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

More candletype changes

This commit is contained in:
Matthias 2021-12-03 13:04:31 +01:00
parent f33643cacf
commit 5493212672
8 changed files with 33 additions and 14 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
freqtrade/constants.py
View File

@ -475,6 +475,8 @@ CANCEL_REASON = {
}
# List of pairs with their timeframes
# TODO-lev: This should really be
# PairWithTimeframe = Tuple[str, str, CandleType]
PairWithTimeframe = Tuple[str, str, str]
ListPairsWithTimeframes = List[PairWithTimeframe]

13
freqtrade/data/dataprovider.py
View File

@ -14,6 +14,7 @@ from freqtrade.configuration import TimeRange
from freqtrade.constants import ListPairsWithTimeframes, PairWithTimeframe
from freqtrade.data.history import load_pair_history
from freqtrade.enums import RunMode
from freqtrade.enums.candletype import CandleType
from freqtrade.exceptions import ExchangeError, OperationalException
from freqtrade.exchange import Exchange, timeframe_to_seconds
@ -46,7 +47,7 @@ class DataProvider:
pair: str,
timeframe: str,
dataframe: DataFrame,
candle_type: str = ''
candle_type: CandleType
) -> None:
"""
Store cached Dataframe.
@ -55,7 +56,7 @@ class DataProvider:
:param pair: pair to get the data for
:param timeframe: Timeframe to get data for
:param dataframe: analyzed dataframe
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
self.__cached_pairs[(pair, timeframe, candle_type)] = (
dataframe, datetime.now(timezone.utc))
@ -78,7 +79,8 @@ class DataProvider:
:param timeframe: timeframe to get data for
:param candle_type: '', mark, index, premiumIndex, or funding_rate
"""
saved_pair = (pair, str(timeframe), candle_type)
candleType = CandleType.from_string(candle_type)
saved_pair = (pair, str(timeframe), candleType)
if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange')))
@ -92,7 +94,8 @@ class DataProvider:
datadir=self._config['datadir'],
timerange=timerange,
data_format=self._config.get('dataformat_ohlcv', 'json'),
candle_type=candle_type
candle_type=candleType,
)
return self.__cached_pairs_backtesting[saved_pair].copy()
@ -132,7 +135,7 @@ class DataProvider:
combination.
Returns empty dataframe and Epoch 0 (1970-01-01) if no dataframe was cached.
"""
pair_key = (pair, timeframe, '')
pair_key = (pair, timeframe, CandleType.SPOT)
if pair_key in self.__cached_pairs:
if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
df, date = self.__cached_pairs[pair_key]

8
freqtrade/data/history/hdf5datahandler.py
View File

@ -36,8 +36,12 @@ class HDF5DataHandler(IDataHandler):
cls._OHLCV_REGEX, p.name
) for p in datadir.glob("*.h5")
]
return [(cls.rebuild_pair_from_filename(match[1]), match[2], match[3]) for match in _tmp
if match and len(match.groups()) > 1]
return [
(
cls.rebuild_pair_from_filename(match[1]),
match[2],
CandleType.from_string(match[3])
) for match in _tmp if match and len(match.groups()) > 1]
@classmethod
def ohlcv_get_pairs(

8
freqtrade/data/history/jsondatahandler.py
View File

@ -37,8 +37,12 @@ class JsonDataHandler(IDataHandler):
re.search(
cls._OHLCV_REGEX, p.name
) for p in datadir.glob(f"*.{cls._get_file_extension()}")]
return [(cls.rebuild_pair_from_filename(match[1]), match[2], match[3]) for match in _tmp
if match and len(match.groups()) > 1]
return [
(
cls.rebuild_pair_from_filename(match[1]),
match[2],
CandleType.from_string(match[3])
) for match in _tmp if match and len(match.groups()) > 1]
@classmethod
def ohlcv_get_pairs(

4
freqtrade/optimize/backtesting.py
View File

@ -18,6 +18,7 @@ from freqtrade.data.btanalysis import trade_list_to_dataframe
from freqtrade.data.converter import trim_dataframe, trim_dataframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import BacktestState, SellType
from freqtrade.enums.candletype import CandleType
from freqtrade.enums.tradingmode import TradingMode
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
@ -290,7 +291,8 @@ class Backtesting:
df_analyzed.loc[:, col] = 0 if col not in ('enter_tag', 'exit_tag') else None
# Update dataprovider cache
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed)
self.dataprovider._set_cached_df(pair, self.timeframe, df_analyzed, CandleType.SPOT)
# TODO-lev: Candle-type should be conditional, either "spot" or futures
df_analyzed = df_analyzed.drop(df_analyzed.head(1).index)

4
freqtrade/strategy/interface.py
View File

@ -14,6 +14,7 @@ from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import SellType, SignalDirection, SignalTagType, SignalType
from freqtrade.enums.candletype import CandleType
from freqtrade.exceptions import OperationalException, StrategyError
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.exchange.exchange import timeframe_to_next_date
@ -528,7 +529,8 @@ class IStrategy(ABC, HyperStrategyMixin):
dataframe = self.analyze_ticker(dataframe, metadata)
self._last_candle_seen_per_pair[pair] = dataframe.iloc[-1]['date']
if self.dp:
self.dp._set_cached_df(pair, self.timeframe, dataframe)
self.dp._set_cached_df(pair, self.timeframe, dataframe, CandleType.SPOT)
# TODO-lev: CandleType should be set conditionally
else:
logger.debug("Skipping TA Analysis for already analyzed candle")
dataframe[SignalType.ENTER_LONG.value] = 0

5
tests/data/test_dataprovider.py
View File

@ -6,6 +6,7 @@ from pandas import DataFrame
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import RunMode
from freqtrade.enums.candletype import CandleType
from freqtrade.exceptions import ExchangeError, OperationalException
from freqtrade.plugins.pairlistmanager import PairListManager
from tests.conftest import get_patched_exchange
@ -247,8 +248,8 @@ def test_get_analyzed_dataframe(mocker, default_conf, ohlcv_history):
exchange = get_patched_exchange(mocker, default_conf)
dp = DataProvider(default_conf, exchange)
dp._set_cached_df("XRP/BTC", timeframe, ohlcv_history)
dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history)
dp._set_cached_df("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history, CandleType.SPOT)
assert dp.runmode == RunMode.DRY_RUN
dataframe, time = dp.get_analyzed_dataframe("UNITTEST/BTC", timeframe)

3
tests/rpc/test_rpc_apiserver.py
View File

@ -17,6 +17,7 @@ from requests.auth import _basic_auth_str
from freqtrade.__init__ import __version__
from freqtrade.enums import RunMode, State
from freqtrade.enums.candletype import CandleType
from freqtrade.exceptions import DependencyException, ExchangeError, OperationalException
from freqtrade.loggers import setup_logging, setup_logging_pre
from freqtrade.persistence import PairLocks, Trade
@ -1179,7 +1180,7 @@ def test_api_pair_candles(botclient, ohlcv_history):
ohlcv_history['enter_short'] = 0
ohlcv_history['exit_short'] = 0
ftbot.dataprovider._set_cached_df("XRP/BTC", timeframe, ohlcv_history)
ftbot.dataprovider._set_cached_df("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
rc = client_get(client,
f"{BASE_URI}/pair_candles?limit={amount}&pair=XRP%2FBTC&timeframe={timeframe}")