adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #4144 from freqtrade/improve_informativepair

Browse Source 
Improve merge_informative_pairs to properly merge correct timeframes
This commit is contained in:
Matthias
2021-01-09 10:15:59 +01:00
committed by GitHub
parent 61d225a575 07bc0c3fce
commit 5102dfd6df
2 changed files with 23 additions and 5 deletions
Download Patch File Download Diff File Expand all files Collapse all files

13
freqtrade/strategy/strategy_helper.py
View File

@@ -24,15 +24,24 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
:param timeframe: Timeframe of the original pair sample.
:param timeframe_inf: Timeframe of the informative pair sample.
:param ffill: Forwardfill missing values - optional but usually required
:return: Merged dataframe
:raise: ValueError if the secondary timeframe is shorter than the dataframe timeframe
"""
minutes_inf = timeframe_to_minutes(timeframe_inf)
minutes = timeframe_to_minutes(timeframe)
if minutes >= minutes_inf:
if minutes == minutes_inf:
# No need to forwardshift if the timeframes are identical
informative['date_merge'] = informative["date"]
elif minutes < minutes_inf:
# Subtract "small" timeframe so merging is not delayed by 1 small candle
# Detailed explanation in https://github.com/freqtrade/freqtrade/issues/4073
informative['date_merge'] = (
informative["date"] + pd.to_timedelta(minutes_inf, 'm') - pd.to_timedelta(minutes, 'm')
)
else:
informative['date_merge'] = informative["date"] + pd.to_timedelta(minutes_inf, 'm')
raise ValueError("Tried to merge a faster timeframe to a slower timeframe."
"This would create new rows, and can throw off your regular indicators.")
# Rename columns to be unique
informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns]