Merge pull request #5855 from freqtrade/multi_ohlcv_calls

Provide more historic data in trade mode

docs/strategy-customization.md

@@ -134,7 +134,7 @@ Additional technical libraries can be installed as necessary, or custom indicato
 
 ### Strategy startup period
 
-Most indicators have an instable startup period, in which they are either not available, or the calculation is incorrect. This can lead to inconsistencies, since Freqtrade does not know how long this instable period should be.
+Most indicators have an instable startup period, in which they are either not available (NaN), or the calculation is incorrect. This can lead to inconsistencies, since Freqtrade does not know how long this instable period should be.
 To account for this, the strategy can be assigned the `startup_candle_count` attribute.
 This should be set to the maximum number of candles that the strategy requires to calculate stable indicators.
 
@@ -146,8 +146,14 @@ In this example strategy, this should be set to 100 (`startup_candle_count = 100
 
 By letting the bot know how much history is needed, backtest trades can start at the specified timerange during backtesting and hyperopt.
 
+!!! Warning "Using x calls to get OHLCV"
+    If you receive a warning like `WARNING - Using 3 calls to get OHLCV. This can result in slower operations for the bot. Please check if you really need 1500 candles for your strategy` - you should consider if you really need this much historic data for your signals.
+    Having this will cause Freqtrade to make multiple calls for the same pair, which will obviously be slower than one network request.
+    As a consequence, Freqtrade will take longer to refresh candles - and should therefore be avoided if possible.
+    This is capped to 5 total calls to avoid overloading the exchange, or make freqtrade too slow.
+
 !!! Warning
-    `startup_candle_count` should be below `ohlcv_candle_limit` (which is 500 for most exchanges) - since only this amount of candles will be available during Dry-Run/Live Trade operations.
+    `startup_candle_count` should be below `ohlcv_candle_limit * 5` (which is 500 * 5 for most exchanges) - since only this amount of candles will be available during Dry-Run/Live Trade operations.
 
 #### Example
 

freqtrade/exchange/binance.py

@@ -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
+                                        since_ms: int, is_new_pair: bool = False,
-                                        ) -> List:
+                                        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_)

freqtrade/exchange/exchange.py

@@ -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),
+            self.required_candle_call_count = self.validate_required_startup_candles(
-                                                   config.get('timeframe', ''))
+                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"This strategy requires {startup_candles} candles to start, which is more than 5x "
-                f"{self.name} only provides {candle_limit - 5} for {timeframe}.")
+                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
+                                        since_ms: int, is_new_pair: bool = False,
-                                        ) -> List:
+                                        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
+                else:
-                p, _, new_data = res
+                    # Deconstruct tuple if it's not an exception
-                if p == pair:
+                    p, _, new_data = res
-                    data.extend(new_data)
+                    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 pair, timeframe, data
-        return 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,
+                if not since_ms and self.required_candle_call_count > 1:
-                                                                       since_ms=since_ms))
+                    # 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 ...",

tests/exchange/test_binance.py

@@ -126,13 +126,16 @@ async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog):
     exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
 
     pair = 'ETH/BTC'
-    res = await exchange._async_get_historic_ohlcv(pair, "5m",
+    respair, restf, res = await exchange._async_get_historic_ohlcv(
-                                                   1500000000000, is_new_pair=False)
+        pair, "5m", 1500000000000, is_new_pair=False)
+    assert respair == pair
+    assert restf == '5m'
     # Call with very old timestamp - causes tons of requests
     assert exchange._api_async.fetch_ohlcv.call_count > 400
     # assert res == ohlcv
     exchange._api_async.fetch_ohlcv.reset_mock()
-    res = await exchange._async_get_historic_ohlcv(pair, "5m", 1500000000000, is_new_pair=True)
+    _, _, res = await exchange._async_get_historic_ohlcv(
+        pair, "5m", 1500000000000, is_new_pair=True)
 
     # Called twice - one "init" call - and one to get the actual data.
     assert exchange._api_async.fetch_ohlcv.call_count == 2

tests/exchange/test_exchange.py

@@ -941,9 +941,22 @@ def test_validate_required_startup_candles(default_conf, mocker, caplog):
     default_conf['startup_candle_count'] = 20
     ex = Exchange(default_conf)
     assert ex
-    default_conf['startup_candle_count'] = 600
+    # assumption is that the exchange provides 500 candles per call.s
+    assert ex.validate_required_startup_candles(200, '5m') == 1
+    assert ex.validate_required_startup_candles(499, '5m') == 1
+    assert ex.validate_required_startup_candles(600, '5m') == 2
+    assert ex.validate_required_startup_candles(501, '5m') == 2
+    assert ex.validate_required_startup_candles(499, '5m') == 1
+    assert ex.validate_required_startup_candles(1000, '5m') == 3
+    assert ex.validate_required_startup_candles(2499, '5m') == 5
+    assert log_has_re(r'Using 5 calls to get OHLCV. This.*', caplog)
 
-    with pytest.raises(OperationalException, match=r'This strategy requires 600.*'):
+    with pytest.raises(OperationalException, match=r'This strategy requires 2500.*'):
+        ex.validate_required_startup_candles(2500, '5m')
+
+    # Ensure the same also happens on init
+    default_conf['startup_candle_count'] = 6000
+    with pytest.raises(OperationalException, match=r'This strategy requires 6000.*'):
         Exchange(default_conf)
 
 
@@ -1506,6 +1519,7 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name):
     assert exchange._async_get_candle_history.call_count == 2
     # Returns twice the above OHLCV data
     assert len(ret) == 2
+    assert log_has_re(r'Downloaded data for .* with length .*\.', caplog)
 
     caplog.clear()
 
@@ -1587,12 +1601,13 @@ async def test__async_get_historic_ohlcv(default_conf, mocker, caplog, exchange_
     exchange._api_async.fetch_ohlcv = get_mock_coro(ohlcv)
 
     pair = 'ETH/USDT'
-    res = await exchange._async_get_historic_ohlcv(pair, "5m",
+    respair, restf, res = await exchange._async_get_historic_ohlcv(
-                                                   1500000000000, is_new_pair=False)
+        pair, "5m", 1500000000000, is_new_pair=False)
+    assert respair == pair
+    assert restf == '5m'
     # Call with very old timestamp - causes tons of requests
     assert exchange._api_async.fetch_ohlcv.call_count > 200
     assert res[0] == ohlcv[0]
-    assert log_has_re(r'Downloaded data for .* with length .*\.', caplog)
 
 
 def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None:
@@ -1630,12 +1645,14 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None:
     assert exchange._api_async.fetch_ohlcv.call_count == 2
     exchange._api_async.fetch_ohlcv.reset_mock()
 
+    exchange.required_candle_call_count = 2
     res = exchange.refresh_latest_ohlcv(pairs)
     assert len(res) == len(pairs)
 
     assert log_has(f'Refreshing candle (OHLCV) data for {len(pairs)} pairs', caplog)
     assert exchange._klines
-    assert exchange._api_async.fetch_ohlcv.call_count == 2
+    assert exchange._api_async.fetch_ohlcv.call_count == 4
+    exchange._api_async.fetch_ohlcv.reset_mock()
     for pair in pairs:
         assert isinstance(exchange.klines(pair), DataFrame)
         assert len(exchange.klines(pair)) > 0
@@ -1651,7 +1668,7 @@ def test_refresh_latest_ohlcv(mocker, default_conf, caplog) -> None:
     res = exchange.refresh_latest_ohlcv([('IOTA/ETH', '5m'), ('XRP/ETH', '5m')])
     assert len(res) == len(pairs)
 
-    assert exchange._api_async.fetch_ohlcv.call_count == 2
+    assert exchange._api_async.fetch_ohlcv.call_count == 0
     assert log_has(f"Using cached candle (OHLCV) data for pair {pairs[0][0]}, "
                    f"timeframe {pairs[0][1]} ...",
                    caplog)