stable/freqtrade/optimize/__init__.py

# pragma pylint: disable=missing-docstring

import gzip
import json
import logging
import os
import arrow
from typing import Optional, List, Dict, Tuple

from freqtrade import misc
from freqtrade.exchange import get_ticker_history
from freqtrade.constants import Constants

from user_data.hyperopt_conf import hyperopt_optimize_conf

logger = logging.getLogger(__name__)


def trim_tickerlist(tickerlist: List[Dict], timerange: Tuple[Tuple, int, int]) -> List[Dict]:
    if not tickerlist:
        return tickerlist

    stype, start, stop = timerange

    start_index = 0
    stop_index = len(tickerlist)

    if stype[0] == 'line':
        stop_index = start
    if stype[0] == 'index':
        start_index = start
    elif stype[0] == 'date':
        while tickerlist[start_index][0] < start * 1000:
            start_index += 1

    if stype[1] == 'line':
        start_index = len(tickerlist) + stop
    if stype[1] == 'index':
        stop_index = stop
    elif stype[1] == 'date':
        while tickerlist[stop_index-1][0] > stop * 1000:
            stop_index -= 1

    if start_index > stop_index:
        raise ValueError(f'The timerange [{start},{stop}] is incorrect')

    return tickerlist[start_index:stop_index]


def load_tickerdata_file(
        datadir: str, pair: str,
        ticker_interval: str,
        timerange: Optional[Tuple[Tuple, int, int]] = None) -> Optional[List[Dict]]:
    """
    Load a pair from file,
    :return dict OR empty if unsuccesful
    """
    path = make_testdata_path(datadir)
    pair_file_string = pair.replace('/', '_')
    file = os.path.join(path, '{pair}-{ticker_interval}.json'.format(
        pair=pair_file_string,
        ticker_interval=ticker_interval,
    ))
    gzipfile = file + '.gz'

    # If the file does not exist we download it when None is returned.
    # If file exists, read the file, load the json
    if os.path.isfile(gzipfile):
        logger.debug('Loading ticker data from file %s', gzipfile)
        with gzip.open(gzipfile) as tickerdata:
            pairdata = json.load(tickerdata)
    elif os.path.isfile(file):
        logger.debug('Loading ticker data from file %s', file)
        with open(file) as tickerdata:
            pairdata = json.load(tickerdata)
    else:
        return None

    if timerange:
        pairdata = trim_tickerlist(pairdata, timerange)
    return pairdata


def load_data(datadir: str,
              ticker_interval: str,
              pairs: Optional[List[str]] = None,
              refresh_pairs: Optional[bool] = False,
              timerange: Optional[Tuple[Tuple, int, int]] = None) -> Dict[str, List]:
    """
    Loads ticker history data for the given parameters
    :return: dict
    """
    result = {}

    _pairs = pairs or hyperopt_optimize_conf()['exchange']['pair_whitelist']

    # If the user force the refresh of pairs
    if refresh_pairs:
        logger.info('Download data for all pairs and store them in %s', datadir)
        download_pairs(datadir, _pairs, ticker_interval, timerange=timerange)

    for pair in _pairs:
        pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
        if not pairdata:
            # download the tickerdata from exchange
            download_backtesting_testdata(datadir, pair=pair, interval=ticker_interval)
            # and retry reading the pair
            pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
        result[pair] = pairdata
    return result


def make_testdata_path(datadir: str) -> str:
    """Return the path where testdata files are stored"""
    return datadir or os.path.abspath(
        os.path.join(
            os.path.dirname(__file__), '..', 'tests', 'testdata'
        )
    )


def download_pairs(datadir, pairs: List[str],
                   ticker_interval: str,
                   timerange: Optional[Tuple[Tuple, int, int]] = None) -> bool:
    """For each pairs passed in parameters, download the ticker intervals"""
    for pair in pairs:
        try:
            download_backtesting_testdata(datadir,
                                          pair=pair,
                                          interval=ticker_interval,
                                          timerange=timerange)
        except BaseException:
            logger.info(
                'Failed to download the pair: "%s", Interval: %s',
                pair,
                ticker_interval
            )
            return False
    return True


def get_start_ts_from_timerange(timerange: Tuple[Tuple, int, int], interval: str) -> int:
    if not timerange:
        return None

    if timerange[0][0] == 'date':
        return timerange[1] * 1000

    if timerange[0][1] == 'line':
        num_minutes = timerange[2] * Constants.TICKER_INTERVAL_MINUTES[interval]
        return arrow.utcnow().shift(minutes=num_minutes).timestamp * 1000

    return None


# FIX: 20180110, suggest rename interval to tick_interval
def download_backtesting_testdata(datadir: str,
                                  pair: str,
                                  interval: str = '5m',
                                  timerange: Optional[Tuple[Tuple, int, int]] = None) -> bool:
    """
    Download the latest ticker intervals from the exchange for the pairs passed in parameters
    Based on @Rybolov work: https://github.com/rybolov/freqtrade-data
    :param pairs: list of pairs to download
    :param interval: ticker interval
    :param timerange: range of time to download
    :return: bool
    """

    path = make_testdata_path(datadir)
    logger.info(
        'Download the pair: "%s", Interval: %s',
        pair,
        interval
    )

    filepair = pair.replace("/", "_")
    filename = os.path.join(path, '{pair}-{interval}.json'.format(
        pair=filepair,
        interval=interval,
    ))

    since = get_start_ts_from_timerange(timerange, interval)

    if os.path.isfile(filename):
        with open(filename, "rt") as file:
            data = json.load(file)

        if since:
            if since < data[0][0]:
                # fully update the data
                data = []
            else:
                # download unexist data only
                since = max(since, data[-1][0] + 1)
        else:
            # download unexist data only
            since = data[-1][0] + 1
    else:
        data = []

    logger.debug("Current Start: %s", misc.format_ms_time(data[1][0]) if data else 'None')
    logger.debug("Current End: %s", misc.format_ms_time(data[-1][0]) if data else 'None')

    new_data = get_ticker_history(pair=pair, tick_interval=interval, since=since)
    data.extend(new_data)

    logger.debug("New Start: %s", misc.format_ms_time(data[0][0]))
    logger.debug("New End: %s", misc.format_ms_time(data[-1][0]))

    misc.file_dump_json(filename, data)

    return True