mirror of
https://github.com/freqtrade/freqtrade.git
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Group things logically in exchange class
This commit is contained in:
Matthias
parent
86fe765180
commit
21bca95b6a
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@ -2041,13 +2041,6 @@ class Exchange:
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data = sorted(data, key=lambda x: x[0])
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return pair, timeframe, candle_type, data, self._ohlcv_partial_candle
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def needed_candle_ms(self, timeframe: str, candle_type: CandleType):
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one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(
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timeframe, candle_type)
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move_to = one_call * self.required_candle_call_count
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now = timeframe_to_next_date(timeframe)
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return int((now - timedelta(seconds=move_to // 1000)).timestamp() * 1000)
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def _build_coroutine(
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self, pair: str, timeframe: str, candle_type: CandleType,
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since_ms: Optional[int], cache: bool) -> Coroutine[Any, Any, OHLCVResponse]:
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@ -2136,37 +2129,6 @@ class Exchange:
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self._klines[(pair, timeframe, c_type)] = ohlcv_df
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return ohlcv_df
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def _process_trades_df(self,
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pair: str,
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timeframe: str,
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c_type: CandleType,
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ticks: List[List],
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cache: bool,
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first_required_candle_date: Optional[int]) -> DataFrame:
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# keeping parsed dataframe in cache
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trades_df = trades_list_to_df(ticks, True)
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# keeping last candle time as last refreshed time of the pair
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if ticks and cache:
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idx = -1
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# NOTE: // is floor: divides and rounds to nearest int
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self._trades_last_refresh_time[(pair, timeframe, c_type)] = trades_df['timestamp'].iat[idx] // 1000 # noqa
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if cache:
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if (pair, timeframe, c_type) in self._trades:
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old = self._trades[(pair, timeframe, c_type)]
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# Reassign so we return the updated, combined df
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combined_df = concat([old, trades_df], axis=0)
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logger.debug(f"Clean duplicated ticks from Trades data {pair}")
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trades_df = DataFrame(trades_df_remove_duplicates(combined_df),
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columns=combined_df.columns)
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# Age out old candles
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if first_required_candle_date:
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# slice of older dates
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trades_df = trades_df[
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first_required_candle_date < trades_df['timestamp']]
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trades_df = trades_df.reset_index(drop=True)
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self._trades[(pair, timeframe, c_type)] = trades_df
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return trades_df
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def refresh_latest_ohlcv(self, pair_list: ListPairsWithTimeframes, *,
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since_ms: Optional[int] = None, cache: bool = True,
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drop_incomplete: Optional[bool] = None
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@ -2217,6 +2179,170 @@ class Exchange:
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return results_df
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def refresh_ohlcv_with_cache(
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self,
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pairs: List[PairWithTimeframe],
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since_ms: int
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) -> Dict[PairWithTimeframe, DataFrame]:
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"""
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Refresh ohlcv data for all pairs in needed_pairs if necessary.
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Caches data with expiring per timeframe.
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Should only be used for pairlists which need "on time" expirarion, and no longer cache.
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"""
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timeframes = {p[1] for p in pairs}
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for timeframe in timeframes:
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if (timeframe, since_ms) not in self._expiring_candle_cache:
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timeframe_in_sec = timeframe_to_seconds(timeframe)
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# Initialise cache
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self._expiring_candle_cache[(timeframe, since_ms)] = PeriodicCache(
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ttl=timeframe_in_sec, maxsize=1000)
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# Get candles from cache
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candles = {
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c: self._expiring_candle_cache[(c[1], since_ms)].get(c, None) for c in pairs
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if c in self._expiring_candle_cache[(c[1], since_ms)]
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}
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pairs_to_download = [p for p in pairs if p not in candles]
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if pairs_to_download:
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candles = self.refresh_latest_ohlcv(
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pairs_to_download, since_ms=since_ms, cache=False
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)
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for c, val in candles.items():
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self._expiring_candle_cache[(c[1], since_ms)][c] = val
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return candles
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def _now_is_time_to_refresh(self, pair: str, timeframe: str, candle_type: CandleType) -> bool:
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# Timeframe in seconds
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interval_in_sec = timeframe_to_seconds(timeframe)
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plr = self._pairs_last_refresh_time.get((pair, timeframe, candle_type), 0) + interval_in_sec
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# current,active candle open date
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now = int(timeframe_to_prev_date(timeframe).timestamp())
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return plr < now
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@retrier_async
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async def _async_get_candle_history(
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self,
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pair: str,
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timeframe: str,
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candle_type: CandleType,
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since_ms: Optional[int] = None,
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) -> OHLCVResponse:
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"""
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Asynchronously get candle history data using fetch_ohlcv
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:param candle_type: '', mark, index, premiumIndex, or funding_rate
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returns tuple: (pair, timeframe, ohlcv_list)
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"""
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try:
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# Fetch OHLCV asynchronously
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s = '(' + dt_from_ts(since_ms).isoformat() + ') ' if since_ms is not None else ''
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logger.debug(
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"Fetching pair %s, %s, interval %s, since %s %s...",
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pair, candle_type, timeframe, since_ms, s
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)
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params = deepcopy(self._ft_has.get('ohlcv_params', {}))
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candle_limit = self.ohlcv_candle_limit(
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timeframe, candle_type=candle_type, since_ms=since_ms)
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if candle_type and candle_type != CandleType.SPOT:
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params.update({'price': candle_type.value})
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if candle_type != CandleType.FUNDING_RATE:
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data = await self._api_async.fetch_ohlcv(
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pair, timeframe=timeframe, since=since_ms,
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limit=candle_limit, params=params)
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else:
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# Funding rate
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data = await self._fetch_funding_rate_history(
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pair=pair,
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timeframe=timeframe,
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limit=candle_limit,
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since_ms=since_ms,
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)
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# Some exchanges sort OHLCV in ASC order and others in DESC.
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# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)
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# while GDAX returns the list of OHLCV in DESC order (newest first, oldest last)
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# Only sort if necessary to save computing time
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try:
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if data and data[0][0] > data[-1][0]:
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data = sorted(data, key=lambda x: x[0])
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except IndexError:
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logger.exception("Error loading %s. Result was %s.", pair, data)
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return pair, timeframe, candle_type, [], self._ohlcv_partial_candle
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logger.debug("Done fetching pair %s, %s interval %s...", pair, candle_type, timeframe)
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return pair, timeframe, candle_type, data, self._ohlcv_partial_candle
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching historical '
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f'candle (OHLCV) data. Message: {e}') from e
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not fetch historical candle (OHLCV) data '
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f'for pair {pair} due to {e.__class__.__name__}. '
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f'Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch historical candle (OHLCV) data '
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f'for pair {pair}. Message: {e}') from e
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async def _fetch_funding_rate_history(
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self,
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pair: str,
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timeframe: str,
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limit: int,
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since_ms: Optional[int] = None,
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) -> List[List]:
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"""
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Fetch funding rate history - used to selectively override this by subclasses.
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"""
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# Funding rate
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data = await self._api_async.fetch_funding_rate_history(
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pair, since=since_ms,
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limit=limit)
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# Convert funding rate to candle pattern
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data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
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return data
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# fetch Trade data stuff
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def needed_candle_ms(self, timeframe: str, candle_type: CandleType):
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one_call = timeframe_to_msecs(timeframe) * self.ohlcv_candle_limit(
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timeframe, candle_type)
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move_to = one_call * self.required_candle_call_count
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now = timeframe_to_next_date(timeframe)
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return int((now - timedelta(seconds=move_to // 1000)).timestamp() * 1000)
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def _process_trades_df(self,
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pair: str,
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timeframe: str,
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c_type: CandleType,
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ticks: List[List],
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cache: bool,
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first_required_candle_date: Optional[int]) -> DataFrame:
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# keeping parsed dataframe in cache
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trades_df = trades_list_to_df(ticks, True)
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# keeping last candle time as last refreshed time of the pair
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if ticks and cache:
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idx = -1
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# NOTE: // is floor: divides and rounds to nearest int
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self._trades_last_refresh_time[(pair, timeframe, c_type)] = trades_df['timestamp'].iat[idx] // 1000 # noqa
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if cache:
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if (pair, timeframe, c_type) in self._trades:
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old = self._trades[(pair, timeframe, c_type)]
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# Reassign so we return the updated, combined df
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combined_df = concat([old, trades_df], axis=0)
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logger.debug(f"Clean duplicated ticks from Trades data {pair}")
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trades_df = DataFrame(trades_df_remove_duplicates(combined_df),
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columns=combined_df.columns)
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# Age out old candles
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if first_required_candle_date:
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# slice of older dates
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trades_df = trades_df[
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first_required_candle_date < trades_df['timestamp']]
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trades_df = trades_df.reset_index(drop=True)
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self._trades[(pair, timeframe, c_type)] = trades_df
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return trades_df
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def refresh_latest_trades(self,
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pair_list: ListPairsWithTimeframes,
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data_handler: Any, # using IDataHandler ends with circular import
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@ -2305,47 +2431,6 @@ class Exchange:
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return results_df
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def refresh_ohlcv_with_cache(
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self,
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pairs: List[PairWithTimeframe],
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since_ms: int
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) -> Dict[PairWithTimeframe, DataFrame]:
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"""
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Refresh ohlcv data for all pairs in needed_pairs if necessary.
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Caches data with expiring per timeframe.
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Should only be used for pairlists which need "on time" expirarion, and no longer cache.
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"""
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timeframes = {p[1] for p in pairs}
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for timeframe in timeframes:
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if (timeframe, since_ms) not in self._expiring_candle_cache:
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timeframe_in_sec = timeframe_to_seconds(timeframe)
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# Initialise cache
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self._expiring_candle_cache[(timeframe, since_ms)] = PeriodicCache(
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ttl=timeframe_in_sec, maxsize=1000)
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# Get candles from cache
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candles = {
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c: self._expiring_candle_cache[(c[1], since_ms)].get(c, None) for c in pairs
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if c in self._expiring_candle_cache[(c[1], since_ms)]
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}
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pairs_to_download = [p for p in pairs if p not in candles]
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if pairs_to_download:
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candles = self.refresh_latest_ohlcv(
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pairs_to_download, since_ms=since_ms, cache=False
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)
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for c, val in candles.items():
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self._expiring_candle_cache[(c[1], since_ms)][c] = val
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return candles
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def _now_is_time_to_refresh(self, pair: str, timeframe: str, candle_type: CandleType) -> bool:
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# Timeframe in seconds
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interval_in_sec = timeframe_to_seconds(timeframe)
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plr = self._pairs_last_refresh_time.get((pair, timeframe, candle_type), 0) + interval_in_sec
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# current,active candle open date
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now = int(timeframe_to_prev_date(timeframe).timestamp())
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return plr < now
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def _now_is_time_to_refresh_trades(self,
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pair: str,
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timeframe: str,
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@ -2358,89 +2443,6 @@ class Exchange:
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now = int(timeframe_to_prev_date(timeframe).timestamp())
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return plr < now
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@retrier_async
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async def _async_get_candle_history(
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self,
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pair: str,
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timeframe: str,
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candle_type: CandleType,
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since_ms: Optional[int] = None,
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) -> OHLCVResponse:
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"""
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Asynchronously get candle history data using fetch_ohlcv
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:param candle_type: '', mark, index, premiumIndex, or funding_rate
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returns tuple: (pair, timeframe, ohlcv_list)
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"""
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try:
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# Fetch OHLCV asynchronously
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s = '(' + dt_from_ts(since_ms).isoformat() + ') ' if since_ms is not None else ''
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logger.debug(
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"Fetching pair %s, %s, interval %s, since %s %s...",
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pair, candle_type, timeframe, since_ms, s
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)
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params = deepcopy(self._ft_has.get('ohlcv_params', {}))
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candle_limit = self.ohlcv_candle_limit(
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timeframe, candle_type=candle_type, since_ms=since_ms)
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if candle_type and candle_type != CandleType.SPOT:
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params.update({'price': candle_type.value})
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if candle_type != CandleType.FUNDING_RATE:
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data = await self._api_async.fetch_ohlcv(
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pair, timeframe=timeframe, since=since_ms,
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limit=candle_limit, params=params)
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else:
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# Funding rate
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data = await self._fetch_funding_rate_history(
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pair=pair,
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timeframe=timeframe,
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limit=candle_limit,
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since_ms=since_ms,
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)
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# Some exchanges sort OHLCV in ASC order and others in DESC.
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# Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last)
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# while GDAX returns the list of OHLCV in DESC order (newest first, oldest last)
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# Only sort if necessary to save computing time
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try:
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if data and data[0][0] > data[-1][0]:
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data = sorted(data, key=lambda x: x[0])
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except IndexError:
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logger.exception("Error loading %s. Result was %s.", pair, data)
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return pair, timeframe, candle_type, [], self._ohlcv_partial_candle
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logger.debug("Done fetching pair %s, %s interval %s...", pair, candle_type, timeframe)
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return pair, timeframe, candle_type, data, self._ohlcv_partial_candle
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except ccxt.NotSupported as e:
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raise OperationalException(
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f'Exchange {self._api.name} does not support fetching historical '
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f'candle (OHLCV) data. Message: {e}') from e
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except ccxt.DDoSProtection as e:
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raise DDosProtection(e) from e
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except (ccxt.NetworkError, ccxt.ExchangeError) as e:
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raise TemporaryError(f'Could not fetch historical candle (OHLCV) data '
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f'for pair {pair} due to {e.__class__.__name__}. '
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f'Message: {e}') from e
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except ccxt.BaseError as e:
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raise OperationalException(f'Could not fetch historical candle (OHLCV) data '
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f'for pair {pair}. Message: {e}') from e
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async def _fetch_funding_rate_history(
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self,
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pair: str,
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timeframe: str,
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limit: int,
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since_ms: Optional[int] = None,
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) -> List[List]:
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"""
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Fetch funding rate history - used to selectively override this by subclasses.
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"""
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# Funding rate
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data = await self._api_async.fetch_funding_rate_history(
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pair, since=since_ms,
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limit=limit)
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# Convert funding rate to candle pattern
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data = [[x['timestamp'], x['fundingRate'], 0, 0, 0, 0] for x in data]
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return data
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# Fetch historic trades
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@retrier_async
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