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Extract resample_interval generation

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This commit is contained in:
Matthias 2024-01-23 07:02:09 +01:00
parent 5167f6936d
commit c9c44a4710
4 changed files with 40 additions and 15 deletions
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11
freqtrade/data/converter/converter.py
View File

@ -84,7 +84,7 @@ def ohlcv_fill_up_missing_data(dataframe: DataFrame, timeframe: str, pair: str)
using the previous close as price for "open", "high" "low" and "close", volume is set to 0
"""
from freqtrade.exchange import timeframe_to_seconds
from freqtrade.exchange import timeframe_as_resample_freq
ohlcv_dict = {
'open': 'first',
@ -93,14 +93,7 @@ def ohlcv_fill_up_missing_data(dataframe: DataFrame, timeframe: str, pair: str)
'close': 'last',
'volume': 'sum'
}
timeframe_seconds = timeframe_to_seconds(timeframe)
timeframe_minutes = timeframe_seconds // 60
resample_interval = f'{timeframe_seconds}s'
if timeframe_minutes >= 43200 and timeframe_minutes < 525600:
# Monthly candles need special treatment to stick to the 1st of the month
resample_interval = f'{timeframe}S'
elif timeframe_minutes > 43200:
resample_interval = timeframe
resample_interval = timeframe_as_resample_freq(timeframe)
# Resample to create "NAN" values
df = dataframe.resample(resample_interval, on='date').agg(ohlcv_dict)

7
freqtrade/exchange/__init__.py
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@ -15,9 +15,10 @@ from freqtrade.exchange.exchange_utils import (ROUND_DOWN, ROUND_UP, amount_to_c
contracts_to_amount, date_minus_candles,
is_exchange_known_ccxt, list_available_exchanges,
market_is_active, price_to_precision,
timeframe_to_minutes, timeframe_to_msecs,
timeframe_to_next_date, timeframe_to_prev_date,
timeframe_to_seconds, validate_exchange)
timeframe_as_resample_freq, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds,
validate_exchange)
from freqtrade.exchange.gate import Gate
from freqtrade.exchange.hitbtc import Hitbtc
from freqtrade.exchange.htx import Htx

17
freqtrade/exchange/exchange_utils.py
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@ -118,6 +118,23 @@ def timeframe_to_msecs(timeframe: str) -> int:
return ccxt.Exchange.parse_timeframe(timeframe) * 1000
def timeframe_as_resample_freq(timeframe: str) -> str:
"""
Translates the timeframe interval value written in the human readable
form ('1m', '5m', '1h', '1d', '1w', etc.) to the resample frequency
used by pandas ('1T', '5T', '1H', '1D', '1W', etc.)
"""
timeframe_seconds = timeframe_to_seconds(timeframe)
timeframe_minutes = timeframe_seconds // 60
resample_interval = f'{timeframe_seconds}s'
if timeframe_minutes >= 43200 and timeframe_minutes < 525600:
# Monthly candles need special treatment to stick to the 1st of the month
resample_interval = f'{timeframe}S'
elif timeframe_minutes > 43200:
resample_interval = timeframe
return resample_interval
def timeframe_to_prev_date(timeframe: str, date: Optional[datetime] = None) -> datetime:
"""
Use Timeframe and determine the candle start date for this date.

20
tests/exchange/test_exchange_utils.py
View File

@ -8,9 +8,9 @@ from ccxt import (DECIMAL_PLACES, ROUND, ROUND_DOWN, ROUND_UP, SIGNIFICANT_DIGIT
from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import (amount_to_contract_precision, amount_to_precision,
date_minus_candles, price_to_precision, timeframe_to_minutes,
timeframe_to_msecs, timeframe_to_next_date, timeframe_to_prev_date,
timeframe_to_seconds)
date_minus_candles, price_to_precision, timeframe_as_resample_freq,
timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds)
from freqtrade.exchange.check_exchange import check_exchange
from tests.conftest import log_has_re
@ -124,6 +124,20 @@ def test_timeframe_to_msecs():
assert timeframe_to_msecs("1d") == 86400000
@pytest.mark.parametrize("timeframe,expected", [
("1s", '1s'),
("15s", '15s'),
("5m", '300s'),
("10m", '600s'),
("1h", '3600s'),
("1d", '86400s'),
("1w", '604800s'),
("1M", '1MS'),
])
def test_timeframe_as_resample_freq(timeframe, expected):
assert timeframe_as_resample_freq(timeframe) == expected
def test_timeframe_to_prev_date():
# 2019-08-12 13:22:08
date = datetime.fromtimestamp(1565616128, tz=timezone.utc)