142 lines
5.3 KiB
Python
142 lines
5.3 KiB
Python
"""
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Dataprovider
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Responsible to provide data to the bot
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including ticker and orderbook data, live and historical candle (OHLCV) data
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Common Interface for bot and strategy to access data.
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"""
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import logging
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from typing import Any, Dict, List, Optional
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from pandas import DataFrame
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from freqtrade.data.history import load_pair_history
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from freqtrade.exceptions import DependencyException, OperationalException
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from freqtrade.exchange import Exchange
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from freqtrade.state import RunMode
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from freqtrade.constants import ListPairsWithTimeframes
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logger = logging.getLogger(__name__)
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class DataProvider:
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def __init__(self, config: dict, exchange: Exchange, pairlists=None) -> None:
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self._config = config
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self._exchange = exchange
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self._pairlists = pairlists
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def refresh(self,
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pairlist: ListPairsWithTimeframes,
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helping_pairs: ListPairsWithTimeframes = None) -> None:
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"""
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Refresh data, called with each cycle
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"""
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if helping_pairs:
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self._exchange.refresh_latest_ohlcv(pairlist + helping_pairs)
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else:
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self._exchange.refresh_latest_ohlcv(pairlist)
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@property
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def available_pairs(self) -> ListPairsWithTimeframes:
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"""
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Return a list of tuples containing (pair, timeframe) for which data is currently cached.
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Should be whitelist + open trades.
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"""
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return list(self._exchange._klines.keys())
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def ohlcv(self, pair: str, timeframe: str = None, copy: bool = True) -> DataFrame:
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"""
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Get candle (OHLCV) data for the given pair as DataFrame
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Please use the `available_pairs` method to verify which pairs are currently cached.
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:param pair: pair to get the data for
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:param timeframe: Timeframe to get data for
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:param copy: copy dataframe before returning if True.
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Use False only for read-only operations (where the dataframe is not modified)
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"""
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if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
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return self._exchange.klines((pair, timeframe or self._config['ticker_interval']),
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copy=copy)
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else:
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return DataFrame()
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def historic_ohlcv(self, pair: str, timeframe: str = None) -> DataFrame:
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"""
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Get stored historical candle (OHLCV) data
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:param pair: pair to get the data for
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:param timeframe: timeframe to get data for
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"""
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return load_pair_history(pair=pair,
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timeframe=timeframe or self._config['ticker_interval'],
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datadir=self._config['datadir']
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)
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def get_pair_dataframe(self, pair: str, timeframe: str = None) -> DataFrame:
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"""
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Return pair candle (OHLCV) data, either live or cached historical -- depending
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on the runmode.
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:param pair: pair to get the data for
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:param timeframe: timeframe to get data for
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:return: Dataframe for this pair
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"""
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if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
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# Get live OHLCV data.
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data = self.ohlcv(pair=pair, timeframe=timeframe)
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else:
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# Get historical OHLCV data (cached on disk).
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data = self.historic_ohlcv(pair=pair, timeframe=timeframe)
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if len(data) == 0:
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logger.warning(f"No data found for ({pair}, {timeframe}).")
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return data
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def market(self, pair: str) -> Optional[Dict[str, Any]]:
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"""
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Return market data for the pair
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:param pair: Pair to get the data for
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:return: Market data dict from ccxt or None if market info is not available for the pair
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"""
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return self._exchange.markets.get(pair)
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def ticker(self, pair: str):
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"""
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Return last ticker data from exchange
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:param pair: Pair to get the data for
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:return: Ticker dict from exchange or empty dict if ticker is not available for the pair
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"""
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try:
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return self._exchange.fetch_ticker(pair)
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except DependencyException:
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return {}
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def orderbook(self, pair: str, maximum: int) -> Dict[str, List]:
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"""
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Fetch latest l2 orderbook data
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Warning: Does a network request - so use with common sense.
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:param pair: pair to get the data for
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:param maximum: Maximum number of orderbook entries to query
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:return: dict including bids/asks with a total of `maximum` entries.
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"""
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return self._exchange.fetch_l2_order_book(pair, maximum)
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@property
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def runmode(self) -> RunMode:
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"""
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Get runmode of the bot
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can be "live", "dry-run", "backtest", "edgecli", "hyperopt" or "other".
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"""
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return RunMode(self._config.get('runmode', RunMode.OTHER))
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def current_whitelist(self) -> List[str]:
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"""
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fetch latest available whitelist.
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Useful when you have a large whitelist and need to call each pair as an informative pair.
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As available pairs does not show whitelist until after informative pairs have been cached.
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:return: list of pairs in whitelist
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"""
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if self._pairlists:
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return self._pairlists.whitelist
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else:
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raise OperationalException("Dataprovider was not initialized with a pairlist provider.")
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