Store tickers by pair / ticker_interval

freqtrade/data/dataprovider.py

@@ -6,7 +6,7 @@ Common Interface for bot and strategy to access data.
 """
 import logging
 from pathlib import Path
-from typing import List
+from typing import List, Tuple
 
 from pandas import DataFrame
 
@@ -23,11 +23,11 @@ class DataProvider(object):
         self._config = config
         self._exchange = exchange
 
-    def refresh(self, pairlist: List[str]) -> None:
+    def refresh(self, pairlist: List[Tuple[str, str]]) -> None:
         """
         Refresh data, called with each cycle
         """
-        self._exchange.refresh_latest_ohlcv(pairlist, self._config['ticker_interval'])
+        self._exchange.refresh_latest_ohlcv(pairlist)
 
     @property
     def available_pairs(self) -> List[str]:
@@ -37,23 +37,31 @@ class DataProvider(object):
         """
         return list(self._exchange._klines.keys())
 
-    def ohlcv(self, pair: str, copy: bool = True) -> DataFrame:
+    def ohlcv(self, pair: str, tick_interval: str = None, copy: bool = True) -> DataFrame:
         """
         get ohlcv data for the given pair as DataFrame
         Please check `available_pairs` to verify which pairs are currently cached.
         :param pair: pair to get the data for
+        :param tick_interval: ticker_interval to get pair for
         :param copy: copy dataframe before returning.
                      Use false only for RO operations (where the dataframe is not modified)
         """
         # TODO: Should not be stored in exchange but in this class
         if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
-            return self._exchange.klines(pair, copy)
+            if tick_interval:
+                pairtick = (pair, tick_interval)
+            else:
+                pairtick = (pair, self._config['ticker_interval'])
+
+            return self._exchange.klines(pairtick, copy=copy)
         else:
             return DataFrame()
 
     def historic_ohlcv(self, pair: str, ticker_interval: str) -> DataFrame:
         """
         get historic ohlcv data stored for backtesting
+        :param pair: pair to get the data for
+        :param tick_interval: ticker_interval to get pair for
         """
         return load_pair_history(pair=pair,
                                  ticker_interval=ticker_interval,

freqtrade/exchange/__init__.py

@@ -83,7 +83,7 @@ class Exchange(object):
         self._pairs_last_refresh_time: Dict[str, int] = {}
 
         # Holds candles
-        self._klines: Dict[str, DataFrame] = {}
+        self._klines: Dict[Tuple[str, str], DataFrame] = {}
 
         # Holds all open sell orders for dry_run
         self._dry_run_open_orders: Dict[str, Any] = {}
@@ -158,9 +158,10 @@ class Exchange(object):
         """exchange ccxt id"""
         return self._api.id
 
-    def klines(self, pair: str, copy=True) -> DataFrame:
-        if pair in self._klines:
-            return self._klines[pair].copy() if copy else self._klines[pair]
+    def klines(self, pair_interval: Tuple[str, str], copy=True) -> DataFrame:
+        # create key tuple
+        if pair_interval in self._klines:
+            return self._klines[pair_interval].copy() if copy else self._klines[pair_interval]
         else:
             return DataFrame()
 
@@ -531,24 +532,24 @@ class Exchange(object):
         logger.info("downloaded %s with length %s.", pair, len(data))
         return data
 
-    def refresh_latest_ohlcv(self, pair_list: List[str],
-                             ticker_interval: str) -> List[Tuple[str, List]]:
+    def refresh_latest_ohlcv(self, pair_list: List[Tuple[str, str]]) -> List[Tuple[str, List]]:
         """
-        Refresh in-memory ohlcv asyncronously and set `_klines`  with the result
+        Refresh in-memory ohlcv asyncronously and set `_klines` with the result
         """
         logger.debug("Refreshing ohlcv data for %d pairs", len(pair_list))
 
-        # Calculating ticker interval in second
-        interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60
         input_coroutines = []
 
         # Gather corotines to run
-        for pair in pair_list:
+        for pair, ticker_interval in pair_list:
+            # Calculating ticker interval in second
+            interval_in_sec = constants.TICKER_INTERVAL_MINUTES[ticker_interval] * 60
+
             if not (self._pairs_last_refresh_time.get(pair, 0) + interval_in_sec >=
-                    arrow.utcnow().timestamp and pair in self._klines):
+                    arrow.utcnow().timestamp and (pair, ticker_interval) in self._klines):
                 input_coroutines.append(self._async_get_candle_history(pair, ticker_interval))
             else:
-                logger.debug("Using cached ohlcv data for %s ...", pair)
+                logger.debug("Using cached ohlcv data for %s, %s ...", pair, ticker_interval)
 
         tickers = asyncio.get_event_loop().run_until_complete(
             asyncio.gather(*input_coroutines, return_exceptions=True))
@@ -559,13 +560,14 @@ class Exchange(object):
                 logger.warning("Async code raised an exception: %s", res.__class__.__name__)
                 continue
             pair = res[0]
-            tick_interval[1]
+            tick_interval = res[1]
             ticks = res[2]
             # keeping last candle time as last refreshed time of the pair
             if ticks:
                 self._pairs_last_refresh_time[pair] = ticks[-1][0] // 1000
-                # keeping parsed dataframe in cache
-                self._klines[pair] = parse_ticker_dataframe(ticks, tick_interval, fill_missing=True)
+            # keeping parsed dataframe in cache
+            self._klines[(pair, tick_interval)] = parse_ticker_dataframe(
+                ticks, tick_interval, fill_missing=True)
         return tickers
 
     @retrier_async

freqtrade/freqtradebot.py

@@ -170,8 +170,11 @@ class FreqtradeBot(object):
             self.active_pair_whitelist.extend([trade.pair for trade in trades
                                                if trade.pair not in self.active_pair_whitelist])
 
+            # Create pair-whitelist tuple with (pair, ticker_interval)
+            pair_whitelist = [(pair, self.config['ticker_interval'])
+                              for pair in self.active_pair_whitelist]
             # Refreshing candles
-            self.dataprovider.refresh(self.active_pair_whitelist)
+            self.dataprovider.refresh(pair_whitelist)
 
             # First process current opened trades
             for trade in trades:
@@ -321,7 +324,9 @@ class FreqtradeBot(object):
 
         # running get_signal on historical data fetched
         for _pair in whitelist:
-            (buy, sell) = self.strategy.get_signal(_pair, interval, self.dataprovider.ohlcv(_pair))
+            (buy, sell) = self.strategy.get_signal(
+                _pair, interval, self.dataprovider.ohlcv(_pair, self.strategy.ticker_interval))
+
             if buy and not sell:
                 stake_amount = self._get_trade_stake_amount(_pair)
                 if not stake_amount:
@@ -582,8 +587,9 @@ class FreqtradeBot(object):
         (buy, sell) = (False, False)
         experimental = self.config.get('experimental', {})
         if experimental.get('use_sell_signal') or experimental.get('ignore_roi_if_buy_signal'):
-            (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.ticker_interval,
-                                                   self.dataprovider.ohlcv(trade.pair))
+            (buy, sell) = self.strategy.get_signal(
+                trade.pair, self.strategy.ticker_interval,
+                self.dataprovider.ohlcv(trade.pair, self.strategy.ticker_interval))
 
         config_ask_strategy = self.config.get('ask_strategy', {})
         if config_ask_strategy.get('use_order_book', False):

freqtrade/optimize/backtesting.py

@@ -368,8 +368,9 @@ class Backtesting(object):
 
         if self.config.get('live'):
             logger.info('Downloading data for all pairs in whitelist ...')
-            self.exchange.refresh_latest_ohlcv(pairs, self.ticker_interval)
-            data = self.exchange._klines
+            self.exchange.refresh_latest_ohlcv([(pair, self.ticker_interval) for pair in pairs])
+            data = {key[0]: value for key, value in self.exchange._klines.items()}
+
         else:
             logger.info('Using local backtesting data (using whitelist in given config) ...')