92 lines
3.2 KiB
Python
92 lines
3.2 KiB
Python
"""
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Functions to convert data from one format to another
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"""
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import logging
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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 TICKER_INTERVAL_MINUTES
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logger = logging.getLogger(__name__)
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def parse_ticker_dataframe(ticker: list) -> DataFrame:
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"""
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Converts a ticker-list (format ccxt.fetch_ohlcv) to a Dataframe
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:param ticker: ticker list, as returned by exchange.async_get_candle_history
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:return: DataFrame
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"""
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logger.debug("Parsing tickerlist to dataframe")
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cols = ['date', 'open', 'high', 'low', 'close', 'volume']
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frame = DataFrame(ticker, columns=cols)
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frame['date'] = to_datetime(frame['date'],
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unit='ms',
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utc=True,
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infer_datetime_format=True)
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# group by index and aggregate results to eliminate duplicate ticks
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frame = frame.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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frame.drop(frame.tail(1).index, inplace=True) # eliminate partial candle
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logger.debug('Dropping last candle')
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return frame
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def ohlcv_fill_up_missing_data(dataframe: DataFrame, ticker_interval: 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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ohlc_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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tick_mins = TICKER_INTERVAL_MINUTES[ticker_interval]
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# Resample to create "NAN" values
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df = dataframe.resample(f'{tick_mins}min', on='date').agg(ohlc_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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return df
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def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
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"""
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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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