Add validate_backtest_data function

freqtrade/optimize/__init__.py

@@ -10,6 +10,7 @@ except ImportError:
     _UJSON = False
 import logging
 import os
+from datetime import datetime
 from typing import Optional, List, Dict, Tuple, Any
 import operator
 
@@ -76,6 +77,24 @@ def get_timeframe(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]
         max(timeframe, key=operator.itemgetter(1))[1]
 
 
+def validate_backtest_data(data: Dict[str, DataFrame], min_date: datetime,
+                           max_date: datetime, ticker_interval_mins: int) -> None:
+    """
+    Validates preprocessed backtesting data for missing values and shows warnings about it that.
+
+    :param data: dictionary with preprocessed backtesting data
+    :param min_date: start-date of the data
+    :param max_date: end-date of the data
+    :param ticker_interval_mins: ticker interval in minutes
+    """
+    # total difference in minutes / interval-minutes
+    expected_frames = int((max_date - min_date).total_seconds() // 60 // ticker_interval_mins)
+    for pair, df in data.items():
+        if len(df) < expected_frames:
+            logger.warning('%s has missing frames: expected %s, got %s',
+                           pair, expected_frames, len(df))
+
+
 def load_tickerdata_file(
         datadir: str, pair: str,
         ticker_interval: str,

freqtrade/optimize/backtesting.py

@@ -356,8 +356,10 @@ class Backtesting(object):
             # need to reprocess data every time to populate signals
             preprocessed = self.strategy.tickerdata_to_dataframe(data)
 
-            # Print timeframe
             min_date, max_date = optimize.get_timeframe(preprocessed)
+            # Validate dataframe for missing values
+            optimize.validate_backtest_data(preprocessed, min_date, max_date,
+                                            constants.TICKER_INTERVAL_MINUTES[self.ticker_interval])
             logger.info(
                 'Measuring data from %s up to %s (%s days)..',
                 min_date.isoformat(),