stable/freqtrade/data/history.py
2019-02-15 22:50:31 +01:00

236 lines
8.6 KiB
Python

"""
Handle historic data (ohlcv).
includes:
* load data for a pair (or a list of pairs) from disk
* download data from exchange and store to disk
"""
import logging
from pathlib import Path
from typing import Optional, List, Dict, Tuple, Any
import arrow
from pandas import DataFrame
from freqtrade import misc, constants, OperationalException
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.exchange import Exchange
from freqtrade.arguments import TimeRange
logger = logging.getLogger(__name__)
def trim_tickerlist(tickerlist: List[Dict], timerange: TimeRange) -> List[Dict]:
"""
Trim tickerlist based on given timerange
"""
if not tickerlist:
return tickerlist
start_index = 0
stop_index = len(tickerlist)
if timerange.starttype == 'line':
stop_index = timerange.startts
if timerange.starttype == 'index':
start_index = timerange.startts
elif timerange.starttype == 'date':
while (start_index < len(tickerlist) and
tickerlist[start_index][0] < timerange.startts * 1000):
start_index += 1
if timerange.stoptype == 'line':
start_index = len(tickerlist) + timerange.stopts
if timerange.stoptype == 'index':
stop_index = timerange.stopts
elif timerange.stoptype == 'date':
while (stop_index > 0 and
tickerlist[stop_index-1][0] > timerange.stopts * 1000):
stop_index -= 1
if start_index > stop_index:
raise ValueError(f'The timerange [{timerange.startts},{timerange.stopts}] is incorrect')
return tickerlist[start_index:stop_index]
def load_tickerdata_file(
datadir: Optional[Path], pair: str,
ticker_interval: str,
timerange: Optional[TimeRange] = None) -> Optional[list]:
"""
Load a pair from file, either .json.gz or .json
:return tickerlist or None if unsuccesful
"""
path = make_testdata_path(datadir)
pair_s = pair.replace('/', '_')
file = path.joinpath(f'{pair_s}-{ticker_interval}.json')
pairdata = misc.file_load_json(file)
if not pairdata:
return None
if timerange:
pairdata = trim_tickerlist(pairdata, timerange)
return pairdata
def load_pair_history(pair: str,
ticker_interval: str,
datadir: Optional[Path],
timerange: TimeRange = TimeRange(None, None, 0, 0),
refresh_pairs: bool = False,
exchange: Optional[Exchange] = None,
fill_up_missing: bool = True
) -> DataFrame:
"""
Loads cached ticker history for the given pair.
:return: DataFrame with ohlcv data
"""
# If the user force the refresh of pairs
if refresh_pairs:
if not exchange:
raise OperationalException("Exchange needs to be initialized when "
"calling load_data with refresh_pairs=True")
logger.info('Download data for pair and store them in %s', datadir)
download_pair_history(datadir=datadir,
exchange=exchange,
pair=pair,
tick_interval=ticker_interval,
timerange=timerange)
pairdata = load_tickerdata_file(datadir, pair, ticker_interval, timerange=timerange)
if pairdata:
if timerange.starttype == 'date' and pairdata[0][0] > timerange.startts * 1000:
logger.warning('Missing data at start for pair %s, data starts at %s',
pair, arrow.get(pairdata[0][0] // 1000).strftime('%Y-%m-%d %H:%M:%S'))
if timerange.stoptype == 'date' and pairdata[-1][0] < timerange.stopts * 1000:
logger.warning('Missing data at end for pair %s, data ends at %s',
pair,
arrow.get(pairdata[-1][0] // 1000).strftime('%Y-%m-%d %H:%M:%S'))
return parse_ticker_dataframe(pairdata, ticker_interval, fill_up_missing)
else:
logger.warning('No data for pair: "%s", Interval: %s. '
'Use --refresh-pairs-cached to download the data',
pair, ticker_interval)
return None
def load_data(datadir: Optional[Path],
ticker_interval: str,
pairs: List[str],
refresh_pairs: bool = False,
exchange: Optional[Exchange] = None,
timerange: TimeRange = TimeRange(None, None, 0, 0),
fill_up_missing: bool = True) -> Dict[str, DataFrame]:
"""
Loads ticker history data for a list of pairs the given parameters
:return: dict(<pair>:<tickerlist>)
"""
result = {}
for pair in pairs:
hist = load_pair_history(pair=pair, ticker_interval=ticker_interval,
datadir=datadir, timerange=timerange,
refresh_pairs=refresh_pairs,
exchange=exchange,
fill_up_missing=fill_up_missing)
if hist is not None:
result[pair] = hist
return result
def make_testdata_path(datadir: Optional[Path]) -> Path:
"""Return the path where testdata files are stored"""
return datadir or (Path(__file__).parent.parent / "tests" / "testdata").resolve()
def load_cached_data_for_updating(filename: Path, tick_interval: str,
timerange: Optional[TimeRange]) -> Tuple[List[Any],
Optional[int]]:
"""
Load cached data and choose what part of the data should be updated
"""
since_ms = None
# user sets timerange, so find the start time
if timerange:
if timerange.starttype == 'date':
since_ms = timerange.startts * 1000
elif timerange.stoptype == 'line':
num_minutes = timerange.stopts * constants.TICKER_INTERVAL_MINUTES[tick_interval]
since_ms = arrow.utcnow().shift(minutes=num_minutes).timestamp * 1000
# read the cached file
if filename.is_file():
with open(filename, "rt") as file:
data = misc.json_load(file)
# remove the last item, could be incomplete candle
if data:
data.pop()
else:
data = []
if data:
if since_ms and since_ms < data[0][0]:
# Earlier data than existing data requested, redownload all
data = []
else:
# a part of the data was already downloaded, so download unexist data only
since_ms = data[-1][0] + 1
return (data, since_ms)
def download_pair_history(datadir: Optional[Path],
exchange: Exchange,
pair: str,
tick_interval: str = '5m',
timerange: Optional[TimeRange] = None) -> bool:
"""
Download the latest ticker intervals from the exchange for the pair passed in parameters
The data is downloaded starting from the last correct ticker interval data that
exists in a cache. If timerange starts earlier than the data in the cache,
the full data will be redownloaded
Based on @Rybolov work: https://github.com/rybolov/freqtrade-data
:param pair: pair to download
:param tick_interval: ticker interval
:param timerange: range of time to download
:return: bool with success state
"""
try:
path = make_testdata_path(datadir)
filepair = pair.replace("/", "_")
filename = path.joinpath(f'{filepair}-{tick_interval}.json')
logger.info('Download the pair: "%s", Interval: %s', pair, tick_interval)
data, since_ms = load_cached_data_for_updating(filename, tick_interval, timerange)
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')
# Default since_ms to 30 days if nothing is given
new_data = exchange.get_history(pair=pair, tick_interval=tick_interval,
since_ms=since_ms if since_ms
else
int(arrow.utcnow().shift(days=-30).float_timestamp) * 1000)
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
except BaseException as e:
logger.info('Failed to download the pair: "%s", Interval: %s, Msg: %s',
pair, tick_interval, e)
return False