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pass around dataframe instead of list

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This commit is contained in:
Matthias 2018-12-11 19:47:48 +01:00
parent a377088421
commit 627ab9f583
4 changed files with 22 additions and 15 deletions
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18
freqtrade/exchange/__init__.py
View File

@ -7,12 +7,14 @@ from typing import List, Dict, Tuple, Any, Optional
from datetime import datetime
from math import floor, ceil
import arrow
import asyncio
import ccxt
import ccxt.async_support as ccxt_async
import arrow
from pandas import DataFrame
from freqtrade import constants, OperationalException, DependencyException, TemporaryError
from freqtrade.exchange.exchange_helpers import parse_ticker_dataframe
logger = logging.getLogger(__name__)
@ -81,7 +83,7 @@ class Exchange(object):
self._pairs_last_refresh_time: Dict[str, int] = {}
# Holds candles
self.klines: Dict[str, Any] = {}
self._klines: Dict[str, DataFrame] = {}
# Holds all open sell orders for dry_run
self._dry_run_open_orders: Dict[str, Any] = {}
@ -155,6 +157,12 @@ class Exchange(object):
"""exchange ccxt id"""
return self._api.id
def klines(self, pair: str) -> DataFrame:
if pair in self._klines:
return self._klines.get(pair).copy()
else:
return None
def set_sandbox(self, api, exchange_config: dict, name: str):
if exchange_config.get('sandbox'):
if api.urls.get('test'):
@ -499,7 +507,7 @@ class Exchange(object):
def refresh_tickers(self, pair_list: List[str], ticker_interval: str) -> None:
"""
Refresh tickers asyncronously and set `klines` of this object with the result
Refresh tickers asyncronously and set `_klines` of this object with the result
"""
logger.debug("Refreshing klines for %d pairs", len(pair_list))
asyncio.get_event_loop().run_until_complete(
@ -515,7 +523,7 @@ class Exchange(object):
# Gather corotines to run
for pair in pairs:
if not (self._pairs_last_refresh_time.get(pair, 0) + interval_in_sec >=
arrow.utcnow().timestamp and pair in self.klines):
arrow.utcnow().timestamp and pair in self._klines):
input_coroutines.append(self._async_get_candle_history(pair, tick_interval))
else:
logger.debug("Using cached klines data for %s ...", pair)
@ -528,7 +536,7 @@ class Exchange(object):
if ticks:
self._pairs_last_refresh_time[pair] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
self.klines[pair] = ticks
self._klines[pair] = parse_ticker_dataframe(ticks)
return tickers
@retrier_async

1
freqtrade/exchange/exchange_helpers.py
View File

@ -14,6 +14,7 @@ def parse_ticker_dataframe(ticker: list) -> DataFrame:
:param ticker: ticker list, as returned by exchange.async_get_candle_history
:return: DataFrame
"""
logger.debug("Parsing tickerlist to dataframe")
cols = ['date', 'open', 'high', 'low', 'close', 'volume']
frame = DataFrame(ticker, columns=cols)

5
freqtrade/freqtradebot.py
View File

@ -317,7 +317,7 @@ class FreqtradeBot(object):
# running get_signal on historical data fetched
for _pair in whitelist:
(buy, sell) = self.strategy.get_signal(_pair, interval, self.exchange.klines.get(_pair))
(buy, sell) = self.strategy.get_signal(_pair, interval, self.exchange.klines(_pair))
if buy and not sell:
stake_amount = self._get_trade_stake_amount(_pair)
if not stake_amount:
@ -540,9 +540,8 @@ class FreqtradeBot(object):
(buy, sell) = (False, False)
experimental = self.config.get('experimental', {})
if experimental.get('use_sell_signal') or experimental.get('ignore_roi_if_buy_signal'):
ticker = self.exchange.klines.get(trade.pair)
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval,
ticker)
self.exchange.klines(trade.pair))
config_ask_strategy = self.config.get('ask_strategy', {})
if config_ask_strategy.get('use_order_book', False):

13
freqtrade/strategy/interface.py
View File

@ -6,7 +6,7 @@ import logging
from abc import ABC, abstractmethod
from datetime import datetime
from enum import Enum
from typing import Dict, List, NamedTuple, Optional, Tuple
from typing import Dict, List, NamedTuple, Tuple
import warnings
import arrow
@ -122,15 +122,13 @@ class IStrategy(ABC):
"""
return self.__class__.__name__
def analyze_ticker(self, ticker_history: List[Dict], metadata: dict) -> DataFrame:
def analyze_ticker(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Parses the given ticker history and returns a populated DataFrame
add several TA indicators and buy signal to it
:return DataFrame with ticker data and indicator data
"""
dataframe = parse_ticker_dataframe(ticker_history)
pair = str(metadata.get('pair'))
# Test if seen this pair and last candle before.
@ -155,19 +153,20 @@ class IStrategy(ABC):
return dataframe
def get_signal(self, pair: str, interval: str,
ticker_hist: Optional[List[Dict]]) -> Tuple[bool, bool]:
dataframe: DataFrame) -> Tuple[bool, bool]:
"""
Calculates current signal based several technical analysis indicators
:param pair: pair in format ANT/BTC
:param interval: Interval to use (in min)
:param dataframe: Dataframe to analyze
:return: (Buy, Sell) A bool-tuple indicating buy/sell signal
"""
if not ticker_hist:
if isinstance(dataframe, DataFrame) and dataframe.empty:
logger.warning('Empty ticker history for pair %s', pair)
return False, False
try:
dataframe = self.analyze_ticker(ticker_hist, {'pair': pair})
dataframe = self.analyze_ticker(dataframe, {'pair': pair})
except ValueError as error:
logger.warning(
'Unable to analyze ticker for pair %s: %s',