17 KiB
Data Downloading
Getting data for backtesting and hyperopt
To download data (candles / OHLCV) needed for backtesting and hyperoptimization use the freqtrade download-data command.
If no additional parameter is specified, freqtrade will download data for "1m" and "5m" timeframes for the last 30 days.
Exchange and pairs will come from config.json (if specified using -c/--config).
Otherwise --exchange becomes mandatory.
You can use a relative timerange (--days 20) or an absolute starting point (--timerange 20200101-). For incremental downloads, the relative approach should be used.
!!! Tip "Tip: Updating existing data"
If you already have backtesting data available in your data-directory and would like to refresh this data up to today, do not use --days or --timerange parameters. Freqtrade will keep the available data and only download the missing data.
If you are updating existing data after inserting new pairs that you have no data for, use --new-pairs-days xx parameter. Specified number of days will be downloaded for new pairs while old pairs will be updated with missing data only.
If you use --days xx parameter alone - data for specified number of days will be downloaded for all pairs. Be careful, if specified number of days is smaller than gap between now and last downloaded candle - freqtrade will delete all existing data to avoid gaps in candle data.
Usage
usage: freqtrade download-data [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[-d PATH] [--userdir PATH]
[-p PAIRS [PAIRS ...]] [--pairs-file FILE]
[--days INT] [--new-pairs-days INT]
[--timerange TIMERANGE] [--dl-trades]
[--exchange EXCHANGE]
[-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]]
[--erase]
[--data-format-ohlcv {json,jsongz,hdf5}]
[--data-format-trades {json,jsongz,hdf5}]
optional arguments:
-h, --help show this help message and exit
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Limit command to these pairs. Pairs are space-
separated.
--pairs-file FILE File containing a list of pairs to download.
--days INT Download data for given number of days.
--new-pairs-days INT Download data of new pairs for given number of days.
Default: `None`.
--timerange TIMERANGE
Specify what timerange of data to use.
--dl-trades Download trades instead of OHLCV data. The bot will
resample trades to the desired timeframe as specified
as --timeframes/-t.
--exchange EXCHANGE Exchange name (default: `bittrex`). Only valid if no
config is provided.
-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...], --timeframes {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]
Specify which tickers to download. Space-separated
list. Default: `1m 5m`.
--erase Clean all existing data for the selected
exchange/pairs/timeframes.
--data-format-ohlcv {json,jsongz,hdf5}
Storage format for downloaded candle (OHLCV) data.
(default: `None`).
--data-format-trades {json,jsongz,hdf5}
Storage format for downloaded trades data. (default:
`None`).
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
--logfile FILE Log to the file specified. Special values are:
'syslog', 'journald'. See the documentation for more
details.
-V, --version show program's version number and exit
-c PATH, --config PATH
Specify configuration file (default:
`userdir/config.json` or `config.json` whichever
exists). Multiple --config options may be used. Can be
set to `-` to read config from stdin.
-d PATH, --datadir PATH
Path to directory with historical backtesting data.
--userdir PATH, --user-data-dir PATH
Path to userdata directory.
!!! Note "Startup period"
download-data is a strategy-independent command. The idea is to download a big chunk of data once, and then iteratively increase the amount of data stored.
For that reason, `download-data` does not care about the "startup-period" defined in a strategy. It's up to the user to download additional days if the backtest should start at a specific point in time (while respecting startup period).
Data format
Freqtrade currently supports 3 data-formats for both OHLCV and trades data:
json(plain "text" json files)jsongz(a gzip-zipped version of json files)hdf5(a high performance datastore)
By default, OHLCV data is stored as json data, while trades data is stored as jsongz data.
This can be changed via the --data-format-ohlcv and --data-format-trades command line arguments respectively.
To persist this change, you can should also add the following snippet to your configuration, so you don't have to insert the above arguments each time:
// ...
"dataformat_ohlcv": "hdf5",
"dataformat_trades": "hdf5",
// ...
If the default data-format has been changed during download, then the keys dataformat_ohlcv and dataformat_trades in the configuration file need to be adjusted to the selected dataformat as well.
!!! Note You can convert between data-formats using the convert-data and convert-trade-data methods.
Sub-command convert data
usage: freqtrade convert-data [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[-d PATH] [--userdir PATH]
[-p PAIRS [PAIRS ...]] --format-from
{json,jsongz,hdf5} --format-to
{json,jsongz,hdf5} [--erase]
[-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]]
optional arguments:
-h, --help show this help message and exit
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Show profits for only these pairs. Pairs are space-
separated.
--format-from {json,jsongz,hdf5}
Source format for data conversion.
--format-to {json,jsongz,hdf5}
Destination format for data conversion.
--erase Clean all existing data for the selected
exchange/pairs/timeframes.
-t {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...], --timeframes {1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} [{1m,3m,5m,15m,30m,1h,2h,4h,6h,8h,12h,1d,3d,1w,2w,1M,1y} ...]
Specify which tickers to download. Space-separated
list. Default: `1m 5m`.
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
--logfile FILE Log to the file specified. Special values are:
'syslog', 'journald'. See the documentation for more
details.
-V, --version show program's version number and exit
-c PATH, --config PATH
Specify configuration file (default:
`userdir/config.json` or `config.json` whichever
exists). Multiple --config options may be used. Can be
set to `-` to read config from stdin.
-d PATH, --datadir PATH
Path to directory with historical backtesting data.
--userdir PATH, --user-data-dir PATH
Path to userdata directory.
Example converting data
The following command will convert all candle (OHLCV) data available in ~/.freqtrade/data/binance from json to jsongz, saving diskspace in the process.
It'll also remove original json data files (--erase parameter).
freqtrade convert-data --format-from json --format-to jsongz --datadir ~/.freqtrade/data/binance -t 5m 15m --erase
Sub-command convert trade data
usage: freqtrade convert-trade-data [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[-d PATH] [--userdir PATH]
[-p PAIRS [PAIRS ...]] --format-from
{json,jsongz,hdf5} --format-to
{json,jsongz,hdf5} [--erase]
optional arguments:
-h, --help show this help message and exit
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Show profits for only these pairs. Pairs are space-
separated.
--format-from {json,jsongz,hdf5}
Source format for data conversion.
--format-to {json,jsongz,hdf5}
Destination format for data conversion.
--erase Clean all existing data for the selected
exchange/pairs/timeframes.
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
--logfile FILE Log to the file specified. Special values are:
'syslog', 'journald'. See the documentation for more
details.
-V, --version show program's version number and exit
-c PATH, --config PATH
Specify configuration file (default:
`userdir/config.json` or `config.json` whichever
exists). Multiple --config options may be used. Can be
set to `-` to read config from stdin.
-d PATH, --datadir PATH
Path to directory with historical backtesting data.
--userdir PATH, --user-data-dir PATH
Path to userdata directory.
Example converting trades
The following command will convert all available trade-data in ~/.freqtrade/data/kraken from jsongz to json.
It'll also remove original jsongz data files (--erase parameter).
freqtrade convert-trade-data --format-from jsongz --format-to json --datadir ~/.freqtrade/data/kraken --erase
Sub-command list-data
You can get a list of downloaded data using the list-data sub-command.
usage: freqtrade list-data [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
[--userdir PATH] [--exchange EXCHANGE]
[--data-format-ohlcv {json,jsongz,hdf5}]
[-p PAIRS [PAIRS ...]]
optional arguments:
-h, --help show this help message and exit
--exchange EXCHANGE Exchange name (default: `bittrex`). Only valid if no
config is provided.
--data-format-ohlcv {json,jsongz,hdf5}
Storage format for downloaded candle (OHLCV) data.
(default: `json`).
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Show profits for only these pairs. Pairs are space-
separated.
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
--logfile FILE Log to the file specified. Special values are:
'syslog', 'journald'. See the documentation for more
details.
-V, --version show program's version number and exit
-c PATH, --config PATH
Specify configuration file (default:
`userdir/config.json` or `config.json` whichever
exists). Multiple --config options may be used. Can be
set to `-` to read config from stdin.
-d PATH, --datadir PATH
Path to directory with historical backtesting data.
--userdir PATH, --user-data-dir PATH
Path to userdata directory.
Example list-data
> freqtrade list-data --userdir ~/.freqtrade/user_data/
Found 33 pair / timeframe combinations.
pairs timeframe
---------- -----------------------------------------
ADA/BTC 5m, 15m, 30m, 1h, 2h, 4h, 6h, 12h, 1d
ADA/ETH 5m, 15m, 30m, 1h, 2h, 4h, 6h, 12h, 1d
ETH/BTC 5m, 15m, 30m, 1h, 2h, 4h, 6h, 12h, 1d
ETH/USDT 5m, 15m, 30m, 1h, 2h, 4h
Pairs file
In alternative to the whitelist from config.json, a pairs.json file can be used.
If you are using Binance for example:
- create a directory
user_data/data/binanceand copy or create thepairs.jsonfile in that directory. - update the
pairs.jsonfile to contain the currency pairs you are interested in.
mkdir -p user_data/data/binance
cp tests/testdata/pairs.json user_data/data/binance
If you your configuration directory user_data was made by docker, you may get the following error:
cp: cannot create regular file 'user_data/data/binance/pairs.json': Permission denied
You can fix the permissions of your user-data directory as follows:
sudo chown -R $UID:$GID user_data
The format of the pairs.json file is a simple json list.
Mixing different stake-currencies is allowed for this file, since it's only used for downloading.
[
"ETH/BTC",
"ETH/USDT",
"BTC/USDT",
"XRP/ETH"
]
Start download
Then run:
freqtrade download-data --exchange binance
This will download historical candle (OHLCV) data for all the currency pairs you defined in pairs.json.
Other Notes
- To use a different directory than the exchange specific default, use
--datadir user_data/data/some_directory. - To change the exchange used to download the historical data from, please use a different configuration file (you'll probably need to adjust rate limits etc.)
- To use
pairs.jsonfrom some other directory, use--pairs-file some_other_dir/pairs.json. - To download historical candle (OHLCV) data for only 10 days, use
--days 10(defaults to 30 days). - To download historical candle (OHLCV) data from a fixed starting point, use
--timerange 20200101-- which will download all data from January 1st, 2020. Eventually set end dates are ignored. - Use
--timeframesto specify what timeframe download the historical candle (OHLCV) data for. Default is--timeframes 1m 5mwhich will download 1-minute and 5-minute data. - To use exchange, timeframe and list of pairs as defined in your configuration file, use the
-c/--configoption. With this, the script uses the whitelist defined in the config as the list of currency pairs to download data for and does not require the pairs.json file. You can combine-c/--configwith most other options.
Trades (tick) data
By default, download-data sub-command downloads Candles (OHLCV) data. Some exchanges also provide historic trade-data via their API.
This data can be useful if you need many different timeframes, since it is only downloaded once, and then resampled locally to the desired timeframes.
Since this data is large by default, the files use gzip by default. They are stored in your data-directory with the naming convention of <pair>-trades.json.gz (ETH_BTC-trades.json.gz). Incremental mode is also supported, as for historic OHLCV data, so downloading the data once per week with --days 8 will create an incremental data-repository.
To use this mode, simply add --dl-trades to your call. This will swap the download method to download trades, and resamples the data locally.
!!! Warning "do not use" You should not use this unless you're a kraken user. Most other exchanges provide OHLCV data with sufficient history.
Example call:
freqtrade download-data --exchange kraken --pairs XRP/EUR ETH/EUR --days 20 --dl-trades
!!! Note While this method uses async calls, it will be slow, since it requires the result of the previous call to generate the next request to the exchange.
!!! Warning The historic trades are not available during Freqtrade dry-run and live trade modes because all exchanges tested provide this data with a delay of few 100 candles, so it's not suitable for real-time trading.
!!! Note "Kraken user" Kraken users should read this before starting to download data.
Next step
Great, you now have backtest data downloaded, so you can now start backtesting your strategy.