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featherdatahandler: implement trades_store/_trades_load
This commit is contained in:
Joe Schr
parent
7b5e322ef2
commit
e16db814fa
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@ -4,8 +4,9 @@ from typing import Optional
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from pandas import DataFrame, read_feather, to_datetime
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from freqtrade.configuration import TimeRange
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from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, TradeList
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from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, TradeList, DEFAULT_TRADES_COLUMNS
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from freqtrade.enums import CandleType
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from freqtrade.data.converter import trades_dict_to_list
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from .idatahandler import IDataHandler
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@ -29,7 +30,8 @@ class FeatherDataHandler(IDataHandler):
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:param candle_type: Any of the enum CandleType (must match trading mode!)
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:return: None
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"""
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filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
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filename = self._pair_data_filename(
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self._datadir, pair, timeframe, candle_type)
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self.create_dir_if_needed(filename)
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data.reset_index(drop=True).loc[:, self._columns].to_feather(
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@ -92,12 +94,11 @@ class FeatherDataHandler(IDataHandler):
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:param data: List of Lists containing trade data,
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column sequence as in DEFAULT_TRADES_COLUMNS
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"""
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# filename = self._pair_trades_filename(self._datadir, pair)
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filename = self._pair_trades_filename(self._datadir, pair)
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self.create_dir_if_needed(filename)
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raise NotImplementedError()
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# array = pa.array(data)
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# array
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# feather.write_feather(data, filename)
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tradesdata = DataFrame(data, columns=DEFAULT_TRADES_COLUMNS)
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tradesdata.to_feather(filename, compression_level=9, compression='lz4')
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def trades_append(self, pair: str, data: TradeList):
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"""
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@ -116,14 +117,13 @@ class FeatherDataHandler(IDataHandler):
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:param timerange: Timerange to load trades for - currently not implemented
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:return: List of trades
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"""
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raise NotImplementedError()
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# filename = self._pair_trades_filename(self._datadir, pair)
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# tradesdata = misc.file_load_json(filename)
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filename = self._pair_trades_filename(self._datadir, pair)
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if not filename.exists():
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return []
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# if not tradesdata:
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# return []
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tradesdata = read_feather(filename)
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# return tradesdata
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return tradesdata.values.tolist()
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@classmethod
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def _get_file_extension(cls):
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@ -20,25 +20,31 @@ from tests.conftest import log_has, log_has_re
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def test_datahandler_ohlcv_get_pairs(testdatadir):
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pairs = JsonDataHandler.ohlcv_get_pairs(testdatadir, '5m', candle_type=CandleType.SPOT)
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pairs = JsonDataHandler.ohlcv_get_pairs(
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testdatadir, '5m', candle_type=CandleType.SPOT)
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# Convert to set to avoid failures due to sorting
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assert set(pairs) == {'UNITTEST/BTC', 'XLM/BTC', 'ETH/BTC', 'TRX/BTC', 'LTC/BTC',
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'XMR/BTC', 'ZEC/BTC', 'ADA/BTC', 'ETC/BTC', 'NXT/BTC',
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'DASH/BTC', 'XRP/ETH'}
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pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, '8m', candle_type=CandleType.SPOT)
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pairs = JsonGzDataHandler.ohlcv_get_pairs(
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testdatadir, '8m', candle_type=CandleType.SPOT)
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assert set(pairs) == {'UNITTEST/BTC'}
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pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '5m', candle_type=CandleType.SPOT)
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pairs = HDF5DataHandler.ohlcv_get_pairs(
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testdatadir, '5m', candle_type=CandleType.SPOT)
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assert set(pairs) == {'UNITTEST/BTC'}
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pairs = JsonDataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
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pairs = JsonDataHandler.ohlcv_get_pairs(
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testdatadir, '1h', candle_type=CandleType.MARK)
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assert set(pairs) == {'UNITTEST/USDT:USDT', 'XRP/USDT:USDT'}
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pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.FUTURES)
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pairs = JsonGzDataHandler.ohlcv_get_pairs(
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testdatadir, '1h', candle_type=CandleType.FUTURES)
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assert set(pairs) == {'XRP/USDT:USDT'}
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pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, '1h', candle_type=CandleType.MARK)
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pairs = HDF5DataHandler.ohlcv_get_pairs(
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testdatadir, '1h', candle_type=CandleType.MARK)
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assert set(pairs) == {'UNITTEST/USDT:USDT'}
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@ -79,7 +85,8 @@ def test_rebuild_pair_from_filename(input, expected):
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def test_datahandler_ohlcv_get_available_data(testdatadir):
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paircombs = JsonDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
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paircombs = JsonDataHandler.ohlcv_get_available_data(
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testdatadir, TradingMode.SPOT)
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# Convert to set to avoid failures due to sorting
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assert set(paircombs) == {
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('UNITTEST/BTC', '5m', CandleType.SPOT),
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@ -101,7 +108,8 @@ def test_datahandler_ohlcv_get_available_data(testdatadir):
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('NOPAIR/XXX', '4m', CandleType.SPOT),
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}
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paircombs = JsonDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.FUTURES)
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paircombs = JsonDataHandler.ohlcv_get_available_data(
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testdatadir, TradingMode.FUTURES)
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# Convert to set to avoid failures due to sorting
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assert set(paircombs) == {
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('UNITTEST/USDT:USDT', '1h', 'mark'),
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@ -112,9 +120,11 @@ def test_datahandler_ohlcv_get_available_data(testdatadir):
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('XRP/USDT:USDT', '8h', 'funding_rate'),
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}
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paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
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paircombs = JsonGzDataHandler.ohlcv_get_available_data(
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testdatadir, TradingMode.SPOT)
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assert set(paircombs) == {('UNITTEST/BTC', '8m', CandleType.SPOT)}
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paircombs = HDF5DataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
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paircombs = HDF5DataHandler.ohlcv_get_available_data(
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testdatadir, TradingMode.SPOT)
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assert set(paircombs) == {('UNITTEST/BTC', '5m', CandleType.SPOT)}
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@ -252,7 +262,7 @@ def test_datahandler__check_empty_df(testdatadir, caplog):
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assert log_has_re(expected_text, caplog)
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@pytest.mark.parametrize('datahandler', ['feather', 'parquet'])
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@pytest.mark.parametrize('datahandler', ['parquet'])
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def test_datahandler_trades_not_supported(datahandler, testdatadir, ):
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dh = get_datahandler(testdatadir, datahandler)
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with pytest.raises(NotImplementedError):
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@ -406,18 +416,21 @@ def test_hdf5datahandler_ohlcv_load_and_resave(
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assert not ohlcv[ohlcv['date'] < startdt].empty
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timerange = TimeRange.parse_timerange(f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
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timerange = TimeRange.parse_timerange(
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f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
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# Call private function to ensure timerange is filtered in hdf5
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ohlcv = dh._ohlcv_load(pair, timeframe, timerange, candle_type=candle_type)
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ohlcv1 = dh1._ohlcv_load('UNITTEST/NEW', timeframe, timerange, candle_type=candle_type)
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ohlcv1 = dh1._ohlcv_load('UNITTEST/NEW', timeframe,
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timerange, candle_type=candle_type)
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assert len(ohlcv) == len(ohlcv1)
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assert ohlcv.equals(ohlcv1)
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assert ohlcv[ohlcv['date'] < startdt].empty
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assert ohlcv[ohlcv['date'] > enddt].empty
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# Try loading inexisting file
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ohlcv = dh.ohlcv_load('UNITTEST/NONEXIST', timeframe, candle_type=candle_type)
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ohlcv = dh.ohlcv_load('UNITTEST/NONEXIST', timeframe,
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candle_type=candle_type)
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assert ohlcv.empty
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@ -452,7 +465,8 @@ def test_generic_datahandler_ohlcv_load_and_resave(
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# Get data to test
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dh = get_datahandler(testdatadir, datahandler)
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file = tmpdir2 / f"UNITTEST_NEW-{timeframe}{candle_append}.{dh._get_file_extension()}"
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file = tmpdir2 / \
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f"UNITTEST_NEW-{timeframe}{candle_append}.{dh._get_file_extension()}"
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assert not file.is_file()
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dh1 = get_datahandler(tmpdir1, datahandler)
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@ -461,11 +475,14 @@ def test_generic_datahandler_ohlcv_load_and_resave(
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assert not ohlcv[ohlcv['date'] < startdt].empty
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timerange = TimeRange.parse_timerange(f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
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timerange = TimeRange.parse_timerange(
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f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
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ohlcv = dhbase.ohlcv_load(pair, timeframe, timerange=timerange, candle_type=candle_type)
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ohlcv = dhbase.ohlcv_load(
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pair, timeframe, timerange=timerange, candle_type=candle_type)
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if datahandler == 'hdf5':
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ohlcv1 = dh1._ohlcv_load('UNITTEST/NEW', timeframe, timerange, candle_type=candle_type)
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ohlcv1 = dh1._ohlcv_load(
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'UNITTEST/NEW', timeframe, timerange, candle_type=candle_type)
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if candle_type == 'mark':
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ohlcv1['volume'] = 0.0
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else:
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@ -478,7 +495,8 @@ def test_generic_datahandler_ohlcv_load_and_resave(
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assert ohlcv[ohlcv['date'] > enddt].empty
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# Try loading inexisting file
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ohlcv = dh.ohlcv_load('UNITTEST/NONEXIST', timeframe, candle_type=candle_type)
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ohlcv = dh.ohlcv_load('UNITTEST/NONEXIST', timeframe,
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candle_type=candle_type)
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assert ohlcv.empty
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@ -496,6 +514,58 @@ def test_hdf5datahandler_ohlcv_purge(mocker, testdatadir):
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assert unlinkmock.call_count == 2
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def test_featherdatahandler_trades_load(testdatadir):
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dh = get_datahandler(testdatadir, 'feather')
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trades = dh.trades_load('XRP/ETH')
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assert isinstance(trades, list)
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assert trades[0][0] == 1570752011620
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assert trades[-1][-1] == 0.1986231
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trades1 = dh.trades_load('UNITTEST/NONEXIST')
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assert trades1 == []
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def test_featherdatahandler_trades_store(testdatadir, tmpdir):
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tmpdir1 = Path(tmpdir)
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dh = get_datahandler(testdatadir, 'feather')
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trades = dh.trades_load('XRP/ETH')
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dh1 = get_datahandler(tmpdir1, 'feather')
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dh1.trades_store('XRP/NEW', trades)
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file = tmpdir1 / 'XRP_NEW-trades.feather'
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assert file.is_file()
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# Load trades back
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trades_new = dh1.trades_load('XRP/NEW')
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assert len(trades_new) == len(trades)
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assert trades[0][0] == trades_new[0][0]
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assert trades[0][1] == trades_new[0][1]
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# assert trades[0][2] == trades_new[0][2] # This is nan - so comparison does not make sense
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assert trades[0][3] == trades_new[0][3]
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assert trades[0][4] == trades_new[0][4]
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assert trades[0][5] == trades_new[0][5]
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assert trades[0][6] == trades_new[0][6]
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assert trades[-1][0] == trades_new[-1][0]
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assert trades[-1][1] == trades_new[-1][1]
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# assert trades[-1][2] == trades_new[-1][2] # This is nan - so comparison does not make sense
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assert trades[-1][3] == trades_new[-1][3]
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assert trades[-1][4] == trades_new[-1][4]
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assert trades[-1][5] == trades_new[-1][5]
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assert trades[-1][6] == trades_new[-1][6]
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def test_featherdatahandler_trades_purge(mocker, testdatadir):
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mocker.patch.object(Path, "exists", MagicMock(return_value=False))
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unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
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dh = get_datahandler(testdatadir, 'feather')
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assert not dh.trades_purge('UNITTEST/NONEXIST')
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assert unlinkmock.call_count == 0
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mocker.patch.object(Path, "exists", MagicMock(return_value=True))
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assert dh.trades_purge('UNITTEST/NONEXIST')
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assert unlinkmock.call_count == 1
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def test_gethandlerclass():
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cl = get_datahandlerclass('json')
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assert cl == JsonDataHandler
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BIN
tests/testdata/XRP_ETH-trades.feather
vendored
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BIN
tests/testdata/XRP_ETH-trades.feather
vendored
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