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Add conversion from trades to ohlcv at different intervals

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This commit is contained in:
Matthias 2019-08-29 11:43:14 +02:00
parent 9584629f50
commit 476adf872a
2 changed files with 28 additions and 7 deletions
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27
freqtrade/data/history.py
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@ -86,7 +86,7 @@ def load_trades_file(datadir: Optional[Path], pair: str,
timerange: Optional[TimeRange] = None) -> List[Dict]: timerange: Optional[TimeRange] = None) -> List[Dict]:
""" """
Load a pair from file, either .json.gz or .json Load a pair from file, either .json.gz or .json
:return: tickerlist or empty list if unsuccesful :return: tradelist or empty list if unsuccesful
""" """
filename = pair_trades_filename(datadir, pair) filename = pair_trades_filename(datadir, pair)
tradesdata = misc.file_load_json(filename) tradesdata = misc.file_load_json(filename)
@ -373,11 +373,10 @@ def download_trades_history(datadir: Optional[Path],
return False return False
def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframes: List[str], def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: Path,
datadir: Path, timerange: TimeRange, timerange: TimeRange, erase=False) -> List[str]:
erase=False) -> List[str]:
""" """
Refresh stored trades data . Refresh stored trades data.
Used by freqtrade download-data Used by freqtrade download-data
:return: Pairs not available :return: Pairs not available
""" """
@ -387,7 +386,6 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe
pairs_not_available.append(pair) pairs_not_available.append(pair)
logger.info(f"Skipping pair {pair}...") logger.info(f"Skipping pair {pair}...")
continue continue
# for ticker_interval in timeframes:
dl_file = pair_trades_filename(datadir, pair) dl_file = pair_trades_filename(datadir, pair)
if erase and dl_file.exists(): if erase and dl_file.exists():
@ -402,6 +400,23 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], timeframe
return pairs_not_available return pairs_not_available
def convert_trades_to_ohlcv(exchange: Exchange, pairs: List[str], timeframes: List[str],
datadir: Path, timerange: TimeRange, erase=False) -> None:
"""
Convert stored trades data to ohlcv data
"""
for pair in pairs:
trades = load_trades_file(datadir, pair)
for timeframe in timeframes:
ohlcv_file = pair_data_filename(datadir, pair, timeframe)
if erase and ohlcv_file.exists():
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
ohlcv_file.unlink()
ohlcv = exchange.build_ohlcv(trades, timeframe)
# Store ohlcv
store_tickerdata_file(datadir, pair, timeframe, data=ohlcv)
def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
""" """
Get the maximum timeframe for the given backtest data Get the maximum timeframe for the given backtest data

8
freqtrade/utils.py
View File

@ -8,7 +8,8 @@ import arrow
from freqtrade import OperationalException from freqtrade import OperationalException
from freqtrade.configuration import Configuration, TimeRange from freqtrade.configuration import Configuration, TimeRange
from freqtrade.configuration.directory_operations import create_userdata_dir from freqtrade.configuration.directory_operations import create_userdata_dir
from freqtrade.data.history import (refresh_backtest_ohlcv_data, from freqtrade.data.history import (convert_trades_to_ohlcv,
refresh_backtest_ohlcv_data,
refresh_backtest_trades_data) refresh_backtest_trades_data)
from freqtrade.exchange import available_exchanges, ccxt_exchanges from freqtrade.exchange import available_exchanges, ccxt_exchanges
from freqtrade.resolvers import ExchangeResolver from freqtrade.resolvers import ExchangeResolver
@ -96,6 +97,11 @@ def start_download_data(args: Dict[str, Any]) -> None:
dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) dl_path=Path(config['datadir']), timerange=timerange, erase=config.get("erase"))
else: else:
pairs_not_available = refresh_backtest_trades_data( pairs_not_available = refresh_backtest_trades_data(
exchange, pairs=config["pairs"], datadir=Path(config['datadir']),
timerange=timerange, erase=config.get("erase"))
# Convert downloaded trade data to different timeframes
convert_trades_to_ohlcv(
exchange, pairs=config["pairs"], timeframes=config["timeframes"], exchange, pairs=config["pairs"], timeframes=config["timeframes"],
datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase")) datadir=Path(config['datadir']), timerange=timerange, erase=config.get("erase"))