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Added price as param to fetch_ohlcv

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This commit is contained in:
Sam Germain 2021-10-05 17:25:31 -06:00
parent 0459c934fe
commit 92a5d7583d
2 changed files with 96 additions and 34 deletions
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27
freqtrade/exchange/binance.py
View File

@ -242,27 +242,38 @@ class Binance(Exchange):
- interest rate: 0.03% daily, BNBUSDT, LINKUSDT, and LTCUSDT are 0%
- premium: varies by price difference between the perpetual contract and mark price
"""
if premium_index is None:
raise OperationalException("Premium index cannot be None for Binance._get_funding_fee")
if mark_price is None:
raise OperationalException("Mark price cannot be None for Binance._get_funding_fee")
nominal_value = mark_price * contract_size
funding_rate = self._calculate_funding_rate(pair, premium_index)
if funding_rate is None:
raise OperationalException("Funding rate should never be none on Binance")
raise OperationalException(
"Funding rate should never be none on Binance._get_funding_fee")
return nominal_value * funding_rate
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
async def _async_get_historic_ohlcv(
self,
pair: str,
timeframe: str,
since_ms: int,
is_new_pair: bool,
price: Optional[str]
) -> List:
"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
Does not work for other exchanges, which don't return the earliest data when called with "0"
:param price: "mark" if retrieving the mark price cnadles
"""
if is_new_pair:
x = await self._async_get_candle_history(pair, timeframe, 0)
x = await self._async_get_candle_history(pair, timeframe, 0, price)
if x and x[2] and x[2][0] and x[2][0][0] > since_ms:
# Set starting date to first available candle.
since_ms = x[2][0][0]
logger.info(f"Candle-data for {pair} available starting with "
f"{arrow.get(since_ms // 1000).isoformat()}.")
return await super()._async_get_historic_ohlcv(
pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair)
pair=pair,
timeframe=timeframe,
since_ms=since_ms,
is_new_pair=is_new_pair,
price=price
)

93
freqtrade/exchange/exchange.py
View File

@ -1264,8 +1264,14 @@ class Exchange:
# Historic data
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False) -> List:
def get_historic_ohlcv(
self,
pair: str,
timeframe: str,
since_ms: int,
is_new_pair: bool = False,
price: Optional[str]
) -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@ -1273,31 +1279,55 @@ 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 price: "mark" if retrieving the mark price cnadles, "index" for index price candles
:return: List with candle (OHLCV) data
"""
return asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms, is_new_pair=is_new_pair))
self._async_get_historic_ohlcv(
pair=pair,
timeframe=timeframe,
since_ms=since_ms,
is_new_pair=is_new_pair,
price=price
))
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int) -> DataFrame:
def get_historic_ohlcv_as_df(
self,
pair: str,
timeframe: str,
since_ms: int,
price: Optional[str]
) -> DataFrame:
"""
Minimal wrapper around get_historic_ohlcv - converting the result into a dataframe
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
:return: OHLCV DataFrame
"""
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms)
return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
return ohlcv_to_dataframe(
ticks,
timeframe,
pair=pair,
fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle,
price=price
)
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
async def _async_get_historic_ohlcv(
self,
pair: str,
timeframe: str,
since_ms: int,
is_new_pair: bool,
price: Optional[str]
) -> List:
"""
Download historic ohlcv
:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
"""
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@ -1306,8 +1336,13 @@ class Exchange:
one_call,
arrow.utcnow().shift(seconds=one_call // 1000).humanize(only_distance=True)
)
input_coroutines = [self._async_get_candle_history(
pair, timeframe, since) for since in
input_coroutines = [
self._async_get_candle_history(
pair,
timeframe,
since,
price
) for since in
range(since_ms, arrow.utcnow().int_timestamp * 1000, one_call)]
data: List = []
@ -1328,8 +1363,12 @@ class Exchange:
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
return data
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True
def refresh_latest_ohlcv(
self,
pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None,
cache: bool = True,
price: Optional[str]
) -> Dict[Tuple[str, str], DataFrame]:
"""
Refresh in-memory OHLCV asynchronously and set `_klines` with the result
@ -1338,6 +1377,7 @@ class Exchange:
:param pair_list: List of 2 element tuples containing pair, interval to refresh
:param since_ms: time since when to download, in milliseconds
:param cache: Assign result to _klines. Usefull for one-off downloads like for pairlists
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
:return: Dict of [{(pair, timeframe): Dataframe}]
"""
logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list))
@ -1348,8 +1388,9 @@ class Exchange:
for pair, timeframe in set(pair_list):
if (((pair, timeframe) not in self._klines)
or self._now_is_time_to_refresh(pair, timeframe)):
input_coroutines.append(self._async_get_candle_history(pair, timeframe,
since_ms=since_ms))
input_coroutines.append(
self._async_get_candle_history(pair, timeframe, since_ms=since_ms, price=price)
)
else:
logger.debug(
"Using cached candle (OHLCV) data for pair %s, timeframe %s ...",
@ -1392,10 +1433,16 @@ class Exchange:
+ interval_in_sec) >= arrow.utcnow().int_timestamp)
@retrier_async
async def _async_get_candle_history(self, pair: str, timeframe: str,
since_ms: Optional[int] = None) -> Tuple[str, str, List]:
async def _async_get_candle_history(
self,
pair: str,
timeframe: str,
since_ms: Optional[int] = None,
price: Optional[str] = None
) -> Tuple[str, str, List]:
"""
Asynchronously get candle history data using fetch_ohlcv
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
returns tuple: (pair, timeframe, ohlcv_list)
"""
try:
@ -1405,11 +1452,15 @@ class Exchange:
"Fetching pair %s, interval %s, since %s %s...",
pair, timeframe, since_ms, s
)
params = self._ft_has.get('ohlcv_params', {})
data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe,
# TODO-lev: Does this put price into params correctly?
params = self._ft_has.get('ohlcv_params', {price: price})
data = await self._api_async.fetch_ohlcv(
pair,
timeframe=timeframe,
since=since_ms,
limit=self.ohlcv_candle_limit(timeframe),
params=params)
params=params
)
# Some exchanges sort OHLCV in ASC order and others in DESC.
# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)