Add trades-to-ohlcv command to simplify adding new timeframes

freqtrade/commands/__init__.py

@@ -8,8 +8,8 @@ Note: Be careful with file-scoped imports in these subfiles.
 """
 from freqtrade.commands.arguments import Arguments
 from freqtrade.commands.build_config_commands import start_new_config
-from freqtrade.commands.data_commands import (start_convert_data, start_download_data,
-                                              start_list_data)
+from freqtrade.commands.data_commands import (start_convert_data, start_convert_trades,
+                                              start_download_data, start_list_data)
 from freqtrade.commands.deploy_commands import (start_create_userdir, start_install_ui,
                                                 start_new_strategy)
 from freqtrade.commands.hyperopt_commands import start_hyperopt_list, start_hyperopt_show

freqtrade/commands/arguments.py

@@ -58,6 +58,8 @@ ARGS_BUILD_STRATEGY = ["user_data_dir", "strategy", "template"]
 ARGS_CONVERT_DATA = ["pairs", "format_from", "format_to", "erase"]
 ARGS_CONVERT_DATA_OHLCV = ARGS_CONVERT_DATA + ["timeframes"]
 
+ARGS_CONVERT_TRADES = ["pairs", "timeframes", "dataformat_ohlcv", "dataformat_trades"]
+
 ARGS_LIST_DATA = ["exchange", "dataformat_ohlcv", "pairs"]
 
 ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "new_pairs_days", "timerange",
@@ -169,7 +171,8 @@ class Arguments:
         self.parser = argparse.ArgumentParser(description='Free, open source crypto trading bot')
         self._build_args(optionlist=['version'], parser=self.parser)
 
-        from freqtrade.commands import (start_backtesting, start_convert_data, start_create_userdir,
+        from freqtrade.commands import (start_backtesting, start_convert_data, start_convert_trades,
+                                        start_create_userdir,
                                         start_download_data, start_edge, start_hyperopt,
                                         start_hyperopt_list, start_hyperopt_show, start_install_ui,
                                         start_list_data, start_list_exchanges, start_list_markets,
@@ -236,6 +239,15 @@ class Arguments:
         convert_trade_data_cmd.set_defaults(func=partial(start_convert_data, ohlcv=False))
         self._build_args(optionlist=ARGS_CONVERT_DATA, parser=convert_trade_data_cmd)
 
+        # Add trades-to-ohlcv subcommand
+        convert_trade_data_cmd = subparsers.add_parser(
+            'trades-to-ohlcv',
+            help='Convert trade data to OHLCV data.',
+            parents=[_common_parser],
+        )
+        convert_trade_data_cmd.set_defaults(func=start_convert_trades)
+        self._build_args(optionlist=ARGS_CONVERT_TRADES, parser=convert_trade_data_cmd)
+
         # Add list-data subcommand
         list_data_cmd = subparsers.add_parser(
             'list-data',

freqtrade/commands/data_commands.py

@@ -89,6 +89,47 @@ def start_download_data(args: Dict[str, Any]) -> None:
                         f"on exchange {exchange.name}.")
 
 
+def start_convert_trades(args: Dict[str, Any]) -> None:
+
+    config = setup_utils_configuration(args, RunMode.UTIL_EXCHANGE)
+
+    timerange = TimeRange()
+    if 'days' in config:
+        time_since = (datetime.now() - timedelta(days=config['days'])).strftime("%Y%m%d")
+        timerange = TimeRange.parse_timerange(f'{time_since}-')
+
+    if 'timerange' in config:
+        timerange = timerange.parse_timerange(config['timerange'])
+
+    # Remove stake-currency to skip checks which are not relevant for datadownload
+    config['stake_currency'] = ''
+
+    if 'pairs' not in config:
+        raise OperationalException(
+            "Downloading data requires a list of pairs. "
+            "Please check the documentation on how to configure this.")
+
+    # Init exchange
+    exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config, validate=False)
+    # Manual validations of relevant settings
+    if not config['exchange'].get('skip_pair_validation', False):
+        exchange.validate_pairs(config['pairs'])
+    expanded_pairs = expand_pairlist(config['pairs'], list(exchange.markets))
+
+    logger.info(f"About to Convert pairs: {expanded_pairs}, "
+                f"intervals: {config['timeframes']} to {config['datadir']}")
+
+    for timeframe in config['timeframes']:
+        exchange.validate_timeframes(timeframe)
+    # Convert downloaded trade data to different timeframes
+    convert_trades_to_ohlcv(
+        pairs=expanded_pairs, timeframes=config['timeframes'],
+        datadir=config['datadir'], timerange=timerange, erase=bool(config.get('erase')),
+        data_format_ohlcv=config['dataformat_ohlcv'],
+        data_format_trades=config['dataformat_trades'],
+    )
+
+
 def start_convert_data(args: Dict[str, Any], ohlcv: bool = True) -> None:
     """
     Convert data from one format to another