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OHLCV should be float for TA-LIB indicators in the strategy

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Some exchanges (BitMEX) return integer values for Volume field. And sometimes even for OHLC -- same, on BitMEX, since price decrease is 0.5. TA-LIB functions assume floats and fail with exception.
Of course, this can be fixed (converted) in ccxt for particular exchange, but TA-LIB will still fail for exchanges for that such a conversion is not implemented in ccxt code. So let's make perform this conversion here in order to be sure our strategy will not crash on a new exchange.
This commit is contained in:
hroff-1902
2019-02-10 21:52:33 +03:00
committed by GitHub
parent 7248537d4a
commit 14d6cdf9b2
1 changed files with 4 additions and 0 deletions
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4
freqtrade/data/converter.py
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@@ -29,6 +29,10 @@ def parse_ticker_dataframe(ticker: list, ticker_interval: str,
utc=True, utc=True,
infer_datetime_format=True) infer_datetime_format=True)
# Some exchanges return int values for volume and even for ohlc.
# Convert them since TA-LIB indicators used in the strategy assume floats and fail with exception...
frame = frame.astype(dtype={'open': 'float', 'high': 'float', 'low': 'float', 'close': 'float', 'volume': 'float'})
# group by index and aggregate results to eliminate duplicate ticks # group by index and aggregate results to eliminate duplicate ticks
frame = frame.groupby(by='date', as_index=False, sort=True).agg({ frame = frame.groupby(by='date', as_index=False, sort=True).agg({
'open': 'first', 'open': 'first',