avoid redundant indicator population for corr_pair list

freqtrade/freqai/data_kitchen.py

@@ -1126,6 +1126,49 @@ class FreqaiDataKitchen:
             if pair not in self.all_pairs:
                 self.all_pairs.append(pair)
 
+    def extract_corr_pair_columns_from_populated_indicators(
+        self,
+        dataframe: DataFrame
+    ) -> Dict[str, DataFrame]:
+        """
+        Find the columns of the dataframe corresponding to the corr_pairlist, save them
+        in a dictionary to be reused and attached to other pairs.
+        :params:
+        :dataframe: fully populated dataframe (current pair + corr_pairs)
+        :return:
+        :corr_dataframes: dictionary of dataframes to be attached to other pairs in same candle.
+        """
+        corr_dataframes: Dict[str, DataFrame] = {}
+        pairs = self.freqai_config["feature_parameters"].get("include_corr_pairlist", [])
+
+        for pair in pairs:
+            coin = pair.split('/')[0]
+            pair_cols = [col for col in dataframe.columns if coin in col]
+            corr_dataframes[pair] = dataframe.filter(pair_cols, axis=1)
+
+        return corr_dataframes
+
+    def attach_corr_pair_columns(self, dataframe: DataFrame,
+                                 corr_dataframes: Dict[str, DataFrame],
+                                 current_pair: str) -> DataFrame:
+        """
+        Attach the existing corr_pair dataframes to the current pair dataframe before training
+        :params:
+        :dataframe: current pair strategy dataframe, indicators populated already
+        :corr_dataframes: dictionary of saved dataframes from earlier in the same candle
+        :current_pair: current pair to which we will attach corr pair dataframe
+        :return:
+        :dataframe: current pair dataframe of populated indicators, concatenated with corr_pairs
+                    ready for training
+        """
+        pairs = self.freqai_config["feature_parameters"].get("include_corr_pairlist", [])
+
+        for pair in pairs:
+            if current_pair not in pair:
+                dataframe = pd.concat([dataframe, corr_dataframes[pair]], axis=1)
+
+        return dataframe
+
     def use_strategy_to_populate_indicators(
         self,
         strategy: IStrategy,
@@ -1133,6 +1176,7 @@ class FreqaiDataKitchen:
         base_dataframes: dict = {},
         pair: str = "",
         prediction_dataframe: DataFrame = pd.DataFrame(),
+        do_corr_pairs: bool = True,
     ) -> DataFrame:
         """
         Use the user defined strategy for populating indicators during retrain
@@ -1173,10 +1217,13 @@ class FreqaiDataKitchen:
                 informative=base_dataframes[tf],
                 set_generalized_indicators=sgi
             )
-            if pairs:
+
+        # ensure corr pairs are always last
         for i in pairs:
             if pair in i:
                 continue  # dont repeat anything from whitelist
+            for tf in tfs:
+                if pairs and do_corr_pairs:
                     dataframe = strategy.populate_any_indicators(
                         i,
                         dataframe.copy(),

freqtrade/freqai/freqai_interface.py

@@ -83,8 +83,6 @@ class IFreqaiModel(ABC):
         self.pair_it_train = 0
         self.total_pairs = len(self.config.get("exchange", {}).get("pair_whitelist"))
         self.train_queue = self._set_train_queue()
-        self.last_trade_database_summary: DataFrame = {}
-        self.current_trade_database_summary: DataFrame = {}
         self.analysis_lock = Lock()
         self.inference_time: float = 0
         self.train_time: float = 0
@@ -93,6 +91,8 @@ class IFreqaiModel(ABC):
         self.base_tf_seconds = timeframe_to_seconds(self.config['timeframe'])
         self.continual_learning = self.freqai_info.get('continual_learning', False)
         self.plot_features = self.ft_params.get("plot_feature_importances", 0)
+        self.corr_dataframes: Dict[str, DataFrame] = {}
+        self.get_corr_dataframes: bool = True
 
         self._threads: List[threading.Thread] = []
         self._stop_event = threading.Event()
@@ -363,9 +363,9 @@ class IFreqaiModel(ABC):
         # load the model and associated data into the data kitchen
         self.model = self.dd.load_data(metadata["pair"], dk)
 
-        with self.analysis_lock:
-            dataframe = self.dk.use_strategy_to_populate_indicators(
-                strategy, prediction_dataframe=dataframe, pair=metadata["pair"]
+        dataframe = dk.use_strategy_to_populate_indicators(
+            strategy, prediction_dataframe=dataframe, pair=metadata["pair"],
+            do_corr_pairs=self.get_corr_dataframes
         )
 
         if not self.model:
@@ -375,6 +375,13 @@ class IFreqaiModel(ABC):
             self.dd.return_null_values_to_strategy(dataframe, dk)
             return dk
 
+        if self.get_corr_dataframes:
+            self.corr_dataframes = dk.extract_corr_pair_columns_from_populated_indicators(dataframe)
+            self.get_corr_dataframes = False
+        else:
+            dataframe = dk.attach_corr_pair_columns(
+                dataframe, self.corr_dataframes, metadata["pair"])
+
         dk.find_labels(dataframe)
 
         self.build_strategy_return_arrays(dataframe, dk, metadata["pair"], trained_timestamp)
@@ -680,6 +687,7 @@ class IFreqaiModel(ABC):
                                    " avoid blinding open trades and degrading performance.")
                 self.pair_it = 0
                 self.inference_time = 0
+                self.get_corr_dataframes = True
         return
 
     def train_timer(self, do: Literal['start', 'stop'] = 'start', pair: str = ''):