Merge branch 'develop' into interface_ordertimeoutcallback

freqtrade/strategy/interface.py

@@ -278,8 +278,25 @@ class IStrategy(ABC):
 
         return dataframe
 
-    def get_signal(self, pair: str, interval: str,
-                   dataframe: DataFrame) -> Tuple[bool, bool]:
+    @staticmethod
+    def preserve_df(dataframe: DataFrame) -> Tuple[int, float, datetime]:
+        """ keep some data for dataframes """
+        return len(dataframe), dataframe["close"].iloc[-1], dataframe["date"].iloc[-1]
+
+    @staticmethod
+    def assert_df(dataframe: DataFrame, df_len: int, df_close: float, df_date: datetime):
+        """ make sure data is unmodified """
+        message = ""
+        if df_len != len(dataframe):
+            message = "length"
+        elif df_close != dataframe["close"].iloc[-1]:
+            message = "last close price"
+        elif df_date != dataframe["date"].iloc[-1]:
+            message = "last date"
+        if message:
+            raise StrategyError(f"Dataframe returned from strategy has mismatching {message}.")
+
+    def get_signal(self, pair: str, interval: str, dataframe: DataFrame) -> Tuple[bool, bool]:
         """
         Calculates current signal based several technical analysis indicators
         :param pair: pair in format ANT/BTC
@@ -291,10 +308,13 @@ class IStrategy(ABC):
             logger.warning('Empty candle (OHLCV) data for pair %s', pair)
             return False, False
 
+        latest_date = dataframe['date'].max()
         try:
+            df_len, df_close, df_date = self.preserve_df(dataframe)
             dataframe = strategy_safe_wrapper(
                 self._analyze_ticker_internal, message=""
                 )(dataframe, {'pair': pair})
+            self.assert_df(dataframe, df_len, df_close, df_date)
         except StrategyError as error:
             logger.warning(f"Unable to analyze candle (OHLCV) data for pair {pair}: {error}")
 
@@ -304,7 +324,7 @@ class IStrategy(ABC):
             logger.warning('Empty dataframe for pair %s', pair)
             return False, False
 
-        latest = dataframe.iloc[-1]
+        latest = dataframe.loc[dataframe['date'] == latest_date].iloc[-1]
 
         # Check if dataframe is out of date
         signal_date = arrow.get(latest['date'])
@@ -473,8 +493,11 @@ class IStrategy(ABC):
         """
         Creates a dataframe and populates indicators for given candle (OHLCV) data
         Used by optimize operations only, not during dry / live runs.
+        Using .copy() to get a fresh copy of the dataframe for every strategy run.
+        Has positive effects on memory usage for whatever reason - also when
+        using only one strategy.
         """
-        return {pair: self.advise_indicators(pair_data, {'pair': pair})
+        return {pair: self.advise_indicators(pair_data.copy(), {'pair': pair})
                 for pair, pair_data in data.items()}
 
     def advise_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: