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Fix tests to support load_data with dataframe

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This commit is contained in:
Matthias 2018-12-15 15:34:25 +01:00
parent 34ea214f7c
commit d0c9791ca6
3 changed files with 33 additions and 37 deletions
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62
freqtrade/tests/optimize/test_backtesting.py
View File

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

5
freqtrade/tests/optimize/test_hyperopt.py
View File

@ -6,6 +6,7 @@ from unittest.mock import MagicMock
import pandas as pd import pandas as pd
import pytest import pytest
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.data.history import load_tickerdata_file from freqtrade.data.history import load_tickerdata_file
from freqtrade.optimize.hyperopt import Hyperopt, start from freqtrade.optimize.hyperopt import Hyperopt, start
from freqtrade.resolvers import StrategyResolver from freqtrade.resolvers import StrategyResolver
@ -242,7 +243,7 @@ def test_has_space(hyperopt):
def test_populate_indicators(hyperopt) -> None: def test_populate_indicators(hyperopt) -> None:
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m') tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': tick} tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist) dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'}) {'pair': 'UNITTEST/BTC'})
@ -255,7 +256,7 @@ def test_populate_indicators(hyperopt) -> None:
def test_buy_strategy_generator(hyperopt) -> None: def test_buy_strategy_generator(hyperopt) -> None:
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m') tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': tick} tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist) dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'], dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'}) {'pair': 'UNITTEST/BTC'})

3
freqtrade/tests/strategy/test_interface.py
View File

@ -7,6 +7,7 @@ import arrow
from pandas import DataFrame from pandas import DataFrame
from freqtrade.arguments import TimeRange from freqtrade.arguments import TimeRange
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.data.history import load_tickerdata_file from freqtrade.data.history import load_tickerdata_file
from freqtrade.persistence import Trade from freqtrade.persistence import Trade
from freqtrade.tests.conftest import get_patched_exchange, log_has from freqtrade.tests.conftest import get_patched_exchange, log_has
@ -110,7 +111,7 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
timerange = TimeRange(None, 'line', 0, -100) timerange = TimeRange(None, 'line', 0, -100)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange) tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': tick} tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
data = strategy.tickerdata_to_dataframe(tickerlist) data = strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed