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Merge pull request #5855 from freqtrade/multi_ohlcv_calls

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Provide more historic data in trade mode
This commit is contained in:
Matthias
2021-11-08 19:30:40 +01:00
committed by GitHub
parent 63f4221f70 84261237a0
commit f2be820f73
5 changed files with 93 additions and 35 deletions
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10
freqtrade/exchange/binance.py
View File

@@ -1,6 +1,6 @@
""" Binance exchange subclass """
import logging
from typing import Dict, List
from typing import Dict, List, Tuple
import arrow
import ccxt
@@ -93,8 +93,9 @@ class Binance(Exchange):
raise OperationalException(e) from e
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
) -> List:
since_ms: int, is_new_pair: bool = False,
raise_: bool = False
) -> 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"
@@ -107,4 +108,5 @@ class Binance(Exchange):
logger.info(f"Candle-data for {pair} available starting with "
f"{arrow.get(since_ms // 1000).isoformat()}.")
return await super()._async_get_historic_ohlcv(
pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair)
pair=pair, timeframe=timeframe, since_ms=since_ms, is_new_pair=is_new_pair,
raise_=raise_)

68
freqtrade/exchange/exchange.py
View File

@@ -7,7 +7,7 @@ import http
import inspect
import logging
from copy import deepcopy
from datetime import datetime, timezone
from datetime import datetime, timedelta, timezone
from math import ceil
from typing import Any, Dict, List, Optional, Tuple
@@ -155,8 +155,8 @@ class Exchange:
self.validate_pairs(config['exchange']['pair_whitelist'])
self.validate_ordertypes(config.get('order_types', {}))
self.validate_order_time_in_force(config.get('order_time_in_force', {}))
self.validate_required_startup_candles(config.get('startup_candle_count', 0),
config.get('timeframe', ''))
self.required_candle_call_count = self.validate_required_startup_candles(
config.get('startup_candle_count', 0), config.get('timeframe', ''))
# Converts the interval provided in minutes in config to seconds
self.markets_refresh_interval: int = exchange_config.get(
@@ -471,16 +471,29 @@ class Exchange:
raise OperationalException(
f'Time in force policies are not supported for {self.name} yet.')
def validate_required_startup_candles(self, startup_candles: int, timeframe: str) -> None:
def validate_required_startup_candles(self, startup_candles: int, timeframe: str) -> int:
"""
Checks if required startup_candles is more than ohlcv_candle_limit().
Requires a grace-period of 5 candles - so a startup-period up to 494 is allowed by default.
"""
candle_limit = self.ohlcv_candle_limit(timeframe)
if startup_candles + 5 > candle_limit:
# Require one more candle - to account for the still open candle.
candle_count = startup_candles + 1
# Allow 5 calls to the exchange per pair
required_candle_call_count = int(
(candle_count / candle_limit) + (0 if candle_count % candle_limit == 0 else 1))
if required_candle_call_count > 5:
# Only allow 5 calls per pair to somewhat limit the impact
raise OperationalException(
f"This strategy requires {startup_candles} candles to start. "
f"{self.name} only provides {candle_limit - 5} for {timeframe}.")
f"This strategy requires {startup_candles} candles to start, which is more than 5x "
f"the amount of candles {self.name} provides for {timeframe}.")
if required_candle_call_count > 1:
logger.warning(f"Using {required_candle_call_count} calls to get OHLCV. "
f"This can result in slower operations for the bot. Please check "
f"if you really need {startup_candles} candles for your strategy")
return required_candle_call_count
def exchange_has(self, endpoint: str) -> bool:
"""
@@ -1205,9 +1218,11 @@ class Exchange:
:param since_ms: Timestamp in milliseconds to get history from
:return: List with candle (OHLCV) data
"""
return asyncio.get_event_loop().run_until_complete(
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))
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) -> DataFrame:
@@ -1223,8 +1238,9 @@ class Exchange:
drop_incomplete=self._ohlcv_partial_candle)
async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
since_ms: int, is_new_pair: bool
) -> List:
since_ms: int, is_new_pair: bool = False,
raise_: bool = False
) -> Tuple[str, str, List]:
"""
Download historic ohlcv
:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
@@ -1248,15 +1264,17 @@ class Exchange:
for res in results:
if isinstance(res, Exception):
logger.warning("Async code raised an exception: %s", res.__class__.__name__)
if raise_:
raise
continue
# Deconstruct tuple if it's not an exception
p, _, new_data = res
if p == pair:
data.extend(new_data)
else:
# Deconstruct tuple if it's not an exception
p, _, new_data = res
if p == pair:
data.extend(new_data)
# Sort data again after extending the result - above calls return in "async order"
data = sorted(data, key=lambda x: x[0])
logger.info(f"Downloaded data for {pair} with length {len(data)}.")
return data
return pair, timeframe, data
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True
@@ -1276,10 +1294,22 @@ class Exchange:
cached_pairs = []
# Gather coroutines to run
for pair, timeframe in set(pair_list):
if (((pair, timeframe) not in self._klines)
if ((pair, timeframe) not in self._klines
or self._now_is_time_to_refresh(pair, timeframe)):
input_coroutines.append(self._async_get_candle_history(pair, timeframe,
since_ms=since_ms))
if not since_ms and self.required_candle_call_count > 1:
# Multiple calls for one pair - to get more history
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
move_to = one_call * self.required_candle_call_count
now = timeframe_to_next_date(timeframe)
since_ms = int((now - timedelta(seconds=move_to // 1000)).timestamp() * 1000)
if since_ms:
input_coroutines.append(self._async_get_historic_ohlcv(
pair, timeframe, since_ms=since_ms, raise_=True))
else:
# One call ... "regular" refresh
input_coroutines.append(self._async_get_candle_history(
pair, timeframe, since_ms=since_ms))
else:
logger.debug(
"Using cached candle (OHLCV) data for pair %s, timeframe %s ...",