stable/freqtrade/optimize/__init__.py
Matthias Voppichler 016232a8e9 Revert OHLVC dataformat to ccxt format
* Also fixes backtesting - but data must be refreshed for now as no
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2018-03-25 13:32:46 +02:00

161 lines
5.2 KiB
Python

# pragma pylint: disable=missing-docstring
import gzip
import json
import os
from typing import Optional, List, Dict, Tuple
from datetime import datetime
from freqtrade import misc
from freqtrade.exchange import get_ticker_history
from freqtrade.logger import Logger
from user_data.hyperopt_conf import hyperopt_optimize_conf
logger = Logger(name=__name__).get_logger()
def trim_tickerlist(tickerlist: List[Dict], timerange: Tuple[Tuple, int, int]) -> List[Dict]:
stype, start, stop = timerange
if stype == (None, 'line'):
return tickerlist[stop:]
elif stype == ('line', None):
return tickerlist[0:start]
elif stype == ('index', 'index'):
return tickerlist[start:stop]
return tickerlist
def load_tickerdata_file(
datadir: str, pair: str,
ticker_interval: int,
timerange: Optional[Tuple[Tuple, int, int]] = None) -> Optional[List[Dict]]:
"""
Load a pair from file,
:return dict OR empty if unsuccesful
"""
path = make_testdata_path(datadir)
file = os.path.join(path, '{pair}-{ticker_interval}.json'.format(
pair=pair.replace('/', '_'),
ticker_interval=ticker_interval,
))
gzipfile = file + '.gz'
# If the file does not exist we download it when None is returned.
# If file exists, read the file, load the json
if os.path.isfile(gzipfile):
logger.debug('Loading ticker data from file %s', gzipfile)
with gzip.open(gzipfile) as tickerdata:
pairdata = json.load(tickerdata)
elif os.path.isfile(file):
logger.debug('Loading ticker data from file %s', file)
with open(file) as tickerdata:
pairdata = json.load(tickerdata)
else:
return None
if timerange:
pairdata = trim_tickerlist(pairdata, timerange)
return pairdata
def load_data(datadir: str, ticker_interval: int,
pairs: Optional[List[str]] = None,
refresh_pairs: Optional[bool] = False,
timerange: Optional[Tuple[Tuple, int, int]] = None) -> Dict[str, List]:
"""
Loads ticker history data for the given parameters
:return: dict
"""
result = {}
_pairs = pairs or hyperopt_optimize_conf()['exchange']['pair_whitelist']
# If the user force the refresh of pairs
if refresh_pairs:
logger.info('Download data for all pairs and store them in %s', datadir)
download_pairs(datadir, _pairs, ticker_interval)
for pair in _pairs:
pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
if not pairdata:
# download the tickerdata from exchange
download_backtesting_testdata(datadir, pair=pair, interval=ticker_interval)
# and retry reading the pair
pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
result[pair] = pairdata
return result
def make_testdata_path(datadir: str) -> str:
"""Return the path where testdata files are stored"""
return datadir or os.path.abspath(
os.path.join(
os.path.dirname(__file__), '..', 'tests', 'testdata'
)
)
def download_pairs(datadir, pairs: List[str], ticker_interval: int) -> bool:
"""For each pairs passed in parameters, download the ticker intervals"""
for pair in pairs:
try:
download_backtesting_testdata(datadir, pair=pair, interval=ticker_interval)
except BaseException:
logger.info(
'Failed to download the pair: "%s", Interval: %s min',
pair,
ticker_interval
)
return False
return True
# FIX: 20180110, suggest rename interval to tick_interval
def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) -> bool:
"""
Download the latest 1 and 5 ticker intervals from Bittrex for the pairs passed in parameters
Based on @Rybolov work: https://github.com/rybolov/freqtrade-data
:param pairs: list of pairs to download
:return: bool
"""
path = make_testdata_path(datadir)
logger.info(
'Download the pair: "%s", Interval: %s min',
pair,
interval
)
filepair = pair.replace("/", "_")
filename = os.path.join(path, '{pair}-{interval}.json'.format(
pair=filepair,
interval=interval,
))
if os.path.isfile(filename):
with open(filename, "rt") as file:
data = json.load(file)
logger.debug("Current Start: %s", format_ms_time(data[1][0]))
logger.debug("Current End: %s", format_ms_time(data[-1:][0][0]))
else:
data = []
logger.debug("Current Start: None")
logger.debug("Current End: None")
new_data = get_ticker_history(pair=pair, tick_interval=int(interval))
for row in new_data:
if row not in data:
data.append(row)
logger.debug("New Start: %s", format_ms_time(data[0][0]))
logger.debug("New End: %s", format_ms_time(data[-1:][0][0]))
data = sorted(data, key=lambda data: data[0])
misc.file_dump_json(filename, data)
return True
def format_ms_time(date: str) -> str:
return datetime.fromtimestamp(date/1000.0).strftime('%Y-%m-%dT%H:%M:%S')