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Add support for trades data in Parquet format

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This commit is contained in:
Matthias 2023-08-18 09:57:58 +02:00
parent 8caadc4c5b
commit 30064b4102
4 changed files with 15 additions and 18 deletions
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2
freqtrade/commands/cli_options.py
View File

@ -441,7 +441,7 @@ AVAILABLE_CLI_OPTIONS = {
"dataformat_trades": Arg(
'--data-format-trades',
help='Storage format for downloaded trades data. (default: `feather`).',
choices=constants.AVAILABLE_DATAHANDLERS_TRADES,
choices=constants.AVAILABLE_DATAHANDLERS,
),
"show_timerange": Arg(
'--show-timerange',

5
freqtrade/constants.py
View File

@ -38,8 +38,7 @@ AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'ProducerPairList', '
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
AVAILABLE_PROTECTIONS = ['CooldownPeriod',
'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
AVAILABLE_DATAHANDLERS_TRADES = ['json', 'jsongz', 'hdf5', 'feather']
AVAILABLE_DATAHANDLERS = AVAILABLE_DATAHANDLERS_TRADES + ['parquet']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5', 'feather', 'parquet']
BACKTEST_BREAKDOWNS = ['day', 'week', 'month']
BACKTEST_CACHE_AGE = ['none', 'day', 'week', 'month']
BACKTEST_CACHE_DEFAULT = 'day'
@ -459,7 +458,7 @@ CONF_SCHEMA = {
},
'dataformat_trades': {
'type': 'string',
'enum': AVAILABLE_DATAHANDLERS_TRADES,
'enum': AVAILABLE_DATAHANDLERS,
'default': 'feather'
},
'position_adjustment_enable': {'type': 'boolean'},

22
freqtrade/data/history/parquetdatahandler.py
View File

@ -4,7 +4,7 @@ from typing import Optional
from pandas import DataFrame, read_parquet, to_datetime
from freqtrade.configuration import TimeRange
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, TradeList
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TradeList
from freqtrade.enums import CandleType
from .idatahandler import IDataHandler
@ -88,12 +88,9 @@ class ParquetDataHandler(IDataHandler):
:param data: Dataframe containing trades
column sequence as in DEFAULT_TRADES_COLUMNS
"""
# filename = self._pair_trades_filename(self._datadir, pair)
raise NotImplementedError()
# array = pa.array(data)
# array
# feather.write_feather(data, filename)
filename = self._pair_trades_filename(self._datadir, pair)
self.create_dir_if_needed(filename)
data.reset_index(drop=True).to_parquet(filename)
def trades_append(self, pair: str, data: DataFrame):
"""
@ -112,14 +109,13 @@ class ParquetDataHandler(IDataHandler):
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
"""
raise NotImplementedError()
# filename = self._pair_trades_filename(self._datadir, pair)
# tradesdata = misc.file_load_json(filename)
filename = self._pair_trades_filename(self._datadir, pair)
if not filename.exists():
return DataFrame(columns=DEFAULT_TRADES_COLUMNS)
# if not tradesdata:
# return []
tradesdata = read_parquet(filename)
# return tradesdata
return tradesdata
@classmethod
def _get_file_extension(cls):

4
tests/data/test_datahandler.py
View File

@ -247,8 +247,10 @@ def test_datahandler__check_empty_df(testdatadir, caplog):
assert log_has_re(expected_text, caplog)
@pytest.mark.parametrize('datahandler', ['parquet'])
# @pytest.mark.parametrize('datahandler', [])
@pytest.mark.skip("All datahandlers currently support trades data.")
def test_datahandler_trades_not_supported(datahandler, testdatadir, ):
# Currently disabled. Reenable should a new provider not support trades data.
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.trades_load('UNITTEST/ETH')