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Fix review comments, documenation update

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This commit is contained in:
Anton 2018-05-01 00:27:05 +03:00
parent a127e1db07
commit 24ab1b5be5
7 changed files with 172 additions and 71 deletions
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2
docs/backtesting.md
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@ -36,7 +36,7 @@ python3 ./freqtrade/main.py backtesting --realistic-simulation
python3 ./freqtrade/main.py backtesting --realistic-simulation --ticker-interval 1m
```
**Reload your testdata files**
**Update cached pairs with the latest data**
```bash
python3 ./freqtrade/main.py backtesting --realistic-simulation --refresh-pairs-cached
```

2
docs/bot-usage.md
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@ -124,7 +124,7 @@ optional arguments:
world limitations
-r, --refresh-pairs-cached
refresh the pairs files in tests/testdata with
the latest data from Bittrex. Use it if you want
the latest data from the exchange. Use it if you want
to run your backtesting with up-to-date data.
```

2
freqtrade/arguments.py
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@ -118,7 +118,7 @@ class Arguments(object):
)
parser.add_argument(
'-r', '--refresh-pairs-cached',
help='refresh the pairs files in tests/testdata with the latest data from Bittrex. \
help='refresh the pairs files in tests/testdata with the latest data from the exchange. \
Use it if you want to run your backtesting with up-to-date data.',
action='store_true',
dest='refresh_pairs',

22
freqtrade/exchange/__init__.py
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@ -8,7 +8,7 @@ import ccxt
import arrow
from freqtrade import OperationalException, DependencyException, NetworkException
from freqtrade.constants import Constants
logger = logging.getLogger(__name__)
@ -269,15 +269,21 @@ def get_ticker(pair: str, refresh: Optional[bool] = True) -> dict:
@retrier
def get_ticker_history(pair: str, tick_interval: str, since: Optional[int] = None) -> List[Dict]:
def get_ticker_history(pair: str, tick_interval: str, since_ms: Optional[int] = None) -> List[Dict]:
try:
# download data until it reaches today now time
#
# last item should be in the time interval [now - tick_interval, now]
till_time_ms = arrow.utcnow().shift(
minutes=-Constants.TICKER_INTERVAL_MINUTES[tick_interval]
).timestamp * 1000
# it looks as if some exchanges return cached data
# and update it with some delay so 10 mins interval is added
# and they update it one in several minute, so 10 mins interval
# is necessary to skeep downloading of an empty array when all
# chached data was already downloaded
till_time_ms = min(till_time_ms, arrow.utcnow().shift(minutes=-10).timestamp * 1000)
data = []
while not since or since < arrow.utcnow().shift(minutes=-10).timestamp * 1000:
data_part = _API.fetch_ohlcv(pair, timeframe=tick_interval, since=since)
while not since_ms or since_ms < till_time_ms:
data_part = _API.fetch_ohlcv(pair, timeframe=tick_interval, since=since_ms)
if not data_part:
break
@ -287,7 +293,7 @@ def get_ticker_history(pair: str, tick_interval: str, since: Optional[int] = Non
arrow.get(data_part[-1][0] / 1000).format())
data.extend(data_part)
since = data[-1][0] + 1
since_ms = data[-1][0] + 1
return data

90
freqtrade/optimize/__init__.py
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@ -103,7 +103,10 @@ def load_data(datadir: str,
pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
if not pairdata:
# download the tickerdata from exchange
download_backtesting_testdata(datadir, pair=pair, interval=ticker_interval)
download_backtesting_testdata(datadir,
pair=pair,
tick_interval=ticker_interval,
timerange=timerange)
# and retry reading the pair
pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
result[pair] = pairdata
@ -127,7 +130,7 @@ def download_pairs(datadir, pairs: List[str],
try:
download_backtesting_testdata(datadir,
pair=pair,
interval=ticker_interval,
tick_interval=ticker_interval,
timerange=timerange)
except BaseException:
logger.info(
@ -139,70 +142,81 @@ def download_pairs(datadir, pairs: List[str],
return True
def get_start_ts_from_timerange(timerange: Tuple[Tuple, int, int], interval: str) -> int:
if not timerange:
return None
def load_cached_data_for_updating(filename: str,
tick_interval: str,
timerange: Optional[Tuple[Tuple, int, int]]) -> Tuple[list, int]:
"""
Load cached data and choose what part of the data should be updated
"""
since_ms = None
# user sets timerange, so find the start time
if timerange:
if timerange[0][0] == 'date':
return timerange[1] * 1000
since_ms = timerange[1] * 1000
elif timerange[0][1] == 'line':
num_minutes = timerange[2] * Constants.TICKER_INTERVAL_MINUTES[tick_interval]
since_ms = arrow.utcnow().shift(minutes=num_minutes).timestamp * 1000
if timerange[0][1] == 'line':
num_minutes = timerange[2] * Constants.TICKER_INTERVAL_MINUTES[interval]
return arrow.utcnow().shift(minutes=num_minutes).timestamp * 1000
# read the cached file
if os.path.isfile(filename):
with open(filename, "rt") as file:
data = json.load(file)
# remove the last item, because we are not sure if it is correct
# it could be fetched when the candle was incompleted
if data:
data.pop()
else:
data = []
return None
if data:
if since_ms and since_ms < data[0][0]:
# the data is requested for earlier period than the cache has
# so fully redownload all the data
data = []
else:
# a part of the data was already downloaded, so
# download unexist data only
since_ms = data[-1][0] + 1
return (data, since_ms)
# FIX: 20180110, suggest rename interval to tick_interval
def download_backtesting_testdata(datadir: str,
pair: str,
interval: str = '5m',
tick_interval: str = '5m',
timerange: Optional[Tuple[Tuple, int, int]] = None) -> bool:
"""
Download the latest ticker intervals from the exchange for the pairs passed in parameters
The data is downloaded starting from the last correct ticker interval data that
esists in a cache. If timerange starts earlier than the data in the cache,
the full data will be redownloaded
Based on @Rybolov work: https://github.com/rybolov/freqtrade-data
:param pairs: list of pairs to download
:param interval: ticker interval
:param tick_interval: ticker interval
:param timerange: range of time to download
:return: bool
"""
path = make_testdata_path(datadir)
filepair = pair.replace("/", "_")
filename = os.path.join(path, f'{filepair}-{tick_interval}.json')
logger.info(
'Download the pair: "%s", Interval: %s',
pair,
interval
tick_interval
)
filepair = pair.replace("/", "_")
filename = os.path.join(path, '{pair}-{interval}.json'.format(
pair=filepair,
interval=interval,
))
since = get_start_ts_from_timerange(timerange, interval)
if os.path.isfile(filename):
with open(filename, "rt") as file:
data = json.load(file)
if since:
if since < data[0][0]:
# fully update the data
data = []
else:
# download unexist data only
since = max(since, data[-1][0] + 1)
else:
# download unexist data only
since = data[-1][0] + 1
else:
data = []
data, since_ms = load_cached_data_for_updating(filename, tick_interval, timerange)
logger.debug("Current Start: %s", misc.format_ms_time(data[1][0]) if data else 'None')
logger.debug("Current End: %s", misc.format_ms_time(data[-1][0]) if data else 'None')
new_data = get_ticker_history(pair=pair, tick_interval=interval, since=since)
new_data = get_ticker_history(pair=pair, tick_interval=tick_interval, since_ms=since_ms)
data.extend(new_data)
logger.debug("New Start: %s", misc.format_ms_time(data[0][0]))

121
freqtrade/tests/optimize/test_optimize.py
View File

@ -10,7 +10,7 @@ from freqtrade import optimize
from freqtrade.misc import file_dump_json
from freqtrade.optimize.__init__ import make_testdata_path, download_pairs, \
download_backtesting_testdata, load_tickerdata_file, trim_tickerlist, \
get_start_ts_from_timerange
load_cached_data_for_updating
from freqtrade.tests.conftest import log_has
# Change this if modifying UNITTEST/BTC testdatafile
@ -147,26 +147,107 @@ def test_download_pairs(ticker_history, mocker) -> None:
_clean_test_file(file2_5)
def test_get_start_ts_from_timerange(mocker) -> None:
start = get_start_ts_from_timerange(None, '1m')
assert start is None
def test_load_cached_data_for_updating(mocker) -> None:
datadir = os.path.join(os.path.dirname(__file__), '..', 'testdata')
# check 'date'
start = get_start_ts_from_timerange((('date', 'date'), 1000, 2000), '1m')
assert start == 1000 * 1000
test_data = None
test_filename = os.path.join(datadir, 'UNITTEST_BTC-1m.json')
with open(test_filename, "rt") as file:
test_data = json.load(file)
start = get_start_ts_from_timerange((('date', 'date'), 1000, 2000), '5m')
assert start == 1000 * 1000
# change now time to test 'line' cases
# now = last cached item + 1 hour
now_ts = test_data[-1][0] / 1000 + 60 * 60
mocker.patch('arrow.utcnow', return_value=arrow.get(now_ts))
# check 'line'
mock_now = arrow.get(1367900664)
mocker.patch('arrow.utcnow', return_value=mock_now)
# timeframe starts earlier than the cached data
# should fully update data
timerange = (('date', None), test_data[0][0] / 1000 - 1, None)
data, start_ts = load_cached_data_for_updating(test_filename,
'1m',
timerange)
assert data == []
assert start_ts == test_data[0][0] - 1000
start = get_start_ts_from_timerange(((None, 'line'), None, -200), '1m')
assert start == (1367900664 - 200 * 60) * 1000
# same with 'line' timeframe
num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 120
data, start_ts = load_cached_data_for_updating(test_filename,
'1m',
((None, 'line'), None, -num_lines))
assert data == []
assert start_ts < test_data[0][0] - 1
start = get_start_ts_from_timerange(((None, 'line'), None, -200), '5m')
assert start == (1367900664 - 5 * 200 * 60) * 1000
# timeframe starts in the center of the cached data
# should return the chached data w/o the last item
timerange = (('date', None), test_data[0][0] / 1000 + 1, None)
data, start_ts = load_cached_data_for_updating(test_filename,
'1m',
timerange)
assert data == test_data[:-1]
assert test_data[-2][0] < start_ts < test_data[-1][0]
# same with 'line' timeframe
num_lines = (test_data[-1][0] - test_data[1][0]) / 1000 / 60 + 30
timerange = ((None, 'line'), None, -num_lines)
data, start_ts = load_cached_data_for_updating(test_filename,
'1m',
timerange)
assert data == test_data[:-1]
assert test_data[-2][0] < start_ts < test_data[-1][0]
# timeframe starts after the chached data
# should return the chached data w/o the last item
timerange = (('date', None), test_data[-1][0] / 1000 + 1, None)
data, start_ts = load_cached_data_for_updating(test_filename,
'1m',
timerange)
assert data == test_data[:-1]
assert test_data[-2][0] < start_ts < test_data[-1][0]
# same with 'line' timeframe
num_lines = 30
timerange = ((None, 'line'), None, -num_lines)
data, start_ts = load_cached_data_for_updating(test_filename,
'1m',
timerange)
assert data == test_data[:-1]
assert test_data[-2][0] < start_ts < test_data[-1][0]
# no timeframe is set
# should return the chached data w/o the last item
num_lines = 30
timerange = ((None, 'line'), None, -num_lines)
data, start_ts = load_cached_data_for_updating(test_filename,
'1m',
timerange)
assert data == test_data[:-1]
assert test_data[-2][0] < start_ts < test_data[-1][0]
# no datafile exist
# should return timestamp start time
timerange = (('date', None), now_ts - 10000, None)
data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
'1m',
timerange)
assert data == []
assert start_ts == (now_ts - 10000) * 1000
# same with 'line' timeframe
num_lines = 30
timerange = ((None, 'line'), None, -num_lines)
data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
'1m',
timerange)
assert data == []
assert start_ts == (now_ts - num_lines * 60) * 1000
# no datafile exist, no timeframe is set
# should return an empty array and None
data, start_ts = load_cached_data_for_updating(test_filename + 'unexist',
'1m',
None)
assert data == []
assert start_ts is None
def test_download_pairs_exception(ticker_history, mocker, caplog) -> None:
@ -192,7 +273,7 @@ def test_download_backtesting_testdata(ticker_history, mocker) -> None:
# Download a 1 min ticker file
file1 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'XEL_BTC-1m.json')
_backup_file(file1)
download_backtesting_testdata(None, pair="XEL/BTC", interval='1m')
download_backtesting_testdata(None, pair="XEL/BTC", tick_interval='1m')
assert os.path.isfile(file1) is True
_clean_test_file(file1)
@ -200,7 +281,7 @@ def test_download_backtesting_testdata(ticker_history, mocker) -> None:
file2 = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'STORJ_BTC-5m.json')
_backup_file(file2)
download_backtesting_testdata(None, pair="STORJ/BTC", interval='5m')
download_backtesting_testdata(None, pair="STORJ/BTC", tick_interval='5m')
assert os.path.isfile(file2) is True
_clean_test_file(file2)
@ -212,8 +293,8 @@ def test_download_backtesting_testdata2(mocker) -> None:
]
mocker.patch('freqtrade.misc.file_dump_json', return_value=None)
mocker.patch('freqtrade.optimize.__init__.get_ticker_history', return_value=tick)
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", interval='1m')
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", interval='3m')
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", tick_interval='1m')
assert download_backtesting_testdata(None, pair="UNITTEST/BTC", tick_interval='3m')
def test_load_tickerdata_file() -> None:

2
scripts/download_backtest_data.py
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@ -43,7 +43,7 @@ for pair in PAIRS:
for tick_interval in TICKER_INTERVALS:
print(f'downloading pair {pair}, interval {tick_interval}')
data = exchange.get_ticker_history(pair, tick_interval, since=since_time)
data = exchange.get_ticker_history(pair, tick_interval, since_ms=since_time)
if not data:
print('\tNo data was downloaded')
break