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https://github.com/freqtrade/freqtrade.git
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Use handler for trades
This commit is contained in:
Matthias
parent
9547d47ae2
commit
9876d126ca
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@ -155,12 +155,12 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
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return frame
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def trades_to_ohlcv(trades: list, timeframe: str) -> list:
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def trades_to_ohlcv(trades: list, timeframe: str) -> DataFrame:
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"""
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Converts trades list to ohlcv list
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:param trades: List of trades, as returned by ccxt.fetch_trades.
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:param timeframe: Ticker timeframe to resample data to
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:return: ohlcv timeframe as list (as returned by ccxt.fetch_ohlcv)
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:return: ohlcv Dataframe.
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"""
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from freqtrade.exchange import timeframe_to_minutes
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ticker_minutes = timeframe_to_minutes(timeframe)
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@ -170,8 +170,7 @@ def trades_to_ohlcv(trades: list, timeframe: str) -> list:
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df_new = df['price'].resample(f'{ticker_minutes}min').ohlc()
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df_new['volume'] = df['amount'].resample(f'{ticker_minutes}min').sum()
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df_new['date'] = df_new.index.astype("int64") // 10 ** 6
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df_new['date'] = df_new.index
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# Drop 0 volume rows
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df_new = df_new.dropna()
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columns = ["date", "open", "high", "low", "close", "volume"]
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return list(zip(*[df_new[x].values.tolist() for x in columns]))
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return df_new[['date', 'open', 'high', 'low', 'close', 'volume']]
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@ -18,7 +18,7 @@ from pandas import DataFrame
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from freqtrade import OperationalException, misc
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from freqtrade.configuration import TimeRange
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from freqtrade.data.converter import trades_to_ohlcv
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from freqtrade.data.datahandlers import get_datahandler, get_datahandlerclass
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from freqtrade.data.datahandlers import get_datahandler
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from freqtrade.data.datahandlers.idatahandler import IDataHandler
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from freqtrade.exchange import Exchange, timeframe_to_minutes
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@ -90,15 +90,6 @@ def load_trades_file(datadir: Path, pair: str,
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return tradesdata
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def store_trades_file(datadir: Path, pair: str,
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data: list, is_zip: bool = True):
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"""
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Stores tickerdata to file
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"""
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filename = pair_trades_filename(datadir, pair)
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misc.file_dump_json(filename, data, is_zip=is_zip)
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def load_pair_history(pair: str,
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timeframe: str,
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datadir: Path, *,
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@ -339,10 +330,11 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
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return pairs_not_available
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def _download_trades_history(datadir: Path,
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exchange: Exchange,
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pair: str,
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timerange: Optional[TimeRange] = None) -> bool:
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def _download_trades_history(exchange: Exchange,
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pair: str, *,
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timerange: Optional[TimeRange] = None,
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data_handler: IDataHandler
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) -> bool:
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"""
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Download trade history from the exchange.
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Appends to previously downloaded trades data.
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@ -351,7 +343,7 @@ def _download_trades_history(datadir: Path,
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since = timerange.startts * 1000 if timerange and timerange.starttype == 'date' else None
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trades = load_trades_file(datadir, pair)
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trades = data_handler.trades_load(pair)
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from_id = trades[-1]['id'] if trades else None
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@ -366,7 +358,7 @@ def _download_trades_history(datadir: Path,
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from_id=from_id,
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)
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trades.extend(new_trades[1])
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store_trades_file(datadir, pair, trades)
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data_handler.trades_store(pair, data=trades)
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logger.debug("New Start: %s", trades[0]['datetime'])
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logger.debug("New End: %s", trades[-1]['datetime'])
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@ -382,13 +374,15 @@ def _download_trades_history(datadir: Path,
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def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir: Path,
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timerange: TimeRange, erase=False) -> List[str]:
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timerange: TimeRange, erase=False,
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data_format: str = 'jsongz') -> List[str]:
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"""
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Refresh stored trades data for backtesting and hyperopt operations.
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Used by freqtrade download-data subcommand.
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:return: List of pairs that are not available.
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"""
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pairs_not_available = []
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data_handler = get_datahandler(datadir, data_format=data_format)
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for pair in pairs:
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if pair not in exchange.markets:
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pairs_not_available.append(pair)
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@ -404,7 +398,8 @@ def refresh_backtest_trades_data(exchange: Exchange, pairs: List[str], datadir:
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logger.info(f'Downloading trades for pair {pair}.')
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_download_trades_history(datadir=datadir, exchange=exchange,
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pair=pair,
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timerange=timerange)
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timerange=timerange,
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data_handler=data_handler)
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return pairs_not_available
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@ -413,8 +408,11 @@ def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str],
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"""
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Convert stored trades data to ohlcv data
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"""
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data_handler_trades = get_datahandler(datadir, data_format='jsongz')
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data_handler_ohlcv = get_datahandler(datadir, data_format='json')
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for pair in pairs:
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trades = load_trades_file(datadir, pair)
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trades = data_handler_trades.trades_load(pair)
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for timeframe in timeframes:
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ohlcv_file = pair_data_filename(datadir, pair, timeframe)
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if erase and ohlcv_file.exists():
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@ -422,7 +420,7 @@ def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str],
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ohlcv_file.unlink()
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ohlcv = trades_to_ohlcv(trades, timeframe)
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# Store ohlcv
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store_tickerdata_file(datadir, pair, timeframe, data=ohlcv)
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data_handler_ohlcv.ohlcv_store(pair, timeframe, data=ohlcv)
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def get_timerange(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]:
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@ -10,6 +10,7 @@ import arrow
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from pandas import DataFrame
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from freqtrade.configuration import TimeRange
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from freqtrade.data.datahandlers import get_datahandler
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from freqtrade.data.history import (_download_pair_history,
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_download_trades_history,
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_load_cached_data_for_updating,
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@ -597,12 +598,12 @@ def test_download_trades_history(trades_history, mocker, default_conf, testdatad
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ght_mock)
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exchange = get_patched_exchange(mocker, default_conf)
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file1 = testdatadir / 'ETH_BTC-trades.json.gz'
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data_handler = get_datahandler(testdatadir, data_format='jsongz')
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_backup_file(file1)
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assert not file1.is_file()
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assert _download_trades_history(datadir=testdatadir, exchange=exchange,
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assert _download_trades_history(data_handler=data_handler, exchange=exchange,
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pair='ETH/BTC')
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assert log_has("New Amount of trades: 5", caplog)
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assert file1.is_file()
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@ -613,7 +614,7 @@ def test_download_trades_history(trades_history, mocker, default_conf, testdatad
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mocker.patch('freqtrade.exchange.Exchange.get_historic_trades',
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MagicMock(side_effect=ValueError))
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assert not _download_trades_history(datadir=testdatadir, exchange=exchange,
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assert not _download_trades_history(data_handler=data_handler, exchange=exchange,
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pair='ETH/BTC')
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assert log_has_re('Failed to download historic trades for pair: "ETH/BTC".*', caplog)
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