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Merge pull request #6753 from freqtrade/download_prepend

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Download prepend
This commit is contained in:
Matthias
2022-05-01 15:15:16 +02:00
committed by GitHub
parent d5fc923dcb 2cedbe5704
commit 910addd02b
10 changed files with 109 additions and 33 deletions
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3
freqtrade/commands/arguments.py
View File

@@ -72,7 +72,8 @@ ARGS_LIST_DATA = ["exchange", "dataformat_ohlcv", "pairs", "trading_mode"]
ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "include_inactive",
"timerange", "download_trades", "exchange", "timeframes",
"erase", "dataformat_ohlcv", "dataformat_trades", "trading_mode"]
"erase", "dataformat_ohlcv", "dataformat_trades", "trading_mode",
"prepend_data"]
ARGS_PLOT_DATAFRAME = ["pairs", "indicators1", "indicators2", "plot_limit",
"db_url", "trade_source", "export", "exportfilename",

5
freqtrade/commands/cli_options.py
View File

@@ -443,6 +443,11 @@ AVAILABLE_CLI_OPTIONS = {
default=['1m', '5m'],
nargs='+',
),
"prepend_data": Arg(
'--prepend',
help='Allow data prepending.',
action='store_true',
),
"erase": Arg(
'--erase',
help='Clean all existing data for the selected exchange/pairs/timeframes.',

1
freqtrade/commands/data_commands.py
View File

@@ -85,6 +85,7 @@ def start_download_data(args: Dict[str, Any]) -> None:
new_pairs_days=config['new_pairs_days'],
erase=bool(config.get('erase')), data_format=config['dataformat_ohlcv'],
trading_mode=config.get('trading_mode', 'spot'),
prepend=config.get('prepend_data', False)
)
except KeyboardInterrupt:

2
freqtrade/configuration/configuration.py
View File

@@ -393,6 +393,8 @@ class Configuration:
self._args_to_config(config, argname='trade_source',
logstring='Using trades from: {}')
self._args_to_config(config, argname='prepend_data',
logstring='Prepend detected. Allowing data prepending.')
self._args_to_config(config, argname='erase',
logstring='Erase detected. Deleting existing data.')

50
freqtrade/data/history/history_utils.py
View File

@@ -139,8 +139,9 @@ def _load_cached_data_for_updating(
timeframe: str,
timerange: Optional[TimeRange],
data_handler: IDataHandler,
candle_type: CandleType
) -> Tuple[DataFrame, Optional[int]]:
candle_type: CandleType,
prepend: bool = False,
) -> Tuple[DataFrame, Optional[int], Optional[int]]:
"""
Load cached data to download more data.
If timerange is passed in, checks whether data from an before the stored data will be
@@ -150,9 +151,12 @@ def _load_cached_data_for_updating(
Note: Only used by download_pair_history().
"""
start = None
end = None
if timerange:
if timerange.starttype == 'date':
start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc)
if timerange.stoptype == 'date':
end = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc)
# Intentionally don't pass timerange in - since we need to load the full dataset.
data = data_handler.ohlcv_load(pair, timeframe=timeframe,
@@ -160,14 +164,17 @@ def _load_cached_data_for_updating(
drop_incomplete=True, warn_no_data=False,
candle_type=candle_type)
if not data.empty:
if start and start < data.iloc[0]['date']:
if not prepend and start and start < data.iloc[0]['date']:
# Earlier data than existing data requested, redownload all
data = DataFrame(columns=DEFAULT_DATAFRAME_COLUMNS)
else:
start = data.iloc[-1]['date']
if prepend:
end = data.iloc[0]['date']
else:
start = data.iloc[-1]['date']
start_ms = int(start.timestamp() * 1000) if start else None
return data, start_ms
end_ms = int(end.timestamp() * 1000) if end else None
return data, start_ms, end_ms
def _download_pair_history(pair: str, *,
@@ -180,6 +187,7 @@ def _download_pair_history(pair: str, *,
timerange: Optional[TimeRange] = None,
candle_type: CandleType,
erase: bool = False,
prepend: bool = False,
) -> bool:
"""
Download latest candles from the exchange for the pair and timeframe passed in parameters
@@ -187,8 +195,6 @@ def _download_pair_history(pair: str, *,
exists in a cache. If timerange starts earlier than the data in the cache,
the full data will be redownloaded
Based on @Rybolov work: https://github.com/rybolov/freqtrade-data
:param pair: pair to download
:param timeframe: Timeframe (e.g "5m")
:param timerange: range of time to download
@@ -203,14 +209,17 @@ def _download_pair_history(pair: str, *,
if data_handler.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(f'Deleting existing data for pair {pair}, {timeframe}, {candle_type}.')
logger.info(
f'Download history data for pair: "{pair}" ({process}), timeframe: {timeframe}, '
f'candle type: {candle_type} and store in {datadir}.'
)
data, since_ms, until_ms = _load_cached_data_for_updating(
pair, timeframe, timerange,
data_handler=data_handler,
candle_type=candle_type,
prepend=prepend)
data, since_ms = _load_cached_data_for_updating(pair, timeframe, timerange,
data_handler=data_handler,
candle_type=candle_type)
logger.info(f'({process}) - Download history data for "{pair}", {timeframe}, '
f'{candle_type} and store in {datadir}.'
f'From {format_ms_time(since_ms) if since_ms else "start"} to '
f'{format_ms_time(until_ms) if until_ms else "now"}'
)
logger.debug("Current Start: %s",
f"{data.iloc[0]['date']:%Y-%m-%d %H:%M:%S}" if not data.empty else 'None')
@@ -225,6 +234,7 @@ def _download_pair_history(pair: str, *,
days=-new_pairs_days).int_timestamp * 1000,
is_new_pair=data.empty,
candle_type=candle_type,
until_ms=until_ms if until_ms else None
)
# TODO: Maybe move parsing to exchange class (?)
new_dataframe = ohlcv_to_dataframe(new_data, timeframe, pair,
@@ -257,6 +267,7 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
timerange: Optional[TimeRange] = None,
new_pairs_days: int = 30, erase: bool = False,
data_format: str = None,
prepend: bool = False,
) -> List[str]:
"""
Refresh stored ohlcv data for backtesting and hyperopt operations.
@@ -280,7 +291,7 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
timerange=timerange, data_handler=data_handler,
timeframe=str(timeframe), new_pairs_days=new_pairs_days,
candle_type=candle_type,
erase=erase)
erase=erase, prepend=prepend)
if trading_mode == 'futures':
# Predefined candletype (and timeframe) depending on exchange
# Downloads what is necessary to backtest based on futures data.
@@ -294,7 +305,7 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
timerange=timerange, data_handler=data_handler,
timeframe=str(tf_mark), new_pairs_days=new_pairs_days,
candle_type=funding_candle_type,
erase=erase)
erase=erase, prepend=prepend)
return pairs_not_available
@@ -312,8 +323,9 @@ def _download_trades_history(exchange: Exchange,
try:
until = None
if (timerange and timerange.starttype == 'date'):
since = timerange.startts * 1000
if timerange:
if timerange.starttype == 'date':
since = timerange.startts * 1000
if timerange.stoptype == 'date':
until = timerange.stopts * 1000
else:

4
freqtrade/exchange/binance.py
View File

@@ -95,6 +95,7 @@ class Binance(Exchange):
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False, raise_: bool = False,
until_ms: int = None
) -> Tuple[str, str, str, List]:
"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
@@ -115,7 +116,8 @@ class Binance(Exchange):
since_ms=since_ms,
is_new_pair=is_new_pair,
raise_=raise_,
candle_type=candle_type
candle_type=candle_type,
until_ms=until_ms,
)
def funding_fee_cutoff(self, open_date: datetime):

11
freqtrade/exchange/exchange.py
View File

@@ -1645,7 +1645,8 @@ class Exchange:
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False) -> List:
is_new_pair: bool = False,
until_ms: int = None) -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@@ -1653,13 +1654,14 @@ class Exchange:
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:param until_ms: Timestamp in milliseconds to get history up to
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:return: List with candle (OHLCV) data
"""
pair, _, _, data = self.loop.run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms, is_new_pair=is_new_pair,
candle_type=candle_type))
since_ms=since_ms, until_ms=until_ms,
is_new_pair=is_new_pair, candle_type=candle_type))
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
return data
@@ -1680,6 +1682,7 @@ class Exchange:
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, candle_type: CandleType,
is_new_pair: bool = False, raise_: bool = False,
until_ms: int = None
) -> Tuple[str, str, str, List]:
"""
Download historic ohlcv
@@ -1695,7 +1698,7 @@ class Exchange:
)
input_coroutines = [self._async_get_candle_history(
pair, timeframe, candle_type, since) for since in
range(since_ms, arrow.utcnow().int_timestamp * 1000, one_call)]
range(since_ms, until_ms or (arrow.utcnow().int_timestamp * 1000), one_call)]
data: List = []
# Chunk requests into batches of 100 to avoid overwelming ccxt Throttling