import logging import re from pathlib import Path from typing import List, Optional import numpy as np import pandas as pd from freqtrade.configuration import TimeRange from freqtrade.constants import (DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, ListPairsWithTimeframes, TradeList) from freqtrade.enums import CandleType, TradingMode from .idatahandler import IDataHandler logger = logging.getLogger(__name__) class HDF5DataHandler(IDataHandler): _columns = DEFAULT_DATAFRAME_COLUMNS @classmethod def ohlcv_get_available_data( cls, datadir: Path, trading_mode: TradingMode) -> ListPairsWithTimeframes: """ Returns a list of all pairs with ohlcv data available in this datadir :param datadir: Directory to search for ohlcv files :param trading_mode: trading-mode to be used :return: List of Tuples of (pair, timeframe) """ if trading_mode == TradingMode.FUTURES: datadir = datadir.joinpath('futures') _tmp = [ re.search( cls._OHLCV_REGEX, p.name ) for p in datadir.glob("*.h5") ] return [ ( cls.rebuild_pair_from_filename(match[1]), match[2], CandleType.from_string(match[3]) ) for match in _tmp if match and len(match.groups()) > 1] @classmethod def ohlcv_get_pairs(cls, datadir: Path, timeframe: str, candle_type: CandleType) -> List[str]: """ Returns a list of all pairs with ohlcv data available in this datadir for the specified timeframe :param datadir: Directory to search for ohlcv files :param timeframe: Timeframe to search pairs for :param candle_type: Any of the enum CandleType (must match trading mode!) :return: List of Pairs """ candle = "" if candle_type != CandleType.SPOT: datadir = datadir.joinpath('futures') candle = f"-{candle_type}" _tmp = [re.search(r'^(\S+)(?=\-' + timeframe + candle + '.h5)', p.name) for p in datadir.glob(f"*{timeframe}{candle}.h5")] # Check if regex found something and only return these results return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match] def ohlcv_store( self, pair: str, timeframe: str, data: pd.DataFrame, candle_type: CandleType) -> None: """ Store data in hdf5 file. :param pair: Pair - used to generate filename :param timeframe: Timeframe - used to generate filename :param data: Dataframe containing OHLCV data :param candle_type: Any of the enum CandleType (must match trading mode!) :return: None """ key = self._pair_ohlcv_key(pair, timeframe) _data = data.copy() filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type) self.create_dir_if_needed(filename) _data.loc[:, self._columns].to_hdf( filename, key, mode='a', complevel=9, complib='blosc', format='table', data_columns=['date'] ) def _ohlcv_load(self, pair: str, timeframe: str, timerange: Optional[TimeRange], candle_type: CandleType ) -> pd.DataFrame: """ Internal method used to load data for one pair from disk. Implements the loading and conversion to a Pandas dataframe. Timerange trimming and dataframe validation happens outside of this method. :param pair: Pair to load data :param timeframe: Timeframe (e.g. "5m") :param timerange: Limit data to be loaded to this timerange. Optionally implemented by subclasses to avoid loading all data where possible. :param candle_type: Any of the enum CandleType (must match trading mode!) :return: DataFrame with ohlcv data, or empty DataFrame """ key = self._pair_ohlcv_key(pair, timeframe) filename = self._pair_data_filename( self._datadir, pair, timeframe, candle_type=candle_type ) if not filename.exists(): return pd.DataFrame(columns=self._columns) where = [] if timerange: if timerange.starttype == 'date': where.append(f"date >= Timestamp({timerange.startts * 1e9})") if timerange.stoptype == 'date': where.append(f"date <= Timestamp({timerange.stopts * 1e9})") pairdata = pd.read_hdf(filename, key=key, mode="r", where=where) if list(pairdata.columns) != self._columns: raise ValueError("Wrong dataframe format") pairdata = pairdata.astype(dtype={'open': 'float', 'high': 'float', 'low': 'float', 'close': 'float', 'volume': 'float'}) return pairdata def ohlcv_append( self, pair: str, timeframe: str, data: pd.DataFrame, candle_type: CandleType ) -> None: """ Append data to existing data structures :param pair: Pair :param timeframe: Timeframe this ohlcv data is for :param data: Data to append. :param candle_type: Any of the enum CandleType (must match trading mode!) """ raise NotImplementedError() @classmethod def trades_get_pairs(cls, datadir: Path) -> List[str]: """ Returns a list of all pairs for which trade data is available in this :param datadir: Directory to search for ohlcv files :return: List of Pairs """ _tmp = [re.search(r'^(\S+)(?=\-trades.h5)', p.name) for p in datadir.glob("*trades.h5")] # Check if regex found something and only return these results to avoid exceptions. return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match] def trades_store(self, pair: str, data: TradeList) -> None: """ Store trades data (list of Dicts) to file :param pair: Pair - used for filename :param data: List of Lists containing trade data, column sequence as in DEFAULT_TRADES_COLUMNS """ key = self._pair_trades_key(pair) pd.DataFrame(data, columns=DEFAULT_TRADES_COLUMNS).to_hdf( self._pair_trades_filename(self._datadir, pair), key, mode='a', complevel=9, complib='blosc', format='table', data_columns=['timestamp'] ) def trades_append(self, pair: str, data: TradeList): """ Append data to existing files :param pair: Pair - used for filename :param data: List of Lists containing trade data, column sequence as in DEFAULT_TRADES_COLUMNS """ raise NotImplementedError() def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList: """ Load a pair from h5 file. :param pair: Load trades for this pair :param timerange: Timerange to load trades for - currently not implemented :return: List of trades """ key = self._pair_trades_key(pair) filename = self._pair_trades_filename(self._datadir, pair) if not filename.exists(): return [] where = [] if timerange: if timerange.starttype == 'date': where.append(f"timestamp >= {timerange.startts * 1e3}") if timerange.stoptype == 'date': where.append(f"timestamp < {timerange.stopts * 1e3}") trades: pd.DataFrame = pd.read_hdf(filename, key=key, mode="r", where=where) trades[['id', 'type']] = trades[['id', 'type']].replace({np.nan: None}) return trades.values.tolist() @classmethod def _get_file_extension(cls): return "h5" @classmethod def _pair_ohlcv_key(cls, pair: str, timeframe: str) -> str: # Escape futures pairs to avoid warnings pair_esc = pair.replace(':', '_') return f"{pair_esc}/ohlcv/tf_{timeframe}" @classmethod def _pair_trades_key(cls, pair: str) -> str: return f"{pair}/trades"