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Have trade_converter use timeframe_as_resample_freq

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This commit is contained in:
Matthias 2024-01-23 07:10:25 +01:00
parent c9c44a4710
commit 656b32814b
2 changed files with 18 additions and 5 deletions
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9
freqtrade/data/converter/trade_converter.py
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@ -70,14 +70,13 @@ def trades_to_ohlcv(trades: DataFrame, timeframe: str) -> DataFrame:
:return: OHLCV Dataframe.
:raises: ValueError if no trades are provided
"""
from freqtrade.exchange import timeframe_to_minutes
timeframe_minutes = timeframe_to_minutes(timeframe)
from freqtrade.exchange import timeframe_as_resample_freq
if trades.empty:
raise ValueError('Trade-list empty.')
df = trades.set_index('date', drop=True)
df_new = df['price'].resample(f'{timeframe_minutes}min').ohlc()
df_new['volume'] = df['amount'].resample(f'{timeframe_minutes}min').sum()
resample_interval = timeframe_as_resample_freq(timeframe)
df_new = df['price'].resample(resample_interval).ohlc()
df_new['volume'] = df['amount'].resample(resample_interval).sum()
df_new['date'] = df_new.index
# Drop 0 volume rows
df_new = df_new.dropna()

14
tests/data/test_converter.py
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@ -52,6 +52,20 @@ def test_trades_to_ohlcv(trades_history_df, caplog):
assert 'close' in df.columns
assert df.iloc[0, :]['high'] == 0.019627
assert df.iloc[0, :]['low'] == 0.019626
assert df.iloc[0, :]['date'] == pd.Timestamp('2019-08-14 15:59:00+0000')
df_1h = trades_to_ohlcv(trades_history_df, '1h')
assert len(df_1h) == 1
assert df_1h.iloc[0, :]['high'] == 0.019627
assert df_1h.iloc[0, :]['low'] == 0.019626
assert df_1h.iloc[0, :]['date'] == pd.Timestamp('2019-08-14 15:00:00+0000')
df_1s = trades_to_ohlcv(trades_history_df, '1s')
assert len(df_1s) == 2
assert df_1s.iloc[0, :]['high'] == 0.019627
assert df_1s.iloc[0, :]['low'] == 0.019627
assert df_1s.iloc[0, :]['date'] == pd.Timestamp('2019-08-14 15:59:49+0000')
assert df_1s.iloc[-1, :]['date'] == pd.Timestamp('2019-08-14 15:59:59+0000')
def test_ohlcv_fill_up_missing_data(testdatadir, caplog):