""" Functions to convert data from one format to another """ import logging import pandas as pd from pandas import DataFrame, to_datetime from freqtrade.constants import TICKER_INTERVAL_MINUTES logger = logging.getLogger(__name__) def parse_ticker_dataframe(ticker: list) -> DataFrame: """ Converts a ticker-list (format ccxt.fetch_ohlcv) to a Dataframe :param ticker: ticker list, as returned by exchange.async_get_candle_history :return: DataFrame """ logger.debug("Parsing tickerlist to dataframe") cols = ['date', 'open', 'high', 'low', 'close', 'volume'] frame = DataFrame(ticker, columns=cols) frame['date'] = to_datetime(frame['date'], unit='ms', utc=True, infer_datetime_format=True) # group by index and aggregate results to eliminate duplicate ticks frame = frame.groupby(by='date', as_index=False, sort=True).agg({ 'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last', 'volume': 'max', }) frame.drop(frame.tail(1).index, inplace=True) # eliminate partial candle logger.debug('Dropping last candle') return frame def ohlcv_fill_up_missing_data(dataframe: DataFrame, ticker_interval: str) -> DataFrame: """ Fills up missing data with 0 volume rows, using the previous close as price for "open", "high" "low" and "close", volume is set to 0 """ ohlc_dict = { 'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last', 'volume': 'sum' } tick_mins = TICKER_INTERVAL_MINUTES[ticker_interval] # Resample to create "NAN" values df = dataframe.resample(f'{tick_mins}min', on='date').agg(ohlc_dict) # Forwardfill close for missing columns df['close'] = df['close'].fillna(method='ffill') # Use close for "open, high, low" df.loc[:, ['open', 'high', 'low']] = df[['open', 'high', 'low']].fillna( value={'open': df['close'], 'high': df['close'], 'low': df['close'], }) df.reset_index(inplace=True) return df def order_book_to_dataframe(bids: list, asks: list) -> DataFrame: """ Gets order book list, returns dataframe with below format per suggested by creslin ------------------------------------------------------------------- b_sum b_size bids asks a_size a_sum ------------------------------------------------------------------- """ cols = ['bids', 'b_size'] bids_frame = DataFrame(bids, columns=cols) # add cumulative sum column bids_frame['b_sum'] = bids_frame['b_size'].cumsum() cols2 = ['asks', 'a_size'] asks_frame = DataFrame(asks, columns=cols2) # add cumulative sum column asks_frame['a_sum'] = asks_frame['a_size'].cumsum() frame = pd.concat([bids_frame['b_sum'], bids_frame['b_size'], bids_frame['bids'], asks_frame['asks'], asks_frame['a_size'], asks_frame['a_sum']], axis=1, keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum']) # logger.info('order book %s', frame ) return frame