149 lines
4.7 KiB
Python
149 lines
4.7 KiB
Python
# pragma pylint: disable=missing-docstring, C0103
|
|
import logging
|
|
|
|
from freqtrade.data.converter import parse_ticker_dataframe, ohlcv_fill_up_missing_data
|
|
from freqtrade.data.history import load_pair_history, validate_backtest_data, get_timeframe
|
|
from tests.conftest import log_has
|
|
|
|
|
|
def test_dataframe_correct_columns(result):
|
|
assert result.columns.tolist() == ['date', 'open', 'high', 'low', 'close', 'volume']
|
|
|
|
|
|
def test_parse_ticker_dataframe(ticker_history_list, caplog):
|
|
columns = ['date', 'open', 'high', 'low', 'close', 'volume']
|
|
|
|
caplog.set_level(logging.DEBUG)
|
|
# Test file with BV data
|
|
dataframe = parse_ticker_dataframe(ticker_history_list, '5m',
|
|
pair="UNITTEST/BTC", fill_missing=True)
|
|
assert dataframe.columns.tolist() == columns
|
|
assert log_has('Parsing tickerlist to dataframe', caplog)
|
|
|
|
|
|
def test_ohlcv_fill_up_missing_data(testdatadir, caplog):
|
|
data = load_pair_history(datadir=testdatadir,
|
|
ticker_interval='1m',
|
|
refresh_pairs=False,
|
|
pair='UNITTEST/BTC',
|
|
fill_up_missing=False)
|
|
caplog.set_level(logging.DEBUG)
|
|
data2 = ohlcv_fill_up_missing_data(data, '1m', 'UNITTEST/BTC')
|
|
assert len(data2) > len(data)
|
|
# Column names should not change
|
|
assert (data.columns == data2.columns).all()
|
|
|
|
assert log_has(f"Missing data fillup for UNITTEST/BTC: before: "
|
|
f"{len(data)} - after: {len(data2)}", caplog)
|
|
|
|
# Test fillup actually fixes invalid backtest data
|
|
min_date, max_date = get_timeframe({'UNITTEST/BTC': data})
|
|
assert validate_backtest_data(data, 'UNITTEST/BTC', min_date, max_date, 1)
|
|
assert not validate_backtest_data(data2, 'UNITTEST/BTC', min_date, max_date, 1)
|
|
|
|
|
|
def test_ohlcv_fill_up_missing_data2(caplog):
|
|
ticker_interval = '5m'
|
|
ticks = [[
|
|
1511686200000, # 8:50:00
|
|
8.794e-05, # open
|
|
8.948e-05, # high
|
|
8.794e-05, # low
|
|
8.88e-05, # close
|
|
2255, # volume (in quote currency)
|
|
],
|
|
[
|
|
1511686500000, # 8:55:00
|
|
8.88e-05,
|
|
8.942e-05,
|
|
8.88e-05,
|
|
8.893e-05,
|
|
9911,
|
|
],
|
|
[
|
|
1511687100000, # 9:05:00
|
|
8.891e-05,
|
|
8.893e-05,
|
|
8.875e-05,
|
|
8.877e-05,
|
|
2251
|
|
],
|
|
[
|
|
1511687400000, # 9:10:00
|
|
8.877e-05,
|
|
8.883e-05,
|
|
8.895e-05,
|
|
8.817e-05,
|
|
123551
|
|
]
|
|
]
|
|
|
|
# Generate test-data without filling missing
|
|
data = parse_ticker_dataframe(ticks, ticker_interval, pair="UNITTEST/BTC", fill_missing=False)
|
|
assert len(data) == 3
|
|
caplog.set_level(logging.DEBUG)
|
|
data2 = ohlcv_fill_up_missing_data(data, ticker_interval, "UNITTEST/BTC")
|
|
assert len(data2) == 4
|
|
# 3rd candle has been filled
|
|
row = data2.loc[2, :]
|
|
assert row['volume'] == 0
|
|
# close shoult match close of previous candle
|
|
assert row['close'] == data.loc[1, 'close']
|
|
assert row['open'] == row['close']
|
|
assert row['high'] == row['close']
|
|
assert row['low'] == row['close']
|
|
# Column names should not change
|
|
assert (data.columns == data2.columns).all()
|
|
|
|
assert log_has(f"Missing data fillup for UNITTEST/BTC: before: "
|
|
f"{len(data)} - after: {len(data2)}", caplog)
|
|
|
|
|
|
def test_ohlcv_drop_incomplete(caplog):
|
|
ticker_interval = '1d'
|
|
ticks = [[
|
|
1559750400000, # 2019-06-04
|
|
8.794e-05, # open
|
|
8.948e-05, # high
|
|
8.794e-05, # low
|
|
8.88e-05, # close
|
|
2255, # volume (in quote currency)
|
|
],
|
|
[
|
|
1559836800000, # 2019-06-05
|
|
8.88e-05,
|
|
8.942e-05,
|
|
8.88e-05,
|
|
8.893e-05,
|
|
9911,
|
|
],
|
|
[
|
|
1559923200000, # 2019-06-06
|
|
8.891e-05,
|
|
8.893e-05,
|
|
8.875e-05,
|
|
8.877e-05,
|
|
2251
|
|
],
|
|
[
|
|
1560009600000, # 2019-06-07
|
|
8.877e-05,
|
|
8.883e-05,
|
|
8.895e-05,
|
|
8.817e-05,
|
|
123551
|
|
]
|
|
]
|
|
caplog.set_level(logging.DEBUG)
|
|
data = parse_ticker_dataframe(ticks, ticker_interval, pair="UNITTEST/BTC",
|
|
fill_missing=False, drop_incomplete=False)
|
|
assert len(data) == 4
|
|
assert not log_has("Dropping last candle", caplog)
|
|
|
|
# Drop last candle
|
|
data = parse_ticker_dataframe(ticks, ticker_interval, pair="UNITTEST/BTC",
|
|
fill_missing=False, drop_incomplete=True)
|
|
assert len(data) == 3
|
|
|
|
assert log_has("Dropping last candle", caplog)
|