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Update Datahandlers to work with trades data as dataframes

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This commit is contained in:
Matthias 2023-08-17 09:47:22 +02:00
parent ba34318f7a
commit 46882406be
5 changed files with 24 additions and 17 deletions
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6
freqtrade/data/history/featherdatahandler.py
View File

@ -104,13 +104,13 @@ class FeatherDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
# TODO: respect timerange ...
:param pair: Load trades for this pair
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
:return: Dataframe containing trades
"""
filename = self._pair_trades_filename(self._datadir, pair)
if not filename.exists():
@ -118,7 +118,7 @@ class FeatherDataHandler(IDataHandler):
tradesdata = read_feather(filename)
return tradesdata.values.tolist()
return tradesdata
@classmethod
def _get_file_extension(cls):

8
freqtrade/data/history/hdf5datahandler.py
View File

@ -124,18 +124,18 @@ class HDF5DataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> pd.DataFrame:
"""
Load a pair from h5 file.
:param pair: Load trades for this pair
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
:return: Dataframe containing trades
"""
key = self._pair_trades_key(pair)
filename = self._pair_trades_filename(self._datadir, pair)
if not filename.exists():
return []
return pd.DataFrame(columns=DEFAULT_TRADES_COLUMNS)
where = []
if timerange:
if timerange.starttype == 'date':
@ -145,7 +145,7 @@ class HDF5DataHandler(IDataHandler):
trades: pd.DataFrame = pd.read_hdf(filename, key=key, mode="r", where=where)
trades[['id', 'type']] = trades[['id', 'type']].replace({np.nan: None})
return trades.values.tolist()
return trades
@classmethod
def _get_file_extension(cls):

2
freqtrade/data/history/history_utils.py
View File

@ -343,7 +343,7 @@ def _download_trades_history(exchange: Exchange,
if timerange.stoptype == 'date':
until = timerange.stopts * 1000
trades = data_handler.trades_load(pair)
trades = data_handler.trades_load_aslist(pair)
# TradesList columns are defined in constants.DEFAULT_TRADES_COLUMNS
# DEFAULT_TRADES_COLUMNS: 0 -> timestamp

16
freqtrade/data/history/idatahandler.py
View File

@ -11,7 +11,7 @@ from datetime import datetime, timezone
from pathlib import Path
from typing import List, Optional, Tuple, Type
from pandas import DataFrame
from pandas import DataFrame, to_datetime
from freqtrade import misc
from freqtrade.configuration import TimeRange
@ -188,12 +188,12 @@ class IDataHandler(ABC):
"""
@abstractmethod
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
:param pair: Load trades for this pair
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
:return: Dataframe containing trades
"""
def trades_purge(self, pair: str) -> bool:
@ -208,7 +208,7 @@ class IDataHandler(ABC):
return True
return False
def trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
def trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
Removes duplicates in the process.
@ -216,7 +216,13 @@ class IDataHandler(ABC):
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
"""
return trades_remove_duplicates(self._trades_load(pair, timerange=timerange))
trades = trades_remove_duplicates(self._trades_load(pair, timerange=timerange))
trades['timestamp'] = to_datetime(trades['timestamp'], unit='ms', utc=True)
return trades
def trades_load_aslist(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
trades = self.trades_load(pair, timerange)
return trades.values.tolist()
@classmethod
def create_dir_if_needed(cls, datadir: Path):

9
freqtrade/data/history/jsondatahandler.py
View File

@ -6,7 +6,7 @@ from pandas import DataFrame, read_json, to_datetime
from freqtrade import misc
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.data.converter import trades_dict_to_list
from freqtrade.enums import CandleType
@ -113,13 +113,13 @@ class JsonDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
# TODO: respect timerange ...
:param pair: Load trades for this pair
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
:return: Dataframe containing trades
"""
filename = self._pair_trades_filename(self._datadir, pair)
tradesdata = misc.file_load_json(filename)
@ -132,7 +132,8 @@ class JsonDataHandler(IDataHandler):
logger.info("Old trades format detected - converting")
tradesdata = trades_dict_to_list(tradesdata)
pass
return tradesdata
trades = DataFrame(tradesdata, columns=DEFAULT_TRADES_COLUMNS)
return trades
@classmethod
def _get_file_extension(cls):