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Combine ohlcv data in exchange class for live mode

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This commit is contained in:
Matthias 2022-10-03 20:49:54 +02:00
parent edb942f662
commit 02e238a944
1 changed files with 34 additions and 15 deletions
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49
freqtrade/exchange/exchange.py
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@ -18,12 +18,12 @@ import ccxt.async_support as ccxt_async
from cachetools import TTLCache
from ccxt import ROUND_DOWN, ROUND_UP, TICK_SIZE, TRUNCATE, decimal_to_precision
from dateutil import parser
from pandas import DataFrame
from pandas import DataFrame, concat
from freqtrade.constants import (DEFAULT_AMOUNT_RESERVE_PERCENT, NON_OPEN_EXCHANGE_STATES, BuySell,
Config, EntryExit, ListPairsWithTimeframes, MakerTaker,
PairWithTimeframe)
from freqtrade.data.converter import ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.data.converter import clean_ohlcv_dataframe, ohlcv_to_dataframe, trades_dict_to_list
from freqtrade.enums import OPTIMIZE_MODES, CandleType, MarginMode, TradingMode
from freqtrade.exceptions import (DDosProtection, ExchangeError, InsufficientFundsError,
InvalidOrderException, OperationalException, PricingError,
@ -1850,10 +1850,14 @@ class Exchange:
return pair, timeframe, candle_type, data
def _build_coroutine(self, pair: str, timeframe: str, candle_type: CandleType,
since_ms: Optional[int]) -> Coroutine:
since_ms: Optional[int], cache: bool) -> Coroutine:
not_all_data = self.required_candle_call_count > 1
if cache and (pair, timeframe, candle_type) in self._klines:
# Not in cache - force multi-calls
not_all_data = False
if (not since_ms
and (self._ft_has["ohlcv_require_since"] or self.required_candle_call_count > 1)):
and (self._ft_has["ohlcv_require_since"] or not_all_data)):
# Multiple calls for one pair - to get more history
one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(
timeframe, candle_type, since_ms)
@ -1890,8 +1894,9 @@ class Exchange:
if ((pair, timeframe, candle_type) not in self._klines or not cache
or self._now_is_time_to_refresh(pair, timeframe, candle_type)):
input_coroutines.append(self._build_coroutine(
pair, timeframe, candle_type=candle_type, since_ms=since_ms))
input_coroutines.append(
self._build_coroutine(pair, timeframe, candle_type, since_ms, cache))
else:
logger.debug(
@ -1901,6 +1906,25 @@ class Exchange:
return input_coroutines, cached_pairs
def _process_ohlcv_df(self, pair: str, timeframe: str, c_type: CandleType, ticks: List[List],
cache: bool, drop_incomplete: bool) -> DataFrame:
# keeping last candle time as last refreshed time of the pair
if ticks:
self._pairs_last_refresh_time[(pair, timeframe, c_type)] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
ohlcv_df = ohlcv_to_dataframe(ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=drop_incomplete)
if cache:
if (pair, timeframe, c_type) in self._klines:
old = self._klines[(pair, timeframe, c_type)]
# Reassign so we return the updated, combined df
ohlcv_df = clean_ohlcv_dataframe(concat([old, ohlcv_df], axis=0), timeframe, pair,
fill_missing=True, drop_incomplete=False)
self._klines[(pair, timeframe, c_type)] = ohlcv_df
else:
self._klines[(pair, timeframe, c_type)] = ohlcv_df
return ohlcv_df
def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
since_ms: Optional[int] = None, cache: bool = True,
drop_incomplete: Optional[bool] = None
@ -1937,16 +1961,11 @@ class Exchange:
continue
# Deconstruct tuple (has 4 elements)
pair, timeframe, c_type, ticks = res
# keeping last candle time as last refreshed time of the pair
if ticks:
self._pairs_last_refresh_time[(pair, timeframe, c_type)] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
ohlcv_df = ohlcv_to_dataframe(
ticks, timeframe, pair=pair, fill_missing=True,
drop_incomplete=drop_incomplete)
ohlcv_df = self._process_ohlcv_df(
pair, timeframe, c_type, ticks, cache, drop_incomplete)
results_df[(pair, timeframe, c_type)] = ohlcv_df
if cache:
self._klines[(pair, timeframe, c_type)] = ohlcv_df
# Return cached klines
for pair, timeframe, c_type in cached_pairs:
results_df[(pair, timeframe, c_type)] = self.klines(