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Move trades-to-ohlcv to converter file

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This commit is contained in:
Matthias 2023-09-24 10:38:25 +02:00
parent 8a5287581f
commit 2322d0f3f3
3 changed files with 44 additions and 40 deletions
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5
freqtrade/commands/data_commands.py
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@ -5,8 +5,9 @@ from typing import Any, Dict
from freqtrade.configuration import TimeRange, setup_utils_configuration
from freqtrade.constants import DATETIME_PRINT_FORMAT, DL_DATA_TIMEFRAMES, Config
from freqtrade.data.converter import convert_ohlcv_format, convert_trades_format
from freqtrade.data.history import convert_trades_to_ohlcv, download_data_main
from freqtrade.data.converter import (convert_ohlcv_format, convert_trades_format,
convert_trades_to_ohlcv)
from freqtrade.data.history import download_data_main
from freqtrade.enums import RunMode, TradingMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes

38
freqtrade/data/converter.py
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@ -2,12 +2,14 @@
Functions to convert data from one format to another
"""
import logging
from pathlib import Path
from typing import Dict, List
import numpy as np
import pandas as pd
from pandas import DataFrame, to_datetime
from freqtrade.configuration import TimeRange
from freqtrade.constants import (DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TRADES_DTYPES,
Config, TradeList)
from freqtrade.enums import CandleType, TradingMode
@ -260,6 +262,42 @@ def trades_to_ohlcv(trades: DataFrame, timeframe: str) -> DataFrame:
return df_new.loc[:, DEFAULT_DATAFRAME_COLUMNS]
def convert_trades_to_ohlcv(
pairs: List[str],
timeframes: List[str],
datadir: Path,
timerange: TimeRange,
erase: bool = False,
data_format_ohlcv: str = 'feather',
data_format_trades: str = 'feather',
candle_type: CandleType = CandleType.SPOT
) -> None:
"""
Convert stored trades data to ohlcv data
"""
from freqtrade.data.history.idatahandler import get_datahandler
data_handler_trades = get_datahandler(datadir, data_format=data_format_trades)
data_handler_ohlcv = get_datahandler(datadir, data_format=data_format_ohlcv)
if not pairs:
pairs = data_handler_trades.trades_get_pairs(datadir)
logger.info(f"About to convert pairs: '{', '.join(pairs)}', "
f"intervals: '{', '.join(timeframes)}' to {datadir}")
for pair in pairs:
trades = data_handler_trades.trades_load(pair)
for timeframe in timeframes:
if erase:
if data_handler_ohlcv.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
try:
ohlcv = trades_to_ohlcv(trades, timeframe)
# Store ohlcv
data_handler_ohlcv.ohlcv_store(pair, timeframe, data=ohlcv, candle_type=candle_type)
except ValueError:
logger.exception(f'Could not convert {pair} to OHLCV.')
def convert_trades_format(config: Config, convert_from: str, convert_to: str, erase: bool):
"""
Convert trades from one format to another format.

41
freqtrade/data/history/history_utils.py
View File

@ -9,9 +9,9 @@ from pandas import DataFrame, concat
from freqtrade.configuration import TimeRange
from freqtrade.constants import (DATETIME_PRINT_FORMAT, DEFAULT_DATAFRAME_COLUMNS,
DL_DATA_TIMEFRAMES, Config)
from freqtrade.data.converter import (clean_ohlcv_dataframe, ohlcv_to_dataframe,
trades_df_remove_duplicates, trades_list_to_df,
trades_to_ohlcv)
from freqtrade.data.converter import (clean_ohlcv_dataframe, convert_trades_to_ohlcv,
ohlcv_to_dataframe, trades_df_remove_duplicates,
trades_list_to_df)
from freqtrade.data.history.idatahandler import IDataHandler, get_datahandler
from freqtrade.enums import CandleType
from freqtrade.exceptions import OperationalException
@ -429,41 +429,6 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir:
return pairs_not_available
def convert_trades_to_ohlcv(
pairs: List[str],
timeframes: List[str],
datadir: Path,
timerange: TimeRange,
erase: bool = False,
data_format_ohlcv: str = 'feather',
data_format_trades: str = 'feather',
candle_type: CandleType = CandleType.SPOT
) -> None:
"""
Convert stored trades data to ohlcv data
"""
data_handler_trades = get_datahandler(datadir, data_format=data_format_trades)
data_handler_ohlcv = get_datahandler(datadir, data_format=data_format_ohlcv)
if not pairs:
pairs = data_handler_trades.trades_get_pairs(datadir)
logger.info(f"About to convert pairs: '{', '.join(pairs)}', "
f"intervals: '{', '.join(timeframes)}' to {datadir}")
for pair in pairs:
trades = data_handler_trades.trades_load(pair)
for timeframe in timeframes:
if erase:
if data_handler_ohlcv.ohlcv_purge(pair, timeframe, candle_type=candle_type):
logger.info(f'Deleting existing data for pair {pair}, interval {timeframe}.')
try:
ohlcv = trades_to_ohlcv(trades, timeframe)
# Store ohlcv
data_handler_ohlcv.ohlcv_store(pair, timeframe, data=ohlcv, candle_type=candle_type)
except ValueError:
logger.exception(f'Could not convert {pair} to OHLCV.')
def get_timerange(data: Dict[str, DataFrame]) -> Tuple[datetime, datetime]:
"""
Get the maximum common timerange for the given backtest data.