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use new channel apis in emc, extend analyzed df to include list of dates for candles

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This commit is contained in:
Timothy Pogue 2022-11-25 18:09:47 -07:00
parent 3e4e6bb114
commit 9660e445b8
4 changed files with 212 additions and 42 deletions
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78
freqtrade/data/dataprovider.py
View File

@ -9,7 +9,7 @@ from collections import deque
from datetime import datetime, timezone
from typing import Any, Dict, List, Optional, Tuple
from pandas import DataFrame
from pandas import DataFrame, concat, date_range
from freqtrade.configuration import TimeRange
from freqtrade.constants import Config, ListPairsWithTimeframes, PairWithTimeframe
@ -120,7 +120,7 @@ class DataProvider:
'type': RPCMessageType.ANALYZED_DF,
'data': {
'key': pair_key,
'df': dataframe,
'df': dataframe.tail(1),
'la': datetime.now(timezone.utc)
}
}
@ -157,6 +157,80 @@ class DataProvider:
self.__producer_pairs_df[producer_name][pair_key] = (dataframe, _last_analyzed)
logger.debug(f"External DataFrame for {pair_key} from {producer_name} added.")
def _add_external_candle(
self,
pair: str,
dataframe: DataFrame,
last_analyzed: datetime,
timeframe: str,
candle_type: CandleType,
producer_name: str = "default"
) -> Tuple[bool, Optional[List[str]]]:
"""
Append a candle to the existing external dataframe
:param pair: pair to get the data for
:param timeframe: Timeframe to get data for
:param candle_type: Any of the enum CandleType (must match trading mode!)
:returns: A tuple with a boolean value signifying if the candle was correctly appended,
and a list of datetimes missing from the candle if it finds some.
Will return false if has no data for `producer_name`.
Will return false if no existing data for (pair, timeframe, candle_type).
Will return false if there's missing candles, and a list of datetimes of
the missing candles.
"""
pair_key = (pair, timeframe, candle_type)
if producer_name not in self.__producer_pairs_df:
# We don't have data from this producer yet,
# so we can't append a candle
return (False, None)
if pair_key not in self.__producer_pairs_df[producer_name]:
# We don't have data for this pair_key,
# so we can't append a candle
return (False, None)
# CHECK FOR MISSING CANDLES
existing_df, _ = self.__producer_pairs_df[producer_name][pair_key]
appended_df = self._append_candle_to_dataframe(existing_df, dataframe)
# Everything is good, we appended
self.__producer_pairs_df[producer_name][pair_key] = appended_df, last_analyzed
return (True, None)
def _append_candle_to_dataframe(self, existing: DataFrame, new: DataFrame) -> DataFrame:
"""
Append the `new` dataframe to the `existing` dataframe
:param existing: The full dataframe you want appended to
:param new: The new dataframe containing the data you want appended
:returns: The dataframe with the new data in it
"""
if existing.iloc[-1]['date'] != new.iloc[-1]['date']:
existing = concat([existing, new])
# Only keep the last 1000 candles in memory
# TODO: Do this better
existing = existing[-1000:] if len(existing) > 1000 else existing
return existing
def _is_missing_candles(self, dataframe: DataFrame) -> bool:
"""
Check if the dataframe is missing any candles
:param dataframe: The DataFrame to check
"""
logger.info(dataframe.index)
return len(
date_range(
dataframe.index.min(),
dataframe.index.max()
).difference(dataframe.index)
) > 0
def get_producer_df(
self,
pair: str,

2
freqtrade/rpc/api_server/ws_schemas.py
View File

@ -47,7 +47,7 @@ class WSWhitelistRequest(WSRequestSchema):
class WSAnalyzedDFRequest(WSRequestSchema):
type: RPCRequestType = RPCRequestType.ANALYZED_DF
data: Dict[str, Any] = {"limit": 1500}
data: Dict[str, Any] = {"limit": 1500, "pair": None}
# ------------------------------ MESSAGE SCHEMAS ----------------------------

120
freqtrade/rpc/external_message_consumer.py
View File

@ -8,7 +8,7 @@ import asyncio
import logging
import socket
from threading import Thread
from typing import TYPE_CHECKING, Any, Callable, Dict, List, TypedDict
from typing import TYPE_CHECKING, Any, Callable, Dict, List, TypedDict, Union
import websockets
from pydantic import ValidationError
@ -16,7 +16,8 @@ from pydantic import ValidationError
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import RPCMessageType
from freqtrade.misc import remove_entry_exit_signals
from freqtrade.rpc.api_server.ws import WebSocketChannel
from freqtrade.rpc.api_server.ws.channel import WebSocketChannel, create_channel
from freqtrade.rpc.api_server.ws.message_stream import MessageStream
from freqtrade.rpc.api_server.ws_schemas import (WSAnalyzedDFMessage, WSAnalyzedDFRequest,
WSMessageSchema, WSRequestSchema,
WSSubscribeRequest, WSWhitelistMessage,
@ -38,6 +39,14 @@ class Producer(TypedDict):
logger = logging.getLogger(__name__)
def schema_to_dict(schema: Union[WSMessageSchema, WSRequestSchema]):
return schema.dict(exclude_none=True)
# def parse_message(message: Dict[str, Any], message_schema: Type[WSMessageSchema]):
# return message_schema.parse_obj(message)
class ExternalMessageConsumer:
"""
The main controller class for consuming external messages from
@ -92,6 +101,8 @@ class ExternalMessageConsumer:
RPCMessageType.ANALYZED_DF: self._consume_analyzed_df_message,
}
self._channel_streams: Dict[str, MessageStream] = {}
self.start()
def start(self):
@ -118,6 +129,8 @@ class ExternalMessageConsumer:
logger.info("Stopping ExternalMessageConsumer")
self._running = False
self._channel_streams = {}
if self._sub_tasks:
# Cancel sub tasks
for task in self._sub_tasks:
@ -175,7 +188,6 @@ class ExternalMessageConsumer:
:param producer: Dictionary containing producer info
:param lock: An asyncio Lock
"""
channel = None
while self._running:
try:
host, port = producer['host'], producer['port']
@ -190,19 +202,17 @@ class ExternalMessageConsumer:
max_size=self.message_size_limit,
ping_interval=None
) as ws:
channel = WebSocketChannel(ws, channel_id=name)
async with create_channel(ws, channel_id=name) as channel:
logger.info(f"Producer connection success - {channel}")
# Create the message stream for this channel
self._channel_streams[name] = MessageStream()
# Now request the initial data from this Producer
for request in self._initial_requests:
await channel.send(
request.dict(exclude_none=True)
# Run the channel tasks while connected
await channel.run_channel_tasks(
self._receive_messages(channel, producer, lock),
self._send_requests(channel, self._channel_streams[name])
)
# Now receive data, if none is within the time limit, ping
await self._receive_messages(channel, producer, lock)
except (websockets.exceptions.InvalidURI, ValueError) as e:
logger.error(f"{ws_url} is an invalid WebSocket URL - {e}")
break
@ -214,26 +224,33 @@ class ExternalMessageConsumer:
websockets.exceptions.InvalidMessage
) as e:
logger.error(f"Connection Refused - {e} retrying in {self.sleep_time}s")
await asyncio.sleep(self.sleep_time)
continue
except (
websockets.exceptions.ConnectionClosedError,
websockets.exceptions.ConnectionClosedOK
):
# Just keep trying to connect again indefinitely
await asyncio.sleep(self.sleep_time)
continue
pass
except Exception as e:
# An unforseen error has occurred, log and continue
logger.error("Unexpected error has occurred:")
logger.exception(e)
continue
finally:
if channel:
await channel.close()
await asyncio.sleep(self.sleep_time)
continue
async def _send_requests(self, channel: WebSocketChannel, channel_stream: MessageStream):
# Send the initial requests
for init_request in self._initial_requests:
await channel.send(schema_to_dict(init_request))
# Now send any subsequent requests published to
# this channel's stream
async for request in channel_stream:
logger.info(f"Sending request to channel - {channel} - {request}")
await channel.send(request)
async def _receive_messages(
self,
@ -270,20 +287,39 @@ class ExternalMessageConsumer:
latency = (await asyncio.wait_for(pong, timeout=self.ping_timeout) * 1000)
logger.info(f"Connection to {channel} still alive, latency: {latency}ms")
continue
except (websockets.exceptions.ConnectionClosed):
# Just eat the error and continue reconnecting
logger.warning(f"Disconnection in {channel} - retrying in {self.sleep_time}s")
await asyncio.sleep(self.sleep_time)
break
except Exception as e:
# Just eat the error and continue reconnecting
logger.warning(f"Ping error {channel} - {e} - retrying in {self.sleep_time}s")
logger.debug(e, exc_info=e)
await asyncio.sleep(self.sleep_time)
finally:
await asyncio.sleep(self.sleep_time)
break
def send_producer_request(
self,
producer_name: str,
request: Union[WSRequestSchema, Dict[str, Any]]
):
"""
Publish a message to the producer's message stream to be
sent by the channel task.
:param producer_name: The name of the producer to publish the message to
:param request: The request to send to the producer
"""
if isinstance(request, WSRequestSchema):
request = schema_to_dict(request)
if channel_stream := self._channel_streams.get(producer_name):
channel_stream.publish(request)
def handle_producer_message(self, producer: Producer, message: Dict[str, Any]):
"""
Handles external messages from a Producer
@ -340,12 +376,44 @@ class ExternalMessageConsumer:
if self._emc_config.get('remove_entry_exit_signals', False):
df = remove_entry_exit_signals(df)
if len(df) >= 999:
# This is a full dataframe
# Add the dataframe to the dataprovider
self._dp._add_external_df(pair, df,
self._dp._add_external_df(
pair,
df,
last_analyzed=la,
timeframe=timeframe,
candle_type=candle_type,
producer_name=producer_name)
producer_name=producer_name
)
logger.debug(
elif len(df) == 1:
# This is just a single candle
# Have dataprovider append it to
# the full datafame. If it can't,
# request the missing candles
if not self._dp._add_external_candle(
pair,
df,
last_analyzed=la,
timeframe=timeframe,
candle_type=candle_type,
producer_name=producer_name
):
logger.info("Holes in data or no existing df, "
f"requesting data for {key} from `{producer_name}`")
self.send_producer_request(
producer_name,
WSAnalyzedDFRequest(
data={
"limit": 1000,
"pair": pair
}
)
)
return
logger.info(
f"Consumed message from `{producer_name}` of type `RPCMessageType.ANALYZED_DF`")

46
freqtrade/rpc/rpc.py
View File

@ -1058,23 +1058,46 @@ class RPC:
return self._convert_dataframe_to_dict(self._freqtrade.config['strategy'],
pair, timeframe, _data, last_analyzed)
def __rpc_analysed_dataframe_raw(self, pair: str, timeframe: str,
limit: Optional[int]) -> Tuple[DataFrame, datetime]:
""" Get the dataframe and last analyze from the dataprovider """
def __rpc_analysed_dataframe_raw(
self,
pair: str,
timeframe: str,
limit: Optional[Union[int, List[str]]] = None
) -> Tuple[DataFrame, datetime]:
"""
Get the dataframe and last analyze from the dataprovider
:param pair: The pair to get
:param timeframe: The timeframe of data to get
:param limit: If an integer, limits the size of dataframe
If a list of string date times, only returns those candles
"""
_data, last_analyzed = self._freqtrade.dataprovider.get_analyzed_dataframe(
pair, timeframe)
_data = _data.copy()
if limit:
if limit and isinstance(limit, int):
_data = _data.iloc[-limit:]
elif limit and isinstance(limit, str):
_data = _data.iloc[_data['date'].isin(limit)]
return _data, last_analyzed
def _ws_all_analysed_dataframes(
self,
pairlist: List[str],
limit: Optional[int]
limit: Optional[Union[int, List[str]]] = None
) -> Generator[Dict[str, Any], None, None]:
""" Get the analysed dataframes of each pair in the pairlist """
"""
Get the analysed dataframes of each pair in the pairlist.
Limit size of dataframe if specified.
If candles, only return the candles specified.
:param pairlist: A list of pairs to get
:param limit: If an integer, limits the size of dataframe
If a list of string date times, only returns those candles
:returns: A generator of dictionaries with the key, dataframe, and last analyzed timestamp
"""
timeframe = self._freqtrade.config['timeframe']
candle_type = self._freqtrade.config.get('candle_type_def', CandleType.SPOT)
@ -1087,10 +1110,15 @@ class RPC:
"la": last_analyzed
}
def _ws_request_analyzed_df(self, limit: Optional[int]):
def _ws_request_analyzed_df(
self,
pair: Optional[str],
limit: Optional[Union[int, List[str]]] = None,
):
""" Historical Analyzed Dataframes for WebSocket """
whitelist = self._freqtrade.active_pair_whitelist
return self._ws_all_analysed_dataframes(whitelist, limit)
pairlist = [pair] if pair else self._freqtrade.active_pair_whitelist
return self._ws_all_analysed_dataframes(pairlist, limit)
def _ws_request_whitelist(self):
""" Whitelist data for WebSocket """