
'hasQuoteVolume': True,
'timeframe': '5m',
'futures': True,
'futures_fundingrate_tf': '8h',
'futures_pair': 'BTC/USDT:USDT',
},
'okex': {
'pair': 'BTC/USDT',
'hasQuoteVolume': True,
'timeframe': '5m',
'futures_fundingrate_tf': '8h',
'futures_pair': 'BTC/USDT:USDT',
'futures': True,
},
@ -182,7 +181,9 @@ class TestCCXTExchange():
exchange, exchangename = exchange
pair = EXCHANGES[exchangename]['pair']
timeframe = EXCHANGES[exchangename]['timeframe']
pair_tf = (pair, timeframe)
pair_tf = (pair, timeframe, CandleType.SPOT)
ohlcv = exchange.refresh_latest_ohlcv([pair_tf])
assert isinstance(ohlcv, dict)
assert len(ohlcv[pair_tf]) == len(exchange.klines(pair_tf))
@ -193,7 +194,6 @@ class TestCCXTExchange():
now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2))
assert exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
@pytest.mark.skip("No futures support yet")
def test_ccxt_fetch_funding_rate_history(self, exchange_futures):
# TODO-lev: enable this test once Futures mode is enabled.
exchange, exchangename = exchange_futures
@ -206,12 +206,32 @@ class TestCCXTExchange():
rate = exchange.get_funding_rate_history(pair, since)
assert isinstance(rate, dict)
expected_tf = EXCHANGES[exchangename].get('futures_fundingrate_tf', '1h')
expected_tf = exchange._ft_has['mark_ohlcv_timeframe']
this_hour = timeframe_to_prev_date(expected_tf)
prev_tick = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
assert rate[int(this_hour.timestamp() * 1000)] != 0.0
assert rate[int(prev_tick.timestamp() * 1000)] != 0.0
@pytest.mark.skip("No futures support yet")
def test_fetch_mark_price_history(self, exchange_futures):
exchange, exchangename = exchange_futures
if not exchange:
# exchange_futures only returns values for supported exchanges
return
pair = EXCHANGES[exchangename].get('futures_pair', EXCHANGES[exchangename]['pair'])
since = int((datetime.now(timezone.utc) - timedelta(days=5)).timestamp() * 1000)
mark_candles = exchange._get_mark_price_history(pair, since)
assert isinstance(mark_candles, dict)
expected_tf = '1h'
this_hour = timeframe_to_prev_date(expected_tf)
prev_tick = timeframe_to_prev_date(expected_tf, this_hour - timedelta(minutes=1))
assert mark_candles[int(this_hour.timestamp() * 1000)] != 0.0
assert mark_candles[int(prev_tick.timestamp() * 1000)] != 0.0
# TODO: tests fetch_trades (?)
def test_ccxt_get_fee(self, exchange):

97
tests/exchange/test_exchange.py
View File

@ -11,7 +11,7 @@ import ccxt
import pytest
from pandas import DataFrame
from freqtrade.enums import Collateral, TradingMode
from freqtrade.enums import CandleType, Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOrderException,
OperationalException, PricingError, TemporaryError)
from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken
@ -1560,7 +1560,8 @@ def test_fetch_ticker(default_conf, mocker, exchange_name):
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name):
@pytest.mark.parametrize('candle_type', ['mark', ''])
def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name, candle_type):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
ohlcv = [
[
@ -1574,15 +1575,19 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name):
]
pair = 'ETH/BTC'
async def mock_candle_hist(pair, timeframe, since_ms):
return pair, timeframe, ohlcv
async def mock_candle_hist(pair, timeframe, candle_type, since_ms):
return pair, timeframe, candle_type, ohlcv
exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
# one_call calculation * 1.8 should do 2 calls
since = 5 * 60 * exchange.ohlcv_candle_limit('5m') * 1.8
ret = exchange.get_historic_ohlcv(pair, "5m", int((
arrow.utcnow().int_timestamp - since) * 1000))
ret = exchange.get_historic_ohlcv(
pair,
"5m",
int((arrow.utcnow().int_timestamp - since) * 1000),
candle_type=candle_type
)
assert exchange._async_get_candle_history.call_count == 2
# Returns twice the above OHLCV data
@ -1595,13 +1600,18 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name):
raise TimeoutError()
exchange._async_get_candle_history = MagicMock(side_effect=mock_get_candle_hist_error)
ret = exchange.get_historic_ohlcv(pair, "5m", int(
(arrow.utcnow().int_timestamp - since) * 1000))
ret = exchange.get_historic_ohlcv(
pair,
"5m",
int((arrow.utcnow().int_timestamp - since) * 1000),
candle_type=candle_type
)
assert log_has_re(r"Async code raised an exception: .*", caplog)
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name):
@pytest.mark.parametrize('candle_type', ['mark', ''])
def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name, candle_type):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
ohlcv = [
[
@ -1631,15 +1641,19 @@ def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name):
]
pair = 'ETH/BTC'
async def mock_candle_hist(pair, timeframe, since_ms):
return pair, timeframe, ohlcv
async def mock_candle_hist(pair, timeframe, candle_type, since_ms):
return pair, timeframe, candle_type, ohlcv
exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
# one_call calculation * 1.8 should do 2 calls
since = 5 * 60 * exchange.ohlcv_candle_limit('5m') * 1.8
ret = exchange.get_historic_ohlcv_as_df(pair, "5m", int((
arrow.utcnow().int_timestamp - since) * 1000))
ret = exchange.get_historic_ohlcv_as_df(
pair,
"5m",
int((arrow.utcnow().int_timestamp - since) * 1000),
candle_type=candle_type
)
assert exchange._async_get_candle_history.call_count == 2
# Returns twice the above OHLCV data
@ -1653,6 +1667,7 @@ def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name):
@pytest.mark.asyncio
@pytest.mark.parametrize("exchange_name", EXCHANGES)
# TODO-lev @pytest.mark.parametrize('candle_type', ['mark', ''])
async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name):
ohlcv = [
[
@ -1669,8 +1684,8 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pair = 'ETH/USDT'
respair, restf, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, is_new_pair=False)
respair, restf, _, res = await exchange._async_get_historic_ohlcv(
pair, "5m", 1500000000000, candle_type=CandleType.SPOT, is_new_pair=False)
assert respair == pair
assert restf == '5m'
# Call with very old timestamp - causes tons of requests
@ -1678,6 +1693,7 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
assert res[0] == ohlcv[0]
# TODO-lev: @pytest.mark.parametrize('candle_type', ['mark', ''])
def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None:
ohlcv = [
[
@ -1702,7 +1718,7 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None:
exchange = get_patched_exchange(mocker, default_conf)
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pairs = [('IOTA/ETH', '5m'), ('XRP/ETH', '5m')]
pairs = [('IOTA/ETH', '5m', ''), ('XRP/ETH', '5m', '')]
# empty dicts
assert not exchange._klines
res = exchange.refresh_latest_ohlcv(pairs, cache=False)
@ -1733,23 +1749,25 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None:
assert exchange.klines(pair, copy=False) is exchange.klines(pair, copy=False)
# test caching
res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m'), ('XRP/ETH', '5m')])
res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m', ''), ('XRP/ETH', '5m', '')])
assert len(res) == len(pairs)
assert exchange._api_async.fetch_ohlcv.call_count == 0
exchange.required_candle_call_count = 1
assert log_has(f"Using cached candle (OHLCV) data for pair {pairs[0][0]}, "
f"timeframe {pairs[0][1]} ...",
f"timeframe {pairs[0][1]}, candleType ...",
caplog)
res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m'), ('XRP/ETH', '5m'), ('XRP/ETH', '1d')],
cache=False)
res = exchange.refresh_latest_ohlcv(
[('IOTA/ETH', '5m', ''), ('XRP/ETH', '5m', ''), ('XRP/ETH', '1d', '')],
cache=False
)
assert len(res) == 3
assert exchange._api_async.fetch_ohlcv.call_count == 3
# Test the same again, should NOT return from cache!
exchange._api_async.fetch_ohlcv.reset_mock()
res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m'), ('XRP/ETH', '5m'), ('XRP/ETH', '1d')],
cache=False)
res = exchange.refresh_latest_ohlcv(
[('IOTA/ETH', '5m', ''), ('XRP/ETH', '5m', ''), ('XRP/ETH', '1d', '')], cache=False)
assert len(res) == 3
assert exchange._api_async.fetch_ohlcv.call_count == 3
@ -1774,33 +1792,35 @@ async def test__async_get_candle_history(default_conf, mocker, caplog, exchange_
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
pair = 'ETH/BTC'
res = await exchange._async_get_candle_history(pair, "5m")
res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT)
assert type(res) is tuple
assert len(res) == 3
assert len(res) == 4
assert res[0] == pair
assert res[1] == "5m"
assert res[2] == ohlcv
assert res[2] == CandleType.SPOT
assert res[3] == ohlcv
assert exchange._api_async.fetch_ohlcv.call_count == 1
assert not log_has(f"Using cached candle (OHLCV) data for {pair} ...", caplog)
# exchange = Exchange(default_conf)
await async_ccxt_exception(mocker, default_conf, MagicMock(),
"_async_get_candle_history", "fetch_ohlcv",
pair='ABCD/BTC', timeframe=default_conf['timeframe'])
pair='ABCD/BTC', timeframe=default_conf['timeframe'],
candle_type=CandleType.SPOT)
api_mock = MagicMock()
with pytest.raises(OperationalException,
match=r'Could not fetch historical candle \(OHLCV\) data.*'):
api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.BaseError("Unknown error"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
await exchange._async_get_candle_history(pair, "5m",
await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT,
(arrow.utcnow().int_timestamp - 2000) * 1000)
with pytest.raises(OperationalException, match=r'Exchange.* does not support fetching '
r'historical candle \(OHLCV\) data\..*'):
api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported("Not supported"))
exchange = get_patched_exchange(mocker, default_conf, api_mock, id=exchange_name)
await exchange._async_get_candle_history(pair, "5m",
await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT,
(arrow.utcnow().int_timestamp - 2000) * 1000)
@ -1816,12 +1836,13 @@ async def test__async_get_candle_history_empty(default_conf, mocker, caplog):
exchange = Exchange(default_conf)
pair = 'ETH/BTC'
res = await exchange._async_get_candle_history(pair, "5m")
res = await exchange._async_get_candle_history(pair, "5m", CandleType.SPOT)
assert type(res) is tuple
assert len(res) == 3
assert len(res) == 4
assert res[0] == pair
assert res[1] == "5m"
assert res[2] == ohlcv
assert res[2] == CandleType.SPOT
assert res[3] == ohlcv
assert exchange._api_async.fetch_ohlcv.call_count == 1
@ -1838,7 +1859,7 @@ def test_refresh_latest_ohlcv_inv_result(default_conf, mocker, caplog):
# Monkey-patch async function with empty result
exchange._api_async.fetch_ohlcv = MagicMock(side_effect=mock_get_candle_hist)
pairs = [("ETH/BTC", "5m"), ("XRP/BTC", "5m")]
pairs = [("ETH/BTC", "5m", ''), ("XRP/BTC", "5m", '')]
res = exchange.refresh_latest_ohlcv(pairs)
assert exchange._klines
assert exchange._api_async.fetch_ohlcv.call_count == 2
@ -2120,9 +2141,10 @@ async def test___async_get_candle_history_sort(default_conf, mocker, exchange_na
exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
sort_mock = mocker.patch('freqtrade.exchange.exchange.sorted', MagicMock(side_effect=sort_data))
# Test the OHLCV data sort
res = await exchange._async_get_candle_history('ETH/BTC', default_conf['timeframe'])
res = await exchange._async_get_candle_history(
'ETH/BTC', default_conf['timeframe'], CandleType.SPOT)
assert res[0] == 'ETH/BTC'
res_ohlcv = res[2]
res_ohlcv = res[3]
assert sort_mock.call_count == 1
assert res_ohlcv[0][0] == 1527830400000
@ -2157,10 +2179,11 @@ async def test___async_get_candle_history_sort(default_conf, mocker, exchange_na
# Reset sort mock
sort_mock = mocker.patch('freqtrade.exchange.sorted', MagicMock(side_effect=sort_data))
# Test the OHLCV data sort
res = await exchange._async_get_candle_history('ETH/BTC', default_conf['timeframe'])
res = await exchange._async_get_candle_history(
'ETH/BTC', default_conf['timeframe'], CandleType.SPOT)
assert res[0] == 'ETH/BTC'
assert res[1] == default_conf['timeframe']
res_ohlcv = res[2]
res_ohlcv = res[3]
# Sorted not called again - data is already in order
assert sort_mock.call_count == 0
assert res_ohlcv[0][0] == 1527827700000
@ -3014,7 +3037,7 @@ def test_timeframe_to_next_date():
def test_market_is_tradable(
mocker, default_conf, market_symbol, base,
quote, spot, margin, futures, trademode, add_dict, exchange, expected_result
) -> None:
) -> None:
default_conf['trading_mode'] = trademode
mocker.patch('freqtrade.exchange.exchange.Exchange.validate_trading_mode_and_collateral')
ex = get_patched_exchange(mocker, default_conf, id=exchange)

27
tests/leverage/test_candletype.py Normal file
View File

@ -0,0 +1,27 @@
import pytest
from freqtrade.enums import CandleType
@pytest.mark.parametrize('input,expected', [
('', CandleType.SPOT),
('spot', CandleType.SPOT),
(CandleType.SPOT, CandleType.SPOT),
(CandleType.FUTURES, CandleType.FUTURES),
(CandleType.INDEX, CandleType.INDEX),
(CandleType.MARK, CandleType.MARK),
('futures', CandleType.FUTURES),
('mark', CandleType.MARK),
('premiumIndex', CandleType.PREMIUMINDEX),
])
def test_CandleType_from_string(input, expected):
assert CandleType.from_string(input) == expected
@pytest.mark.parametrize('input,expected', [
('futures', CandleType.FUTURES),
('spot', CandleType.SPOT),
('margin', CandleType.SPOT),
])
def test_CandleType_get_default(input, expected):
assert CandleType.get_default(input) == expected

5
tests/optimize/test_backtesting.py
View File

@ -926,8 +926,9 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
offset = 1 if tres == 0 else 0
removed_candles = len(data[pair]) - offset - backtesting.strategy.startup_candle_count
assert len(backtesting.dataprovider.get_analyzed_dataframe(pair, '5m')[0]) == removed_candles
assert len(backtesting.dataprovider.get_analyzed_dataframe(
'NXT/BTC', '5m')[0]) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count
assert len(
backtesting.dataprovider.get_analyzed_dataframe('NXT/BTC', '5m')[0]
) == len(data['NXT/BTC']) - 1 - backtesting.strategy.startup_candle_count
backtest_conf = {
'processed': processed,

56
tests/plugins/test_pairlist.py
View File

@ -7,7 +7,7 @@ import pytest
import time_machine
from freqtrade.constants import AVAILABLE_PAIRLISTS
from freqtrade.enums.runmode import RunMode
from freqtrade.enums import CandleType, RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.persistence import Trade
from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
@ -461,11 +461,11 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
ohlcv_history_high_vola.loc[ohlcv_history_high_vola.index == 1, 'close'] = 0.00090
ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history.append(ohlcv_history),
('XRP/BTC', '1d'): ohlcv_history,
('HOT/BTC', '1d'): ohlcv_history_high_vola,
('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,
('TKN/BTC', '1d', CandleType.SPOT): ohlcv_history,
('LTC/BTC', '1d', CandleType.SPOT): ohlcv_history.append(ohlcv_history),
('XRP/BTC', '1d', CandleType.SPOT): ohlcv_history,
('HOT/BTC', '1d', CandleType.SPOT): ohlcv_history_high_vola,
}
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
@ -579,11 +579,11 @@ def test_VolumePairList_range(mocker, whitelist_conf, shitcoinmarkets, tickers,
ohlcv_history_high_volume.loc[:, 'volume'] = 10
ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history_medium_volume,
('XRP/BTC', '1d'): ohlcv_history_high_vola,
('HOT/BTC', '1d'): ohlcv_history_high_volume,
('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,
('TKN/BTC', '1d', CandleType.SPOT): ohlcv_history,
('LTC/BTC', '1d', CandleType.SPOT): ohlcv_history_medium_volume,
('XRP/BTC', '1d', CandleType.SPOT): ohlcv_history_high_vola,
('HOT/BTC', '1d', CandleType.SPOT): ohlcv_history_high_volume,
}
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
@ -855,9 +855,9 @@ def test_agefilter_min_days_listed_too_large(mocker, default_conf, markets, tick
def test_agefilter_caching(mocker, markets, whitelist_conf_agefilter, tickers, ohlcv_history):
with time_machine.travel("2021-09-01 05:00:00 +00:00") as t:
ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history,
('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,
('TKN/BTC', '1d', CandleType.SPOT): ohlcv_history,
('LTC/BTC', '1d', CandleType.SPOT): ohlcv_history,
}
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
@ -879,10 +879,10 @@ def test_agefilter_caching(mocker, markets, whitelist_conf_agefilter, tickers, o
assert freqtrade.exchange.refresh_latest_ohlcv.call_count == 2
ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history,
('XRP/BTC', '1d'): ohlcv_history.iloc[[0]],
('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,
('TKN/BTC', '1d', CandleType.SPOT): ohlcv_history,
('LTC/BTC', '1d', CandleType.SPOT): ohlcv_history,
('XRP/BTC', '1d', CandleType.SPOT): ohlcv_history.iloc[[0]],
}
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data)
freqtrade.pairlists.refresh_pairlist()
@ -900,10 +900,10 @@ def test_agefilter_caching(mocker, markets, whitelist_conf_agefilter, tickers, o
t.move_to("2021-09-03 01:00:00 +00:00")
# Called once for XRP/BTC
ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history,
('XRP/BTC', '1d'): ohlcv_history,
('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,
('TKN/BTC', '1d', CandleType.SPOT): ohlcv_history,
('LTC/BTC', '1d', CandleType.SPOT): ohlcv_history,
('XRP/BTC', '1d', CandleType.SPOT): ohlcv_history,
}
mocker.patch('freqtrade.exchange.Exchange.refresh_latest_ohlcv', return_value=ohlcv_data)
freqtrade.pairlists.refresh_pairlist()
@ -964,12 +964,12 @@ def test_rangestabilityfilter_caching(mocker, markets, default_conf, tickers, oh
get_tickers=tickers
)
ohlcv_data = {
('ETH/BTC', '1d'): ohlcv_history,
('TKN/BTC', '1d'): ohlcv_history,
('LTC/BTC', '1d'): ohlcv_history,
('XRP/BTC', '1d'): ohlcv_history,
('HOT/BTC', '1d'): ohlcv_history,
('BLK/BTC', '1d'): ohlcv_history,
('ETH/BTC', '1d', CandleType.SPOT): ohlcv_history,
('TKN/BTC', '1d', CandleType.SPOT): ohlcv_history,
('LTC/BTC', '1d', CandleType.SPOT): ohlcv_history,
('XRP/BTC', '1d', CandleType.SPOT): ohlcv_history,
('HOT/BTC', '1d', CandleType.SPOT): ohlcv_history,
('BLK/BTC', '1d', CandleType.SPOT): ohlcv_history,
}
mocker.patch.multiple(
'freqtrade.exchange.Exchange',

25
tests/rpc/test_rpc_apiserver.py
View File

@ -16,7 +16,7 @@ from numpy import isnan
from requests.auth import _basic_auth_str
from freqtrade.__init__ import __version__
from freqtrade.enums import RunMode, State
from freqtrade.enums import CandleType, RunMode, State
from freqtrade.exceptions import DependencyException, ExchangeError, OperationalException
from freqtrade.loggers import setup_logging, setup_logging_pre
from freqtrade.persistence import PairLocks, Trade
@ -706,9 +706,8 @@ def test_api_edge_disabled(botclient, mocker, ticker, fee, markets):
assert rc.json() == {"error": "Error querying /api/v1/edge: Edge is not enabled."}
@pytest.mark.parametrize(
'is_short,expected',
[(
@pytest.mark.parametrize('is_short,expected', [
(
True,
{'best_pair': 'ETC/BTC', 'best_rate': -0.5, 'best_pair_profit_ratio': -0.005,
'profit_all_coin': 43.61269123,
@ -747,7 +746,7 @@ def test_api_edge_disabled(botclient, mocker, ticker, fee, markets):
'profit_closed_percent_sum': 0.5, 'profit_closed_ratio': -5.429078808526421e-06,
'profit_closed_percent': -0.0, 'winning_trades': 1, 'losing_trades': 1}
)
])
])
def test_api_profit(botclient, mocker, ticker, fee, markets, is_short, expected):
ftbot, client = botclient
patch_get_signal(ftbot)
@ -1180,7 +1179,7 @@ def test_api_pair_candles(botclient, ohlcv_history):
ohlcv_history['enter_short'] = 0
ohlcv_history['exit_short'] = 0
ftbot.dataprovider._set_cached_df("XRP/BTC", timeframe, ohlcv_history)
ftbot.dataprovider._set_cached_df("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
rc = client_get(client,
f"{BASE_URI}/pair_candles?limit={amount}&pair=XRP%2FBTC&timeframe={timeframe}")
@ -1354,6 +1353,20 @@ def test_list_available_pairs(botclient):
assert rc.json()['pairs'] == ['XRP/ETH']
assert len(rc.json()['pair_interval']) == 1
ftbot.config['trading_mode'] = 'futures'
rc = client_get(
client, f"{BASE_URI}/available_pairs?timeframe=1h")
assert_response(rc)
assert rc.json()['length'] == 1
assert rc.json()['pairs'] == ['XRP/USDT']
rc = client_get(
client, f"{BASE_URI}/available_pairs?timeframe=1h&candletype=mark")
assert_response(rc)
assert rc.json()['length'] == 2
assert rc.json()['pairs'] == ['UNITTEST/USDT', 'XRP/USDT']
assert len(rc.json()['pair_interval']) == 2
def test_sysinfo(botclient):
ftbot, client = botclient

3
tests/strategy/strats/informative_decorator_strategy.py
View File

@ -19,6 +19,7 @@ class InformativeDecoratorTest(IStrategy):
startup_candle_count: int = 20
def informative_pairs(self):
# Intentionally return 2 tuples, must be converted to 3 in compatibility code
return [('NEO/USDT', '5m')]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
@ -67,7 +68,7 @@ class InformativeDecoratorTest(IStrategy):
dataframe['rsi_less'] = dataframe['rsi'] < dataframe['rsi_1h']
# Mixing manual informative pairs with decorators.
informative = self.dp.get_pair_dataframe('NEO/USDT', '5m')
informative = self.dp.get_pair_dataframe('NEO/USDT', '5m', '')
informative['rsi'] = 14
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, '5m', ffill=True)

3
tests/strategy/test_interface.py
View File

@ -11,8 +11,7 @@ from pandas import DataFrame
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.data.history import load_data
from freqtrade.enums import SellType
from freqtrade.enums.signaltype import SignalDirection
from freqtrade.enums import SellType, SignalDirection
from freqtrade.exceptions import OperationalException, StrategyError
from freqtrade.optimize.space import SKDecimal
from freqtrade.persistence import PairLocks, Trade

46
tests/strategy/test_strategy_helpers.py
View File

@ -5,6 +5,7 @@ import pandas as pd
import pytest
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import CandleType
from freqtrade.strategy import (merge_informative_pair, stoploss_from_absolute, stoploss_from_open,
timeframe_to_minutes)
from tests.conftest import get_patched_exchange
@ -145,23 +146,24 @@ def test_stoploss_from_absolute():
assert stoploss_from_absolute(0, 100) == 1
# TODO-lev: @pytest.mark.parametrize('candle_type', ['mark', ''])
def test_informative_decorator(mocker, default_conf):
test_data_5m = generate_test_data('5m', 40)
test_data_30m = generate_test_data('30m', 40)
test_data_1h = generate_test_data('1h', 40)
data = {
('XRP/USDT', '5m'): test_data_5m,
('XRP/USDT', '30m'): test_data_30m,
('XRP/USDT', '1h'): test_data_1h,
('LTC/USDT', '5m'): test_data_5m,
('LTC/USDT', '30m'): test_data_30m,
('LTC/USDT', '1h'): test_data_1h,
('NEO/USDT', '30m'): test_data_30m,
('NEO/USDT', '5m'): test_data_5m,
('NEO/USDT', '1h'): test_data_1h,
('ETH/USDT', '1h'): test_data_1h,
('ETH/USDT', '30m'): test_data_30m,
('ETH/BTC', '1h'): test_data_1h,
('XRP/USDT', '5m', CandleType.SPOT): test_data_5m,
('XRP/USDT', '30m', CandleType.SPOT): test_data_30m,
('XRP/USDT', '1h', CandleType.SPOT): test_data_1h,
('LTC/USDT', '5m', CandleType.SPOT): test_data_5m,
('LTC/USDT', '30m', CandleType.SPOT): test_data_30m,
('LTC/USDT', '1h', CandleType.SPOT): test_data_1h,
('NEO/USDT', '30m', CandleType.SPOT): test_data_30m,
('NEO/USDT', '5m', CandleType.SPOT): test_data_5m,
('NEO/USDT', '1h', CandleType.SPOT): test_data_1h,
('ETH/USDT', '1h', CandleType.SPOT): test_data_1h,
('ETH/USDT', '30m', CandleType.SPOT): test_data_30m,
('ETH/BTC', '1h', CandleType.SPOT): test_data_1h,
}
from .strats.informative_decorator_strategy import InformativeDecoratorTest
default_conf['stake_currency'] = 'USDT'
@ -173,19 +175,27 @@ def test_informative_decorator(mocker, default_conf):
])
assert len(strategy._ft_informative) == 6 # Equal to number of decorators used
informative_pairs = [('XRP/USDT', '1h'), ('LTC/USDT', '1h'), ('XRP/USDT', '30m'),
('LTC/USDT', '30m'), ('NEO/USDT', '1h'), ('NEO/USDT', '30m'),
('NEO/USDT', '5m'), ('ETH/BTC', '1h'), ('ETH/USDT', '30m')]
informative_pairs = [
('XRP/USDT', '1h', CandleType.SPOT),
('LTC/USDT', '1h', CandleType.SPOT),
('XRP/USDT', '30m', CandleType.SPOT),
('LTC/USDT', '30m', CandleType.SPOT),
('NEO/USDT', '1h', CandleType.SPOT),
('NEO/USDT', '30m', CandleType.SPOT),
('NEO/USDT', '5m', CandleType.SPOT),
('ETH/BTC', '1h', CandleType.SPOT),
('ETH/USDT', '30m', CandleType.SPOT)]
for inf_pair in informative_pairs:
assert inf_pair in strategy.gather_informative_pairs()
def test_historic_ohlcv(pair, timeframe):
return data[(pair, timeframe or strategy.timeframe)].copy()
def test_historic_ohlcv(pair, timeframe, candle_type):
return data[
(pair, timeframe or strategy.timeframe, CandleType.from_string(candle_type))].copy()
mocker.patch('freqtrade.data.dataprovider.DataProvider.historic_ohlcv',
side_effect=test_historic_ohlcv)
analyzed = strategy.advise_all_indicators(
{p: data[(p, strategy.timeframe)] for p in ('XRP/USDT', 'LTC/USDT')})
{p: data[(p, strategy.timeframe, CandleType.SPOT)] for p in ('XRP/USDT', 'LTC/USDT')})
expected_columns = [
'rsi_1h', 'rsi_30m', # Stacked informative decorators
'neo_usdt_rsi_1h', # NEO 1h informative

14
tests/test_freqtradebot.py
View File

@ -11,7 +11,7 @@ import arrow
import pytest
from freqtrade.constants import CANCEL_REASON, MATH_CLOSE_PREC, UNLIMITED_STAKE_AMOUNT
from freqtrade.enums import RPCMessageType, RunMode, SellType, SignalDirection, State
from freqtrade.enums import CandleType, RPCMessageType, RunMode, SellType, SignalDirection, State
from freqtrade.exceptions import (DependencyException, ExchangeError, InsufficientFundsError,
InvalidOrderException, OperationalException, PricingError,
TemporaryError)
@ -681,7 +681,10 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
create_order=MagicMock(side_effect=TemporaryError),
refresh_latest_ohlcv=refresh_mock,
)
inf_pairs = MagicMock(return_value=[("BTC/ETH", '1m'), ("ETH/USDT", "1h")])
inf_pairs = MagicMock(return_value=[
("BTC/ETH", '1m', CandleType.SPOT),
("ETH/USDT", "1h", CandleType.SPOT)
])
mocker.patch.multiple(
'freqtrade.strategy.interface.IStrategy',
get_exit_signal=MagicMock(return_value=(False, False)),
@ -696,9 +699,10 @@ def test_process_informative_pairs_added(default_conf_usdt, ticker_usdt, mocker)
freqtrade.process()
assert inf_pairs.call_count == 1
assert refresh_mock.call_count == 1
assert ("BTC/ETH", "1m") in refresh_mock.call_args[0][0]
assert ("ETH/USDT", "1h") in refresh_mock.call_args[0][0]
assert ("ETH/USDT", default_conf_usdt["timeframe"]) in refresh_mock.call_args[0][0]
assert ("BTC/ETH", "1m", CandleType.SPOT) in refresh_mock.call_args[0][0]
assert ("ETH/USDT", "1h", CandleType.SPOT) in refresh_mock.call_args[0][0]
assert ("ETH/USDT", default_conf_usdt["timeframe"],
CandleType.SPOT) in refresh_mock.call_args[0][0]
@pytest.mark.parametrize("trading_mode", [

9
tests/test_misc.py
View File

@ -69,14 +69,15 @@ def test_file_load_json(mocker, testdatadir) -> None:
("ETH/BTC", 'ETH_BTC'),
("ETH/USDT", 'ETH_USDT'),
("ETH/USDT:USDT", 'ETH_USDT_USDT'), # swap with USDT as settlement currency
("ETH/USDT:USDT-210625", 'ETH_USDT_USDT_210625'), # expiring futures
("ETH/USDT:USDT-210625", 'ETH_USDT_USDT-210625'), # expiring futures
("Fabric Token/ETH", 'Fabric_Token_ETH'),
("ETHH20", 'ETHH20'),
(".XBTBON2H", '_XBTBON2H'),
("ETHUSD.d", 'ETHUSD_d'),
("ADA-0327", 'ADA_0327'),
("BTC-USD-200110", 'BTC_USD_200110'),
("F-AKRO/USDT", 'F_AKRO_USDT'),
("ADA-0327", 'ADA-0327'),
("BTC-USD-200110", 'BTC-USD-200110'),
("BTC-PERP:USDT", 'BTC-PERP_USDT'),
("F-AKRO/USDT", 'F-AKRO_USDT'),
("LC+/ETH", 'LC__ETH'),
("CMT@18/ETH", 'CMT_18_ETH'),
("LBTC:1022/SAI", 'LBTC_1022_SAI'),

BIN
tests/testdata/futures/UNITTEST_USDT-1h-mark.h5 vendored Normal file
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Binary file not shown.

102
tests/testdata/futures/UNITTEST_USDT-1h-mark.json vendored Normal file
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@ -0,0 +1,102 @@
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102
tests/testdata/futures/XRP_USDT-1h-futures.json vendored Normal file
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