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Merge pull request #4367 from freqtrade/fix/4181 

ohlcv_candle_limit per timeframe
This commit is contained in:
Matthias 2021-02-14 19:32:05 +01:00 committed by GitHub
parent 10a11bda34 ee74bc1f52
commit f82dd55153
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6 changed files with 53 additions and 22 deletions
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6
freqtrade/exchange/bittrex.py
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@ -19,5 +19,11 @@ class Bittrex(Exchange):
"""
_ft_has: Dict = {
"ohlcv_candle_limit_per_timeframe": {
'1m': 1440,
'5m': 288,
'1h': 744,
'1d': 365,
},
"l2_limit_range": [1, 25, 500],
}

37
freqtrade/exchange/exchange.py
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@ -101,7 +101,6 @@ class Exchange:
logger.info("Overriding exchange._ft_has with config params, result: %s", self._ft_has)
# Assign this directly for easy access
self._ohlcv_candle_limit = self._ft_has['ohlcv_candle_limit']
self._ohlcv_partial_candle = self._ft_has['ohlcv_partial_candle']
self._trades_pagination = self._ft_has['trades_pagination']
@ -137,7 +136,8 @@ 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.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(
@ -198,11 +198,6 @@ class Exchange:
def timeframes(self) -> List[str]:
return list((self._api.timeframes or {}).keys())
@property
def ohlcv_candle_limit(self) -> int:
"""exchange ohlcv candle limit"""
return int(self._ohlcv_candle_limit)
@property
def markets(self) -> Dict:
"""exchange ccxt markets"""
@ -216,6 +211,17 @@ class Exchange:
"""exchange ccxt precisionMode"""
return self._api.precisionMode
def ohlcv_candle_limit(self, timeframe: str) -> int:
"""
Exchange ohlcv candle limit
Uses ohlcv_candle_limit_per_timeframe if the exchange has different limts
per timeframe (e.g. bittrex), otherwise falls back to ohlcv_candle_limit
:param timeframe: Timeframe to check
:return: Candle limit as integer
"""
return int(self._ft_has.get('ohlcv_candle_limit_per_timeframe', {}).get(
timeframe, self._ft_has.get('ohlcv_candle_limit')))
def get_markets(self, base_currencies: List[str] = None, quote_currencies: List[str] = None,
pairs_only: bool = False, active_only: bool = False) -> Dict[str, Any]:
"""
@ -428,15 +434,16 @@ 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) -> None:
def validate_required_startup_candles(self, startup_candles: int, timeframe: str) -> None:
"""
Checks if required startup_candles is more than ohlcv_candle_limit.
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.
"""
if startup_candles + 5 > self._ft_has['ohlcv_candle_limit']:
candle_limit = self.ohlcv_candle_limit(timeframe)
if startup_candles + 5 > candle_limit:
raise OperationalException(
f"This strategy requires {startup_candles} candles to start. "
f"{self.name} only provides {self._ft_has['ohlcv_candle_limit']}.")
f"{self.name} only provides {candle_limit} for {timeframe}.")
def exchange_has(self, endpoint: str) -> bool:
"""
@ -721,7 +728,7 @@ class Exchange:
"""
Get candle history using asyncio and returns the list of candles.
Handles all async work for this.
Async over one pair, assuming we get `self._ohlcv_candle_limit` candles per call.
Async over one pair, assuming we get `self.ohlcv_candle_limit()` candles per call.
:param pair: Pair to download
:param timeframe: Timeframe to get data for
:param since_ms: Timestamp in milliseconds to get history from
@ -751,7 +758,7 @@ class Exchange:
Download historic ohlcv
"""
one_call = timeframe_to_msecs(timeframe) * self._ohlcv_candle_limit
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(timeframe)
logger.debug(
"one_call: %s msecs (%s)",
one_call,
@ -853,7 +860,7 @@ class Exchange:
data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe,
since=since_ms,
limit=self._ohlcv_candle_limit)
limit=self.ohlcv_candle_limit(timeframe))
# 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)
@ -1026,7 +1033,7 @@ class Exchange:
"""
Get trade history data using asyncio.
Handles all async work and returns the list of candles.
Async over one pair, assuming we get `self._ohlcv_candle_limit` candles per call.
Async over one pair, assuming we get `self.ohlcv_candle_limit()` candles per call.
:param pair: Pair to download
:param since: Timestamp in milliseconds to get history from
:param until: Timestamp in milliseconds. Defaults to current timestamp if not defined.

4
freqtrade/plugins/pairlist/AgeFilter.py
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@ -30,10 +30,10 @@ class AgeFilter(IPairList):
if self._min_days_listed < 1:
raise OperationalException("AgeFilter requires min_days_listed to be >= 1")
if self._min_days_listed > exchange.ohlcv_candle_limit:
if self._min_days_listed > exchange.ohlcv_candle_limit('1d'):
raise OperationalException("AgeFilter requires min_days_listed to not exceed "
"exchange max request size "
f"({exchange.ohlcv_candle_limit})")
f"({exchange.ohlcv_candle_limit('1d')})")
@property
def needstickers(self) -> bool:

4
freqtrade/plugins/pairlist/rangestabilityfilter.py
View File

@ -32,10 +32,10 @@ class RangeStabilityFilter(IPairList):
if self._days < 1:
raise OperationalException("RangeStabilityFilter requires lookback_days to be >= 1")
if self._days > exchange.ohlcv_candle_limit:
if self._days > exchange.ohlcv_candle_limit('1d'):
raise OperationalException("RangeStabilityFilter requires lookback_days to not "
"exceed exchange max request size "
f"({exchange.ohlcv_candle_limit})")
f"({exchange.ohlcv_candle_limit('1d')})")
@property
def needstickers(self) -> bool:

7
tests/exchange/test_ccxt_compat.py
View File

@ -5,10 +5,12 @@ However, these tests should give a good idea to determine if a new exchange is
suitable to run with freqtrade.
"""
from datetime import datetime, timedelta, timezone
from pathlib import Path
import pytest
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_prev_date
from freqtrade.resolvers.exchange_resolver import ExchangeResolver
from tests.conftest import get_default_conf
@ -122,7 +124,10 @@ class TestCCXTExchange():
assert len(ohlcv[pair_tf]) == len(exchange.klines(pair_tf))
# assert len(exchange.klines(pair_tf)) > 200
# Assume 90% uptime ...
assert len(exchange.klines(pair_tf)) > exchange._ohlcv_candle_limit * 0.90
assert len(exchange.klines(pair_tf)) > exchange.ohlcv_candle_limit(timeframe) * 0.90
# Check if last-timeframe is within the last 2 intervals
now = datetime.now(timezone.utc) - timedelta(minutes=(timeframe_to_minutes(timeframe) * 2))
assert exchange.klines(pair_tf).iloc[-1]['date'] >= timeframe_to_prev_date(timeframe, now)
# TODO: tests fetch_trades (?)

17
tests/exchange/test_exchange.py
View File

@ -1417,7 +1417,7 @@ def test_get_historic_ohlcv(default_conf, mocker, caplog, exchange_name):
exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
# one_call calculation * 1.8 should do 2 calls
since = 5 * 60 * exchange._ft_has['ohlcv_candle_limit'] * 1.8
since = 5 * 60 * exchange.ohlcv_candle_limit('5m') * 1.8
ret = exchange.get_historic_ohlcv(pair, "5m", int((
arrow.utcnow().int_timestamp - since) * 1000))
@ -1473,7 +1473,7 @@ def test_get_historic_ohlcv_as_df(default_conf, mocker, exchange_name):
exchange._async_get_candle_history = Mock(wraps=mock_candle_hist)
# one_call calculation * 1.8 should do 2 calls
since = 5 * 60 * exchange._ft_has['ohlcv_candle_limit'] * 1.8
since = 5 * 60 * exchange.ohlcv_candle_limit('5m') * 1.8
ret = exchange.get_historic_ohlcv_as_df(pair, "5m", int((
arrow.utcnow().int_timestamp - since) * 1000))
@ -2418,6 +2418,19 @@ def test_get_markets_error(default_conf, mocker):
ex.get_markets('LTC', 'USDT', True, False)
@pytest.mark.parametrize("exchange_name", EXCHANGES)
def test_ohlcv_candle_limit(default_conf, mocker, exchange_name):
exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
timeframes = ('1m', '5m', '1h')
expected = exchange._ft_has['ohlcv_candle_limit']
for timeframe in timeframes:
if 'ohlcv_candle_limit_per_timeframe' in exchange._ft_has:
expected = exchange._ft_has['ohlcv_candle_limit_per_timeframe'][timeframe]
# This should only run for bittrex
assert exchange_name == 'bittrex'
assert exchange.ohlcv_candle_limit(timeframe) == expected
def test_timeframe_to_minutes():
assert timeframe_to_minutes("5m") == 5
assert timeframe_to_minutes("10m") == 10