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Update more to use candleType

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This commit is contained in:
Matthias
2021-12-03 14:11:24 +01:00
parent 5493212672
commit 2f17fa2765
18 changed files with 56 additions and 55 deletions
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9
freqtrade/exchange/binance.py
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@@ -8,7 +8,7 @@ from typing import Dict, List, Optional, Tuple
import arrow
import ccxt
from freqtrade.enums import Collateral, TradingMode
from freqtrade.enums import CandleType, Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, InvalidOrderException,
OperationalException, TemporaryError)
from freqtrade.exchange import Exchange
@@ -197,14 +197,13 @@ class Binance(Exchange):
raise OperationalException(e) from e
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False,
raise_: bool = False,
candle_type: str = ''
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False, raise_: bool = False,
) -> Tuple[str, str, str, List]:
"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
Does not work for other exchanges, which don't return the earliest data when called with "0"
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
if is_new_pair:
x = await self._async_get_candle_history(pair, timeframe, 0, candle_type)

40
freqtrade/exchange/exchange.py
View File

@@ -20,9 +20,9 @@ from ccxt.base.decimal_to_precision import (ROUND_DOWN, ROUND_UP, TICK_SIZE, TRU
from pandas import DataFrame
from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES,
ListPairsWithTimeframes)
ListPairsWithTimeframes, PairWithTimeframe)
from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.enums import Collateral, TradingMode
from freqtrade.enums import CandleType, Collateral, TradingMode
from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
InvalidOrderException, OperationalException, PricingError,
RetryableOrderError, TemporaryError)
@@ -92,7 +92,7 @@ class Exchange:
self._config.update(config)
# Holds last candle refreshed time of each pair
self._pairs_last_refresh_time: Dict[Tuple[str, str, str], int] = {}
self._pairs_last_refresh_time: Dict[PairWithTimeframe, int] = {}
# Timestamp of last markets refresh
self._last_markets_refresh: int = 0
@@ -105,7 +105,7 @@ class Exchange:
self._buy_rate_cache: TTLCache = TTLCache(maxsize=100, ttl=1800)
# Holds candles
self._klines: Dict[Tuple[str, str, str], DataFrame] = {}
self._klines: Dict[PairWithTimeframe, DataFrame] = {}
# Holds all open sell orders for dry_run
self._dry_run_open_orders: Dict[str, Any] = {}
@@ -359,7 +359,7 @@ class Exchange:
or (self.trading_mode == TradingMode.FUTURES and self.market_is_future(market))
)
def klines(self, pair_interval: Tuple[str, str, str], copy: bool = True) -> DataFrame:
def klines(self, pair_interval: PairWithTimeframe, copy: bool = True) -> DataFrame:
if pair_interval in self._klines:
return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
else:
@@ -1314,8 +1314,8 @@ class Exchange:
# Historic data
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False,
candle_type: str = '') -> List:
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False) -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@@ -1327,7 +1327,7 @@ class Exchange:
:return: List with candle (OHLCV) data
"""
data: List
pair, timeframe, candle_type, data = asyncio.get_event_loop().run_until_complete(
pair, _, _, data = asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms, is_new_pair=is_new_pair,
candle_type=candle_type))
@@ -1335,13 +1335,13 @@ class Exchange:
return data
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int, candle_type: str = '') -> DataFrame:
since_ms: int, candle_type: CandleType) -> DataFrame:
"""
Minimal wrapper around get_historic_ohlcv - converting the result into a dataframe
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: OHLCV DataFrame
"""
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms, candle_type=candle_type)
@@ -1349,14 +1349,13 @@ class Exchange:
drop_incomplete=self._ohlcv_partial_candle)
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False,
raise_: bool = False,
candle_type: str = ''
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False, raise_: bool = False,
) -> Tuple[str, str, str, List]:
"""
Download historic ohlcv
:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@@ -1391,8 +1390,8 @@ class Exchange:
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True,
candle_type: str = ''
) -> Dict[Tuple[str, str, str], DataFrame]:
candle_type: CandleType = CandleType.SPOT_
) -> Dict[PairWithTimeframe, DataFrame]:
"""
Refresh in-memory OHLCV asynchronously and set `_klines` with the result
Loops asynchronously over pair_list and downloads all pairs async (semi-parallel).
@@ -1410,7 +1409,7 @@ class Exchange:
# Gather coroutines to run
for pair, timeframe, candle_type in set(pair_list):
if ((pair, timeframe, candle_type) not in self._klines or not cache
or self._now_is_time_to_refresh(pair, timeframe)):
or self._now_is_time_to_refresh(pair, timeframe, candle_type)):
if not since_ms and self.required_candle_call_count > 1:
# Multiple calls for one pair - to get more history
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@@ -1463,12 +1462,7 @@ class Exchange:
return results_df
def _now_is_time_to_refresh(
self,
pair: str,
timeframe: str,
candle_type: str = ''
) -> bool:
def _now_is_time_to_refresh(self, pair: str, timeframe: str, candle_type: CandleType) -> bool:
# Timeframe in seconds
interval_in_sec = timeframe_to_seconds(timeframe)