Merge pull request #3107 from orehunt/check_dataframe_after_signals
check that the strategy dataframe matches the one given by the bot
This commit is contained in:
hroff-1902
GitHub
commit
2915917680
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@ -16,6 +16,7 @@ from freqtrade.data.dataprovider import DataProvider
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.persistence import Trade
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from freqtrade.wallets import Wallets
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from freqtrade.exceptions import DependencyException
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logger = logging.getLogger(__name__)
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@ -241,8 +242,26 @@ class IStrategy(ABC):
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return dataframe
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def get_signal(self, pair: str, interval: str,
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dataframe: DataFrame) -> Tuple[bool, bool]:
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@staticmethod
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def preserve_df(dataframe: DataFrame) -> Tuple[int, float, datetime]:
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""" keep some data for dataframes """
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return len(dataframe), dataframe["close"].iloc[-1], dataframe["date"].iloc[-1]
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@staticmethod
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def assert_df(dataframe: DataFrame, df_len: int, df_close: float, df_date: datetime):
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""" make sure data is unmodified """
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message = ""
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if df_len != len(dataframe):
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message = "length"
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elif df_close != dataframe["close"].iloc[-1]:
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message = "last close price"
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elif df_date != dataframe["date"].iloc[-1]:
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message = "last date"
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if message:
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raise DependencyException("Dataframe returned from strategy has mismatching "
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f"{message}.")
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def get_signal(self, pair: str, interval: str, dataframe: DataFrame) -> Tuple[bool, bool]:
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"""
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Calculates current signal based several technical analysis indicators
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:param pair: pair in format ANT/BTC
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@ -254,14 +273,18 @@ class IStrategy(ABC):
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logger.warning('Empty candle (OHLCV) data for pair %s', pair)
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return False, False
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latest_date = dataframe['date'].max()
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try:
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df_len, df_close, df_date = self.preserve_df(dataframe)
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dataframe = self._analyze_ticker_internal(dataframe, {'pair': pair})
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self.assert_df(dataframe, df_len, df_close, df_date)
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except ValueError as error:
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logger.warning(
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'Unable to analyze candle (OHLCV) data for pair %s: %s',
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pair,
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str(error)
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)
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logger.warning('Unable to analyze candle (OHLCV) data for pair %s: %s',
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pair, str(error))
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return False, False
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except DependencyException as error:
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logger.warning("Unable to analyze candle (OHLCV) data for pair %s: %s",
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pair, str(error))
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return False, False
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except Exception as error:
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logger.exception(
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@ -275,7 +298,7 @@ class IStrategy(ABC):
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logger.warning('Empty dataframe for pair %s', pair)
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return False, False
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latest = dataframe.iloc[-1]
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latest = dataframe.loc[dataframe['date'] == latest_date].iloc[-1]
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# Check if dataframe is out of date
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signal_date = arrow.get(latest['date'])
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@ -4,46 +4,52 @@ import logging
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from unittest.mock import MagicMock
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import arrow
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import pytest
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from pandas import DataFrame
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from freqtrade.configuration import TimeRange
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from freqtrade.data.history import load_data
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from freqtrade.exceptions import DependencyException
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from freqtrade.persistence import Trade
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from freqtrade.resolvers import StrategyResolver
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from .strats.default_strategy import DefaultStrategy
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from tests.conftest import get_patched_exchange, log_has
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from .strats.default_strategy import DefaultStrategy
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# Avoid to reinit the same object again and again
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_STRATEGY = DefaultStrategy(config={})
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def test_returns_latest_buy_signal(mocker, default_conf, ohlcv_history):
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'buy': 1, 'sell': 0, 'date': arrow.utcnow()}])
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ohlcv_history) == (True, False)
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def test_returns_latest_signal(mocker, default_conf, ohlcv_history):
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ohlcv_history.loc[1, 'date'] = arrow.utcnow()
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# Take a copy to correctly modify the call
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mocked_history = ohlcv_history.copy()
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mocked_history['sell'] = 0
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mocked_history['buy'] = 0
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mocked_history.loc[1, 'sell'] = 1
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'buy': 0, 'sell': 1, 'date': arrow.utcnow()}])
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ohlcv_history) == (False, True)
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def test_returns_latest_sell_signal(mocker, default_conf, ohlcv_history):
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'sell': 1, 'buy': 0, 'date': arrow.utcnow()}])
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return_value=mocked_history
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ohlcv_history) == (False, True)
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mocked_history.loc[1, 'sell'] = 0
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mocked_history.loc[1, 'buy'] = 1
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([{'sell': 0, 'buy': 1, 'date': arrow.utcnow()}])
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return_value=mocked_history
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ohlcv_history) == (True, False)
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mocked_history.loc[1, 'sell'] = 0
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mocked_history.loc[1, 'buy'] = 0
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=mocked_history
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)
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assert _STRATEGY.get_signal('ETH/BTC', '5m', ohlcv_history) == (False, False)
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def test_get_signal_empty(default_conf, mocker, caplog):
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@ -74,26 +80,74 @@ def test_get_signal_empty_dataframe(default_conf, mocker, caplog, ohlcv_history)
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame([])
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)
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mocker.patch.object(_STRATEGY, 'assert_df')
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['ticker_interval'],
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ohlcv_history)
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assert log_has('Empty dataframe for pair xyz', caplog)
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def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
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caplog.set_level(logging.INFO)
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# default_conf defines a 5m interval. we check interval * 2 + 5m
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# this is necessary as the last candle is removed (partial candles) by default
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oldtime = arrow.utcnow().shift(minutes=-16)
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ticks = DataFrame([{'buy': 1, 'date': oldtime}])
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ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
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# Take a copy to correctly modify the call
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mocked_history = ohlcv_history.copy()
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mocked_history['sell'] = 0
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mocked_history['buy'] = 0
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mocked_history.loc[1, 'buy'] = 1
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caplog.set_level(logging.INFO)
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mocker.patch.object(
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_STRATEGY, '_analyze_ticker_internal',
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return_value=DataFrame(ticks)
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return_value=mocked_history
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)
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mocker.patch.object(_STRATEGY, 'assert_df')
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['ticker_interval'],
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ohlcv_history)
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assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog)
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def test_assert_df_raise(default_conf, mocker, caplog, ohlcv_history):
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# default_conf defines a 5m interval. we check interval * 2 + 5m
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# this is necessary as the last candle is removed (partial candles) by default
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ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
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# Take a copy to correctly modify the call
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mocked_history = ohlcv_history.copy()
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mocked_history['sell'] = 0
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mocked_history['buy'] = 0
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mocked_history.loc[1, 'buy'] = 1
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caplog.set_level(logging.INFO)
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mocker.patch.object(
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_STRATEGY, 'assert_df',
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side_effect=DependencyException('Dataframe returned...')
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)
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assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['ticker_interval'],
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ohlcv_history)
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assert log_has('Unable to analyze candle (OHLCV) data for pair xyz: Dataframe returned...',
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caplog)
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def test_assert_df(default_conf, mocker, ohlcv_history):
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# Ensure it's running when passed correctly
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
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ohlcv_history.loc[1, 'close'], ohlcv_history.loc[1, 'date'])
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with pytest.raises(DependencyException, match=r"Dataframe returned from strategy.*length\."):
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history) + 1,
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ohlcv_history.loc[1, 'close'], ohlcv_history.loc[1, 'date'])
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with pytest.raises(DependencyException,
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match=r"Dataframe returned from strategy.*last close price\."):
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
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ohlcv_history.loc[1, 'close'] + 0.01, ohlcv_history.loc[1, 'date'])
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with pytest.raises(DependencyException,
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match=r"Dataframe returned from strategy.*last date\."):
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_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
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ohlcv_history.loc[1, 'close'], ohlcv_history.loc[0, 'date'])
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def test_get_signal_handles_exceptions(mocker, default_conf):
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exchange = get_patched_exchange(mocker, default_conf)
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mocker.patch.object(
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