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Update data handlers to accept trading_mode

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for trade data related functions
This commit is contained in:
Matthias 2024-03-02 13:08:58 +01:00
parent bdd63aa1d6
commit b6040e270f
5 changed files with 57 additions and 30 deletions
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14
freqtrade/data/history/featherdatahandler.py
View File

@ -5,7 +5,7 @@ from pandas import DataFrame, read_feather, to_datetime
from freqtrade.configuration import TimeRange
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS
from freqtrade.enums import CandleType
from freqtrade.enums import CandleType, TradingMode
from .idatahandler import IDataHandler
@ -82,14 +82,15 @@ class FeatherDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_store(self, pair: str, data: DataFrame) -> None:
def _trades_store(self, pair: str, data: DataFrame, trading_mode: TradingMode) -> None:
"""
Store trades data (list of Dicts) to file
:param pair: Pair - used for filename
:param data: Dataframe containing trades
column sequence as in DEFAULT_TRADES_COLUMNS
:param trading_mode: Trading mode to use (used to determine the filename)
"""
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
self.create_dir_if_needed(filename)
data.reset_index(drop=True).to_feather(filename, compression_level=9, compression='lz4')
@ -102,15 +103,18 @@ class FeatherDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
def _trades_load(
self, pair: str, trading_mode: TradingMode, timerange: Optional[TimeRange] = None
) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
# TODO: respect timerange ...
:param pair: Load trades for this pair
:param trading_mode: Trading mode to use (used to determine the filename)
:param timerange: Timerange to load trades for - currently not implemented
:return: Dataframe containing trades
"""
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
if not filename.exists():
return DataFrame(columns=DEFAULT_TRADES_COLUMNS)

14
freqtrade/data/history/hdf5datahandler.py
View File

@ -6,7 +6,7 @@ import pandas as pd
from freqtrade.configuration import TimeRange
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS
from freqtrade.enums import CandleType
from freqtrade.enums import CandleType, TradingMode
from .idatahandler import IDataHandler
@ -100,17 +100,18 @@ class HDF5DataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_store(self, pair: str, data: pd.DataFrame) -> None:
def _trades_store(self, pair: str, data: pd.DataFrame, trading_mode: TradingMode) -> None:
"""
Store trades data (list of Dicts) to file
:param pair: Pair - used for filename
:param data: Dataframe containing trades
column sequence as in DEFAULT_TRADES_COLUMNS
:param trading_mode: Trading mode to use (used to determine the filename)
"""
key = self._pair_trades_key(pair)
data.to_hdf(
self._pair_trades_filename(self._datadir, pair), key=key,
self._pair_trades_filename(self._datadir, pair, trading_mode), key=key,
mode='a', complevel=9, complib='blosc',
format='table', data_columns=['timestamp']
)
@ -124,15 +125,18 @@ class HDF5DataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> pd.DataFrame:
def _trades_load(
self, pair: str, trading_mode: TradingMode, timerange: Optional[TimeRange] = None
) -> pd.DataFrame:
"""
Load a pair from h5 file.
:param pair: Load trades for this pair
:param trading_mode: Trading mode to use (used to determine the filename)
:param timerange: Timerange to load trades for - currently not implemented
:return: Dataframe containing trades
"""
key = self._pair_trades_key(pair)
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
if not filename.exists():
return pd.DataFrame(columns=DEFAULT_TRADES_COLUMNS)

29
freqtrade/data/history/idatahandler.py
View File

@ -172,12 +172,13 @@ class IDataHandler(ABC):
return [cls.rebuild_pair_from_filename(match[0]) for match in _tmp if match]
@abstractmethod
def _trades_store(self, pair: str, data: DataFrame) -> None:
def _trades_store(self, pair: str, data: DataFrame, trading_mode: TradingMode) -> None:
"""
Store trades data (list of Dicts) to file
:param pair: Pair - used for filename
:param data: Dataframe containing trades
column sequence as in DEFAULT_TRADES_COLUMNS
:param trading_mode: Trading mode to use (used to determine the filename)
"""
@abstractmethod
@ -190,45 +191,55 @@ class IDataHandler(ABC):
"""
@abstractmethod
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
def _trades_load(
self, pair: str, trading_mode: TradingMode, timerange: Optional[TimeRange] = None
) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
:param pair: Load trades for this pair
:param trading_mode: Trading mode to use (used to determine the filename)
:param timerange: Timerange to load trades for - currently not implemented
:return: Dataframe containing trades
"""
def trades_store(self, pair: str, data: DataFrame) -> None:
def trades_store(self, pair: str, data: DataFrame, trading_mode: TradingMode) -> None:
"""
Store trades data (list of Dicts) to file
:param pair: Pair - used for filename
:param data: Dataframe containing trades
column sequence as in DEFAULT_TRADES_COLUMNS
:param trading_mode: Trading mode to use (used to determine the filename)
"""
# Filter on expected columns (will remove the actual date column).
self._trades_store(pair, data[DEFAULT_TRADES_COLUMNS])
self._trades_store(pair, data[DEFAULT_TRADES_COLUMNS], trading_mode)
def trades_purge(self, pair: str) -> bool:
def trades_purge(self, pair: str, trading_mode: TradingMode) -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:param trading_mode: Trading mode to use (used to determine the filename)
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
if filename.exists():
filename.unlink()
return True
return False
def trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
def trades_load(
self, pair: str, trading_mode: TradingMode, timerange: Optional[TimeRange] = None
) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
Removes duplicates in the process.
:param pair: Load trades for this pair
:param trading_mode: Trading mode to use (used to determine the filename)
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
"""
trades = trades_df_remove_duplicates(self._trades_load(pair, timerange=timerange))
trades = trades_df_remove_duplicates(
self._trades_load(pair, trading_mode, timerange=timerange)
)
trades = trades_convert_types(trades)
return trades
@ -264,7 +275,7 @@ class IDataHandler(ABC):
return filename
@classmethod
def _pair_trades_filename(cls, datadir: Path, pair: str) -> Path:
def _pair_trades_filename(cls, datadir: Path, pair: str, trading_mode: TradingMode) -> Path:
pair_s = misc.pair_to_filename(pair)
if ':' in pair:
# Futures pair ...

14
freqtrade/data/history/jsondatahandler.py
View File

@ -8,7 +8,7 @@ from freqtrade import misc
from freqtrade.configuration import TimeRange
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS
from freqtrade.data.converter import trades_dict_to_list, trades_list_to_df
from freqtrade.enums import CandleType
from freqtrade.enums import CandleType, TradingMode
from .idatahandler import IDataHandler
@ -94,14 +94,15 @@ class JsonDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_store(self, pair: str, data: DataFrame) -> None:
def _trades_store(self, pair: str, data: DataFrame, trading_mode: TradingMode) -> None:
"""
Store trades data (list of Dicts) to file
:param pair: Pair - used for filename
:param data: Dataframe containing trades
column sequence as in DEFAULT_TRADES_COLUMNS
:param trading_mode: Trading mode to use (used to determine the filename)
"""
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
trades = data.values.tolist()
misc.file_dump_json(filename, trades, is_zip=self._use_zip)
@ -114,15 +115,18 @@ class JsonDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> DataFrame:
def _trades_load(
self, pair: str, trading_mode: TradingMode, timerange: Optional[TimeRange] = None
) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
# TODO: respect timerange ...
:param pair: Load trades for this pair
:param trading_mode: Trading mode to use (used to determine the filename)
:param timerange: Timerange to load trades for - currently not implemented
:return: Dataframe containing trades
"""
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
tradesdata = misc.file_load_json(filename)
if not tradesdata:

16
freqtrade/data/history/parquetdatahandler.py
View File

@ -4,8 +4,8 @@ from typing import Optional
from pandas import DataFrame, read_parquet, to_datetime
from freqtrade.configuration import TimeRange
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TradeList
from freqtrade.enums import CandleType
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS
from freqtrade.enums import CandleType, TradingMode
from .idatahandler import IDataHandler
@ -81,14 +81,15 @@ class ParquetDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_store(self, pair: str, data: DataFrame) -> None:
def _trades_store(self, pair: str, data: DataFrame, trading_mode: TradingMode) -> None:
"""
Store trades data (list of Dicts) to file
:param pair: Pair - used for filename
:param data: Dataframe containing trades
column sequence as in DEFAULT_TRADES_COLUMNS
:param trading_mode: Trading mode to use (used to determine the filename)
"""
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
self.create_dir_if_needed(filename)
data.reset_index(drop=True).to_parquet(filename)
@ -101,15 +102,18 @@ class ParquetDataHandler(IDataHandler):
"""
raise NotImplementedError()
def _trades_load(self, pair: str, timerange: Optional[TimeRange] = None) -> TradeList:
def _trades_load(
self, pair: str, trading_mode: TradingMode, timerange: Optional[TimeRange] = None
) -> DataFrame:
"""
Load a pair from file, either .json.gz or .json
# TODO: respect timerange ...
:param pair: Load trades for this pair
:param trading_mode: Trading mode to use (used to determine the filename)
:param timerange: Timerange to load trades for - currently not implemented
:return: List of trades
"""
filename = self._pair_trades_filename(self._datadir, pair)
filename = self._pair_trades_filename(self._datadir, pair, trading_mode)
if not filename.exists():
return DataFrame(columns=DEFAULT_TRADES_COLUMNS)