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Merge pull request #328 from kryofly/datadir

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--datadir <path> argument
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Gérald LONLAS 2018-01-07 14:17:43 -08:00 committed by GitHub
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10 changed files with 61 additions and 38 deletions
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5
docs/backtesting.md
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@ -46,6 +46,11 @@ python3 ./freqtrade/main.py backtesting --realistic-simulation --refresh-pairs-c
python3 ./freqtrade/main.py backtesting --realistic-simulation --live
```
**Using a different on-disk ticker-data source**
```bash
python3 ./freqtrade/main.py backtesting --datadir freqtrade/tests/testdata-20180101
```
For help about backtesting usage, please refer to
[Backtesting commands](#backtesting-commands).

3
docs/bot-usage.md
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@ -26,6 +26,9 @@ optional arguments:
specify configuration file (default: config.json)
-v, --verbose be verbose
--version show program's version number and exit
-dd PATH, --datadir PATH
Path is from where backtesting and hyperopt will load the
ticker data files (default freqdata/tests/testdata).
--dynamic-whitelist [INT]
dynamically generate and update whitelist based on 24h
BaseVolume (Default 20 currencies)

5
docs/hyperopt.md
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@ -163,6 +163,11 @@ We strongly recommend to use `screen` to prevent any connection loss.
python3 ./freqtrade/main.py -c config.json hyperopt
```
### Execute hyperopt with different ticker-data source
If you would like to learn parameters using an alternate ticke-data that
you have on-disk, use the --datadir PATH option. Default hyperopt will
use data from directory freqtrade/tests/testdata.
### Hyperopt with MongoDB
Hyperopt with MongoDB, is like Hyperopt under steroids. As you saw by
executing the previous command is the execution takes a long time.

8
freqtrade/misc.py
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@ -125,6 +125,14 @@ def parse_args(args: List[str], description: str):
action='store_true',
dest='dry_run_db',
)
parser.add_argument(
'-dd', '--datadir',
help='path to backtest data (default freqdata/tests/testdata',
dest='datadir',
default='freqtrade/tests/testdata',
type=str,
metavar='PATH',
)
parser.add_argument(
'--dynamic-whitelist',
help='dynamically generate and update whitelist based on 24h BaseVolume (Default 20 currencies)', # noqa

29
freqtrade/optimize/__init__.py
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@ -12,12 +12,12 @@ from freqtrade.analyze import populate_indicators, parse_ticker_dataframe
logger = logging.getLogger(__name__)
def load_tickerdata_file(pair, ticker_interval):
def load_tickerdata_file(datadir, pair, ticker_interval):
"""
Load a pair from file,
:return dict OR empty if unsuccesful
"""
path = testdata_path()
path = make_testdata_path(datadir)
file = '{abspath}/{pair}-{ticker_interval}.json'.format(
abspath=path,
pair=pair,
@ -33,7 +33,7 @@ def load_tickerdata_file(pair, ticker_interval):
return pairdata
def load_data(ticker_interval: int = 5, pairs: Optional[List[str]] = None,
def load_data(datadir: str, ticker_interval: int = 5, pairs: Optional[List[str]] = None,
refresh_pairs: Optional[bool] = False) -> Dict[str, List]:
"""
Loads ticker history data for the given parameters
@ -47,16 +47,16 @@ def load_data(ticker_interval: int = 5, pairs: Optional[List[str]] = None,
# If the user force the refresh of pairs
if refresh_pairs:
logger.info('Download data for all pairs and store them in freqtrade/tests/testsdata')
download_pairs(_pairs)
logger.info('Download data for all pairs and store them in %s', datadir)
download_pairs(datadir, _pairs)
for pair in _pairs:
pairdata = load_tickerdata_file(pair, ticker_interval)
pairdata = load_tickerdata_file(datadir, pair, ticker_interval)
if not pairdata:
# download the tickerdata from exchange
download_backtesting_testdata(pair=pair, interval=ticker_interval)
download_backtesting_testdata(datadir, pair=pair, interval=ticker_interval)
# and retry reading the pair
pairdata = load_tickerdata_file(pair, ticker_interval)
pairdata = load_tickerdata_file(datadir, pair, ticker_interval)
result[pair] = pairdata
return result
@ -67,17 +67,18 @@ def preprocess(tickerdata: Dict[str, List]) -> Dict[str, DataFrame]:
for pair, pair_data in tickerdata.items()}
def testdata_path() -> str:
def make_testdata_path(datadir: str) -> str:
"""Return the path where testdata files are stored"""
return os.path.abspath(os.path.join(os.path.dirname(__file__), '..', 'tests', 'testdata'))
return datadir or os.path.abspath(os.path.join(os.path.dirname(__file__),
'..', 'tests', 'testdata'))
def download_pairs(pairs: List[str]) -> bool:
def download_pairs(datadir, pairs: List[str]) -> bool:
"""For each pairs passed in parameters, download 1 and 5 ticker intervals"""
for pair in pairs:
try:
for interval in [1, 5]:
download_backtesting_testdata(pair=pair, interval=interval)
download_backtesting_testdata(datadir, pair=pair, interval=interval)
except BaseException:
logger.info('Failed to download the pair: "{pair}", Interval: {interval} min'.format(
pair=pair,
@ -87,7 +88,7 @@ def download_pairs(pairs: List[str]) -> bool:
return True
def download_backtesting_testdata(pair: str, interval: int = 5) -> bool:
def download_backtesting_testdata(datadir: str, pair: str, interval: int = 5) -> bool:
"""
Download the latest 1 and 5 ticker intervals from Bittrex for the pairs passed in parameters
Based on @Rybolov work: https://github.com/rybolov/freqtrade-data
@ -95,7 +96,7 @@ def download_backtesting_testdata(pair: str, interval: int = 5) -> bool:
:return: bool
"""
path = testdata_path()
path = make_testdata_path(datadir)
logger.info('Download the pair: "{pair}", Interval: {interval} min'.format(
pair=pair,
interval=interval,

2
freqtrade/optimize/backtesting.py
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@ -162,7 +162,7 @@ def start(args):
data[pair] = exchange.get_ticker_history(pair, args.ticker_interval)
else:
logger.info('Using local backtesting data (using whitelist in given config) ...')
data = optimize.load_data(pairs=pairs, ticker_interval=args.ticker_interval,
data = optimize.load_data(args.datadir, pairs=pairs, ticker_interval=args.ticker_interval,
refresh_pairs=args.refresh_pairs)
logger.info('Using stake_currency: %s ...', config['stake_currency'])

4
freqtrade/optimize/hyperopt.py
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@ -36,7 +36,7 @@ CURRENT_BEST_LOSS = 100
EXPECTED_MAX_PROFIT = 3.85
# Configuration and data used by hyperopt
PROCESSED = optimize.preprocess(optimize.load_data())
PROCESSED = None # optimize.preprocess(optimize.load_data())
OPTIMIZE_CONFIG = hyperopt_optimize_conf()
# Monkey patch config
@ -224,7 +224,7 @@ def start(args):
config = load_config(args.config)
pairs = config['exchange']['pair_whitelist']
PROCESSED = optimize.preprocess(optimize.load_data(
pairs=pairs, ticker_interval=args.ticker_interval))
args.datadir, pairs=pairs, ticker_interval=args.ticker_interval))
if args.mongodb:
logger.info('Using mongodb ...')

15
freqtrade/tests/optimize/test_backtesting.py
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@ -32,7 +32,7 @@ def test_generate_text_table():
def test_get_timeframe():
data = preprocess(optimize.load_data(
ticker_interval=1, pairs=['BTC_UNITEST']))
None, ticker_interval=1, pairs=['BTC_UNITEST']))
min_date, max_date = get_timeframe(data)
assert min_date.isoformat() == '2017-11-04T23:02:00+00:00'
assert max_date.isoformat() == '2017-11-14T22:59:00+00:00'
@ -42,7 +42,7 @@ def test_backtest(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
exchange._API = Bittrex({'key': '', 'secret': ''})
data = optimize.load_data(ticker_interval=5, pairs=['BTC_ETH'])
data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 10, True)
assert not results.empty
@ -53,7 +53,7 @@ def test_backtest_1min_ticker_interval(default_conf, mocker):
exchange._API = Bittrex({'key': '', 'secret': ''})
# Run a backtesting for an exiting 5min ticker_interval
data = optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST'])
data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'])
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 1, True)
assert not results.empty
@ -67,7 +67,7 @@ def trim_dictlist(dl, num):
def load_data_test(what):
data = optimize.load_data(ticker_interval=1, pairs=['BTC_UNITEST'])
data = optimize.load_data(None, ticker_interval=1, pairs=['BTC_UNITEST'])
data = trim_dictlist(data, -100)
pair = data['BTC_UNITEST']
datalen = len(pair)
@ -124,7 +124,7 @@ def simple_backtest(config, contour, num_results):
def test_backtest2(default_conf, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
data = optimize.load_data(ticker_interval=5, pairs=['BTC_ETH'])
data = optimize.load_data(None, ticker_interval=5, pairs=['BTC_ETH'])
results = backtest(default_conf['stake_amount'],
optimize.preprocess(data), 10, True)
assert not results.empty
@ -149,8 +149,8 @@ def test_backtest_pricecontours(default_conf, mocker):
simple_backtest(default_conf, contour, numres)
def mocked_load_data(pairs=[], ticker_interval=0, refresh_pairs=False):
tickerdata = optimize.load_tickerdata_file('BTC_UNITEST', 1)
def mocked_load_data(datadir, pairs=[], ticker_interval=0, refresh_pairs=False):
tickerdata = optimize.load_tickerdata_file(datadir, 'BTC_UNITEST', 1)
pairdata = {'BTC_UNITEST': tickerdata}
return trim_dictlist(pairdata, -100)
@ -165,6 +165,7 @@ def test_backtest_start(default_conf, mocker, caplog):
args.ticker_interval = 1
args.level = 10
args.live = False
args.datadir = None
backtesting.start(args)
# check the logs, that will contain the backtest result
exists = ['Using max_open_trades: 1 ...',

22
freqtrade/tests/optimize/test_optimize.py
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@ -5,7 +5,7 @@ import logging
from shutil import copyfile
from freqtrade import exchange, optimize
from freqtrade.exchange import Bittrex
from freqtrade.optimize.__init__ import testdata_path, download_pairs,\
from freqtrade.optimize.__init__ import make_testdata_path, download_pairs,\
download_backtesting_testdata, load_tickerdata_file
# Change this if modifying BTC_UNITEST testdatafile
@ -51,7 +51,7 @@ def test_load_data_5min_ticker(default_conf, ticker_history, mocker, caplog):
file = 'freqtrade/tests/testdata/BTC_ETH-5.json'
_backup_file(file, copy_file=True)
optimize.load_data(pairs=['BTC_ETH'])
optimize.load_data(None, pairs=['BTC_ETH'])
assert os.path.isfile(file) is True
assert ('freqtrade.optimize',
logging.INFO,
@ -68,7 +68,7 @@ def test_load_data_1min_ticker(default_conf, ticker_history, mocker, caplog):
file = 'freqtrade/tests/testdata/BTC_ETH-1.json'
_backup_file(file, copy_file=True)
optimize.load_data(ticker_interval=1, pairs=['BTC_ETH'])
optimize.load_data(None, ticker_interval=1, pairs=['BTC_ETH'])
assert os.path.isfile(file) is True
assert ('freqtrade.optimize',
logging.INFO,
@ -85,7 +85,7 @@ def test_load_data_with_new_pair_1min(default_conf, ticker_history, mocker, capl
file = 'freqtrade/tests/testdata/BTC_MEME-1.json'
_backup_file(file)
optimize.load_data(ticker_interval=1, pairs=['BTC_MEME'])
optimize.load_data(None, ticker_interval=1, pairs=['BTC_MEME'])
assert os.path.isfile(file) is True
assert ('freqtrade.optimize',
logging.INFO,
@ -95,7 +95,7 @@ def test_load_data_with_new_pair_1min(default_conf, ticker_history, mocker, capl
def test_testdata_path():
assert os.path.join('freqtrade', 'tests', 'testdata') in testdata_path()
assert os.path.join('freqtrade', 'tests', 'testdata') in make_testdata_path(None)
def test_download_pairs(default_conf, ticker_history, mocker):
@ -113,7 +113,7 @@ def test_download_pairs(default_conf, ticker_history, mocker):
_backup_file(file2_1)
_backup_file(file2_5)
assert download_pairs(pairs=['BTC-MEME', 'BTC-CFI']) is True
assert download_pairs(None, pairs=['BTC-MEME', 'BTC-CFI']) is True
assert os.path.isfile(file1_1) is True
assert os.path.isfile(file1_5) is True
@ -139,7 +139,7 @@ def test_download_pairs_exception(default_conf, ticker_history, mocker, caplog):
_backup_file(file1_1)
_backup_file(file1_5)
download_pairs(pairs=['BTC-MEME'])
download_pairs(None, pairs=['BTC-MEME'])
# clean files freshly downloaded
_clean_test_file(file1_1)
_clean_test_file(file1_5)
@ -157,7 +157,7 @@ def test_download_backtesting_testdata(default_conf, ticker_history, mocker):
# Download a 1 min ticker file
file1 = 'freqtrade/tests/testdata/BTC_XEL-1.json'
_backup_file(file1)
download_backtesting_testdata(pair="BTC-XEL", interval=1)
download_backtesting_testdata(None, pair="BTC-XEL", interval=1)
assert os.path.isfile(file1) is True
_clean_test_file(file1)
@ -165,12 +165,12 @@ def test_download_backtesting_testdata(default_conf, ticker_history, mocker):
file2 = 'freqtrade/tests/testdata/BTC_STORJ-5.json'
_backup_file(file2)
download_backtesting_testdata(pair="BTC-STORJ", interval=5)
download_backtesting_testdata(None, pair="BTC-STORJ", interval=5)
assert os.path.isfile(file2) is True
_clean_test_file(file2)
def test_load_tickerdata_file():
assert not load_tickerdata_file('BTC_UNITEST', 7)
tickerdata = load_tickerdata_file('BTC_UNITEST', 1)
assert not load_tickerdata_file(None, 'BTC_UNITEST', 7)
tickerdata = load_tickerdata_file(None, 'BTC_UNITEST', 1)
assert _btc_unittest_length == len(tickerdata)

2
freqtrade/tests/test_dataframe.py
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@ -7,7 +7,7 @@ _pairs = ['BTC_ETH']
def load_dataframe_pair(pairs):
ld = freqtrade.optimize.load_data(ticker_interval=5, pairs=pairs)
ld = freqtrade.optimize.load_data(None, ticker_interval=5, pairs=pairs)
assert isinstance(ld, dict)
assert isinstance(pairs[0], str)
dataframe = ld[pairs[0]]