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isolate data_drawer functions from data_kitchen, accommodate tests, add new test

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This commit is contained in:
robcaulk
2022-07-26 10:24:14 +02:00
parent 56b17e6f3c
commit e213d0ad55
12 changed files with 606 additions and 376 deletions
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12
tests/freqai/conftest.py
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@@ -1,12 +1,12 @@
from copy import deepcopy
from pathlib import Path
from unittest.mock import MagicMock
import pytest
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.data_drawer import FreqaiDataDrawer
from freqtrade.resolvers import StrategyResolver
from freqtrade.resolvers.freqaimodel_resolver import FreqaiModelResolver
from tests.conftest import get_patched_exchange
@@ -57,11 +57,17 @@ def freqai_conf(default_conf, tmpdir):
def get_patched_data_kitchen(mocker, freqaiconf):
dd = mocker.patch('freqtrade.freqai.data_drawer', MagicMock())
dk = FreqaiDataKitchen(freqaiconf, dd)
# dd = mocker.patch('freqtrade.freqai.data_drawer', MagicMock())
dk = FreqaiDataKitchen(freqaiconf)
return dk
def get_patched_data_drawer(mocker, freqaiconf):
# dd = mocker.patch('freqtrade.freqai.data_drawer', MagicMock())
dd = FreqaiDataDrawer(freqaiconf)
return dd
def get_patched_freqai_strategy(mocker, freqaiconf):
strategy = StrategyResolver.load_strategy(freqaiconf)
strategy.ft_bot_start()

95
tests/freqai/test_freqai_datadrawer.py Normal file
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@@ -0,0 +1,95 @@
import shutil
from pathlib import Path
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
# from freqtrade.freqai.data_drawer import FreqaiDataDrawer
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from tests.conftest import get_patched_exchange
from tests.freqai.conftest import get_patched_freqai_strategy
def test_update_historic_data(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
historic_candles = len(freqai.dd.historic_data["ADA/BTC"]["5m"])
dp_candles = len(strategy.dp.get_pair_dataframe("ADA/BTC", "5m"))
candle_difference = dp_candles - historic_candles
freqai.dd.update_historic_data(strategy, freqai.dk)
updated_historic_candles = len(freqai.dd.historic_data["ADA/BTC"]["5m"])
assert updated_historic_candles - historic_candles == candle_difference
shutil.rmtree(Path(freqai.dk.full_path))
def test_load_all_pairs_histories(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
assert len(freqai.dd.historic_data.keys()) == len(
freqai_conf.get("exchange", {}).get("pair_whitelist")
)
assert len(freqai.dd.historic_data["ADA/BTC"]) == len(
freqai_conf.get("freqai", {}).get("feature_parameters", {}).get("include_timeframes")
)
shutil.rmtree(Path(freqai.dk.full_path))
def test_get_base_and_corr_dataframes(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
num_tfs = len(
freqai_conf.get("freqai", {}).get("feature_parameters", {}).get("include_timeframes")
)
assert len(base_df.keys()) == num_tfs
assert len(corr_df.keys()) == len(
freqai_conf.get("freqai", {}).get("feature_parameters", {}).get("include_corr_pairlist")
)
assert len(corr_df["ADA/BTC"].keys()) == num_tfs
shutil.rmtree(Path(freqai.dk.full_path))
def test_use_strategy_to_populate_indicators(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, 'LTC/BTC')
assert len(df.columns) == 45
shutil.rmtree(Path(freqai.dk.full_path))

92
tests/freqai/test_freqai_datakitchen.py
View File

@@ -4,13 +4,8 @@ from pathlib import Path
import pytest
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
# from freqtrade.freqai.data_drawer import FreqaiDataDrawer
from freqtrade.exceptions import OperationalException
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from tests.conftest import get_patched_exchange
from tests.freqai.conftest import get_patched_data_kitchen, get_patched_freqai_strategy
from tests.freqai.conftest import get_patched_data_kitchen
@pytest.mark.parametrize(
@@ -60,27 +55,6 @@ def test_split_timerange(
shutil.rmtree(Path(dk.full_path))
def test_update_historic_data(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
historic_candles = len(freqai.dd.historic_data["ADA/BTC"]["5m"])
dp_candles = len(strategy.dp.get_pair_dataframe("ADA/BTC", "5m"))
candle_difference = dp_candles - historic_candles
freqai.dk.update_historic_data(strategy)
updated_historic_candles = len(freqai.dd.historic_data["ADA/BTC"]["5m"])
assert updated_historic_candles - historic_candles == candle_difference
shutil.rmtree(Path(freqai.dk.full_path))
@pytest.mark.parametrize(
"timestamp, expected",
[
@@ -92,67 +66,3 @@ def test_check_if_model_expired(mocker, freqai_conf, timestamp, expected):
dk = get_patched_data_kitchen(mocker, freqai_conf)
assert dk.check_if_model_expired(timestamp) == expected
shutil.rmtree(Path(dk.full_path))
def test_load_all_pairs_histories(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
assert len(freqai.dd.historic_data.keys()) == len(
freqai_conf.get("exchange", {}).get("pair_whitelist")
)
assert len(freqai.dd.historic_data["ADA/BTC"]) == len(
freqai_conf.get("freqai", {}).get("feature_parameters", {}).get("include_timeframes")
)
shutil.rmtree(Path(freqai.dk.full_path))
def test_get_base_and_corr_dataframes(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
num_tfs = len(
freqai_conf.get("freqai", {}).get("feature_parameters", {}).get("include_timeframes")
)
assert len(base_df.keys()) == num_tfs
assert len(corr_df.keys()) == len(
freqai_conf.get("freqai", {}).get("feature_parameters", {}).get("include_corr_pairlist")
)
assert len(corr_df["ADA/BTC"].keys()) == num_tfs
shutil.rmtree(Path(freqai.dk.full_path))
def test_use_strategy_to_populate_indicators(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, 'LTC/BTC')
assert len(df.columns) == 45
shutil.rmtree(Path(freqai.dk.full_path))

77
tests/freqai/test_freqai_interface.py
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@@ -1,5 +1,3 @@
# from unittest.mock import MagicMock
# from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_edge
import platform
import shutil
from pathlib import Path
@@ -23,9 +21,9 @@ def test_train_model_in_series_LightGBM(mocker, freqai_conf):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
@@ -42,6 +40,36 @@ def test_train_model_in_series_LightGBM(mocker, freqai_conf):
shutil.rmtree(Path(freqai.dk.full_path))
def test_train_model_in_series_LightGBMMultiModel(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": "freqai_test_multimodel_strat"})
freqai_conf.update({"freqaimodel": "LightGBMPredictionMultiModel"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
freqai.train_model_in_series(new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
assert len(freqai.dk.label_list) == 2
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
shutil.rmtree(Path(freqai.dk.full_path))
@pytest.mark.skipif("arm" in platform.uname()[-1], reason="no ARM for Catboost ...")
def test_train_model_in_series_Catboost(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})
@@ -54,9 +82,9 @@ def test_train_model_in_series_Catboost(mocker, freqai_conf):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
@@ -82,11 +110,11 @@ def test_start_backtesting(mocker, freqai_conf):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = False
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
@@ -108,11 +136,11 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = False
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
@@ -132,11 +160,11 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = False
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
@@ -155,11 +183,11 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = False
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
freqai.start_backtesting(df, metadata, freqai.dk)
@@ -181,13 +209,12 @@ def test_follow_mode(mocker, freqai_conf):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
metadata = {"pair": "ADA/BTC"}
freqai.dd.set_pair_dict_info(metadata)
# freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
@@ -209,9 +236,9 @@ def test_follow_mode(mocker, freqai_conf):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd, freqai.live)
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.live)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
df = strategy.dp.get_pair_dataframe('ADA/BTC', '5m')
freqai.start_live(df, metadata, strategy, freqai.dk)
@@ -232,9 +259,9 @@ def test_principal_component_analysis(mocker, freqai_conf):
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.dd)
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dk.load_all_pair_histories(timerange)
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()