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Use handler for trades

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Matthias
2019-12-25 16:34:27 +01:00
parent 9547d47ae2
commit 9876d126ca
3 changed files with 26 additions and 28 deletions
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9
freqtrade/data/converter.py
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@@ -155,12 +155,12 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
return frame
def trades_to_ohlcv(trades: list, timeframe: str) -> list:
def trades_to_ohlcv(trades: list, timeframe: str) -> DataFrame:
"""
Converts trades list to ohlcv list
:param trades: List of trades, as returned by ccxt.fetch_trades.
:param timeframe: Ticker timeframe to resample data to
:return: ohlcv timeframe as list (as returned by ccxt.fetch_ohlcv)
:return: ohlcv Dataframe.
"""
from freqtrade.exchange import timeframe_to_minutes
ticker_minutes = timeframe_to_minutes(timeframe)
@@ -170,8 +170,7 @@ def trades_to_ohlcv(trades: list, timeframe: str) -> list:
df_new = df['price'].resample(f'{ticker_minutes}min').ohlc()
df_new['volume'] = df['amount'].resample(f'{ticker_minutes}min').sum()
df_new['date'] = df_new.index.astype("int64") // 10 ** 6
df_new['date'] = df_new.index
# Drop 0 volume rows
df_new = df_new.dropna()
columns = ["date", "open", "high", "low", "close", "volume"]
return list(zip(*[df_new[x].values.tolist() for x in columns]))
return df_new[['date', 'open', 'high', 'low', 'close', 'volume']]