Merge branch 'develop' into feat/short
This commit is contained in:
Matthias
@@ -168,9 +168,10 @@ class Exchange:
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self.validate_pairs(config['exchange']['pair_whitelist'])
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self.validate_ordertypes(config.get('order_types', {}))
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self.validate_order_time_in_force(config.get('order_time_in_force', {}))
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self.validate_required_startup_candles(config.get('startup_candle_count', 0),
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config.get('timeframe', ''))
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self.required_candle_call_count = self.validate_required_startup_candles(
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config.get('startup_candle_count', 0), config.get('timeframe', ''))
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self.validate_trading_mode_and_collateral(self.trading_mode, self.collateral)
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# Converts the interval provided in minutes in config to seconds
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self.markets_refresh_interval: int = exchange_config.get(
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"markets_refresh_interval", 60) * 60
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@@ -523,16 +524,29 @@ class Exchange:
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raise OperationalException(
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f'Time in force policies are not supported for {self.name} yet.')
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def validate_required_startup_candles(self, startup_candles: int, timeframe: str) -> None:
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def validate_required_startup_candles(self, startup_candles: int, timeframe: str) -> int:
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"""
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Checks if required startup_candles is more than ohlcv_candle_limit().
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Requires a grace-period of 5 candles - so a startup-period up to 494 is allowed by default.
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"""
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candle_limit = self.ohlcv_candle_limit(timeframe)
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if startup_candles + 5 > candle_limit:
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# Require one more candle - to account for the still open candle.
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candle_count = startup_candles + 1
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# Allow 5 calls to the exchange per pair
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required_candle_call_count = int(
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(candle_count / candle_limit) + (0 if candle_count % candle_limit == 0 else 1))
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if required_candle_call_count > 5:
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# Only allow 5 calls per pair to somewhat limit the impact
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raise OperationalException(
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f"This strategy requires {startup_candles} candles to start. "
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f"{self.name} only provides {candle_limit - 5} for {timeframe}.")
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f"This strategy requires {startup_candles} candles to start, which is more than 5x "
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f"the amount of candles {self.name} provides for {timeframe}.")
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if required_candle_call_count > 1:
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logger.warning(f"Using {required_candle_call_count} calls to get OHLCV. "
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f"This can result in slower operations for the bot. Please check "
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f"if you really need {startup_candles} candles for your strategy")
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return required_candle_call_count
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def validate_trading_mode_and_collateral(
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self,
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@@ -1306,9 +1320,11 @@ class Exchange:
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:param since_ms: Timestamp in milliseconds to get history from
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:return: List with candle (OHLCV) data
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"""
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return asyncio.get_event_loop().run_until_complete(
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pair, timeframe, data = asyncio.get_event_loop().run_until_complete(
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self._async_get_historic_ohlcv(pair=pair, timeframe=timeframe,
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since_ms=since_ms, is_new_pair=is_new_pair))
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logger.info(f"Downloaded data for {pair} with length {len(data)}.")
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return data
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def get_historic_ohlcv_as_df(self, pair: str, timeframe: str,
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since_ms: int) -> DataFrame:
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@@ -1324,8 +1340,9 @@ class Exchange:
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drop_incomplete=self._ohlcv_partial_candle)
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async def _async_get_historic_ohlcv(self, pair: str, timeframe: str,
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since_ms: int, is_new_pair: bool
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) -> List:
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since_ms: int, is_new_pair: bool = False,
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raise_: bool = False
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) -> Tuple[str, str, List]:
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"""
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Download historic ohlcv
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:param is_new_pair: used by binance subclass to allow "fast" new pair downloading
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@@ -1349,15 +1366,17 @@ class Exchange:
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for res in results:
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if isinstance(res, Exception):
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logger.warning("Async code raised an exception: %s", res.__class__.__name__)
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if raise_:
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raise
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continue
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# Deconstruct tuple if it's not an exception
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p, _, new_data = res
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if p == pair:
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data.extend(new_data)
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else:
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# Deconstruct tuple if it's not an exception
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p, _, new_data = res
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if p == pair:
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data.extend(new_data)
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# Sort data again after extending the result - above calls return in "async order"
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data = sorted(data, key=lambda x: x[0])
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logger.info(f"Downloaded data for {pair} with length {len(data)}.")
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return data
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return pair, timeframe, data
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def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
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since_ms: Optional[int] = None, cache: bool = True
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@@ -1377,10 +1396,22 @@ class Exchange:
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cached_pairs = []
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# Gather coroutines to run
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for pair, timeframe in set(pair_list):
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if (((pair, timeframe) not in self._klines)
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if ((pair, timeframe) not in self._klines
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or self._now_is_time_to_refresh(pair, timeframe)):
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input_coroutines.append(self._async_get_candle_history(pair, timeframe,
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since_ms=since_ms))
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if not since_ms and self.required_candle_call_count > 1:
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# Multiple calls for one pair - to get more history
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one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
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move_to = one_call * self.required_candle_call_count
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now = timeframe_to_next_date(timeframe)
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since_ms = int((now - timedelta(seconds=move_to // 1000)).timestamp() * 1000)
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if since_ms:
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input_coroutines.append(self._async_get_historic_ohlcv(
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pair, timeframe, since_ms=since_ms, raise_=True))
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else:
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# One call ... "regular" refresh
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input_coroutines.append(self._async_get_candle_history(
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pair, timeframe, since_ms=since_ms))
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else:
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logger.debug(
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"Using cached candle (OHLCV) data for pair %s, timeframe %s ...",
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