343 lines
13 KiB
Python
343 lines
13 KiB
Python
"""
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Functions to convert data from one format to another
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"""
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import itertools
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import logging
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from datetime import datetime, timezone
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from operator import itemgetter
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from typing import Dict, List
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import numpy as np
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import pandas as pd
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from pandas import DataFrame, to_datetime
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from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, Config, TradeList
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from freqtrade.enums import CandleType
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logger = logging.getLogger(__name__)
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def ohlcv_to_dataframe(ohlcv: list, timeframe: str, pair: str, *,
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fill_missing: bool = True, drop_incomplete: bool = True) -> DataFrame:
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"""
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Converts a list with candle (OHLCV) data (in format returned by ccxt.fetch_ohlcv)
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to a Dataframe
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:param ohlcv: list with candle (OHLCV) data, as returned by exchange.async_get_candle_history
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:param timeframe: timeframe (e.g. 5m). Used to fill up eventual missing data
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:param pair: Pair this data is for (used to warn if fillup was necessary)
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:param fill_missing: fill up missing candles with 0 candles
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(see ohlcv_fill_up_missing_data for details)
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:param drop_incomplete: Drop the last candle of the dataframe, assuming it's incomplete
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:return: DataFrame
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"""
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logger.debug(f"Converting candle (OHLCV) data to dataframe for pair {pair}.")
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cols = DEFAULT_DATAFRAME_COLUMNS
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df = DataFrame(ohlcv, columns=cols)
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df['date'] = to_datetime(df['date'], unit='ms', utc=True, infer_datetime_format=True)
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# Some exchanges return int values for Volume and even for OHLC.
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# Convert them since TA-LIB indicators used in the strategy assume floats
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# and fail with exception...
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df = df.astype(dtype={'open': 'float', 'high': 'float', 'low': 'float', 'close': 'float',
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'volume': 'float'})
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return clean_ohlcv_dataframe(df, timeframe, pair,
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fill_missing=fill_missing,
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drop_incomplete=drop_incomplete)
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def clean_ohlcv_dataframe(data: DataFrame, timeframe: str, pair: str, *,
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fill_missing: bool, drop_incomplete: bool) -> DataFrame:
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"""
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Cleanse a OHLCV dataframe by
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* Grouping it by date (removes duplicate tics)
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* dropping last candles if requested
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* Filling up missing data (if requested)
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:param data: DataFrame containing candle (OHLCV) data.
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:param timeframe: timeframe (e.g. 5m). Used to fill up eventual missing data
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:param pair: Pair this data is for (used to warn if fillup was necessary)
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:param fill_missing: fill up missing candles with 0 candles
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(see ohlcv_fill_up_missing_data for details)
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:param drop_incomplete: Drop the last candle of the dataframe, assuming it's incomplete
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:return: DataFrame
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"""
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# group by index and aggregate results to eliminate duplicate ticks
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data = data.groupby(by='date', as_index=False, sort=True).agg({
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'open': 'first',
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'high': 'max',
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'low': 'min',
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'close': 'last',
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'volume': 'max',
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})
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# eliminate partial candle
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if drop_incomplete:
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data.drop(data.tail(1).index, inplace=True)
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logger.debug('Dropping last candle')
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if fill_missing:
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return ohlcv_fill_up_missing_data(data, timeframe, pair)
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else:
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return data
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def ohlcv_fill_up_missing_data(dataframe: DataFrame, timeframe: str, pair: str) -> DataFrame:
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"""
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Fills up missing data with 0 volume rows,
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using the previous close as price for "open", "high" "low" and "close", volume is set to 0
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"""
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from freqtrade.exchange import timeframe_to_minutes
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ohlcv_dict = {
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'open': 'first',
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'high': 'max',
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'low': 'min',
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'close': 'last',
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'volume': 'sum'
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}
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timeframe_minutes = timeframe_to_minutes(timeframe)
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# Resample to create "NAN" values
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df = dataframe.resample(f'{timeframe_minutes}min', on='date').agg(ohlcv_dict)
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# Forwardfill close for missing columns
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df['close'] = df['close'].fillna(method='ffill')
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# Use close for "open, high, low"
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df.loc[:, ['open', 'high', 'low']] = df[['open', 'high', 'low']].fillna(
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value={'open': df['close'],
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'high': df['close'],
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'low': df['close'],
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})
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df.reset_index(inplace=True)
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len_before = len(dataframe)
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len_after = len(df)
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pct_missing = (len_after - len_before) / len_before if len_before > 0 else 0
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if len_before != len_after:
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message = (f"Missing data fillup for {pair}: before: {len_before} - after: {len_after}"
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f" - {pct_missing:.2%}")
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if pct_missing > 0.01:
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logger.info(message)
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else:
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# Don't be verbose if only a small amount is missing
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logger.debug(message)
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return df
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def trim_dataframe(df: DataFrame, timerange, df_date_col: str = 'date',
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startup_candles: int = 0) -> DataFrame:
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"""
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Trim dataframe based on given timerange
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:param df: Dataframe to trim
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:param timerange: timerange (use start and end date if available)
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:param df_date_col: Column in the dataframe to use as Date column
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:param startup_candles: When not 0, is used instead the timerange start date
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:return: trimmed dataframe
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"""
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if startup_candles:
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# Trim candles instead of timeframe in case of given startup_candle count
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df = df.iloc[startup_candles:, :]
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else:
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if timerange.starttype == 'date':
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start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc)
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df = df.loc[df[df_date_col] >= start, :]
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if timerange.stoptype == 'date':
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stop = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc)
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df = df.loc[df[df_date_col] <= stop, :]
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return df
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def trim_dataframes(preprocessed: Dict[str, DataFrame], timerange,
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startup_candles: int) -> Dict[str, DataFrame]:
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"""
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Trim startup period from analyzed dataframes
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:param preprocessed: Dict of pair: dataframe
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:param timerange: timerange (use start and end date if available)
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:param startup_candles: Startup-candles that should be removed
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:return: Dict of trimmed dataframes
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"""
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processed: Dict[str, DataFrame] = {}
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for pair, df in preprocessed.items():
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trimed_df = trim_dataframe(df, timerange, startup_candles=startup_candles)
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if not trimed_df.empty:
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processed[pair] = trimed_df
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else:
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logger.warning(f'{pair} has no data left after adjusting for startup candles, '
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f'skipping.')
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return processed
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def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
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"""
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TODO: This should get a dedicated test
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Gets order book list, returns dataframe with below format per suggested by creslin
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-------------------------------------------------------------------
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b_sum b_size bids asks a_size a_sum
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-------------------------------------------------------------------
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"""
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cols = ['bids', 'b_size']
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bids_frame = DataFrame(bids, columns=cols)
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# add cumulative sum column
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bids_frame['b_sum'] = bids_frame['b_size'].cumsum()
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cols2 = ['asks', 'a_size']
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asks_frame = DataFrame(asks, columns=cols2)
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# add cumulative sum column
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asks_frame['a_sum'] = asks_frame['a_size'].cumsum()
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frame = pd.concat([bids_frame['b_sum'], bids_frame['b_size'], bids_frame['bids'],
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asks_frame['asks'], asks_frame['a_size'], asks_frame['a_sum']], axis=1,
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keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum'])
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# logger.info('order book %s', frame )
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return frame
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def trades_remove_duplicates(trades: List[List]) -> List[List]:
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"""
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Removes duplicates from the trades list.
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Uses itertools.groupby to avoid converting to pandas.
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Tests show it as being pretty efficient on lists of 4M Lists.
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:param trades: List of Lists with constants.DEFAULT_TRADES_COLUMNS as columns
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:return: same format as above, but with duplicates removed
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"""
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return [i for i, _ in itertools.groupby(sorted(trades, key=itemgetter(0)))]
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def trades_dict_to_list(trades: List[Dict]) -> TradeList:
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"""
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Convert fetch_trades result into a List (to be more memory efficient).
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:param trades: List of trades, as returned by ccxt.fetch_trades.
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:return: List of Lists, with constants.DEFAULT_TRADES_COLUMNS as columns
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"""
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return [[t[col] for col in DEFAULT_TRADES_COLUMNS] for t in trades]
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def trades_to_ohlcv(trades: TradeList, timeframe: str) -> DataFrame:
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"""
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Converts trades list to OHLCV list
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:param trades: List of trades, as returned by ccxt.fetch_trades.
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:param timeframe: Timeframe to resample data to
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:return: OHLCV Dataframe.
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:raises: ValueError if no trades are provided
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"""
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from freqtrade.exchange import timeframe_to_minutes
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timeframe_minutes = timeframe_to_minutes(timeframe)
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if not trades:
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raise ValueError('Trade-list empty.')
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df = pd.DataFrame(trades, columns=DEFAULT_TRADES_COLUMNS)
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df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms',
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utc=True,)
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df = df.set_index('timestamp')
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df_new = df['price'].resample(f'{timeframe_minutes}min').ohlc()
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df_new['volume'] = df['amount'].resample(f'{timeframe_minutes}min').sum()
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df_new['date'] = df_new.index
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# Drop 0 volume rows
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df_new = df_new.dropna()
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return df_new.loc[:, DEFAULT_DATAFRAME_COLUMNS]
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def convert_trades_format(config: Config, convert_from: str, convert_to: str, erase: bool):
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"""
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Convert trades from one format to another format.
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:param config: Config dictionary
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:param convert_from: Source format
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:param convert_to: Target format
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:param erase: Erase source data (does not apply if source and target format are identical)
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"""
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from freqtrade.data.history.idatahandler import get_datahandler
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src = get_datahandler(config['datadir'], convert_from)
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trg = get_datahandler(config['datadir'], convert_to)
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if 'pairs' not in config:
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config['pairs'] = src.trades_get_pairs(config['datadir'])
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logger.info(f"Converting trades for {config['pairs']}")
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for pair in config['pairs']:
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data = src.trades_load(pair=pair)
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logger.info(f"Converting {len(data)} trades for {pair}")
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trg.trades_store(pair, data)
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if erase and convert_from != convert_to:
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logger.info(f"Deleting source Trade data for {pair}.")
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src.trades_purge(pair=pair)
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def convert_ohlcv_format(
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config: Config,
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convert_from: str,
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convert_to: str,
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erase: bool,
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candle_type: CandleType
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):
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"""
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Convert OHLCV from one format to another
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:param config: Config dictionary
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:param convert_from: Source format
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:param convert_to: Target format
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:param erase: Erase source data (does not apply if source and target format are identical)
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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"""
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from freqtrade.data.history.idatahandler import get_datahandler
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src = get_datahandler(config['datadir'], convert_from)
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trg = get_datahandler(config['datadir'], convert_to)
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timeframes = config.get('timeframes', [config.get('timeframe')])
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logger.info(f"Converting candle (OHLCV) for timeframe {timeframes}")
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if 'pairs' not in config:
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config['pairs'] = []
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# Check timeframes or fall back to timeframe.
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for timeframe in timeframes:
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config['pairs'].extend(src.ohlcv_get_pairs(
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config['datadir'],
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timeframe,
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candle_type=candle_type
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))
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config['pairs'] = sorted(set(config['pairs']))
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logger.info(f"Converting candle (OHLCV) data for {config['pairs']}")
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for timeframe in timeframes:
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for pair in config['pairs']:
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data = src.ohlcv_load(pair=pair, timeframe=timeframe,
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timerange=None,
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fill_missing=False,
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drop_incomplete=False,
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startup_candles=0,
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candle_type=candle_type)
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logger.info(f"Converting {len(data)} {timeframe} {candle_type} candles for {pair}")
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if len(data) > 0:
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trg.ohlcv_store(
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pair=pair,
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timeframe=timeframe,
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data=data,
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candle_type=candle_type
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)
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if erase and convert_from != convert_to:
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logger.info(f"Deleting source data for {pair} / {timeframe}")
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src.ohlcv_purge(pair=pair, timeframe=timeframe, candle_type=candle_type)
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def reduce_dataframe_footprint(df: DataFrame) -> DataFrame:
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"""
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Ensure all values are float32 in the incoming dataframe.
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:param df: Dataframe to be converted to float/int 32s
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:return: Dataframe converted to float/int 32s
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"""
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logger.debug(f"Memory usage of dataframe is "
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f"{df.memory_usage().sum() / 1024**2:.2f} MB")
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df_dtypes = df.dtypes
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for column, dtype in df_dtypes.items():
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if column in ['open', 'high', 'low', 'close', 'volume']:
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continue
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if dtype == np.float64:
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df_dtypes[column] = np.float32
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elif dtype == np.int64:
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df_dtypes[column] = np.int32
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df = df.astype(df_dtypes)
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logger.debug(f"Memory usage after optimization is: "
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f"{df.memory_usage().sum() / 1024**2:.2f} MB")
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return df
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