More candletype changes

freqtrade/constants.py

@@ -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]
 

freqtrade/data/dataprovider.py

@@ -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]

freqtrade/data/history/hdf5datahandler.py

@@ -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
+        return [
-                if match and len(match.groups()) > 1]
+            (
+                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(

freqtrade/data/history/jsondatahandler.py

@@ -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
+        return [
-                if match and len(match.groups()) > 1]
+            (
+                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(

freqtrade/optimize/backtesting.py

@@ -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)
 

freqtrade/strategy/interface.py

@@ -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

tests/data/test_dataprovider.py

@@ -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("XRP/BTC", timeframe, ohlcv_history, CandleType.SPOT)
-    dp._set_cached_df("UNITTEST/BTC", timeframe, ohlcv_history)
+    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)

tests/rpc/test_rpc_apiserver.py

@@ -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}")