Fix dataprovider in hyperopt.
This commit is contained in:
Rokas Kupstys
parent
9b4f6b41a2
commit
d344194b36
@ -45,40 +45,6 @@ class DataProvider:
|
||||
"""
|
||||
self._pairlists = pairlists
|
||||
|
||||
def refresh(self,
|
||||
pairlist: ListPairsWithTimeframes,
|
||||
helping_pairs: ListPairsWithTimeframes = None) -> None:
|
||||
"""
|
||||
Refresh data, called with each cycle
|
||||
"""
|
||||
if helping_pairs:
|
||||
self._exchange.refresh_latest_ohlcv(pairlist + helping_pairs)
|
||||
else:
|
||||
self._exchange.refresh_latest_ohlcv(pairlist)
|
||||
|
||||
@property
|
||||
def available_pairs(self) -> ListPairsWithTimeframes:
|
||||
"""
|
||||
Return a list of tuples containing (pair, timeframe) for which data is currently cached.
|
||||
Should be whitelist + open trades.
|
||||
"""
|
||||
return list(self._exchange._klines.keys())
|
||||
|
||||
def ohlcv(self, pair: str, timeframe: str = None, copy: bool = True) -> DataFrame:
|
||||
"""
|
||||
Get candle (OHLCV) data for the given pair as DataFrame
|
||||
Please use the `available_pairs` method to verify which pairs are currently cached.
|
||||
:param pair: pair to get the data for
|
||||
:param timeframe: Timeframe to get data for
|
||||
:param copy: copy dataframe before returning if True.
|
||||
Use False only for read-only operations (where the dataframe is not modified)
|
||||
"""
|
||||
if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
|
||||
return self._exchange.klines((pair, timeframe or self._config['timeframe']),
|
||||
copy=copy)
|
||||
else:
|
||||
return DataFrame()
|
||||
|
||||
def historic_ohlcv(self, pair: str, timeframe: str = None) -> DataFrame:
|
||||
"""
|
||||
Get stored historical candle (OHLCV) data
|
||||
@ -123,35 +89,6 @@ class DataProvider:
|
||||
|
||||
return (DataFrame(), datetime.fromtimestamp(0, tz=timezone.utc))
|
||||
|
||||
def market(self, pair: str) -> Optional[Dict[str, Any]]:
|
||||
"""
|
||||
Return market data for the pair
|
||||
:param pair: Pair to get the data for
|
||||
:return: Market data dict from ccxt or None if market info is not available for the pair
|
||||
"""
|
||||
return self._exchange.markets.get(pair)
|
||||
|
||||
def ticker(self, pair: str):
|
||||
"""
|
||||
Return last ticker data from exchange
|
||||
:param pair: Pair to get the data for
|
||||
:return: Ticker dict from exchange or empty dict if ticker is not available for the pair
|
||||
"""
|
||||
try:
|
||||
return self._exchange.fetch_ticker(pair)
|
||||
except ExchangeError:
|
||||
return {}
|
||||
|
||||
def orderbook(self, pair: str, maximum: int) -> Dict[str, List]:
|
||||
"""
|
||||
Fetch latest l2 orderbook data
|
||||
Warning: Does a network request - so use with common sense.
|
||||
:param pair: pair to get the data for
|
||||
:param maximum: Maximum number of orderbook entries to query
|
||||
:return: dict including bids/asks with a total of `maximum` entries.
|
||||
"""
|
||||
return self._exchange.fetch_l2_order_book(pair, maximum)
|
||||
|
||||
@property
|
||||
def runmode(self) -> RunMode:
|
||||
"""
|
||||
@ -175,4 +112,82 @@ class DataProvider:
|
||||
raise OperationalException("Dataprovider was not initialized with a pairlist provider.")
|
||||
|
||||
def clear_cache(self):
|
||||
"""
|
||||
Clear pair dataframe cache.
|
||||
"""
|
||||
self.__cached_pairs = {}
|
||||
|
||||
# Exchange functions
|
||||
|
||||
def refresh(self,
|
||||
pairlist: ListPairsWithTimeframes,
|
||||
helping_pairs: ListPairsWithTimeframes = None) -> None:
|
||||
"""
|
||||
Refresh data, called with each cycle
|
||||
"""
|
||||
if self._exchange is None:
|
||||
raise OperationalException('Exchange is not available to DataProvider.')
|
||||
if helping_pairs:
|
||||
self._exchange.refresh_latest_ohlcv(pairlist + helping_pairs)
|
||||
else:
|
||||
self._exchange.refresh_latest_ohlcv(pairlist)
|
||||
|
||||
@property
|
||||
def available_pairs(self) -> ListPairsWithTimeframes:
|
||||
"""
|
||||
Return a list of tuples containing (pair, timeframe) for which data is currently cached.
|
||||
Should be whitelist + open trades.
|
||||
"""
|
||||
if self._exchange is None:
|
||||
raise OperationalException('Exchange is not available to DataProvider.')
|
||||
return list(self._exchange._klines.keys())
|
||||
|
||||
def ohlcv(self, pair: str, timeframe: str = None, copy: bool = True) -> DataFrame:
|
||||
"""
|
||||
Get candle (OHLCV) data for the given pair as DataFrame
|
||||
Please use the `available_pairs` method to verify which pairs are currently cached.
|
||||
:param pair: pair to get the data for
|
||||
:param timeframe: Timeframe to get data for
|
||||
:param copy: copy dataframe before returning if True.
|
||||
Use False only for read-only operations (where the dataframe is not modified)
|
||||
"""
|
||||
if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
|
||||
return self._exchange.klines((pair, timeframe or self._config['timeframe']),
|
||||
copy=copy)
|
||||
else:
|
||||
return DataFrame()
|
||||
|
||||
def market(self, pair: str) -> Optional[Dict[str, Any]]:
|
||||
"""
|
||||
Return market data for the pair
|
||||
:param pair: Pair to get the data for
|
||||
:return: Market data dict from ccxt or None if market info is not available for the pair
|
||||
"""
|
||||
if self._exchange is None:
|
||||
raise OperationalException('Exchange is not available to DataProvider.')
|
||||
return self._exchange.markets.get(pair)
|
||||
|
||||
def ticker(self, pair: str):
|
||||
"""
|
||||
Return last ticker data from exchange
|
||||
:param pair: Pair to get the data for
|
||||
:return: Ticker dict from exchange or empty dict if ticker is not available for the pair
|
||||
"""
|
||||
if self._exchange is None:
|
||||
raise OperationalException('Exchange is not available to DataProvider.')
|
||||
try:
|
||||
return self._exchange.fetch_ticker(pair)
|
||||
except ExchangeError:
|
||||
return {}
|
||||
|
||||
def orderbook(self, pair: str, maximum: int) -> Dict[str, List]:
|
||||
"""
|
||||
Fetch latest l2 orderbook data
|
||||
Warning: Does a network request - so use with common sense.
|
||||
:param pair: pair to get the data for
|
||||
:param maximum: Maximum number of orderbook entries to query
|
||||
:return: dict including bids/asks with a total of `maximum` entries.
|
||||
"""
|
||||
if self._exchange is None:
|
||||
raise OperationalException('Exchange is not available to DataProvider.')
|
||||
return self._exchange.fetch_l2_order_book(pair, maximum)
|
||||
|
||||
@ -63,9 +63,7 @@ class Backtesting:
|
||||
self.all_results: Dict[str, Dict] = {}
|
||||
|
||||
self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config)
|
||||
|
||||
self.dataprovider = DataProvider(self.config, self.exchange)
|
||||
IStrategy.dp = self.dataprovider
|
||||
|
||||
if self.config.get('strategy_list', None):
|
||||
for strat in list(self.config['strategy_list']):
|
||||
@ -132,6 +130,7 @@ class Backtesting:
|
||||
Load strategy into backtesting
|
||||
"""
|
||||
self.strategy: IStrategy = strategy
|
||||
strategy.dp = self.dataprovider
|
||||
# Set stoploss_on_exchange to false for backtesting,
|
||||
# since a "perfect" stoploss-sell is assumed anyway
|
||||
# And the regular "stoploss" function would not apply to that case
|
||||
@ -353,7 +352,6 @@ class Backtesting:
|
||||
# Update dataprovider cache
|
||||
for pair, dataframe in processed.items():
|
||||
self.dataprovider._set_cached_df(pair, self.timeframe, dataframe)
|
||||
self.strategy.dp = self.dataprovider
|
||||
|
||||
# Use dict of lists with data for performance
|
||||
# (looping lists is a lot faster than pandas DataFrames)
|
||||
|
||||
Loading…
Reference in New Issue
Block a user