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backtest_live_models - fix issue with timerange BT and 2 trainings within same candle (no data)

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This commit is contained in:
Wagner Costa Santos 2022-09-27 00:14:12 -03:00
parent 14b96aaa38
commit 72aa47fc51
3 changed files with 33 additions and 2 deletions
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5
freqtrade/freqai/data_kitchen.py
View File

@ -465,6 +465,11 @@ class FreqaiDataKitchen:
tr_backtesting_list_timerange = []
pair = self.pair.split("/")[0].split(":")[0]
if pair not in self.backtest_live_models_data["pairs_end_dates"]:
raise OperationalException(
f"Model not available for pair {self.pair}. "
"Please, try again after removing this pair from the configuration file."
)
pair_data = self.backtest_live_models_data["pairs_end_dates"][pair]
model_end_dates = []
backtesting_timerange = self.backtest_live_models_data["backtesting_timerange"]

16
freqtrade/freqai/freqai_interface.py
View File

@ -257,6 +257,21 @@ class IFreqaiModel(ABC):
dataframe_train = dk.slice_dataframe(tr_train, dataframe)
dataframe_backtest = dk.slice_dataframe(tr_backtest, dataframe)
if dk.backtest_live_models and len(dataframe_backtest) == 0:
tr_backtest_startts_str = datetime.fromtimestamp(
tr_backtest.startts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
tr_backtest_stopts_str = datetime.fromtimestamp(
tr_backtest.stopts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
logger.info(
f"No data found for pair {pair} "
f" from {tr_backtest_startts_str} "
f"to {tr_backtest_stopts_str}. "
"Probably more than one training within the same candle period."
)
continue
trained_timestamp = tr_train
tr_train_startts_str = datetime.fromtimestamp(
tr_train.startts,
@ -264,6 +279,7 @@ class IFreqaiModel(ABC):
tr_train_stopts_str = datetime.fromtimestamp(
tr_train.stopts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
if not dk.backtest_live_models:
logger.info(
f"Training {pair}, {self.pair_it}/{self.total_pairs} pairs"

14
freqtrade/freqai/freqai_util.py
View File

@ -2,7 +2,7 @@
FreqAI generic functions
"""
import logging
from datetime import datetime, timezone
from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Any, Dict, Tuple
@ -89,7 +89,17 @@ def get_timerange_from_ready_models(models_path: Path) -> Tuple[TimeRange, str,
all_models_end_dates.sort()
start = datetime.fromtimestamp(min(all_models_end_dates), tz=timezone.utc)
stop = datetime.fromtimestamp(max(all_models_end_dates), tz=timezone.utc)
backtesting_string_timerange = f"{start.strftime('%Y%m%d')}-{stop.strftime('%Y%m%d')}"
end_date_string_timerange = stop
if (
finish_timestamp < int(datetime.now(tz=timezone.utc).timestamp()) and
datetime.now(tz=timezone.utc).strftime('%Y%m%d') != stop.strftime('%Y%m%d')
):
# add 1 day to string timerange to ensure BT module will load all dataframe data
end_date_string_timerange = stop + timedelta(days=1)
backtesting_string_timerange = (
f"{start.strftime('%Y%m%d')}-{end_date_string_timerange.strftime('%Y%m%d')}"
)
backtesting_timerange = TimeRange(
'date', 'date', min(all_models_end_dates), max(all_models_end_dates)
)