Fix tests to support load_data with dataframe
This commit is contained in:
Matthias
parent
34ea214f7c
commit
d0c9791ca6
@ -14,6 +14,7 @@ from arrow import Arrow
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from freqtrade import DependencyException, constants
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from freqtrade.arguments import Arguments, TimeRange
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from freqtrade.data import history
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from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.optimize import get_timeframe
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from freqtrade.optimize.backtesting import (Backtesting, setup_configuration,
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start)
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@ -35,22 +36,13 @@ def trim_dictlist(dict_list, num):
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def load_data_test(what):
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timerange = TimeRange(None, 'line', 0, -101)
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data = history.load_data(None, ticker_interval='1m',
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pairs=['UNITTEST/BTC'], timerange=timerange)
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pair = data['UNITTEST/BTC']
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pair = history.load_tickerdata_file(None, ticker_interval='1m',
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pair='UNITTEST/BTC', timerange=timerange)
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datalen = len(pair)
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# Depending on the what parameter we now adjust the
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# loaded data looks:
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# pair :: [[ 1509836520000, unix timestamp in ms
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# 0.00162008, open
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# 0.00162008, high
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# 0.00162008, low
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# 0.00162008, close
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# 108.14853839 base volume
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# ]]
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base = 0.001
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if what == 'raise':
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return {'UNITTEST/BTC': [
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data = [
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[
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pair[x][0], # Keep old dates
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x * base, # But replace O,H,L,C
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@ -59,9 +51,9 @@ def load_data_test(what):
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x * base,
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pair[x][5], # Keep old volume
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] for x in range(0, datalen)
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]}
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]
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if what == 'lower':
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return {'UNITTEST/BTC': [
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data = [
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[
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pair[x][0], # Keep old dates
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1 - x * base, # But replace O,H,L,C
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@ -70,10 +62,10 @@ def load_data_test(what):
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1 - x * base,
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pair[x][5] # Keep old volume
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] for x in range(0, datalen)
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]}
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]
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if what == 'sine':
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hz = 0.1 # frequency
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return {'UNITTEST/BTC': [
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data = [
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[
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pair[x][0], # Keep old dates
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math.sin(x * hz) / 1000 + base, # But replace O,H,L,C
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@ -82,8 +74,8 @@ def load_data_test(what):
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math.sin(x * hz) / 1000 + base,
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pair[x][5] # Keep old volume
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] for x in range(0, datalen)
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]}
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return data
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]
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return {'UNITTEST/BTC': parse_ticker_dataframe(data)}
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def simple_backtest(config, contour, num_results, mocker) -> None:
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@ -112,15 +104,15 @@ def simple_backtest(config, contour, num_results, mocker) -> None:
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def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=False,
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timerange=None, exchange=None):
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tickerdata = history.load_tickerdata_file(datadir, 'UNITTEST/BTC', '1m', timerange=timerange)
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pairdata = {'UNITTEST/BTC': tickerdata}
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pairdata = {'UNITTEST/BTC': parse_ticker_dataframe(tickerdata)}
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return pairdata
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# use for mock ccxt.fetch_ohlvc'
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def _load_pair_as_ticks(pair, tickfreq):
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ticks = history.load_data(None, ticker_interval=tickfreq, pairs=[pair])
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ticks = trim_dictlist(ticks, -201)
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return ticks[pair]
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ticks = history.load_tickerdata_file(None, ticker_interval=tickfreq, pair=pair)
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ticks = ticks[-201:]
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return ticks
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# FIX: fixturize this?
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@ -334,7 +326,7 @@ def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
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patch_exchange(mocker)
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timerange = TimeRange(None, 'line', 0, -100)
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tick = history.load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
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tickerlist = {'UNITTEST/BTC': tick}
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tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
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backtesting = Backtesting(default_conf)
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data = backtesting.strategy.tickerdata_to_dataframe(tickerlist)
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@ -512,8 +504,9 @@ def test_backtest(default_conf, fee, mocker) -> None:
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patch_exchange(mocker)
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backtesting = Backtesting(default_conf)
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pair = 'UNITTEST/BTC'
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data = history.load_data(None, ticker_interval='5m', pairs=['UNITTEST/BTC'])
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data = trim_dictlist(data, -200)
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timerange = TimeRange(None, 'line', 0, -201)
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data = history.load_data(None, ticker_interval='5m', pairs=['UNITTEST/BTC'],
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timerange=timerange)
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data_processed = backtesting.strategy.tickerdata_to_dataframe(data)
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min_date, max_date = get_timeframe(data_processed)
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results = backtesting.backtest(
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@ -537,8 +530,8 @@ def test_backtest(default_conf, fee, mocker) -> None:
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Arrow(2018, 1, 30, 3, 30, 0).datetime],
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'close_time': [Arrow(2018, 1, 29, 22, 35, 0).datetime,
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Arrow(2018, 1, 30, 4, 15, 0).datetime],
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'open_index': [77, 183],
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'close_index': [124, 192],
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'open_index': [78, 184],
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'close_index': [125, 193],
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'trade_duration': [235, 45],
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'open_at_end': [False, False],
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'open_rate': [0.104445, 0.10302485],
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@ -564,9 +557,10 @@ def test_backtest_1min_ticker_interval(default_conf, fee, mocker) -> None:
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patch_exchange(mocker)
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backtesting = Backtesting(default_conf)
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# Run a backtesting for an exiting 5min ticker_interval
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data = history.load_data(None, ticker_interval='1m', pairs=['UNITTEST/BTC'])
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data = trim_dictlist(data, -200)
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# Run a backtesting for an exiting 1min ticker_interval
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timerange = TimeRange(None, 'line', 0, -200)
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data = history.load_data(None, ticker_interval='1m', pairs=['UNITTEST/BTC'],
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timerange=timerange)
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processed = backtesting.strategy.tickerdata_to_dataframe(data)
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min_date, max_date = get_timeframe(processed)
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results = backtesting.backtest(
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@ -652,7 +646,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker):
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# 200 candles in backtest data
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# won't buy on first (shifted by 1)
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# 100 buys signals
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assert len(results) == 99
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assert len(results) == 100
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# One trade was force-closed at the end
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assert len(results.loc[results.open_at_end]) == 0
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@ -841,7 +835,7 @@ def test_backtest_start_live(default_conf, mocker, caplog):
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'Using stake_currency: BTC ...',
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'Using stake_amount: 0.001 ...',
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'Downloading data for all pairs in whitelist ...',
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'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:57:00+00:00 (0 days)..',
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'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..',
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'Parameter --enable-position-stacking detected ...'
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]
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@ -900,7 +894,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog):
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'Using stake_currency: BTC ...',
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'Using stake_amount: 0.001 ...',
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'Downloading data for all pairs in whitelist ...',
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'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:57:00+00:00 (0 days)..',
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'Measuring data from 2017-11-14T19:31:00+00:00 up to 2017-11-14T22:58:00+00:00 (0 days)..',
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'Parameter --enable-position-stacking detected ...',
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'Running backtesting for Strategy DefaultStrategy',
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'Running backtesting for Strategy TestStrategy',
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@ -6,6 +6,7 @@ from unittest.mock import MagicMock
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import pandas as pd
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import pytest
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from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.data.history import load_tickerdata_file
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from freqtrade.optimize.hyperopt import Hyperopt, start
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from freqtrade.resolvers import StrategyResolver
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@ -242,7 +243,7 @@ def test_has_space(hyperopt):
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def test_populate_indicators(hyperopt) -> None:
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tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
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tickerlist = {'UNITTEST/BTC': tick}
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tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
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dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
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dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
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{'pair': 'UNITTEST/BTC'})
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@ -255,7 +256,7 @@ def test_populate_indicators(hyperopt) -> None:
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def test_buy_strategy_generator(hyperopt) -> None:
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tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
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tickerlist = {'UNITTEST/BTC': tick}
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tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
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dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
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dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
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{'pair': 'UNITTEST/BTC'})
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@ -7,6 +7,7 @@ import arrow
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from pandas import DataFrame
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from freqtrade.arguments import TimeRange
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from freqtrade.data.converter import parse_ticker_dataframe
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from freqtrade.data.history import load_tickerdata_file
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from freqtrade.persistence import Trade
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from freqtrade.tests.conftest import get_patched_exchange, log_has
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@ -110,7 +111,7 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
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timerange = TimeRange(None, 'line', 0, -100)
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tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
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tickerlist = {'UNITTEST/BTC': tick}
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tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
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data = strategy.tickerdata_to_dataframe(tickerlist)
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assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed
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