From 3e676dbaa42835a41dc18b4b526da0a9b25ab2a3 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 10 Nov 2022 16:33:57 +0100 Subject: [PATCH 1/3] Add properties to simplify timerange handling --- freqtrade/configuration/timerange.py | 12 +++++++++++- tests/test_timerange.py | 7 +++++++ 2 files changed, 18 insertions(+), 1 deletion(-) diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index 6979c8cd1..e152a625c 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -3,7 +3,7 @@ This module contains the argument manager class """ import logging import re -from datetime import datetime +from datetime import datetime, timezone from typing import Optional import arrow @@ -29,6 +29,16 @@ class TimeRange: self.startts: int = startts self.stopts: int = stopts + @property + def startdt(self) -> Optional[datetime]: + if self.startts: + return datetime.fromtimestamp(self.startts, tz=timezone.utc) + + @property + def stopdt(self) -> Optional[datetime]: + if self.stopts: + return datetime.fromtimestamp(self.stopts, tz=timezone.utc) + def __eq__(self, other): """Override the default Equals behavior""" return (self.starttype == other.starttype and self.stoptype == other.stoptype diff --git a/tests/test_timerange.py b/tests/test_timerange.py index dcdaad09d..07fad5d68 100644 --- a/tests/test_timerange.py +++ b/tests/test_timerange.py @@ -1,4 +1,6 @@ # pragma pylint: disable=missing-docstring, C0103 +from datetime import datetime, timezone + import arrow import pytest @@ -18,6 +20,10 @@ def test_parse_timerange_incorrect(): assert TimeRange(None, 'date', 0, 1233360000) == TimeRange.parse_timerange('-1233360000') timerange = TimeRange.parse_timerange('1231006505-1233360000') assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange + assert isinstance(timerange.startdt, datetime) + assert isinstance(timerange.stopdt, datetime) + assert timerange.startdt == datetime.fromtimestamp(1231006505, tz=timezone.utc) + assert timerange.stopdt == datetime.fromtimestamp(1233360000, tz=timezone.utc) timerange = TimeRange.parse_timerange('1231006505000-1233360000000') assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange @@ -45,6 +51,7 @@ def test_subtract_start(): x = TimeRange(None, 'date', 0, 1438214400) x.subtract_start(300) assert not x.startts + assert not x.startdt x = TimeRange('date', None, 1274486400, 0) x.subtract_start(300) From 57313dd9611e159f90c5f74b9fcc771a77aa1c35 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 10 Nov 2022 18:11:39 +0100 Subject: [PATCH 2/3] Update some usages of timerange to new, simplified method --- freqtrade/configuration/timerange.py | 2 ++ freqtrade/data/converter.py | 7 ++----- freqtrade/data/history/history_utils.py | 6 +++--- freqtrade/data/history/idatahandler.py | 6 ++---- freqtrade/freqai/data_kitchen.py | 18 ++++++++---------- freqtrade/freqai/utils.py | 4 +--- 6 files changed, 18 insertions(+), 25 deletions(-) diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index e152a625c..8fcf95b45 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -33,11 +33,13 @@ class TimeRange: def startdt(self) -> Optional[datetime]: if self.startts: return datetime.fromtimestamp(self.startts, tz=timezone.utc) + return None @property def stopdt(self) -> Optional[datetime]: if self.stopts: return datetime.fromtimestamp(self.stopts, tz=timezone.utc) + return None def __eq__(self, other): """Override the default Equals behavior""" diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py index 98ed15489..718011eb6 100644 --- a/freqtrade/data/converter.py +++ b/freqtrade/data/converter.py @@ -3,7 +3,6 @@ Functions to convert data from one format to another """ import itertools import logging -from datetime import datetime, timezone from operator import itemgetter from typing import Dict, List @@ -137,11 +136,9 @@ def trim_dataframe(df: DataFrame, timerange, df_date_col: str = 'date', df = df.iloc[startup_candles:, :] else: if timerange.starttype == 'date': - start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc) - df = df.loc[df[df_date_col] >= start, :] + df = df.loc[df[df_date_col] >= timerange.startdt, :] if timerange.stoptype == 'date': - stop = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc) - df = df.loc[df[df_date_col] <= stop, :] + df = df.loc[df[df_date_col] <= timerange.stopdt, :] return df diff --git a/freqtrade/data/history/history_utils.py b/freqtrade/data/history/history_utils.py index 93534e919..9a206baa4 100644 --- a/freqtrade/data/history/history_utils.py +++ b/freqtrade/data/history/history_utils.py @@ -1,6 +1,6 @@ import logging import operator -from datetime import datetime, timezone +from datetime import datetime from pathlib import Path from typing import Dict, List, Optional, Tuple @@ -160,9 +160,9 @@ def _load_cached_data_for_updating( end = None if timerange: if timerange.starttype == 'date': - start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc) + start = timerange.startdt if timerange.stoptype == 'date': - end = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc) + end = timerange.stopdt # Intentionally don't pass timerange in - since we need to load the full dataset. data = data_handler.ohlcv_load(pair, timeframe=timeframe, diff --git a/freqtrade/data/history/idatahandler.py b/freqtrade/data/history/idatahandler.py index b82d2055b..57441b4be 100644 --- a/freqtrade/data/history/idatahandler.py +++ b/freqtrade/data/history/idatahandler.py @@ -366,13 +366,11 @@ class IDataHandler(ABC): """ if timerange.starttype == 'date': - start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc) - if pairdata.iloc[0]['date'] > start: + if pairdata.iloc[0]['date'] > timerange.startdt: logger.warning(f"{pair}, {candle_type}, {timeframe}, " f"data starts at {pairdata.iloc[0]['date']:%Y-%m-%d %H:%M:%S}") if timerange.stoptype == 'date': - stop = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc) - if pairdata.iloc[-1]['date'] < stop: + if pairdata.iloc[-1]['date'] < timerange.stopdt: logger.warning(f"{pair}, {candle_type}, {timeframe}, " f"data ends at {pairdata.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}") diff --git a/freqtrade/freqai/data_kitchen.py b/freqtrade/freqai/data_kitchen.py index 12a3cd519..5e1238884 100644 --- a/freqtrade/freqai/data_kitchen.py +++ b/freqtrade/freqai/data_kitchen.py @@ -432,8 +432,8 @@ class FreqaiDataKitchen: timerange_train.stopts = timerange_train.startts + train_period_days first = False - start = datetime.fromtimestamp(timerange_train.startts, tz=timezone.utc) - stop = datetime.fromtimestamp(timerange_train.stopts, tz=timezone.utc) + start = timerange_train.startdt + stop = timerange_train.stopdt tr_training_list.append(start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d")) tr_training_list_timerange.append(copy.deepcopy(timerange_train)) @@ -446,8 +446,8 @@ class FreqaiDataKitchen: if timerange_backtest.stopts > config_timerange.stopts: timerange_backtest.stopts = config_timerange.stopts - start = datetime.fromtimestamp(timerange_backtest.startts, tz=timezone.utc) - stop = datetime.fromtimestamp(timerange_backtest.stopts, tz=timezone.utc) + start = timerange_backtest.startdt + stop = timerange_backtest.stopdt tr_backtesting_list.append(start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d")) tr_backtesting_list_timerange.append(copy.deepcopy(timerange_backtest)) @@ -490,11 +490,9 @@ class FreqaiDataKitchen: it is sliced down to just the present training period. """ - start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc) - stop = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc) - df = df.loc[df["date"] >= start, :] + df = df.loc[df["date"] >= timerange.startdt, :] if not self.live: - df = df.loc[df["date"] < stop, :] + df = df.loc[df["date"] < timerange.stopdt, :] return df @@ -1057,8 +1055,8 @@ class FreqaiDataKitchen: backtest_timerange.startts = ( backtest_timerange.startts - backtest_period_days * SECONDS_IN_DAY ) - start = datetime.fromtimestamp(backtest_timerange.startts, tz=timezone.utc) - stop = datetime.fromtimestamp(backtest_timerange.stopts, tz=timezone.utc) + start = backtest_timerange.startdt + stop = backtest_timerange.stopdt full_timerange = start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d") config_path = Path(self.config["config_files"][0]) diff --git a/freqtrade/freqai/utils.py b/freqtrade/freqai/utils.py index e854bcf0b..aa5185075 100644 --- a/freqtrade/freqai/utils.py +++ b/freqtrade/freqai/utils.py @@ -230,7 +230,5 @@ def get_timerange_backtest_live_models(config: Config) -> str: dk = FreqaiDataKitchen(config) models_path = dk.get_full_models_path(config) timerange, _ = dk.get_timerange_and_assets_end_dates_from_ready_models(models_path) - start_date = datetime.fromtimestamp(timerange.startts, tz=timezone.utc) - end_date = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc) - tr = f"{start_date.strftime('%Y%m%d')}-{end_date.strftime('%Y%m%d')}" + tr = f"{timerange.startdt.strftime('%Y%m%d')}-{timerange.stopdt.strftime('%Y%m%d')}" return tr From 0f9c5f8d41f2ea2674bb6fe8f195f4d9df097f9c Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 10 Nov 2022 18:26:14 +0100 Subject: [PATCH 3/3] Simplify timerange handling --- freqtrade/configuration/timerange.py | 35 ++++++++++++++++++++++++++++ freqtrade/freqai/data_kitchen.py | 12 +++------- freqtrade/freqai/freqai_interface.py | 23 ++++-------------- freqtrade/freqai/utils.py | 3 +-- freqtrade/optimize/backtesting.py | 3 +-- tests/test_timerange.py | 12 ++++++++-- 6 files changed, 55 insertions(+), 33 deletions(-) diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index 8fcf95b45..adc5e65df 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -8,6 +8,7 @@ from typing import Optional import arrow +from freqtrade.constants import DATETIME_PRINT_FORMAT from freqtrade.exceptions import OperationalException @@ -41,6 +42,40 @@ class TimeRange: return datetime.fromtimestamp(self.stopts, tz=timezone.utc) return None + @property + def timerange_str(self) -> str: + """ + Returns a string representation of the timerange as used by parse_timerange. + Follows the format yyyymmdd-yyyymmdd - leaving out the parts that are not set. + """ + start = '' + stop = '' + if startdt := self.startdt: + start = startdt.strftime('%Y%m%d') + if stopdt := self.stopdt: + stop = stopdt.strftime('%Y%m%d') + return f"{start}-{stop}" + + @property + def start_fmt(self) -> str: + """ + Returns a string representation of the start date + """ + val = 'unbounded' + if (startdt := self.startdt) is not None: + val = startdt.strftime(DATETIME_PRINT_FORMAT) + return val + + @property + def stop_fmt(self) -> str: + """ + Returns a string representation of the stop date + """ + val = 'unbounded' + if (stopdt := self.stopdt) is not None: + val = stopdt.strftime(DATETIME_PRINT_FORMAT) + return val + def __eq__(self, other): """Override the default Equals behavior""" return (self.starttype == other.starttype and self.stoptype == other.stoptype diff --git a/freqtrade/freqai/data_kitchen.py b/freqtrade/freqai/data_kitchen.py index 5e1238884..87df7fba0 100644 --- a/freqtrade/freqai/data_kitchen.py +++ b/freqtrade/freqai/data_kitchen.py @@ -432,9 +432,7 @@ class FreqaiDataKitchen: timerange_train.stopts = timerange_train.startts + train_period_days first = False - start = timerange_train.startdt - stop = timerange_train.stopdt - tr_training_list.append(start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d")) + tr_training_list.append(timerange_train.timerange_str) tr_training_list_timerange.append(copy.deepcopy(timerange_train)) # associated backtest period @@ -446,9 +444,7 @@ class FreqaiDataKitchen: if timerange_backtest.stopts > config_timerange.stopts: timerange_backtest.stopts = config_timerange.stopts - start = timerange_backtest.startdt - stop = timerange_backtest.stopdt - tr_backtesting_list.append(start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d")) + tr_backtesting_list.append(timerange_backtest.timerange_str) tr_backtesting_list_timerange.append(copy.deepcopy(timerange_backtest)) # ensure we are predicting on exactly same amount of data as requested by user defined @@ -1055,9 +1051,7 @@ class FreqaiDataKitchen: backtest_timerange.startts = ( backtest_timerange.startts - backtest_period_days * SECONDS_IN_DAY ) - start = backtest_timerange.startdt - stop = backtest_timerange.stopdt - full_timerange = start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d") + full_timerange = backtest_timerange.timerange_str config_path = Path(self.config["config_files"][0]) if not self.full_path.is_dir(): diff --git a/freqtrade/freqai/freqai_interface.py b/freqtrade/freqai/freqai_interface.py index ae123f852..94d471d13 100644 --- a/freqtrade/freqai/freqai_interface.py +++ b/freqtrade/freqai/freqai_interface.py @@ -13,7 +13,7 @@ from numpy.typing import NDArray from pandas import DataFrame from freqtrade.configuration import TimeRange -from freqtrade.constants import DATETIME_PRINT_FORMAT, Config +from freqtrade.constants import Config from freqtrade.enums import RunMode from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_seconds @@ -788,14 +788,8 @@ class IFreqaiModel(ABC): :return: if the data exists or not """ if self.config.get("freqai_backtest_live_models", False) 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} from {tr_backtest_startts_str} " - f" from {tr_backtest_startts_str} to {tr_backtest_stopts_str}. " + logger.info(f"No data found for pair {pair} from " + f"from { tr_backtest.start_fmt} to {tr_backtest.stop_fmt}. " "Probably more than one training within the same candle period.") return False return True @@ -810,18 +804,11 @@ class IFreqaiModel(ABC): :param pair: the current pair :param total_trains: total trains (total number of slides for the sliding window) """ - tr_train_startts_str = datetime.fromtimestamp( - tr_train.startts, - tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT) - tr_train_stopts_str = datetime.fromtimestamp( - tr_train.stopts, - tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT) - if not self.config.get("freqai_backtest_live_models", False): logger.info( f"Training {pair}, {self.pair_it}/{self.total_pairs} pairs" - f" from {tr_train_startts_str} " - f"to {tr_train_stopts_str}, {train_it}/{total_trains} " + f" from {tr_train.start_fmt} " + f"to {tr_train.stop_fmt}, {train_it}/{total_trains} " "trains" ) # Following methods which are overridden by user made prediction models. diff --git a/freqtrade/freqai/utils.py b/freqtrade/freqai/utils.py index aa5185075..b64859f9f 100644 --- a/freqtrade/freqai/utils.py +++ b/freqtrade/freqai/utils.py @@ -230,5 +230,4 @@ def get_timerange_backtest_live_models(config: Config) -> str: dk = FreqaiDataKitchen(config) models_path = dk.get_full_models_path(config) timerange, _ = dk.get_timerange_and_assets_end_dates_from_ready_models(models_path) - tr = f"{timerange.startdt.strftime('%Y%m%d')}-{timerange.stopdt.strftime('%Y%m%d')}" - return tr + return timerange.timerange_str diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 3436eac44..bb588119a 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -1286,8 +1286,7 @@ class Backtesting: def _get_min_cached_backtest_date(self): min_backtest_date = None backtest_cache_age = self.config.get('backtest_cache', constants.BACKTEST_CACHE_DEFAULT) - if self.timerange.stopts == 0 or datetime.fromtimestamp( - self.timerange.stopts, tz=timezone.utc) > datetime.now(tz=timezone.utc): + if self.timerange.stopts == 0 or self.timerange.stopdt > datetime.now(tz=timezone.utc): logger.warning('Backtest result caching disabled due to use of open-ended timerange.') elif backtest_cache_age == 'day': min_backtest_date = datetime.now(tz=timezone.utc) - timedelta(days=1) diff --git a/tests/test_timerange.py b/tests/test_timerange.py index 07fad5d68..06ff1983a 100644 --- a/tests/test_timerange.py +++ b/tests/test_timerange.py @@ -10,10 +10,17 @@ from freqtrade.exceptions import OperationalException def test_parse_timerange_incorrect(): - assert TimeRange('date', None, 1274486400, 0) == TimeRange.parse_timerange('20100522-') - assert TimeRange(None, 'date', 0, 1274486400) == TimeRange.parse_timerange('-20100522') + timerange = TimeRange.parse_timerange('20100522-') + assert TimeRange('date', None, 1274486400, 0) == timerange + assert timerange.timerange_str == '20100522-' + timerange = TimeRange.parse_timerange('-20100522') + assert TimeRange(None, 'date', 0, 1274486400) == timerange + assert timerange.timerange_str == '-20100522' timerange = TimeRange.parse_timerange('20100522-20150730') assert timerange == TimeRange('date', 'date', 1274486400, 1438214400) + assert timerange.timerange_str == '20100522-20150730' + assert timerange.start_fmt == '2010-05-22 00:00:00' + assert timerange.stop_fmt == '2015-07-30 00:00:00' # Added test for unix timestamp - BTC genesis date assert TimeRange('date', None, 1231006505, 0) == TimeRange.parse_timerange('1231006505-') @@ -24,6 +31,7 @@ def test_parse_timerange_incorrect(): assert isinstance(timerange.stopdt, datetime) assert timerange.startdt == datetime.fromtimestamp(1231006505, tz=timezone.utc) assert timerange.stopdt == datetime.fromtimestamp(1233360000, tz=timezone.utc) + assert timerange.timerange_str == '20090103-20090131' timerange = TimeRange.parse_timerange('1231006505000-1233360000000') assert TimeRange('date', 'date', 1231006505, 1233360000) == timerange