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d1b52809ac
stable/tests/data/test_history.py
Matthias 7a6476c9ba Update tests
2019-12-28 11:01:41 +01:00

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Python
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# pragma pylint: disable=missing-docstring, protected-access, C0103
import json
import uuid
from pathlib import Path
from shutil import copyfile
from unittest.mock import MagicMock, PropertyMock
import arrow
from pandas import DataFrame
from pandas.testing import assert_frame_equal
from freqtrade.configuration import TimeRange
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.data.datahandlers import get_datahandler
from freqtrade.data.datahandlers.jsondatahandler import (JsonDataHandler,
JsonGzDataHandler)
from freqtrade.data.history import (_download_pair_history,
_download_trades_history,
_load_cached_data_for_updating,
convert_trades_to_ohlcv, get_timerange,
load_data, load_pair_history,
load_tickerdata_file,
refresh_backtest_ohlcv_data,
refresh_backtest_trades_data, refresh_data,
trim_tickerlist, validate_backtest_data)
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.misc import file_dump_json
from freqtrade.strategy.default_strategy import DefaultStrategy
from tests.conftest import (get_patched_exchange, log_has, log_has_re,
patch_exchange)
# Change this if modifying UNITTEST/BTC testdatafile
_BTC_UNITTEST_LENGTH = 13681
def _backup_file(file: Path, copy_file: bool = False) -> None:
"""
Backup existing file to avoid deleting the user file
:param file: complete path to the file
:param touch_file: create an empty file in replacement
:return: None
"""
file_swp = str(file) + '.swp'
if file.is_file():
file.rename(file_swp)
if copy_file:
copyfile(file_swp, file)
def _clean_test_file(file: Path) -> None:
"""
Backup existing file to avoid deleting the user file
:param file: complete path to the file
:return: None
"""
file_swp = Path(str(file) + '.swp')
# 1. Delete file from the test
if file.is_file():
file.unlink()
# 2. Rollback to the initial file
if file_swp.is_file():
file_swp.rename(file)
def test_load_data_30min_ticker(mocker, caplog, default_conf, testdatadir) -> None:
ld = load_pair_history(pair='UNITTEST/BTC', timeframe='30m', datadir=testdatadir)
assert isinstance(ld, DataFrame)
assert not log_has(
'Download history data for pair: "UNITTEST/BTC", timeframe: 30m '
'and store in None.', caplog
)
def test_load_data_7min_ticker(mocker, caplog, default_conf, testdatadir) -> None:
ld = load_pair_history(pair='UNITTEST/BTC', timeframe='7m', datadir=testdatadir)
assert isinstance(ld, DataFrame)
assert ld.empty
assert log_has(
'No history data for pair: "UNITTEST/BTC", timeframe: 7m. '
'Use `freqtrade download-data` to download the data', caplog
)
def test_load_data_1min_ticker(ticker_history, mocker, caplog, testdatadir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ticker_history)
file = testdatadir / 'UNITTEST_BTC-1m.json'
_backup_file(file, copy_file=True)
load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'])
assert file.is_file()
assert not log_has(
'Download history data for pair: "UNITTEST/BTC", interval: 1m '
'and store in None.', caplog
)
_clean_test_file(file)
def test_load_data_startup_candles(mocker, caplog, default_conf, testdatadir) -> None:
ltfmock = mocker.patch(
'freqtrade.data.datahandlers.jsondatahandler.JsonDataHandler._ohlcv_load',
MagicMock(return_value=DataFrame()))
timerange = TimeRange('date', None, 1510639620, 0)
load_pair_history(pair='UNITTEST/BTC', timeframe='1m',
datadir=testdatadir, timerange=timerange,
startup_candles=20,)
assert ltfmock.call_count == 1
assert ltfmock.call_args_list[0][1]['timerange'] != timerange
# startts is 20 minutes earlier
assert ltfmock.call_args_list[0][1]['timerange'].startts == timerange.startts - 20 * 60
def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog,
default_conf, testdatadir) -> None:
"""
Test load_pair_history() with 1 min ticker
"""
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ticker_history_list)
exchange = get_patched_exchange(mocker, default_conf)
file = testdatadir / 'MEME_BTC-1m.json'
_backup_file(file)
# do not download a new pair if refresh_pairs isn't set
load_pair_history(datadir=testdatadir, timeframe='1m', pair='MEME/BTC')
assert not file.is_file()
assert log_has(
'No history data for pair: "MEME/BTC", timeframe: 1m. '
'Use `freqtrade download-data` to download the data', caplog
)
# download a new pair if refresh_pairs is set
refresh_data(datadir=testdatadir, timeframe='1m', pairs=['MEME/BTC'],
exchange=exchange)
load_pair_history(datadir=testdatadir, timeframe='1m', pair='MEME/BTC')
assert file.is_file()
assert log_has_re(
'Download history data for pair: "MEME/BTC", timeframe: 1m '
'and store in .*', caplog
)
_clean_test_file(file)
def test_testdata_path(testdatadir) -> None:
assert str(Path('tests') / 'testdata') in str(testdatadir)
def test_json_pair_data_filename():
fn = JsonDataHandler._pair_data_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m')
assert isinstance(fn, Path)
assert fn == Path('freqtrade/hello/world/ETH_BTC-5m.json')
fn = JsonGzDataHandler._pair_data_filename(Path('freqtrade/hello/world'), 'ETH/BTC', '5m')
assert isinstance(fn, Path)
assert fn == Path('freqtrade/hello/world/ETH_BTC-5m.json.gz')
def test_json_pair_trades_filename():
fn = JsonDataHandler._pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC')
assert isinstance(fn, Path)
assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json')
fn = JsonGzDataHandler._pair_trades_filename(Path('freqtrade/hello/world'), 'ETH/BTC')
assert isinstance(fn, Path)
assert fn == Path('freqtrade/hello/world/ETH_BTC-trades.json.gz')
def test_load_cached_data_for_updating(mocker, testdatadir) -> None:
data_handler = get_datahandler(testdatadir, 'json')
test_data = None
test_filename = testdatadir.joinpath('UNITTEST_BTC-1m.json')
with open(test_filename, "rt") as file:
test_data = json.load(file)
test_data_df = parse_ticker_dataframe(test_data, '1m', 'UNITTEST/BTC',
fill_missing=False, drop_incomplete=False)
# now = last cached item + 1 hour
now_ts = test_data[-1][0] / 1000 + 60 * 60
mocker.patch('arrow.utcnow', return_value=arrow.get(now_ts))
# timeframe starts earlier than the cached data
# should fully update data
timerange = TimeRange('date', None, test_data[0][0] / 1000 - 1, 0)
data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler)
assert data.empty
assert start_ts == test_data[0][0] - 1000
# timeframe starts in the center of the cached data
# should return the chached data w/o the last item
timerange = TimeRange('date', None, test_data[0][0] / 1000 + 1, 0)
data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler)
assert_frame_equal(data, test_data_df.iloc[:-1])
assert test_data[-2][0] <= start_ts < test_data[-1][0]
# timeframe starts after the chached data
# should return the chached data w/o the last item
timerange = TimeRange('date', None, test_data[-1][0] / 1000 + 100, 0)
data, start_ts = _load_cached_data_for_updating('UNITTEST/BTC', '1m', timerange, data_handler)
assert_frame_equal(data, test_data_df.iloc[:-1])
assert test_data[-2][0] <= start_ts < test_data[-1][0]
# no datafile exist
# should return timestamp start time
timerange = TimeRange('date', None, now_ts - 10000, 0)
data, start_ts = _load_cached_data_for_updating('NONEXIST/BTC', '1m', timerange, data_handler)
assert data.empty
assert start_ts == (now_ts - 10000) * 1000
# no datafile exist, no timeframe is set
# should return an empty array and None
data, start_ts = _load_cached_data_for_updating('NONEXIST/BTC', '1m', None, data_handler)
assert data.empty
assert start_ts is None
def test_download_pair_history(ticker_history_list, mocker, default_conf, testdatadir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=ticker_history_list)
exchange = get_patched_exchange(mocker, default_conf)
file1_1 = testdatadir / 'MEME_BTC-1m.json'
file1_5 = testdatadir / 'MEME_BTC-5m.json'
file2_1 = testdatadir / 'CFI_BTC-1m.json'
file2_5 = testdatadir / 'CFI_BTC-5m.json'
_backup_file(file1_1)
_backup_file(file1_5)
_backup_file(file2_1)
_backup_file(file2_5)
assert not file1_1.is_file()
assert not file2_1.is_file()
assert _download_pair_history(datadir=testdatadir, exchange=exchange,
pair='MEME/BTC',
timeframe='1m')
assert _download_pair_history(datadir=testdatadir, exchange=exchange,
pair='CFI/BTC',
timeframe='1m')
assert not exchange._pairs_last_refresh_time
assert file1_1.is_file()
assert file2_1.is_file()
# clean files freshly downloaded
_clean_test_file(file1_1)
_clean_test_file(file2_1)
assert not file1_5.is_file()
assert not file2_5.is_file()
assert _download_pair_history(datadir=testdatadir, exchange=exchange,
pair='MEME/BTC',
timeframe='5m')
assert _download_pair_history(datadir=testdatadir, exchange=exchange,
pair='CFI/BTC',
timeframe='5m')
assert not exchange._pairs_last_refresh_time
assert file1_5.is_file()
assert file2_5.is_file()
# clean files freshly downloaded
_clean_test_file(file1_5)
_clean_test_file(file2_5)
def test_download_pair_history2(mocker, default_conf, testdatadir) -> None:
tick = [
[1509836520000, 0.00162008, 0.00162008, 0.00162008, 0.00162008, 108.14853839],
[1509836580000, 0.00161, 0.00161, 0.00161, 0.00161, 82.390199]
]
json_dump_mock = mocker.patch(
'freqtrade.data.datahandlers.jsondatahandler.JsonDataHandler.ohlcv_store',
return_value=None)
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv', return_value=tick)
exchange = get_patched_exchange(mocker, default_conf)
_download_pair_history(testdatadir, exchange, pair="UNITTEST/BTC", timeframe='1m')
_download_pair_history(testdatadir, exchange, pair="UNITTEST/BTC", timeframe='3m')
assert json_dump_mock.call_count == 2
def test_download_backtesting_data_exception(ticker_history, mocker, caplog,
default_conf, testdatadir) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv',
side_effect=Exception('File Error'))
exchange = get_patched_exchange(mocker, default_conf)
file1_1 = testdatadir / 'MEME_BTC-1m.json'
file1_5 = testdatadir / 'MEME_BTC-5m.json'
_backup_file(file1_1)
_backup_file(file1_5)
assert not _download_pair_history(datadir=testdatadir, exchange=exchange,
pair='MEME/BTC',
timeframe='1m')
# clean files freshly downloaded
_clean_test_file(file1_1)
_clean_test_file(file1_5)
assert log_has(
'Failed to download history data for pair: "MEME/BTC", timeframe: 1m. '
'Error: File Error', caplog
)
def test_load_tickerdata_file(testdatadir) -> None:
# 7 does not exist in either format.
assert not load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '7m')
# 1 exists only as a .json
tickerdata = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '1m')
assert _BTC_UNITTEST_LENGTH == len(tickerdata)
# 8 .json is empty and will fail if it's loaded. .json.gz is a copy of 1.json
tickerdata = load_tickerdata_file(testdatadir, 'UNITTEST/BTC', '8m')
assert _BTC_UNITTEST_LENGTH == len(tickerdata)
def test_load_partial_missing(testdatadir, caplog) -> None:
# Make sure we start fresh - test missing data at start
start = arrow.get('2018-01-01T00:00:00')
end = arrow.get('2018-01-11T00:00:00')
tickerdata = load_data(testdatadir, '5m', ['UNITTEST/BTC'], startup_candles=20,
timerange=TimeRange('date', 'date', start.timestamp, end.timestamp))
assert log_has(
'Using indicator startup period: 20 ...', caplog
)
# timedifference in 5 minutes
td = ((end - start).total_seconds() // 60 // 5) + 1
assert td != len(tickerdata['UNITTEST/BTC'])
start_real = tickerdata['UNITTEST/BTC'].iloc[0, 0]
assert log_has(f'Missing data at start for pair '
f'UNITTEST/BTC, data starts at {start_real.strftime("%Y-%m-%d %H:%M:%S")}',
caplog)
# Make sure we start fresh - test missing data at end
caplog.clear()
start = arrow.get('2018-01-10T00:00:00')
end = arrow.get('2018-02-20T00:00:00')
tickerdata = load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
timerange=TimeRange('date', 'date', start.timestamp, end.timestamp))
# timedifference in 5 minutes
td = ((end - start).total_seconds() // 60 // 5) + 1
assert td != len(tickerdata['UNITTEST/BTC'])
# Shift endtime with +5 - as last candle is dropped (partial candle)
end_real = arrow.get(tickerdata['UNITTEST/BTC'].iloc[-1, 0]).shift(minutes=5)
assert log_has(f'Missing data at end for pair '
f'UNITTEST/BTC, data ends at {end_real.strftime("%Y-%m-%d %H:%M:%S")}',
caplog)
def test_init(default_conf, mocker) -> None:
assert {} == load_data(
datadir='',
pairs=[],
timeframe=default_conf['ticker_interval']
)
def test_init_with_refresh(default_conf, mocker) -> None:
exchange = get_patched_exchange(mocker, default_conf)
refresh_data(
datadir='',
pairs=[],
timeframe=default_conf['ticker_interval'],
exchange=exchange
)
assert {} == load_data(
datadir='',
pairs=[],
timeframe=default_conf['ticker_interval']
)
def test_trim_tickerlist(testdatadir) -> None:
file = testdatadir / 'UNITTEST_BTC-1m.json'
with open(file) as data_file:
ticker_list = json.load(data_file)
ticker_list_len = len(ticker_list)
# Test the pattern ^(\d{8})-(\d{8})$
# This pattern extract a window between the dates
timerange = TimeRange('date', 'date', ticker_list[5][0] / 1000, ticker_list[10][0] / 1000 - 1)
ticker = trim_tickerlist(ticker_list, timerange)
ticker_len = len(ticker)
assert ticker_len == 5
assert ticker_list[0] is not ticker[0] # The first element should be different
assert ticker_list[5] is ticker[0] # The list starts at the index 5
assert ticker_list[9] is ticker[-1] # The list ends at the index 9 (5 elements)
# Test the pattern ^-(\d{8})$
# This pattern extracts elements from the start to the date
timerange = TimeRange(None, 'date', 0, ticker_list[10][0] / 1000 - 1)
ticker = trim_tickerlist(ticker_list, timerange)
ticker_len = len(ticker)
assert ticker_len == 10
assert ticker_list[0] is ticker[0] # The start of the list is included
assert ticker_list[9] is ticker[-1] # The element 10 is not included
# Test the pattern ^(\d{8})-$
# This pattern extracts elements from the date to now
timerange = TimeRange('date', None, ticker_list[10][0] / 1000 - 1, None)
ticker = trim_tickerlist(ticker_list, timerange)
ticker_len = len(ticker)
assert ticker_len == ticker_list_len - 10
assert ticker_list[10] is ticker[0] # The first element is element #10
assert ticker_list[-1] is ticker[-1] # The last element is the same
# Test a wrong pattern
# This pattern must return the list unchanged
timerange = TimeRange(None, None, None, 5)
ticker = trim_tickerlist(ticker_list, timerange)
ticker_len = len(ticker)
assert ticker_list_len == ticker_len
# passing empty list
timerange = TimeRange(None, None, None, 5)
ticker = trim_tickerlist([], timerange)
assert 0 == len(ticker)
assert not ticker
def test_file_dump_json_tofile(testdatadir) -> None:
file = testdatadir / 'test_{id}.json'.format(id=str(uuid.uuid4()))
data = {'bar': 'foo'}
# check the file we will create does not exist
assert not file.is_file()
# Create the Json file
file_dump_json(file, data)
# Check the file was create
assert file.is_file()
# Open the Json file created and test the data is in it
with file.open() as data_file:
json_from_file = json.load(data_file)
assert 'bar' in json_from_file
assert json_from_file['bar'] == 'foo'
# Remove the file
_clean_test_file(file)
def test_get_timerange(default_conf, mocker, testdatadir) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
load_data(
datadir=testdatadir,
timeframe='1m',
pairs=['UNITTEST/BTC']
)
)
min_date, max_date = get_timerange(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:58:00+00:00'
def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
data = strategy.tickerdata_to_dataframe(
load_data(
datadir=testdatadir,
timeframe='1m',
pairs=['UNITTEST/BTC'],
fill_up_missing=False
)
)
min_date, max_date = get_timerange(data)
caplog.clear()
assert validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
min_date, max_date, timeframe_to_minutes('1m'))
assert len(caplog.record_tuples) == 1
assert log_has(
"UNITTEST/BTC has missing frames: expected 14396, got 13680, that's 716 missing values",
caplog)
def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> None:
patch_exchange(mocker)
strategy = DefaultStrategy(default_conf)
timerange = TimeRange('index', 'index', 200, 250)
data = strategy.tickerdata_to_dataframe(
load_data(
datadir=testdatadir,
timeframe='5m',
pairs=['UNITTEST/BTC'],
timerange=timerange
)
)
min_date, max_date = get_timerange(data)
caplog.clear()
assert not validate_backtest_data(data['UNITTEST/BTC'], 'UNITTEST/BTC',
min_date, max_date, timeframe_to_minutes('5m'))
assert len(caplog.record_tuples) == 0
def test_refresh_backtest_ohlcv_data(mocker, default_conf, markets, caplog, testdatadir):
dl_mock = mocker.patch('freqtrade.data.history._download_pair_history', MagicMock())
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets)
)
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
mocker.patch.object(Path, "unlink", MagicMock())
ex = get_patched_exchange(mocker, default_conf)
timerange = TimeRange.parse_timerange("20190101-20190102")
refresh_backtest_ohlcv_data(exchange=ex, pairs=["ETH/BTC", "XRP/BTC"],
timeframes=["1m", "5m"], datadir=testdatadir,
timerange=timerange, erase=True
)
assert dl_mock.call_count == 4
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
assert log_has("Downloading pair ETH/BTC, interval 1m.", caplog)
def test_download_data_no_markets(mocker, default_conf, caplog, testdatadir):
dl_mock = mocker.patch('freqtrade.data.history._download_pair_history', MagicMock())
ex = get_patched_exchange(mocker, default_conf)
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value={})
)
timerange = TimeRange.parse_timerange("20190101-20190102")
unav_pairs = refresh_backtest_ohlcv_data(exchange=ex, pairs=["BTT/BTC", "LTC/USDT"],
timeframes=["1m", "5m"],
datadir=testdatadir,
timerange=timerange, erase=False
)
assert dl_mock.call_count == 0
assert "BTT/BTC" in unav_pairs
assert "LTC/USDT" in unav_pairs
assert log_has("Skipping pair BTT/BTC...", caplog)
def test_refresh_backtest_trades_data(mocker, default_conf, markets, caplog, testdatadir):
dl_mock = mocker.patch('freqtrade.data.history._download_trades_history', MagicMock())
mocker.patch(
'freqtrade.exchange.Exchange.markets', PropertyMock(return_value=markets)
)
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
mocker.patch.object(Path, "unlink", MagicMock())
ex = get_patched_exchange(mocker, default_conf)
timerange = TimeRange.parse_timerange("20190101-20190102")
unavailable_pairs = refresh_backtest_trades_data(exchange=ex,
pairs=["ETH/BTC", "XRP/BTC", "XRP/ETH"],
datadir=testdatadir,
timerange=timerange, erase=True
)
assert dl_mock.call_count == 2
assert dl_mock.call_args[1]['timerange'].starttype == 'date'
assert log_has("Downloading trades for pair ETH/BTC.", caplog)
assert unavailable_pairs == ["XRP/ETH"]
assert log_has("Skipping pair XRP/ETH...", caplog)
def test_download_trades_history(trades_history, mocker, default_conf, testdatadir, caplog) -> None:
ght_mock = MagicMock(side_effect=lambda pair, *args, **kwargs: (pair, trades_history))
mocker.patch('freqtrade.exchange.Exchange.get_historic_trades',
ght_mock)
exchange = get_patched_exchange(mocker, default_conf)
file1 = testdatadir / 'ETH_BTC-trades.json.gz'
data_handler = get_datahandler(testdatadir, data_format='jsongz')
_backup_file(file1)
assert not file1.is_file()
assert _download_trades_history(data_handler=data_handler, exchange=exchange,
pair='ETH/BTC')
assert log_has("New Amount of trades: 5", caplog)
assert file1.is_file()
# clean files freshly downloaded
_clean_test_file(file1)
mocker.patch('freqtrade.exchange.Exchange.get_historic_trades',
MagicMock(side_effect=ValueError))
assert not _download_trades_history(data_handler=data_handler, exchange=exchange,
pair='ETH/BTC')
assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog)
def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog):
pair = 'XRP/ETH'
file1 = testdatadir / 'XRP_ETH-1m.json'
file5 = testdatadir / 'XRP_ETH-5m.json'
# Compare downloaded dataset with converted dataset
dfbak_1m = load_pair_history(datadir=testdatadir, timeframe="1m", pair=pair)
dfbak_5m = load_pair_history(datadir=testdatadir, timeframe="5m", pair=pair)
_backup_file(file1, copy_file=True)
_backup_file(file5)
tr = TimeRange.parse_timerange('20191011-20191012')
convert_trades_to_ohlcv([pair], timeframes=['1m', '5m'],
datadir=testdatadir, timerange=tr, erase=True)
assert log_has("Deleting existing data for pair XRP/ETH, interval 1m.", caplog)
# Load new data
df_1m = load_pair_history(datadir=testdatadir, timeframe="1m", pair=pair)
df_5m = load_pair_history(datadir=testdatadir, timeframe="5m", pair=pair)
assert df_1m.equals(dfbak_1m)
assert df_5m.equals(dfbak_5m)
_clean_test_file(file1)
_clean_test_file(file5)
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