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Ref: timeseries friendly merge_ordered in merge_informative_pair function

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Patel Kaushal 2022-04-21 18:35:41 +05:30 committed by GitHub
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1 changed files with 10 additions and 4 deletions
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freqtrade/strategy/strategy_helper.py
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@ -56,12 +56,18 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
# Combine the 2 dataframes # Combine the 2 dataframes
# all indicators on the informative sample MUST be calculated before this point # all indicators on the informative sample MUST be calculated before this point
dataframe = pd.merge(dataframe, informative, left_on='date', if ffill:
right_on=date_merge, how='left') # https://pandas.pydata.org/docs/user_guide/merging.html#timeseries-friendly-merging
# merge_ordered - ffill method is 2.5x faster than seperate ffill()
dataframe = pd.merge_ordered(dataframe, informative, fill_method="ffill", left_on='date',
right_on=date_merge, how='left')
else:
dataframe = pd.merge(dataframe, informative, left_on='date',
right_on=date_merge, how='left')
dataframe = dataframe.drop(date_merge, axis=1) dataframe = dataframe.drop(date_merge, axis=1)
if ffill: # if ffill:
dataframe = dataframe.ffill() # dataframe = dataframe.ffill()
return dataframe return dataframe