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Correctly handle identical timerame merges

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Matthias
2020-09-04 20:09:02 +02:00
parent 7bc8927914
commit cc684c5141
3 changed files with 40 additions and 7 deletions
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11
freqtrade/strategy/strategy_helper.py
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@@ -3,7 +3,7 @@ from freqtrade.exchange import timeframe_to_minutes
def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
timeframe_inf: str, ffill: bool = True) -> pd.DataFrame:
timeframe: str, timeframe_inf: str, ffill: bool = True) -> pd.DataFrame:
"""
Correctly merge informative samples to the original dataframe, avoiding lookahead bias.
@@ -20,13 +20,18 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
:param dataframe: Original dataframe
:param informative: Informative pair, most likely loaded via dp.get_pair_dataframe
:param timeframe: Timeframe of the original pair sample.
:param timeframe_inf: Timeframe of the informative pair sample.
:param ffill: Forwardfill missing values - optional but usually required
"""
# Rename columns to be unique
minutes = timeframe_to_minutes(timeframe_inf)
informative['date_merge'] = informative["date"] + pd.to_timedelta(minutes, 'm')
minutes_inf = timeframe_to_minutes(timeframe_inf)
if timeframe == timeframe_inf:
# No need to forwardshift if the timeframes are identical
informative['date_merge'] = informative["date"]
else:
informative['date_merge'] = informative["date"] + pd.to_timedelta(minutes_inf, 'm')
informative.columns = [f"{col}_{timeframe_inf}" for col in informative.columns]