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stable/tests/data/test_history.py

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# pragma pylint: disable=missing-docstring, protected-access, C0103
import json
import uuid
from pathlib import Path
from shutil import copyfile
from unittest.mock import MagicMock, PropertyMock
import arrow
import pytest
from pandas import DataFrame
from pandas.testing import assert_frame_equal
from freqtrade.configuration import TimeRange
from freqtrade.constants import AVAILABLE_DATAHANDLERS
from freqtrade.data.converter import ohlcv_to_dataframe
from freqtrade.data.history.hdf5datahandler import HDF5DataHandler
from freqtrade.data.history.history_utils import (_download_pair_history, _download_trades_history,
_load_cached_data_for_updating,
convert_trades_to_ohlcv, get_timerange, load_data,
load_pair_history, refresh_backtest_ohlcv_data,
refresh_backtest_trades_data, refresh_data,
validate_backtest_data)
from freqtrade.data.history.idatahandler import IDataHandler, get_datahandler, get_datahandlerclass
from freqtrade.data.history.jsondatahandler import JsonDataHandler, JsonGzDataHandler
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.misc import file_dump_json
from freqtrade.resolvers import StrategyResolver
from tests.conftest import get_patched_exchange, log_has, log_has_re, patch_exchange
# Change this if modifying UNITTEST/BTC testdatafile
_BTC_UNITTEST_LENGTH = 13681
def _backup_file(file: Path, copy_file: bool = False) -> None:
"""
Backup existing file to avoid deleting the user file
:param file: complete path to the file
:param copy_file: keep file in place too.
:return: None
"""
file_swp = str(file) + '.swp'
if file.is_file():
file.rename(file_swp)
if copy_file:
copyfile(file_swp, file)
def _clean_test_file(file: Path) -> None:
"""
Backup existing file to avoid deleting the user file
:param file: complete path to the file
:return: None
"""
file_swp = Path(str(file) + '.swp')
# 1. Delete file from the test
if file.is_file():
file.unlink()
# 2. Rollback to the initial file
if file_swp.is_file():
file_swp.rename(file)
def test_load_data_30min_timeframe(mocker, caplog, default_conf, testdatadir) -> None:
ld = load_pair_history(pair='UNITTEST/BTC', timeframe='30m', datadir=testdatadir)
assert isinstance(ld, DataFrame)
assert not log_has(
'Download history data for pair: "UNITTEST/BTC", timeframe: 30m '
'and store in None.', caplog
)
def test_load_data_7min_timeframe(mocker, caplog, default_conf, testdatadir) -> None:
ld = load_pair_history(pair='UNITTEST/BTC', timeframe='7m', datadir=testdatadir)
assert isinstance(ld, DataFrame)
assert ld.empty
assert log_has(
'No history data for pair: "UNITTEST/BTC", timeframe: 7m. '
'Use `freqtrade download-data` to download the data', caplog
)
def test_load_data_1min_timeframe(ohlcv_history, mocker, caplog, testdatadir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ohlcv_history)
file = testdatadir / 'UNITTEST_BTC-1m.json'
load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'])
assert file.is_file()
assert not log_has(
'Download history data for pair: "UNITTEST/BTC", interval: 1m '
'and store in None.', caplog
)
def test_load_data_startup_candles(mocker, caplog, default_conf, testdatadir) -> None:
ltfmock = mocker.patch(
'freqtrade.data.history.jsondatahandler.JsonDataHandler._ohlcv_load',
MagicMock(return_value=DataFrame()))
timerange = TimeRange('date', None, 1510639620, 0)
load_pair_history(pair='UNITTEST/BTC', timeframe='1m',
datadir=testdatadir, timerange=timerange,
startup_candles=20,)
assert ltfmock.call_count == 1
assert ltfmock.call_args_list[0][1]['timerange'] != timerange
# startts is 20 minutes earlier
assert ltfmock.call_args_list[0][1]['timerange'].startts == timerange.startts - 20 * 60
def test_load_data_with_new_pair_1min(ohlcv_history_list, mocker, caplog,
default_conf, tmpdir) -> None:
"""
Test load_pair_history() with 1 min timeframe
"""
tmpdir1 = Path(tmpdir)
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ohlcv_history_list)
exchange = get_patched_exchange(mocker, default_conf)
file = tmpdir1 / 'MEME_BTC-1m.json'
# do not download a new pair if refresh_pairs isn't set
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC')
assert not file.is_file()
assert log_has(
'No history data for pair: "MEME/BTC", timeframe: 1m. '
'Use `freqtrade download-data` to download the data', caplog
)
# download a new pair if refresh_pairs is set
refresh_data(datadir=tmpdir1, timeframe='1m', pairs=['MEME/BTC'],
exchange=exchange)
load_pair_history(datadir=tmpdir1, timeframe='1m', pair='MEME/BTC')
assert file.is_file()
assert log_has_re(
r'Download history data for pair: "MEME/BTC" \(0/1\), timeframe: 1m '
r'and store in .*', caplog
)
def test_testdata_path(testdatadir) -> None:
assert str(Path('tests') / 'testdata') in str(testdatadir)
@pytest.mark.parametrize("pair,expected_result", [
("ETH/BTC", 'freqtrade/hello/world/ETH_BTC-5m.json'),
("Fabric Token/ETH", 'freqtrade/hello/world/Fabric_Token_ETH-5m.json'),
("ETHH20", 'freqtrade/hello/world/ETHH20-5m.json'),
(".XBTBON2H", 'freqtrade/hello/world/_XBTBON2H-5m.json'),
("ETHUSD.d", 'freqtrade/hello/world/ETHUSD_d-5m.json'),
("ACC_OLD/BTC", 'freqtrade/hello/world/ACC_OLD_BTC-5m.json'),
])
def test_json_pair_data_filename(pair, expected_result):
fn = JsonDataHandler._pair_data_filename(Path('freqtrade/hello/world'), pair, '5m')
assert isinstance(fn, Path)
assert fn == Path(expected_result)
fn = JsonGzDataHandler._pair_data_filename(Path('freqtrade/hello/world'), pair, '5m')
assert isinstance(fn, Path)
assert fn == Path(expected_result + '.gz')
@pytest.mark.parametrize("pair,expected_result", [
("ETH/BTC", 'freqtrade/hello/world/ETH_BTC-trades.json'),
("Fabric Token/ETH", 'freqtrade/hello/world/Fabric_Token_ETH-trades.json'),
("ETHH20", 'freqtrade/hello/world/ETHH20-trades.json'),
(".XBTBON2H", 'freqtrade/hello/world/_XBTBON2H-trades.json'),
("ETHUSD.d", 'freqtrade/hello/world/ETHUSD_d-trades.json'),
("ACC_OLD_BTC", 'freqtrade/hello/world/ACC_OLD_BTC-trades.json'),
])
def test_json_pair_trades_filename(pair, expected_result):
fn = JsonDataHandler._pair_trades_filename(Path('freqtrade/hello/world'), pair)
assert isinstance(fn, Path)
assert fn == Path(expected_result)
fn = JsonGzDataHandler._pair_trades_filename(Path('freqtrade/hello/world'), pair)
assert isinstance(fn, Path)
assert fn == Path(expected_result + '.gz')
def test_load_cached_data_for_updating(mocker, testdatadir) -> None:
data_handler = get_datahandler(testdatadir, 'json')
test_data = None
test_filename = testdatadir.joinpath('UNITTEST_BTC-1m.json')
with open(test_filename, "rt") as file:
test_data = json.load(file)
test_data_df = ohlcv_to_dataframe(test_data, '1m', 'UNITTEST/BTC',
fill_missing=False, drop_incomplete=False)
# now = last cached item + 1 hour
now_ts = test_data[-1][0] / 1000 + 60 * 60
mocker.patch('arrow.utcnow', return_value=arrow.get(now_ts))
# timeframe starts earlier than the cached data
# should fully update data
timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0)
data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler)
assert data.empty
assert start_ts == test_data[0][0] - 1000
# timeframe starts in the center of the cached data
# should return the cached data w/o the last item
timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0)
data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler)
assert_frame_equal(data, test_data_df.iloc[:-1])
assert test_data[-2][0] <= start_ts < test_data[-1][0]
# timeframe starts after the cached data
# should return the cached data w/o the last item
timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 100, 0)
data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler)
assert_frame_equal(data, test_data_df.iloc[:-1])
assert test_data[-2][0] <= start_ts < test_data[-1][0]
# no datafile exist
# should return timestamp start time
timerange = TimeRange('date', None, now_ts - 10000, 0)
data, start_ts = _load_cached_data_for_updating('NONEXIST/BTC', '1m', timerange, data_handler)
assert data.empty
assert start_ts == (now_ts - 10000) * 1000
# no datafile exist, no timeframe is set
# should return an empty array and None
data, start_ts = _load_cached_data_for_updating('NONEXIST/BTC', '1m', None, data_handler)
assert data.empty
assert start_ts is None
def test_download_pair_history(ohlcv_history_list, mocker, default_conf, tmpdir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ohlcv_history_list)
exchange = get_patched_exchange(mocker, default_conf)
tmpdir1 = Path(tmpdir)
file1_1 = tmpdir1 / 'MEME_BTC-1m.json'
file1_5 = tmpdir1 / 'MEME_BTC-5m.json'
file2_1 = tmpdir1 / 'CFI_BTC-1m.json'
file2_5 = tmpdir1 / 'CFI_BTC-5m.json'
assert not file1_1.is_file()
assert not file2_1.is_file()
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='MEME/BTC',
timeframe='1m')
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='CFI/BTC',
timeframe='1m')
assert not exchange._pairs_last_refresh_time
assert file1_1.is_file()
assert file2_1.is_file()
# clean files freshly downloaded
_clean_test_file(file1_1)
_clean_test_file(file2_1)
assert not file1_5.is_file()
assert not file2_5.is_file()
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='MEME/BTC',
timeframe='5m')
assert _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='CFI/BTC',
timeframe='5m')
assert not exchange._pairs_last_refresh_time
assert file1_5.is_file()
assert file2_5.is_file()
def test_download_pair_history2(mocker, default_conf, testdatadir) -> None:
tick = [
[1509836520000, 0.00162008, 0.00162008, 0.00162008, 0.00162008, 108.14853839],
[1509836580000, 0.00161, 0.00161, 0.00161, 0.00161, 82.390199]
]
json_dump_mock = mocker.patch(
'freqtrade.data.history.jsondatahandler.JsonDataHandler.ohlcv_store',
return_value=None)
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=tick)
exchange = get_patched_exchange(mocker, default_conf)
_download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/BTC",
timeframe='1m')
_download_pair_history(datadir=testdatadir, exchange=exchange, pair="UNITTEST/BTC",
timeframe='3m')
assert json_dump_mock.call_count == 2
def test_download_backtesting_data_exception(mocker, caplog, default_conf, tmpdir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv',
side_effect=Exception('File Error'))
tmpdir1 = Path(tmpdir)
exchange = get_patched_exchange(mocker, default_conf)
assert not _download_pair_history(datadir=tmpdir1, exchange=exchange,
pair='MEME/BTC',
timeframe='1m')
assert log_has('Failed to download history data for pair: "MEME/BTC", timeframe: 1m.', caplog)
def test_load_partial_missing(testdatadir, caplog) -> None:
# Make sure we start fresh - test missing data at start
start = arrow.get('2018-01-01T00:00:00')
end = arrow.get('2018-01-11T00:00:00')
data = load_data(testdatadir, '5m', ['UNITTEST/BTC'], startup_candles=20,
timerange=TimeRange('date', 'date', start.int_timestamp, end.int_timestamp))
assert log_has(
'Using indicator startup period: 20 ...', caplog
)
# timedifference in 5 minutes
td = ((end - start).total_seconds() // 60 // 5) + 1
assert td != len(data['UNITTEST/BTC'])
start_real = data['UNITTEST/BTC'].iloc[0, 0]
assert log_has(f'Missing data at start for pair '
f'UNITTEST/BTC, data starts at {start_real.strftime("%Y-%m-%d %H:%M:%S")}',
caplog)
# Make sure we start fresh - test missing data at end
caplog.clear()
start = arrow.get('2018-01-10T00:00:00')
end = arrow.get('2018-02-20T00:00:00')
data = load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
timerange=TimeRange('date', 'date', start.int_timestamp, end.int_timestamp))
# timedifference in 5 minutes
td = ((end - start).total_seconds() // 60 // 5) + 1
assert td != len(data['UNITTEST/BTC'])
# Shift endtime with +5 - as last candle is dropped (partial candle)
end_real = arrow.get(data['UNITTEST/BTC'].iloc[-1, 0]).shift(minutes=5)
assert log_has(f'Missing data at end for pair '
f'UNITTEST/BTC, data ends at {end_real.strftime("%Y-%m-%d %H:%M:%S")}',
caplog)
def test_init(default_conf, mocker) -> None:
assert {} == load_data(
datadir=Path(''),
pairs=[],
timeframe=default_conf['timeframe']
)
def test_init_with_refresh(default_conf, mocker) -> None:
exchange = get_patched_exchange(mocker, default_conf)
refresh_data(
datadir=Path(''),
pairs=[],
timeframe=default_conf['timeframe'],
exchange=exchange
)
assert {} == load_data(
datadir=Path(''),
pairs=[],
timeframe=default_conf['timeframe']
)
def test_file_dump_json_tofile(testdatadir) -> None:
file = testdatadir / 'test_{id}.json'.format(id=str(uuid.uuid4()))
data = {'bar': 'foo'}
# check the file we will create does not exist
assert not file.is_file()
# Create the Json file
file_dump_json(file, data)
# Check the file was create
assert file.is_file()
# Open the Json file created and test the data is in it
with file.open() as data_file:
json_from_file = json.load(data_file)
assert 'bar' in json_from_file
assert json_from_file['bar'] == 'foo'
# Remove the file
_clean_test_file(file)
def test_get_timerange(default_conf, mocker, testdatadir) -> None:
patch_exchange(mocker)
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
data = strategy.advise_all_indicators(
load_data(
datadir=testdatadir,
timeframe='1m',
pairs=['UNITTEST/BTC']
)
)
min_date, max_date = get_timerange(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir) -> None:
patch_exchange(mocker)
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
data = strategy.advise_all_indicators(
load_data(
datadir=testdatadir,
timeframe='1m',
pairs=['UNITTEST/BTC'],
fill_up_missing=False
)
)
min_date, max_date = get_timerange(data)
caplog.clear()
assert validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
min_date, max_date, timeframe_to_minutes('1m'))
assert len(caplog.record_tuples) == 1
assert log_has(
"UNITTEST/BTC has missing frames: expected 14396, got 13680, that's 716 missing values",
caplog)
def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> None:
patch_exchange(mocker)
default_conf.update({'strategy': 'StrategyTestV2'})
strategy = StrategyResolver.load_strategy(default_conf)
timerange = TimeRange('index', 'index', 200, 250)
data = strategy.advise_all_indicators(
load_data(
datadir=testdatadir,
timeframe='5m',
pairs=['UNITTEST/BTC'],
timerange=timerange
)
)
min_date, max_date = get_timerange(data)
caplog.clear()
assert not validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
min_date, max_date, timeframe_to_minutes('5m'))
assert len(caplog.record_tuples) == 0
def test_refresh_backtest_ohlcv_data(mocker, default_conf, markets, caplog, testdatadir):
dl_mock = mocker.patch('freqtrade.data.history.history_utils._download_pair_history',
MagicMock())
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets)
)
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
mocker.patch.object(Path, "unlink", MagicMock())
ex = get_patched_exchange(mocker, default_conf)
timerange = TimeRange.parse_timerange("20190101-20190102")
refresh_backtest_ohlcv_data(exchange=ex, pairs=["ETH/BTC", "XRP/BTC"],
timeframes=["1m", "5m"], datadir=testdatadir,
timerange=timerange, erase=True
)
assert dl_mock.call_count == 4
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
assert log_has("Downloading pair ETH/BTC, interval 1m.", caplog)
def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir):
dl_mock = mocker.patch('freqtrade.data.history.history_utils._download_pair_history',
MagicMock())
ex = get_patched_exchange(mocker, default_conf)
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value={})
)
timerange = TimeRange.parse_timerange("20190101-20190102")
unav_pairs = refresh_backtest_ohlcv_data(exchange=ex, pairs=["BTT/BTC", "LTC/USDT"],
timeframes=["1m", "5m"],
datadir=testdatadir,
timerange=timerange, erase=False
)
assert dl_mock.call_count == 0
assert "BTT/BTC" in unav_pairs
assert "LTC/USDT" in unav_pairs
assert log_has("Skipping pair BTT/BTC...", caplog)
def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, testdatadir):
dl_mock = mocker.patch('freqtrade.data.history.history_utils._download_trades_history',
MagicMock())
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets)
)
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
mocker.patch.object(Path, "unlink", MagicMock())
ex = get_patched_exchange(mocker, default_conf)
timerange = TimeRange.parse_timerange("20190101-20190102")
unavailable_pairs = refresh_backtest_trades_data(exchange=ex,
pairs=["ETH/BTC", "XRP/BTC", "XRP/ETH"],
datadir=testdatadir,
timerange=timerange, erase=True
)
assert dl_mock.call_count == 2
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
assert log_has("Downloading trades for pair ETH/BTC.", caplog)
assert unavailable_pairs == ["XRP/ETH"]
assert log_has("Skipping pair XRP/ETH...", caplog)
def test_download_trades_history(trades_history, mocker, default_conf, testdatadir, caplog,
tmpdir) -> None:
tmpdir1 = Path(tmpdir)
ght_mock = MagicMock(side_effect=lambda pair, *args, **kwargs: (pair, trades_history))
mocker.patch('freqtrade.exchange.Exchange.get_historic_trades',
ght_mock)
exchange = get_patched_exchange(mocker, default_conf)
file1 = tmpdir1 / 'ETH_BTC-trades.json.gz'
data_handler = get_datahandler(tmpdir1, data_format='jsongz')
assert not file1.is_file()
assert _download_trades_history(data_handler=data_handler, exchange=exchange,
pair='ETH/BTC')
assert log_has("New Amount of trades: 5", caplog)
assert file1.is_file()
ght_mock.reset_mock()
since_time = int(trades_history[-3][0] // 1000)
since_time2 = int(trades_history[-1][0] // 1000)
timerange = TimeRange('date', None, since_time, 0)
assert _download_trades_history(data_handler=data_handler, exchange=exchange,
pair='ETH/BTC', timerange=timerange)
assert ght_mock.call_count == 1
# Check this in seconds - since we had to convert to seconds above too.
assert int(ght_mock.call_args_list[0][1]['since'] // 1000) == since_time2 - 5
assert ght_mock.call_args_list[0][1]['from_id'] is not None
file1.unlink()
mocker.patch('freqtrade.exchange.Exchange.get_historic_trades',
MagicMock(side_effect=ValueError))
assert not _download_trades_history(data_handler=data_handler, exchange=exchange,
pair='ETH/BTC')
assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog)
file2 = tmpdir1 / 'XRP_ETH-trades.json.gz'
copyfile(testdatadir / file2.name, file2)
ght_mock.reset_mock()
mocker.patch('freqtrade.exchange.Exchange.get_historic_trades',
ght_mock)
# Since before first start date
since_time = int(trades_history[0][0] // 1000) - 500
timerange = TimeRange('date', None, since_time, 0)
assert _download_trades_history(data_handler=data_handler, exchange=exchange,
pair='XRP/ETH', timerange=timerange)
assert ght_mock.call_count == 1
assert int(ght_mock.call_args_list[0][1]['since'] // 1000) == since_time
assert ght_mock.call_args_list[0][1]['from_id'] is None
assert log_has_re(r'Start earlier than available data. Redownloading trades for.*', caplog)
_clean_test_file(file2)
def test_convert_trades_to_ohlcv(testdatadir, tmpdir, caplog):
tmpdir1 = Path(tmpdir)
pair = 'XRP/ETH'
file1 = tmpdir1 / 'XRP_ETH-1m.json'
file5 = tmpdir1 / 'XRP_ETH-5m.json'
filetrades = tmpdir1 / 'XRP_ETH-trades.json.gz'
copyfile(testdatadir / file1.name, file1)
copyfile(testdatadir / file5.name, file5)
copyfile(testdatadir / filetrades.name, filetrades)
# Compare downloaded dataset with converted dataset
dfbak_1m = load_pair_history(datadir=tmpdir1, timeframe="1m", pair=pair)
dfbak_5m = load_pair_history(datadir=tmpdir1, timeframe="5m", pair=pair)
tr = TimeRange.parse_timerange('20191011-20191012')
convert_trades_to_ohlcv([pair], timeframes=['1m', '5m'],
datadir=tmpdir1, timerange=tr, erase=True)
assert log_has("Deleting existing data for pair XRP/ETH, interval 1m.", caplog)
# Load new data
df_1m = load_pair_history(datadir=tmpdir1, timeframe="1m", pair=pair)
df_5m = load_pair_history(datadir=tmpdir1, timeframe="5m", pair=pair)
assert df_1m.equals(dfbak_1m)
assert df_5m.equals(dfbak_5m)
assert not log_has('Could not convert NoDatapair to OHLCV.', caplog)
convert_trades_to_ohlcv(['NoDatapair'], timeframes=['1m', '5m'],
datadir=tmpdir1, timerange=tr, erase=True)
assert log_has('Could not convert NoDatapair to OHLCV.', caplog)
def test_datahandler_ohlcv_get_pairs(testdatadir):
pairs = JsonDataHandler.ohlcv_get_pairs(testdatadir, '5m')
# Convert to set to avoid failures due to sorting
assert set(pairs) == {'UNITTEST/BTC', 'XLM/BTC', 'ETH/BTC', 'TRX/BTC', 'LTC/BTC',
'XMR/BTC', 'ZEC/BTC', 'ADA/BTC', 'ETC/BTC', 'NXT/BTC',
'DASH/BTC', 'XRP/ETH'}
pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, '8m')
assert set(pairs) == {'UNITTEST/BTC'}
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '5m')
assert set(pairs) == {'UNITTEST/BTC'}
def test_datahandler_ohlcv_get_available_data(testdatadir):
paircombs = JsonDataHandler.ohlcv_get_available_data(testdatadir)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {('UNITTEST/BTC', '5m'), ('ETH/BTC', '5m'), ('XLM/BTC', '5m'),
('TRX/BTC', '5m'), ('LTC/BTC', '5m'), ('XMR/BTC', '5m'),
('ZEC/BTC', '5m'), ('UNITTEST/BTC', '1m'), ('ADA/BTC', '5m'),
('ETC/BTC', '5m'), ('NXT/BTC', '5m'), ('DASH/BTC', '5m'),
('XRP/ETH', '1m'), ('XRP/ETH', '5m'), ('UNITTEST/BTC', '30m'),
('UNITTEST/BTC', '8m'), ('NOPAIR/XXX', '4m')}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir)
assert set(paircombs) == {('UNITTEST/BTC', '8m')}
paircombs = HDF5DataHandler.ohlcv_get_available_data(testdatadir)
assert set(paircombs) == {('UNITTEST/BTC', '5m')}
def test_jsondatahandler_trades_get_pairs(testdatadir):
pairs = JsonGzDataHandler.trades_get_pairs(testdatadir)
# Convert to set to avoid failures due to sorting
assert set(pairs) == {'XRP/ETH', 'XRP/OLD'}
def test_jsondatahandler_ohlcv_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = JsonGzDataHandler(testdatadir)
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert unlinkmock.call_count == 1
def test_jsondatahandler_ohlcv_load(testdatadir, caplog):
dh = JsonDataHandler(testdatadir)
df = dh.ohlcv_load('XRP/ETH', '5m')
assert len(df) == 711
# Failure case (empty array)
df1 = dh.ohlcv_load('NOPAIR/XXX', '4m')
assert len(df1) == 0
assert log_has("Could not load data for NOPAIR/XXX.", caplog)
assert df.columns.equals(df1.columns)
def test_jsondatahandler_trades_load(testdatadir, caplog):
dh = JsonGzDataHandler(testdatadir)
logmsg = "Old trades format detected - converting"
dh.trades_load('XRP/ETH')
assert not log_has(logmsg, caplog)
# Test conversation is happening
dh.trades_load('XRP/OLD')
assert log_has(logmsg, caplog)
def test_jsondatahandler_trades_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = JsonGzDataHandler(testdatadir)
assert not dh.trades_purge('UNITTEST/NONEXIST')
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.trades_purge('UNITTEST/NONEXIST')
assert unlinkmock.call_count == 1
@pytest.mark.parametrize('datahandler', AVAILABLE_DATAHANDLERS)
def test_datahandler_ohlcv_append(datahandler, testdatadir, ):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame())
@pytest.mark.parametrize('datahandler', AVAILABLE_DATAHANDLERS)
def test_datahandler_trades_append(datahandler, testdatadir):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.trades_append('UNITTEST/ETH', [])
def test_hdf5datahandler_trades_get_pairs(testdatadir):
pairs = HDF5DataHandler.trades_get_pairs(testdatadir)
# Convert to set to avoid failures due to sorting
assert set(pairs) == {'XRP/ETH'}
def test_hdf5datahandler_trades_load(testdatadir):
dh = HDF5DataHandler(testdatadir)
trades = dh.trades_load('XRP/ETH')
assert isinstance(trades, list)
trades1 = dh.trades_load('UNITTEST/NONEXIST')
assert trades1 == []
# data goes from 2019-10-11 - 2019-10-13
timerange = TimeRange.parse_timerange('20191011-20191012')
trades2 = dh._trades_load('XRP/ETH', timerange)
assert len(trades) > len(trades2)
# Check that ID is None (If it's nan, it's wrong)
assert trades2[0][2] is None
# unfiltered load has trades before starttime
assert len([t for t in trades if t[0] < timerange.startts * 1000]) >= 0
# filtered list does not have trades before starttime
assert len([t for t in trades2 if t[0] < timerange.startts * 1000]) == 0
# unfiltered load has trades after endtime
assert len([t for t in trades if t[0] > timerange.stopts * 1000]) > 0
# filtered list does not have trades after endtime
assert len([t for t in trades2 if t[0] > timerange.stopts * 1000]) == 0
def test_hdf5datahandler_trades_store(testdatadir, tmpdir):
tmpdir1 = Path(tmpdir)
dh = HDF5DataHandler(testdatadir)
trades = dh.trades_load('XRP/ETH')
dh1 = HDF5DataHandler(tmpdir1)
dh1.trades_store('XRP/NEW', trades)
file = tmpdir1 / 'XRP_NEW-trades.h5'
assert file.is_file()
# Load trades back
trades_new = dh1.trades_load('XRP/NEW')
assert len(trades_new) == len(trades)
assert trades[0][0] == trades_new[0][0]
assert trades[0][1] == trades_new[0][1]
# assert trades[0][2] == trades_new[0][2] # This is nan - so comparison does not make sense
assert trades[0][3] == trades_new[0][3]
assert trades[0][4] == trades_new[0][4]
assert trades[0][5] == trades_new[0][5]
assert trades[0][6] == trades_new[0][6]
assert trades[-1][0] == trades_new[-1][0]
assert trades[-1][1] == trades_new[-1][1]
# assert trades[-1][2] == trades_new[-1][2] # This is nan - so comparison does not make sense
assert trades[-1][3] == trades_new[-1][3]
assert trades[-1][4] == trades_new[-1][4]
assert trades[-1][5] == trades_new[-1][5]
assert trades[-1][6] == trades_new[-1][6]
def test_hdf5datahandler_trades_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = HDF5DataHandler(testdatadir)
assert not dh.trades_purge('UNITTEST/NONEXIST')
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.trades_purge('UNITTEST/NONEXIST')
assert unlinkmock.call_count == 1
def test_hdf5datahandler_ohlcv_load_and_resave(testdatadir, tmpdir):
tmpdir1 = Path(tmpdir)
dh = HDF5DataHandler(testdatadir)
ohlcv = dh.ohlcv_load('UNITTEST/BTC', '5m')
assert isinstance(ohlcv, DataFrame)
assert len(ohlcv) > 0
file = tmpdir1 / 'UNITTEST_NEW-5m.h5'
assert not file.is_file()
dh1 = HDF5DataHandler(tmpdir1)
dh1.ohlcv_store('UNITTEST/NEW', '5m', ohlcv)
assert file.is_file()
assert not ohlcv[ohlcv['date'] < '2018-01-15'].empty
# Data gores from 2018-01-10 - 2018-01-30
timerange = TimeRange.parse_timerange('20180115-20180119')
# Call private function to ensure timerange is filtered in hdf5
ohlcv = dh._ohlcv_load('UNITTEST/BTC', '5m', timerange)
ohlcv1 = dh1._ohlcv_load('UNITTEST/NEW', '5m', timerange)
assert len(ohlcv) == len(ohlcv1)
assert ohlcv.equals(ohlcv1)
assert ohlcv[ohlcv['date'] < '2018-01-15'].empty
assert ohlcv[ohlcv['date'] > '2018-01-19'].empty
# Try loading inexisting file
ohlcv = dh.ohlcv_load('UNITTEST/NONEXIST', '5m')
assert ohlcv.empty
def test_hdf5datahandler_ohlcv_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = HDF5DataHandler(testdatadir)
assert not dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.ohlcv_purge('UNITTEST/NONEXIST', '5m')
assert unlinkmock.call_count == 1
def test_gethandlerclass():
cl = get_datahandlerclass('json')
assert cl == JsonDataHandler
assert issubclass(cl, IDataHandler)
cl = get_datahandlerclass('jsongz')
assert cl == JsonGzDataHandler
assert issubclass(cl, IDataHandler)
assert issubclass(cl, JsonDataHandler)
cl = get_datahandlerclass('hdf5')
assert cl == HDF5DataHandler
assert issubclass(cl, IDataHandler)
with pytest.raises(ValueError, match=r"No datahandler for .*"):
get_datahandlerclass('DeadBeef')
def test_get_datahandler(testdatadir):
dh = get_datahandler(testdatadir, 'json')
assert type(dh) == JsonDataHandler
dh = get_datahandler(testdatadir, 'jsongz')
assert type(dh) == JsonGzDataHandler
dh1 = get_datahandler(testdatadir, 'jsongz', dh)
assert id(dh1) == id(dh)
dh = get_datahandler(testdatadir, 'hdf5')
assert type(dh) == HDF5DataHandler
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