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updated historic data filenames to include the candle type

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This commit is contained in:
Sam Germain
2021-11-07 00:35:27 -06:00
parent c8162479d6
commit ee2ad8ca97
8 changed files with 247 additions and 125 deletions
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8
freqtrade/exchange/binance.py
View File

@@ -207,15 +207,15 @@ class Binance(Exchange):
since_ms: int,
is_new_pair: bool,
raise_: bool = False,
price: Optional[str] = None
candle_type: Optional[str] = ""
) -> Tuple[str, str, List]:
"""
Overwrite to introduce "fast new pair" functionality by detecting the pair's listing date
Does not work for other exchanges, which don't return the earliest data when called with "0"
:param price: "mark" if retrieving the mark price cnadles
:param candle_type: "mark" if retrieving the mark price cnadles
"""
if is_new_pair:
x = await self._async_get_candle_history(pair, timeframe, 0, price)
x = await self._async_get_candle_history(pair, timeframe, 0, candle_type)
if x and x[2] and x[2][0] and x[2][0][0] > since_ms:
# Set starting date to first available candle.
since_ms = x[2][0][0]
@@ -228,7 +228,7 @@ class Binance(Exchange):
since_ms=since_ms,
is_new_pair=is_new_pair,
raise_=raise_,
price=price
candle_type=candle_type
)
def funding_fee_cutoff(self, open_date: datetime):

88
freqtrade/exchange/exchange.py
View File

@@ -1309,14 +1309,9 @@ class Exchange:
# Historic data
def get_historic_ohlcv(
self,
pair: str,
timeframe: str,
since_ms: int,
is_new_pair: bool = False,
price: Optional[str] = None
) -> List:
def get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool = False,
candle_type: Optional[str] = "") -> List:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
@@ -1324,52 +1319,37 @@ class Exchange:
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
:return: List with candle (OHLCV) data
"""
pair, timeframe, data = asyncio.get_event_loop().run_until_complete(
self._async_get_historic_ohlcv(
pair=pair,
timeframe=timeframe,
since_ms=since_ms,
is_new_pair=is_new_pair,
price=price
))
self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
since_ms=since_ms, is_new_pair=is_new_pair,
candle_type=candle_type))
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
return data
def get_historic_ohlcv_as_df(
self,
pair: str,
timeframe: str,
since_ms: int,
price: Optional[str] = None
) -> DataFrame:
def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
since_ms: int, candle_type: Optional[str] = "") -> DataFrame:
"""
Minimal wrapper around get_historic_ohlcv - converting the result into a dataframe
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
:param price: "mark" if retrieving the mark price candles, "index" for index price candles
:return: OHLCV DataFrame
"""
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms, price=price)
ticks = self.get_historic_ohlcv(pair, timeframe, since_ms=since_ms)
return ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
drop_incomplete=self._ohlcv_partial_candle,
candle_type=candle_type)
async def _async_get_historic_ohlcv(
self,
pair: str,
timeframe: str,
since_ms: int,
is_new_pair: bool,
raise_: bool = False,
price: Optional[str] = None
) -> Tuple[str, str, List]:
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool,
raise_: bool = False,
candle_type: Optional[str] = ""
) -> Tuple[str, str, List]:
"""
Download historic ohlcv
:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
"""
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
@@ -1378,13 +1358,8 @@ class Exchange:
one_call,
arrow.utcnow().shift(seconds=one_call // 1000).humanize(only_distance=True)
)
input_coroutines = [
self._async_get_candle_history(
pair,
timeframe,
since,
price
) for since in
input_coroutines = [self._async_get_candle_history(
pair, timeframe, since, candle_type=candle_type) for since in
range(since_ms, arrow.utcnow().int_timestamp * 1000, one_call)]
data: List = []
@@ -1407,13 +1382,10 @@ class Exchange:
data = sorted(data, key=lambda x: x[0])
return pair, timeframe, data
def refresh_latest_ohlcv(
self,
pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None,
cache: bool = True,
price: Optional[str] = None
) -> Dict[Tuple[str, str], DataFrame]:
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True,
candle_type: Optional[str] = ""
) -> Dict[Tuple[str, str], DataFrame]:
"""
Refresh in-memory OHLCV asynchronously and set `_klines` with the result
Loops asynchronously over pair_list and downloads all pairs async (semi-parallel).
@@ -1421,7 +1393,6 @@ class Exchange:
:param pair_list: List of 2 element tuples containing pair, interval to refresh
:param since_ms: time since when to download, in milliseconds
:param cache: Assign result to _klines. Usefull for one-off downloads like for pairlists
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
:return: Dict of [{(pair, timeframe): Dataframe}]
"""
logger.debug("Refreshing candle (OHLCV) data for %d pairs", len(pair_list))
@@ -1445,7 +1416,7 @@ class Exchange:
else:
# One call ... "regular" refresh
input_coroutines.append(self._async_get_candle_history(
pair, timeframe, since_ms=since_ms, price=price))
pair, timeframe, since_ms=since_ms, candle_type=candle_type,))
else:
logger.debug(
"Using cached candle (OHLCV) data for pair %s, timeframe %s ...",
@@ -1470,7 +1441,8 @@ class Exchange:
# keeping parsed dataframe in cache
ohlcv_df = ohlcv_to_dataframe(
ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=self._ohlcv_partial_candle)
drop_incomplete=self._ohlcv_partial_candle,
candle_type=candle_type)
results_df[(pair, timeframe)] = ohlcv_df
if cache:
self._klines[(pair, timeframe)] = ohlcv_df
@@ -1493,11 +1465,11 @@ class Exchange:
pair: str,
timeframe: str,
since_ms: Optional[int] = None,
price: Optional[str] = None
candle_type: Optional[str] = "",
) -> Tuple[str, str, List]:
"""
Asynchronously get candle history data using fetch_ohlcv
:param price: "mark" if retrieving the mark price cnadles, "index" for index price candles
:param candle_type: "mark" if retrieving the mark price cnadles, "index" for index price candles
returns tuple: (pair, timeframe, ohlcv_list)
"""
try:
@@ -1507,12 +1479,12 @@ class Exchange:
"Fetching pair %s, interval %s, since %s %s...",
pair, timeframe, since_ms, s
)
# TODO-lev: Does this put price into params correctly?
params = self._ft_has.get('ohlcv_params', {price: price})
params = self._ft_has.get('ohlcv_params', {})
data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe,
since=since_ms,
limit=self.ohlcv_candle_limit(timeframe),
params=params)
params=params,
candle_type=candle_type)
# Some exchanges sort OHLCV in ASC order and others in DESC.
# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)