add "date_minus_candles" method

freqtrade/exchange/exchange.py

@@ -2687,9 +2687,10 @@ def timeframe_to_msecs(timeframe: str) -> int:
 
 def timeframe_to_prev_date(timeframe: str, date: datetime = None) -> datetime:
     """
-    Use Timeframe and determine last possible candle.
+    Use Timeframe and determine the candle start date for this date.
+    Does not round when given a candle start date.
     :param timeframe: timeframe in string format (e.g. "5m")
-    :param date: date to use. Defaults to utcnow()
+    :param date: date to use. Defaults to now(utc)
     :returns: date of previous candle (with utc timezone)
     """
     if not date:
@@ -2704,7 +2705,7 @@ def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
     """
     Use Timeframe and determine next candle.
     :param timeframe: timeframe in string format (e.g. "5m")
-    :param date: date to use. Defaults to utcnow()
+    :param date: date to use. Defaults to now(utc)
     :returns: date of next candle (with utc timezone)
     """
     if not date:
@@ -2714,6 +2715,23 @@ def timeframe_to_next_date(timeframe: str, date: datetime = None) -> datetime:
     return datetime.fromtimestamp(new_timestamp, tz=timezone.utc)
 
 
+def date_minus_candles(
+        timeframe: str, candle_count: int, date: Optional[datetime] = None) -> datetime:
+    """
+    subtract X candles from a date.
+    :param timeframe: timeframe in string format (e.g. "5m")
+    :param candle_count: Amount of candles to subtract.
+    :param date: date to use. Defaults to now(utc)
+
+    """
+    if not date:
+        date = datetime.now(timezone.utc)
+
+    tf_min = timeframe_to_minutes(timeframe)
+    new_date = timeframe_to_prev_date(timeframe, date) - timedelta(minutes=tf_min * candle_count)
+    return new_date
+
+
 def market_is_active(market: Dict) -> bool:
     """
     Return True if the market is active.

tests/exchange/test_exchange.py

@@ -17,9 +17,9 @@ from freqtrade.exceptions import (DDosProtection, DependencyException, InvalidOr
 from freqtrade.exchange import Binance, Bittrex, Exchange, Kraken
 from freqtrade.exchange.common import (API_FETCH_ORDER_RETRY_COUNT, API_RETRY_COUNT,
                                        calculate_backoff, remove_credentials)
-from freqtrade.exchange.exchange import (market_is_active, timeframe_to_minutes, timeframe_to_msecs,
-                                         timeframe_to_next_date, timeframe_to_prev_date,
-                                         timeframe_to_seconds)
+from freqtrade.exchange.exchange import (date_minus_candles, market_is_active, timeframe_to_minutes,
+                                         timeframe_to_msecs, timeframe_to_next_date,
+                                         timeframe_to_prev_date, timeframe_to_seconds)
 from freqtrade.resolvers.exchange_resolver import ExchangeResolver
 from tests.conftest import get_mock_coro, get_patched_exchange, log_has, log_has_re, num_log_has_re
 
@@ -3431,6 +3431,17 @@ def test_timeframe_to_next_date():
     assert timeframe_to_next_date("5m", date) == date + timedelta(minutes=5)
 
 
+def test_date_minus_candles():
+
+    date = datetime(2019, 8, 12, 13, 25, 0, tzinfo=timezone.utc)
+
+    assert date_minus_candles("5m", 3, date) == date - timedelta(minutes=15)
+    assert date_minus_candles("5m", 5, date) == date - timedelta(minutes=25)
+    assert date_minus_candles("1m", 6, date) == date - timedelta(minutes=6)
+    assert date_minus_candles("1h", 3, date) == date - timedelta(hours=3, minutes=25)
+    assert date_minus_candles("1h", 3) == timeframe_to_prev_date('1h') - timedelta(hours=3)
+
+
 @pytest.mark.parametrize(
     "market_symbol,base,quote,exchange,spot,margin,futures,trademode,add_dict,expected_result",
     [