Merge branch 'develop' of freqtrade into feature/overhaul-db-handling
This commit is contained in:
gcarq
commit
17742df591
@ -7,11 +7,23 @@ import argparse
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import logging
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import re
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import arrow
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from typing import List, Tuple, Optional
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from typing import List, Optional, NamedTuple
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from freqtrade import __version__, constants
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class TimeRange(NamedTuple):
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"""
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NamedTuple Defining timerange inputs.
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[start/stop]type defines if [start/stop]ts shall be used.
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if *type is none, don't use corresponding startvalue.
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"""
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starttype: Optional[str] = None
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stoptype: Optional[str] = None
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startts: int = 0
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stopts: int = 0
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class Arguments(object):
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"""
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Arguments Class. Manage the arguments received by the cli
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@ -224,15 +236,14 @@ class Arguments(object):
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self.hyperopt_options(hyperopt_cmd)
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@staticmethod
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def parse_timerange(text: Optional[str]) -> \
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Optional[Tuple[Tuple, Optional[int], Optional[int]]]:
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def parse_timerange(text: Optional[str]) -> TimeRange:
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"""
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Parse the value of the argument --timerange to determine what is the range desired
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:param text: value from --timerange
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:return: Start and End range period
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"""
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if text is None:
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return None
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return TimeRange()
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syntax = [(r'^-(\d{8})$', (None, 'date')),
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(r'^(\d{8})-$', ('date', None)),
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(r'^(\d{8})-(\d{8})$', ('date', 'date')),
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@ -248,8 +259,8 @@ class Arguments(object):
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if match: # Regex has matched
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rvals = match.groups()
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index = 0
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start: Optional[int] = None
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stop: Optional[int] = None
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start: int = 0
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stop: int = 0
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if stype[0]:
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starts = rvals[index]
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if stype[0] == 'date':
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@ -265,7 +276,7 @@ class Arguments(object):
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else arrow.get(stops, 'YYYYMMDD').timestamp
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else:
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stop = int(stops)
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return stype, start, stop
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return TimeRange(stype[0], stype[1], start, stop)
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raise Exception('Incorrect syntax for timerange "%s"' % text)
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def scripts_options(self) -> None:
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@ -18,6 +18,8 @@ _API: ccxt.Exchange = None
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_CONF: Dict = {}
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API_RETRY_COUNT = 4
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_CACHED_TICKER: Dict[str, Any] = {}
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# Holds all open sell orders for dry_run
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_DRY_RUN_OPEN_ORDERS: Dict[str, Any] = {}
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@ -264,17 +266,29 @@ def get_tickers() -> Dict:
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raise OperationalException(e)
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# TODO: remove refresh argument, keeping it to keep track of where it was intended to be used
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@retrier
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def get_ticker(pair: str, refresh: Optional[bool] = True) -> dict:
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try:
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return _API.fetch_ticker(pair)
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not load ticker history due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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global _CACHED_TICKER
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if refresh or pair not in _CACHED_TICKER.keys():
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try:
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data = _API.fetch_ticker(pair)
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try:
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_CACHED_TICKER[pair] = {
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'bid': float(data['bid']),
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'ask': float(data['ask']),
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}
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except KeyError as e:
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logger.debug("Could not cache ticker data for %s", pair)
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return data
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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'Could not load ticker history due to {}. Message: {}'.format(
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e.__class__.__name__, e))
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except ccxt.BaseError as e:
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raise OperationalException(e)
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else:
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logger.info("returning cached ticker-data for %s", pair)
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return _CACHED_TICKER[pair]
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@retrier
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@ -9,39 +9,40 @@ import arrow
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from freqtrade import misc, constants
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from freqtrade.exchange import get_ticker_history
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from freqtrade.arguments import TimeRange
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from user_data.hyperopt_conf import hyperopt_optimize_conf
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logger = logging.getLogger(__name__)
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def trim_tickerlist(tickerlist: List[Dict], timerange: Tuple[Tuple, int, int]) -> List[Dict]:
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def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]:
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if not tickerlist:
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return tickerlist
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stype, start, stop = timerange
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start_index = 0
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stop_index = len(tickerlist)
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if stype[0] == 'line':
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stop_index = start
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if stype[0] == 'index':
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start_index = start
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elif stype[0] == 'date':
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while start_index < len(tickerlist) and tickerlist[start_index][0] < start * 1000:
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if timerange.starttype == 'line':
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stop_index = timerange.startts
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if timerange.starttype == 'index':
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start_index = timerange.startts
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elif timerange.starttype == 'date':
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while (start_index < len(tickerlist) and
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tickerlist[start_index][0] < timerange.startts * 1000):
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start_index += 1
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if stype[1] == 'line':
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start_index = len(tickerlist) + stop
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if stype[1] == 'index':
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stop_index = stop
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elif stype[1] == 'date':
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while stop_index > 0 and tickerlist[stop_index-1][0] > stop * 1000:
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if timerange.stoptype == 'line':
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start_index = len(tickerlist) + timerange.stopts
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if timerange.stoptype == 'index':
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stop_index = timerange.stopts
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elif timerange.stoptype == 'date':
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while (stop_index > 0 and
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tickerlist[stop_index-1][0] > timerange.stopts * 1000):
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stop_index -= 1
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if start_index > stop_index:
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raise ValueError(f'The timerange [{start},{stop}] is incorrect')
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raise ValueError(f'The timerange [{timerange.startts},{timerange.stopts}] is incorrect')
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return tickerlist[start_index:stop_index]
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@ -49,7 +50,7 @@ def trim_tickerlist(tickerlist: List[Dict], timerange: Tuple[Tuple, int, int]) -
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def load_tickerdata_file(
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datadir: str, pair: str,
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ticker_interval: str,
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timerange: Optional[Tuple[Tuple, int, int]] = None) -> Optional[List[Dict]]:
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timerange: Optional[TimeRange] = None) -> Optional[List[Dict]]:
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"""
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Load a pair from file,
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:return dict OR empty if unsuccesful
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@ -84,7 +85,7 @@ def load_data(datadir: str,
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ticker_interval: str,
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pairs: Optional[List[str]] = None,
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refresh_pairs: Optional[bool] = False,
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timerange: Optional[Tuple[Tuple, int, int]] = None) -> Dict[str, List]:
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timerange: TimeRange = TimeRange()) -> Dict[str, List]:
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"""
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Loads ticker history data for the given parameters
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:return: dict
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@ -124,7 +125,7 @@ def make_testdata_path(datadir: str) -> str:
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def download_pairs(datadir, pairs: List[str],
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ticker_interval: str,
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timerange: Optional[Tuple[Tuple, int, int]] = None) -> bool:
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timerange: TimeRange = TimeRange()) -> bool:
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"""For each pairs passed in parameters, download the ticker intervals"""
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for pair in pairs:
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try:
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@ -144,7 +145,7 @@ def download_pairs(datadir, pairs: List[str],
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def load_cached_data_for_updating(filename: str,
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tick_interval: str,
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timerange: Optional[Tuple[Tuple, int, int]]) -> Tuple[
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timerange: Optional[TimeRange]) -> Tuple[
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List[Any],
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Optional[int]]:
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"""
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@ -155,10 +156,10 @@ def load_cached_data_for_updating(filename: str,
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# user sets timerange, so find the start time
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if timerange:
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if timerange[0][0] == 'date':
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since_ms = timerange[1] * 1000
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elif timerange[0][1] == 'line':
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num_minutes = timerange[2] * constants.TICKER_INTERVAL_MINUTES[tick_interval]
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if timerange.starttype == 'date':
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since_ms = timerange.startts * 1000
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elif timerange.stoptype == 'line':
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num_minutes = timerange.stopts * constants.TICKER_INTERVAL_MINUTES[tick_interval]
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since_ms = arrow.utcnow().shift(minutes=num_minutes).timestamp * 1000
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# read the cached file
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@ -188,7 +189,7 @@ def load_cached_data_for_updating(filename: str,
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def download_backtesting_testdata(datadir: str,
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pair: str,
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tick_interval: str = '5m',
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timerange: Optional[Tuple[Tuple, int, int]] = None) -> None:
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timerange: Optional[TimeRange] = None) -> None:
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"""
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Download the latest ticker intervals from the exchange for the pairs passed in parameters
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@ -221,7 +221,7 @@ class Backtesting(object):
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timerange = Arguments.parse_timerange(None if self.config.get(
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'timerange') is None else str(self.config.get('timerange')))
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data = optimize.load_data( # type: ignore # timerange will be refactored
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data = optimize.load_data(
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self.config['datadir'],
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pairs=pairs,
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ticker_interval=self.ticker_interval,
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@ -497,7 +497,7 @@ class Hyperopt(Backtesting):
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def start(self) -> None:
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timerange = Arguments.parse_timerange(None if self.config.get(
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'timerange') is None else str(self.config.get('timerange')))
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data = load_data( # type: ignore # timerange will be refactored
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data = load_data(
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datadir=str(self.config.get('datadir')),
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pairs=self.config['exchange']['pair_whitelist'],
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ticker_interval=self.ticker_interval,
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@ -310,9 +310,19 @@ def test_get_ticker(default_conf, mocker):
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# if not fetching a new result we should get the cached ticker
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ticker = get_ticker(pair='ETH/BTC')
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assert api_mock.fetch_ticker.call_count == 1
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assert ticker['bid'] == 0.5
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assert ticker['ask'] == 1
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assert 'ETH/BTC' in exchange._CACHED_TICKER
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assert exchange._CACHED_TICKER['ETH/BTC']['bid'] == 0.5
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assert exchange._CACHED_TICKER['ETH/BTC']['ask'] == 1
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# Test caching
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api_mock.fetch_ticker = MagicMock()
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get_ticker(pair='ETH/BTC', refresh=False)
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assert api_mock.fetch_ticker.call_count == 0
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with pytest.raises(TemporaryError): # test retrier
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api_mock.fetch_ticker = MagicMock(side_effect=ccxt.NetworkError)
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mocker.patch('freqtrade.exchange._API', api_mock)
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@ -323,6 +333,10 @@ def test_get_ticker(default_conf, mocker):
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mocker.patch('freqtrade.exchange._API', api_mock)
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get_ticker(pair='ETH/BTC', refresh=True)
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api_mock.fetch_ticker = MagicMock(return_value={})
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mocker.patch('freqtrade.exchange._API', api_mock)
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get_ticker(pair='ETH/BTC', refresh=True)
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def make_fetch_ohlcv_mock(data):
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def fetch_ohlcv_mock(pair, timeframe, since):
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@ -13,7 +13,7 @@ from arrow import Arrow
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from freqtrade import optimize
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from freqtrade.analyze import Analyze
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from freqtrade.arguments import Arguments
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from freqtrade.arguments import Arguments, TimeRange
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from freqtrade.optimize.backtesting import Backtesting, start, setup_configuration
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from freqtrade.tests.conftest import log_has
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@ -30,7 +30,7 @@ def trim_dictlist(dict_list, num):
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def load_data_test(what):
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timerange = ((None, 'line'), None, -100)
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timerange = TimeRange(None, 'line', 0, -100)
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data = optimize.load_data(None, ticker_interval='1m',
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pairs=['UNITTEST/BTC'], timerange=timerange)
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pair = data['UNITTEST/BTC']
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@ -311,7 +311,7 @@ def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
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Test Backtesting.tickerdata_to_dataframe() method
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"""
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mocker.patch('freqtrade.exchange.validate_pairs', MagicMock(return_value=True))
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timerange = ((None, 'line'), None, -100)
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timerange = TimeRange(None, 'line', 0, -100)
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tick = optimize.load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
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tickerlist = {'UNITTEST/BTC': tick}
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@ -11,6 +11,7 @@ from freqtrade.misc import file_dump_json
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from freqtrade.optimize.__init__ import make_testdata_path, download_pairs, \
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download_backtesting_testdata, load_tickerdata_file, trim_tickerlist, \
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load_cached_data_for_updating
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from freqtrade.arguments import TimeRange
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from freqtrade.tests.conftest import log_has
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# Change this if modifying UNITTEST/BTC testdatafile
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@ -176,7 +177,7 @@ def test_load_cached_data_for_updating(mocker) -> None:
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# timeframe starts earlier than the cached data
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# should fully update data
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timerange = (('date', None), test_data[0][0] / 1000 - 1, None)
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timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0)
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data, start_ts = load_cached_data_for_updating(test_filename,
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'1m',
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timerange)
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@ -187,13 +188,13 @@ def test_load_cached_data_for_updating(mocker) -> None:
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num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 120
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data, start_ts = load_cached_data_for_updating(test_filename,
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'1m',
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((None, 'line'), None, -num_lines))
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TimeRange(None, 'line', 0, -num_lines))
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assert data == []
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assert start_ts < test_data[0][0] - 1
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# timeframe starts in the center of the cached data
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# should return the chached data w/o the last item
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timerange = (('date', None), test_data[0][0] / 1000 + 1, None)
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timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0)
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data, start_ts = load_cached_data_for_updating(test_filename,
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'1m',
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timerange)
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@ -202,7 +203,7 @@ def test_load_cached_data_for_updating(mocker) -> None:
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# same with 'line' timeframe
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num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 30
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timerange = ((None, 'line'), None, -num_lines)
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(test_filename,
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'1m',
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timerange)
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@ -211,7 +212,7 @@ def test_load_cached_data_for_updating(mocker) -> None:
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# timeframe starts after the chached data
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# should return the chached data w/o the last item
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timerange = (('date', None), test_data[-1][0] / 1000 + 1, None)
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timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 1, 0)
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data, start_ts = load_cached_data_for_updating(test_filename,
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'1m',
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timerange)
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@ -220,7 +221,7 @@ def test_load_cached_data_for_updating(mocker) -> None:
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# same with 'line' timeframe
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num_lines = 30
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timerange = ((None, 'line'), None, -num_lines)
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(test_filename,
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'1m',
|
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timerange)
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@ -230,7 +231,7 @@ def test_load_cached_data_for_updating(mocker) -> None:
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# no timeframe is set
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# should return the chached data w/o the last item
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num_lines = 30
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timerange = ((None, 'line'), None, -num_lines)
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(test_filename,
|
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'1m',
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timerange)
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@ -239,7 +240,7 @@ def test_load_cached_data_for_updating(mocker) -> None:
|
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|
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# no datafile exist
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# should return timestamp start time
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timerange = (('date', None), now_ts - 10000, None)
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timerange = TimeRange('date', None, now_ts - 10000, 0)
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data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
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'1m',
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timerange)
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@ -248,7 +249,7 @@ def test_load_cached_data_for_updating(mocker) -> None:
|
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# same with 'line' timeframe
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num_lines = 30
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timerange = ((None, 'line'), None, -num_lines)
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timerange = TimeRange(None, 'line', 0, -num_lines)
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data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
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'1m',
|
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timerange)
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@ -343,7 +344,7 @@ def test_trim_tickerlist() -> None:
|
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|
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# Test the pattern ^(-\d+)$
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# This pattern uses the latest N elements
|
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timerange = ((None, 'line'), None, -5)
|
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timerange = TimeRange(None, 'line', 0, -5)
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ticker = trim_tickerlist(ticker_list, timerange)
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ticker_len = len(ticker)
|
||||
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@ -353,7 +354,7 @@ def test_trim_tickerlist() -> None:
|
||||
|
||||
# Test the pattern ^(\d+)-$
|
||||
# This pattern keep X element from the end
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||||
timerange = (('line', None), 5, None)
|
||||
timerange = TimeRange('line', None, 5, 0)
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ticker = trim_tickerlist(ticker_list, timerange)
|
||||
ticker_len = len(ticker)
|
||||
|
||||
@ -363,7 +364,7 @@ def test_trim_tickerlist() -> None:
|
||||
|
||||
# Test the pattern ^(\d+)-(\d+)$
|
||||
# This pattern extract a window
|
||||
timerange = (('index', 'index'), 5, 10)
|
||||
timerange = TimeRange('index', 'index', 5, 10)
|
||||
ticker = trim_tickerlist(ticker_list, timerange)
|
||||
ticker_len = len(ticker)
|
||||
|
||||
@ -374,7 +375,7 @@ def test_trim_tickerlist() -> None:
|
||||
|
||||
# Test the pattern ^(\d{8})-(\d{8})$
|
||||
# This pattern extract a window between the dates
|
||||
timerange = (('date', 'date'), ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1)
|
||||
timerange = TimeRange('date', 'date', ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1)
|
||||
ticker = trim_tickerlist(ticker_list, timerange)
|
||||
ticker_len = len(ticker)
|
||||
|
||||
@ -385,7 +386,7 @@ def test_trim_tickerlist() -> None:
|
||||
|
||||
# Test the pattern ^-(\d{8})$
|
||||
# This pattern extracts elements from the start to the date
|
||||
timerange = ((None, 'date'), None, ticker_list[10][0] / 1000 - 1)
|
||||
timerange = TimeRange(None, 'date', 0, ticker_list[10][0] / 1000 - 1)
|
||||
ticker = trim_tickerlist(ticker_list, timerange)
|
||||
ticker_len = len(ticker)
|
||||
|
||||
@ -395,7 +396,7 @@ def test_trim_tickerlist() -> None:
|
||||
|
||||
# Test the pattern ^(\d{8})-$
|
||||
# This pattern extracts elements from the date to now
|
||||
timerange = (('date', None), ticker_list[10][0] / 1000 - 1, None)
|
||||
timerange = TimeRange('date', None, ticker_list[10][0] / 1000 - 1, None)
|
||||
ticker = trim_tickerlist(ticker_list, timerange)
|
||||
ticker_len = len(ticker)
|
||||
|
||||
@ -405,7 +406,7 @@ def test_trim_tickerlist() -> None:
|
||||
|
||||
# Test a wrong pattern
|
||||
# This pattern must return the list unchanged
|
||||
timerange = ((None, None), None, 5)
|
||||
timerange = TimeRange(None, None, None, 5)
|
||||
ticker = trim_tickerlist(ticker_list, timerange)
|
||||
ticker_len = len(ticker)
|
||||
|
||||
|
||||
@ -13,6 +13,7 @@ from pandas import DataFrame
|
||||
|
||||
from freqtrade.analyze import Analyze, SignalType
|
||||
from freqtrade.optimize.__init__ import load_tickerdata_file
|
||||
from freqtrade.arguments import TimeRange
|
||||
from freqtrade.tests.conftest import log_has
|
||||
|
||||
# Avoid to reinit the same object again and again
|
||||
@ -183,7 +184,7 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
|
||||
"""
|
||||
analyze = Analyze(default_conf)
|
||||
|
||||
timerange = ((None, 'line'), None, -100)
|
||||
timerange = TimeRange(None, 'line', 0, -100)
|
||||
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
|
||||
tickerlist = {'UNITTEST/BTC': tick}
|
||||
data = analyze.tickerdata_to_dataframe(tickerlist)
|
||||
|
||||
@ -9,7 +9,7 @@ import logging
|
||||
|
||||
import pytest
|
||||
|
||||
from freqtrade.arguments import Arguments
|
||||
from freqtrade.arguments import Arguments, TimeRange
|
||||
|
||||
|
||||
def test_arguments_object() -> None:
|
||||
@ -107,20 +107,24 @@ def test_parse_args_dynamic_whitelist_invalid_values() -> None:
|
||||
|
||||
|
||||
def test_parse_timerange_incorrect() -> None:
|
||||
assert ((None, 'line'), None, -200) == Arguments.parse_timerange('-200')
|
||||
assert (('line', None), 200, None) == Arguments.parse_timerange('200-')
|
||||
assert (('index', 'index'), 200, 500) == Arguments.parse_timerange('200-500')
|
||||
assert TimeRange(None, 'line', 0, -200) == Arguments.parse_timerange('-200')
|
||||
assert TimeRange('line', None, 200, 0) == Arguments.parse_timerange('200-')
|
||||
assert TimeRange('index', 'index', 200, 500) == Arguments.parse_timerange('200-500')
|
||||
|
||||
assert (('date', None), 1274486400, None) == Arguments.parse_timerange('20100522-')
|
||||
assert ((None, 'date'), None, 1274486400) == Arguments.parse_timerange('-20100522')
|
||||
assert TimeRange('date', None, 1274486400, 0) == Arguments.parse_timerange('20100522-')
|
||||
assert TimeRange(None, 'date', 0, 1274486400) == Arguments.parse_timerange('-20100522')
|
||||
timerange = Arguments.parse_timerange('20100522-20150730')
|
||||
assert timerange == (('date', 'date'), 1274486400, 1438214400)
|
||||
assert timerange == TimeRange('date', 'date', 1274486400, 1438214400)
|
||||
|
||||
# Added test for unix timestamp - BTC genesis date
|
||||
assert (('date', None), 1231006505, None) == Arguments.parse_timerange('1231006505-')
|
||||
assert ((None, 'date'), None, 1233360000) == Arguments.parse_timerange('-1233360000')
|
||||
assert TimeRange('date', None, 1231006505, 0) == Arguments.parse_timerange('1231006505-')
|
||||
assert TimeRange(None, 'date', 0, 1233360000) == Arguments.parse_timerange('-1233360000')
|
||||
timerange = Arguments.parse_timerange('1231006505-1233360000')
|
||||
assert timerange == (('date', 'date'), 1231006505, 1233360000)
|
||||
assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange
|
||||
|
||||
# TODO: Find solution for the following case (passing timestamp in ms)
|
||||
timerange = Arguments.parse_timerange('1231006505000-1233360000000')
|
||||
assert TimeRange('date', 'date', 1231006505, 1233360000) != timerange
|
||||
|
||||
with pytest.raises(Exception, match=r'Incorrect syntax.*'):
|
||||
Arguments.parse_timerange('-')
|
||||
|
||||
@ -1,4 +1,4 @@
|
||||
ccxt==1.14.121
|
||||
ccxt==1.14.155
|
||||
SQLAlchemy==1.2.8
|
||||
python-telegram-bot==10.1.0
|
||||
arrow==0.12.1
|
||||
@ -10,14 +10,14 @@ pandas==0.23.0
|
||||
scikit-learn==0.19.1
|
||||
scipy==1.1.0
|
||||
jsonschema==2.6.0
|
||||
numpy==1.14.3
|
||||
numpy==1.14.4
|
||||
TA-Lib==0.4.17
|
||||
pytest==3.6.0
|
||||
pytest==3.6.1
|
||||
pytest-mock==1.10.0
|
||||
pytest-cov==2.5.1
|
||||
hyperopt==0.1
|
||||
# do not upgrade networkx before this is fixed https://github.com/hyperopt/hyperopt/issues/325
|
||||
networkx==1.11
|
||||
networkx==1.11 # pyup: ignore
|
||||
tabulate==0.8.2
|
||||
coinmarketcap==5.0.3
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user