433 lines
17 KiB
Python
433 lines
17 KiB
Python
"""
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Abstract datahandler interface.
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It's subclasses handle and storing data from disk.
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"""
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import logging
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import re
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from abc import ABC, abstractmethod
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from copy import deepcopy
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from datetime import datetime, timezone
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from pathlib import Path
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from typing import List, Optional, Tuple, Type
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from pandas import DataFrame
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from freqtrade import misc
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from freqtrade.configuration import TimeRange
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from freqtrade.constants import ListPairsWithTimeframes, TradeList
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from freqtrade.data.converter import clean_ohlcv_dataframe, trades_remove_duplicates, trim_dataframe
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from freqtrade.enums import CandleType, TradingMode
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from freqtrade.exchange import timeframe_to_seconds
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logger = logging.getLogger(__name__)
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class IDataHandler(ABC):
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_OHLCV_REGEX = r'^([a-zA-Z_\d-]+)\-(\d+[a-zA-Z]{1,2})\-?([a-zA-Z_]*)?(?=\.)'
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def __init__(self, datadir: Path) -> None:
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self._datadir = datadir
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@classmethod
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def _get_file_extension(cls) -> str:
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"""
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Get file extension for this particular datahandler
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"""
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raise NotImplementedError()
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@classmethod
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def ohlcv_get_available_data(
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cls, datadir: Path, trading_mode: TradingMode) -> ListPairsWithTimeframes:
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"""
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Returns a list of all pairs with ohlcv data available in this datadir
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:param datadir: Directory to search for ohlcv files
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:param trading_mode: trading-mode to be used
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:return: List of Tuples of (pair, timeframe, CandleType)
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"""
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if trading_mode == TradingMode.FUTURES:
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datadir = datadir.joinpath('futures')
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_tmp = [
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re.search(
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cls._OHLCV_REGEX, p.name
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) for p in datadir.glob(f"*.{cls._get_file_extension()}")]
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return [
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(
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cls.rebuild_pair_from_filename(match[1]),
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cls.rebuild_timeframe_from_filename(match[2]),
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CandleType.from_string(match[3])
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) for match in _tmp if match and len(match.groups()) > 1]
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@classmethod
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def ohlcv_get_pairs(cls, datadir: Path, timeframe: str, candle_type: CandleType) -> List[str]:
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"""
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Returns a list of all pairs with ohlcv data available in this datadir
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for the specified timeframe
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:param datadir: Directory to search for ohlcv files
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:param timeframe: Timeframe to search pairs for
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: List of Pairs
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"""
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candle = ""
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if candle_type != CandleType.SPOT:
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datadir = datadir.joinpath('futures')
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candle = f"-{candle_type}"
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ext = cls._get_file_extension()
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_tmp = [re.search(r'^(\S+)(?=\-' + timeframe + candle + f'.{ext})', p.name)
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for p in datadir.glob(f"*{timeframe}{candle}.{ext}")]
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# Check if regex found something and only return these results
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return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match]
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@abstractmethod
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def ohlcv_store(
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self, pair: str, timeframe: str, data: DataFrame, candle_type: CandleType) -> None:
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"""
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Store ohlcv data.
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:param pair: Pair - used to generate filename
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:param timeframe: Timeframe - used to generate filename
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:param data: Dataframe containing OHLCV data
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: None
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"""
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def ohlcv_data_min_max(self, pair: str, timeframe: str,
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candle_type: CandleType) -> Tuple[datetime, datetime]:
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"""
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Returns the min and max timestamp for the given pair and timeframe.
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:param pair: Pair to get min/max for
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:param timeframe: Timeframe to get min/max for
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: (min, max)
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"""
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data = self._ohlcv_load(pair, timeframe, None, candle_type)
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if data.empty:
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return (
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datetime.fromtimestamp(0, tz=timezone.utc),
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datetime.fromtimestamp(0, tz=timezone.utc)
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)
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return data.iloc[0]['date'].to_pydatetime(), data.iloc[-1]['date'].to_pydatetime()
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@abstractmethod
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def _ohlcv_load(self, pair: str, timeframe: str, timerange: Optional[TimeRange],
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candle_type: CandleType
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) -> DataFrame:
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"""
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Internal method used to load data for one pair from disk.
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Implements the loading and conversion to a Pandas dataframe.
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Timerange trimming and dataframe validation happens outside of this method.
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:param pair: Pair to load data
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:param timeframe: Timeframe (e.g. "5m")
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:param timerange: Limit data to be loaded to this timerange.
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Optionally implemented by subclasses to avoid loading
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all data where possible.
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: DataFrame with ohlcv data, or empty DataFrame
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"""
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def ohlcv_purge(self, pair: str, timeframe: str, candle_type: CandleType) -> bool:
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"""
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Remove data for this pair
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:param pair: Delete data for this pair.
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:param timeframe: Timeframe (e.g. "5m")
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: True when deleted, false if file did not exist.
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"""
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filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
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if filename.exists():
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filename.unlink()
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return True
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return False
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@abstractmethod
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def ohlcv_append(
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self,
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pair: str,
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timeframe: str,
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data: DataFrame,
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candle_type: CandleType
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) -> None:
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"""
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Append data to existing data structures
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:param pair: Pair
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:param timeframe: Timeframe this ohlcv data is for
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:param data: Data to append.
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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"""
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@classmethod
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def trades_get_pairs(cls, datadir: Path) -> List[str]:
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"""
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Returns a list of all pairs for which trade data is available in this
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:param datadir: Directory to search for ohlcv files
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:return: List of Pairs
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"""
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_ext = cls._get_file_extension()
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_tmp = [re.search(r'^(\S+)(?=\-trades.' + _ext + ')', p.name)
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for p in datadir.glob(f"*trades.{_ext}")]
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# Check if regex found something and only return these results to avoid exceptions.
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return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match]
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@abstractmethod
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def trades_store(self, pair: str, data: TradeList) -> None:
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"""
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Store trades data (list of Dicts) to file
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:param pair: Pair - used for filename
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:param data: List of Lists containing trade data,
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column sequence as in DEFAULT_TRADES_COLUMNS
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"""
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@abstractmethod
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def trades_append(self, pair: str, data: TradeList):
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"""
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Append data to existing files
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:param pair: Pair - used for filename
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:param data: List of Lists containing trade data,
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column sequence as in DEFAULT_TRADES_COLUMNS
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"""
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@abstractmethod
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def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
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"""
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Load a pair from file, either .json.gz or .json
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:param pair: Load trades for this pair
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:param timerange: Timerange to load trades for - currently not implemented
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:return: List of trades
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"""
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def trades_purge(self, pair: str) -> bool:
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"""
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Remove data for this pair
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:param pair: Delete data for this pair.
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:return: True when deleted, false if file did not exist.
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"""
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filename = self._pair_trades_filename(self._datadir, pair)
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if filename.exists():
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filename.unlink()
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return True
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return False
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def trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
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"""
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Load a pair from file, either .json.gz or .json
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Removes duplicates in the process.
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:param pair: Load trades for this pair
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:param timerange: Timerange to load trades for - currently not implemented
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:return: List of trades
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"""
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return trades_remove_duplicates(self._trades_load(pair, timerange=timerange))
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@classmethod
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def create_dir_if_needed(cls, datadir: Path):
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"""
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Creates datadir if necessary
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should only create directories for "futures" mode at the moment.
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"""
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if not datadir.parent.is_dir():
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datadir.parent.mkdir()
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@classmethod
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def _pair_data_filename(
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cls,
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datadir: Path,
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pair: str,
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timeframe: str,
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candle_type: CandleType,
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no_timeframe_modify: bool = False
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) -> Path:
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pair_s = misc.pair_to_filename(pair)
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candle = ""
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if not no_timeframe_modify:
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timeframe = cls.timeframe_to_file(timeframe)
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if candle_type != CandleType.SPOT:
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datadir = datadir.joinpath('futures')
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candle = f"-{candle_type}"
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filename = datadir.joinpath(
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f'{pair_s}-{timeframe}{candle}.{cls._get_file_extension()}')
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return filename
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@classmethod
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def _pair_trades_filename(cls, datadir: Path, pair: str) -> Path:
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pair_s = misc.pair_to_filename(pair)
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filename = datadir.joinpath(f'{pair_s}-trades.{cls._get_file_extension()}')
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return filename
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@staticmethod
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def timeframe_to_file(timeframe: str):
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return timeframe.replace('M', 'Mo')
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@staticmethod
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def rebuild_timeframe_from_filename(timeframe: str) -> str:
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"""
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converts timeframe from disk to file
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Replaces mo with M (to avoid problems on case-insensitive filesystems)
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"""
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return re.sub('1mo', '1M', timeframe, flags=re.IGNORECASE)
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@staticmethod
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def rebuild_pair_from_filename(pair: str) -> str:
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"""
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Rebuild pair name from filename
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Assumes a asset name of max. 7 length to also support BTC-PERP and BTC-PERP:USD names.
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"""
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res = re.sub(r'^(([A-Za-z\d]{1,10})|^([A-Za-z\-]{1,6}))(_)', r'\g<1>/', pair, 1)
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res = re.sub('_', ':', res, 1)
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return res
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def ohlcv_load(self, pair, timeframe: str,
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candle_type: CandleType, *,
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timerange: Optional[TimeRange] = None,
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fill_missing: bool = True,
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drop_incomplete: bool = False,
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startup_candles: int = 0,
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warn_no_data: bool = True,
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) -> DataFrame:
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"""
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Load cached candle (OHLCV) data for the given pair.
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:param pair: Pair to load data for
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:param timeframe: Timeframe (e.g. "5m")
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:param timerange: Limit data to be loaded to this timerange
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:param fill_missing: Fill missing values with "No action"-candles
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:param drop_incomplete: Drop last candle assuming it may be incomplete.
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:param startup_candles: Additional candles to load at the start of the period
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:param warn_no_data: Log a warning message when no data is found
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: DataFrame with ohlcv data, or empty DataFrame
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"""
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# Fix startup period
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timerange_startup = deepcopy(timerange)
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if startup_candles > 0 and timerange_startup:
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timerange_startup.subtract_start(timeframe_to_seconds(timeframe) * startup_candles)
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pairdf = self._ohlcv_load(
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pair,
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timeframe,
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timerange=timerange_startup,
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candle_type=candle_type
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)
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if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data):
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return pairdf
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else:
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enddate = pairdf.iloc[-1]['date']
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if timerange_startup:
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self._validate_pairdata(pair, pairdf, timeframe, candle_type, timerange_startup)
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pairdf = trim_dataframe(pairdf, timerange_startup)
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if self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data, True):
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return pairdf
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# incomplete candles should only be dropped if we didn't trim the end beforehand.
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pairdf = clean_ohlcv_dataframe(pairdf, timeframe,
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pair=pair,
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fill_missing=fill_missing,
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drop_incomplete=(drop_incomplete and
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enddate == pairdf.iloc[-1]['date']))
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self._check_empty_df(pairdf, pair, timeframe, candle_type, warn_no_data)
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return pairdf
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def _check_empty_df(
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self, pairdf: DataFrame, pair: str, timeframe: str, candle_type: CandleType,
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warn_no_data: bool, warn_price: bool = False) -> bool:
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"""
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Warn on empty dataframe
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"""
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if pairdf.empty:
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if warn_no_data:
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logger.warning(
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f"No history for {pair}, {candle_type}, {timeframe} found. "
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"Use `freqtrade download-data` to download the data"
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)
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return True
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elif warn_price:
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candle_price_gap = 0
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if (candle_type in (CandleType.SPOT, CandleType.FUTURES) and
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not pairdf.empty
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and 'close' in pairdf.columns and 'open' in pairdf.columns):
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# Detect gaps between prior close and open
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gaps = ((pairdf['open'] - pairdf['close'].shift(1)) / pairdf['close'].shift(1))
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gaps = gaps.dropna()
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if len(gaps):
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candle_price_gap = max(abs(gaps))
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if candle_price_gap > 0.1:
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logger.info(f"Price jump in {pair}, {timeframe}, {candle_type} between two candles "
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f"of {candle_price_gap:.2%} detected.")
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return False
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def _validate_pairdata(self, pair, pairdata: DataFrame, timeframe: str,
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candle_type: CandleType, timerange: TimeRange):
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"""
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Validates pairdata for missing data at start end end and logs warnings.
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:param pairdata: Dataframe to validate
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:param timerange: Timerange specified for start and end dates
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"""
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if timerange.starttype == 'date':
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if pairdata.iloc[0]['date'] > timerange.startdt:
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logger.warning(f"{pair}, {candle_type}, {timeframe}, "
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f"data starts at {pairdata.iloc[0]['date']:%Y-%m-%d %H:%M:%S}")
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if timerange.stoptype == 'date':
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if pairdata.iloc[-1]['date'] < timerange.stopdt:
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logger.warning(f"{pair}, {candle_type}, {timeframe}, "
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f"data ends at {pairdata.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}")
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def rename_futures_data(
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self, pair: str, new_pair: str, timeframe: str, candle_type: CandleType):
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"""
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Temporary method to migrate data from old naming to new naming (BTC/USDT -> BTC/USDT:USDT)
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Only used for binance to support the binance futures naming unification.
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"""
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file_old = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
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file_new = self._pair_data_filename(self._datadir, new_pair, timeframe, candle_type)
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# print(file_old, file_new)
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if file_new.exists():
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logger.warning(f"{file_new} exists already, can't migrate {pair}.")
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return
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file_old.rename(file_new)
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def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
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"""
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Get datahandler class.
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Could be done using Resolvers, but since this may be called often and resolvers
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are rather expensive, doing this directly should improve performance.
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:param datatype: datatype to use.
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:return: Datahandler class
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"""
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if datatype == 'json':
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from .jsondatahandler import JsonDataHandler
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return JsonDataHandler
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elif datatype == 'jsongz':
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from .jsondatahandler import JsonGzDataHandler
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return JsonGzDataHandler
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elif datatype == 'hdf5':
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from .hdf5datahandler import HDF5DataHandler
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return HDF5DataHandler
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elif datatype == 'feather':
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from .featherdatahandler import FeatherDataHandler
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return FeatherDataHandler
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elif datatype == 'parquet':
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from .parquetdatahandler import ParquetDataHandler
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return ParquetDataHandler
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else:
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raise ValueError(f"No datahandler for datatype {datatype} available.")
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def get_datahandler(datadir: Path, data_format: Optional[str] = None,
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data_handler: Optional[IDataHandler] = None) -> IDataHandler:
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"""
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:param datadir: Folder to save data
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:param data_format: dataformat to use
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:param data_handler: returns this datahandler if it exists or initializes a new one
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"""
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if not data_handler:
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HandlerClass = get_datahandlerclass(data_format or 'json')
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data_handler = HandlerClass(datadir)
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return data_handler
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