Merge pull request #1355 from freqtrade/fix/async_followup
async followup PR
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Matthias
GitHub
commit
854af9c124
@ -478,7 +478,9 @@ class Exchange(object):
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# Because some exchange sort Tickers ASC and other DESC.
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# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
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# when GDAX returns a list of tickers DESC (newest first, oldest last)
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data = sorted(data, key=lambda x: x[0])
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# Only sort if necessary to save computing time
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if data and data[0][0] > data[-1][0]:
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data = sorted(data, key=lambda x: x[0])
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# keeping last candle time as last refreshed time of the pair
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if data:
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@ -500,51 +502,6 @@ class Exchange(object):
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
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@retrier
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def get_candle_history(self, pair: str, tick_interval: str,
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since_ms: Optional[int] = None) -> List[Dict]:
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try:
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# last item should be in the time interval [now - tick_interval, now]
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till_time_ms = arrow.utcnow().shift(
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minutes=-constants.TICKER_INTERVAL_MINUTES[tick_interval]
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).timestamp * 1000
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# it looks as if some exchanges return cached data
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# and they update it one in several minute, so 10 mins interval
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# is necessary to skeep downloading of an empty array when all
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# chached data was already downloaded
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till_time_ms = min(till_time_ms, arrow.utcnow().shift(minutes=-10).timestamp * 1000)
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data: List[Dict[Any, Any]] = []
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while not since_ms or since_ms < till_time_ms:
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data_part = self._api.fetch_ohlcv(pair, timeframe=tick_interval, since=since_ms)
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# Because some exchange sort Tickers ASC and other DESC.
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# Ex: Bittrex returns a list of tickers ASC (oldest first, newest last)
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# when GDAX returns a list of tickers DESC (newest first, oldest last)
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data_part = sorted(data_part, key=lambda x: x[0])
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if not data_part:
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break
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logger.debug('Downloaded data for %s time range [%s, %s]',
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pair,
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arrow.get(data_part[0][0] / 1000).format(),
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arrow.get(data_part[-1][0] / 1000).format())
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data.extend(data_part)
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since_ms = data[-1][0] + 1
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return data
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching historical candlestick data.'
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f'Message: {e}')
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(
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f'Could not load ticker history due to {e.__class__.__name__}. Message: {e}')
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch ticker data. Msg: {e}')
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@retrier
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def cancel_order(self, order_id: str, pair: str) -> None:
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if self._conf['dry_run']:
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@ -11,7 +11,7 @@ logger = logging.getLogger(__name__)
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def parse_ticker_dataframe(ticker: list) -> DataFrame:
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"""
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Analyses the trend for the given ticker history
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:param ticker: See exchange.get_candle_history
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:param ticker: ticker list, as returned by exchange.async_get_candle_history
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:return: DataFrame
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"""
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cols = ['date', 'open', 'high', 'low', 'close', 'volume']
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@ -875,65 +875,10 @@ def make_fetch_ohlcv_mock(data):
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return fetch_ohlcv_mock
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def test_get_candle_history(default_conf, mocker):
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api_mock = MagicMock()
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tick = [
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[
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1511686200000, # unix timestamp ms
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1, # open
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2, # high
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3, # low
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4, # close
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5, # volume (in quote currency)
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]
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]
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type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
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api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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# retrieve original ticker
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ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
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assert ticks[0][0] == 1511686200000
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assert ticks[0][1] == 1
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assert ticks[0][2] == 2
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assert ticks[0][3] == 3
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assert ticks[0][4] == 4
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assert ticks[0][5] == 5
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# change ticker and ensure tick changes
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new_tick = [
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[
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1511686210000, # unix timestamp ms
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6, # open
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7, # high
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8, # low
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9, # close
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10, # volume (in quote currency)
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]
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]
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api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(new_tick))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
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assert ticks[0][0] == 1511686210000
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assert ticks[0][1] == 6
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assert ticks[0][2] == 7
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assert ticks[0][3] == 8
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assert ticks[0][4] == 9
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assert ticks[0][5] == 10
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ccxt_exceptionhandlers(mocker, default_conf, api_mock,
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"get_candle_history", "fetch_ohlcv",
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pair='ABCD/BTC', tick_interval=default_conf['ticker_interval'])
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with pytest.raises(OperationalException, match=r'Exchange .* does not support.*'):
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api_mock.fetch_ohlcv = MagicMock(side_effect=ccxt.NotSupported)
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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exchange.get_candle_history(pair='ABCD/BTC', tick_interval=default_conf['ticker_interval'])
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def test_get_candle_history_sort(default_conf, mocker):
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api_mock = MagicMock()
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@pytest.mark.asyncio
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async def test___async_get_candle_history_sort(default_conf, mocker):
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def sort_data(data, key):
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return sorted(data, key=key)
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# GDAX use-case (real data from GDAX)
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# This ticker history is ordered DESC (newest first, oldest last)
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@ -949,13 +894,15 @@ def test_get_candle_history_sort(default_conf, mocker):
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[1527830700000, 0.07652, 0.07652, 0.07651, 0.07652, 10.04822687],
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[1527830400000, 0.07649, 0.07651, 0.07649, 0.07651, 2.5734867]
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]
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type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
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api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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exchange = get_patched_exchange(mocker, default_conf)
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exchange._api_async.fetch_ohlcv = get_mock_coro(tick)
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sort_mock = mocker.patch('freqtrade.exchange.sorted', MagicMock(side_effect=sort_data))
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# Test the ticker history sort
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ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
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res = await exchange._async_get_candle_history('ETH/BTC', default_conf['ticker_interval'])
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assert res[0] == 'ETH/BTC'
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ticks = res[1]
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assert sort_mock.call_count == 1
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assert ticks[0][0] == 1527830400000
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assert ticks[0][1] == 0.07649
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assert ticks[0][2] == 0.07651
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@ -984,11 +931,15 @@ def test_get_candle_history_sort(default_conf, mocker):
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[1527830100000, 0.076695, 0.07671, 0.07624171, 0.07671, 1.80689244],
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[1527830400000, 0.07671, 0.07674399, 0.07629216, 0.07655213, 2.31452783]
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]
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type(api_mock).has = PropertyMock(return_value={'fetchOHLCV': True})
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api_mock.fetch_ohlcv = MagicMock(side_effect=make_fetch_ohlcv_mock(tick))
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exchange = get_patched_exchange(mocker, default_conf, api_mock)
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exchange._api_async.fetch_ohlcv = get_mock_coro(tick)
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# Reset sort mock
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sort_mock = mocker.patch('freqtrade.exchange.sorted', MagicMock(side_effect=sort_data))
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# Test the ticker history sort
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ticks = exchange.get_candle_history('ETH/BTC', default_conf['ticker_interval'])
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res = await exchange._async_get_candle_history('ETH/BTC', default_conf['ticker_interval'])
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assert res[0] == 'ETH/BTC'
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ticks = res[1]
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# Sorted not called again - data is already in order
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assert sort_mock.call_count == 0
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assert ticks[0][0] == 1527827700000
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assert ticks[0][1] == 0.07659999
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assert ticks[0][2] == 0.0766
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