freqtrade_origin/tests/data/test_converter.py

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# pragma pylint: disable=missing-docstring, C0103
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import logging
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from freqtrade.configuration.timerange import TimeRange
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from freqtrade.data.converter import (convert_ohlcv_format,
convert_trades_format,
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ohlcv_fill_up_missing_data,
parse_ticker_dataframe, trim_dataframe)
from freqtrade.data.history import (get_timerange, load_data,
load_pair_history, validate_backtest_data)
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from tests.conftest import log_has
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from tests.data.test_history import _backup_file, _clean_test_file
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def test_dataframe_correct_columns(result):
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assert result.columns.tolist() == ['date', 'open', 'high', 'low', 'close', 'volume']
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def test_parse_ticker_dataframe(ticker_history_list, caplog):
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columns = ['date', 'open', 'high', 'low', 'close', 'volume']
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caplog.set_level(logging.DEBUG)
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# Test file with BV data
dataframe = parse_ticker_dataframe(ticker_history_list, '5m',
pair="UNITTEST/BTC", fill_missing=True)
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assert dataframe.columns.tolist() == columns
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assert log_has('Parsing tickerlist to dataframe', caplog)
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def test_ohlcv_fill_up_missing_data(testdatadir, caplog):
data = load_pair_history(datadir=testdatadir,
timeframe='1m',
pair='UNITTEST/BTC',
fill_up_missing=False)
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caplog.set_level(logging.DEBUG)
data2 = ohlcv_fill_up_missing_data(data, '1m', 'UNITTEST/BTC')
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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: "
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f"{len(data)} - after: {len(data2)}", caplog)
# Test fillup actually fixes invalid backtest data
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min_date, max_date = get_timerange({'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)
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def test_ohlcv_fill_up_missing_data2(caplog):
timeframe = '5m'
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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, timeframe, pair="UNITTEST/BTC", fill_missing=False)
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assert len(data) == 3
caplog.set_level(logging.DEBUG)
data2 = ohlcv_fill_up_missing_data(data, timeframe, "UNITTEST/BTC")
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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()
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assert log_has(f"Missing data fillup for UNITTEST/BTC: before: "
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f"{len(data)} - after: {len(data2)}", caplog)
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def test_ohlcv_drop_incomplete(caplog):
timeframe = '1d'
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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, timeframe, pair="UNITTEST/BTC",
fill_missing=False, drop_incomplete=False)
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assert len(data) == 4
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assert not log_has("Dropping last candle", caplog)
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# Drop last candle
data = parse_ticker_dataframe(ticks, timeframe, pair="UNITTEST/BTC",
fill_missing=False, drop_incomplete=True)
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assert len(data) == 3
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assert log_has("Dropping last candle", caplog)
def test_trim_dataframe(testdatadir) -> None:
data = load_data(
datadir=testdatadir,
timeframe='1m',
pairs=['UNITTEST/BTC']
)['UNITTEST/BTC']
min_date = int(data.iloc[0]['date'].timestamp())
max_date = int(data.iloc[-1]['date'].timestamp())
data_modify = data.copy()
# Remove first 30 minutes (1800 s)
tr = TimeRange('date', None, min_date + 1800, 0)
data_modify = trim_dataframe(data_modify, tr)
assert not data_modify.equals(data)
assert len(data_modify) < len(data)
assert len(data_modify) == len(data) - 30
assert all(data_modify.iloc[-1] == data.iloc[-1])
assert all(data_modify.iloc[0] == data.iloc[30])
data_modify = data.copy()
# Remove last 30 minutes (1800 s)
tr = TimeRange(None, 'date', 0, max_date - 1800)
data_modify = trim_dataframe(data_modify, tr)
assert not data_modify.equals(data)
assert len(data_modify) < len(data)
assert len(data_modify) == len(data) - 30
assert all(data_modify.iloc[0] == data.iloc[0])
assert all(data_modify.iloc[-1] == data.iloc[-31])
data_modify = data.copy()
# Remove first 25 and last 30 minutes (1800 s)
tr = TimeRange('date', 'date', min_date + 1500, max_date - 1800)
data_modify = trim_dataframe(data_modify, tr)
assert not data_modify.equals(data)
assert len(data_modify) < len(data)
assert len(data_modify) == len(data) - 55
# first row matches 25th original row
assert all(data_modify.iloc[0] == data.iloc[25])
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def test_convert_trades_format(mocker, default_conf, testdatadir):
file = testdatadir / "XRP_ETH-trades.json.gz"
file_new = testdatadir / "XRP_ETH-trades.json"
_backup_file(file, copy_file=True)
default_conf['datadir'] = testdatadir
assert not file_new.exists()
convert_trades_format(default_conf, convert_from='jsongz',
convert_to='json', erase=False)
assert file_new.exists()
assert file.exists()
# Remove original file
file.unlink()
# Convert back
convert_trades_format(default_conf, convert_from='json',
convert_to='jsongz', erase=True)
assert file.exists()
assert not file_new.exists()
_clean_test_file(file)
if file_new.exists():
file_new.unlink()
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def test_convert_ohlcv_format(mocker, default_conf, testdatadir):
file1 = testdatadir / "XRP_ETH-5m.json"
file1_new = testdatadir / "XRP_ETH-5m.json.gz"
file2 = testdatadir / "XRP_ETH-1m.json"
file2_new = testdatadir / "XRP_ETH-1m.json.gz"
_backup_file(file1, copy_file=True)
_backup_file(file2, copy_file=True)
default_conf['datadir'] = testdatadir
default_conf['pairs'] = ['XRP_ETH']
default_conf['timeframes'] = ['1m', '5m']
assert not file1_new.exists()
assert not file2_new.exists()
convert_ohlcv_format(default_conf, convert_from='json',
convert_to='jsongz', erase=False)
assert file1_new.exists()
assert file2_new.exists()
assert file1.exists()
assert file2.exists()
# Remove original files
file1.unlink()
file2.unlink()
# Convert back
convert_ohlcv_format(default_conf, convert_from='jsongz',
convert_to='json', erase=True)
assert file1.exists()
assert file2.exists()
assert not file1_new.exists()
assert not file2_new.exists()
_clean_test_file(file1)
_clean_test_file(file2)
if file1_new.exists():
file1_new.unlink()
if file2_new.exists():
file2_new.unlink()