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Pass analyzed dataframe to get_signal

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This commit is contained in:
Matthias 2020-06-18 08:01:09 +02:00
parent 48225e0d80
commit f1993fb2f4
4 changed files with 16 additions and 45 deletions
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8
freqtrade/freqtradebot.py
View File

@ -424,7 +424,8 @@ class FreqtradeBot:
return False
# running get_signal on historical data fetched
(buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe)
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(pair, self.strategy.timeframe)
(buy, sell) = self.strategy.get_signal(pair, self.strategy.timeframe, analyzed_df)
if buy and not sell:
stake_amount = self.get_trade_stake_amount(pair)
@ -705,7 +706,10 @@ class FreqtradeBot:
if (config_ask_strategy.get('use_sell_signal', True) or
config_ask_strategy.get('ignore_roi_if_buy_signal', False)):
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe)
analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair,
self.strategy.timeframe)
(buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df)
if config_ask_strategy.get('use_order_book', False):
order_book_min = config_ask_strategy.get('order_book_min', 1)

8
freqtrade/strategy/interface.py
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@ -406,19 +406,15 @@ class IStrategy(ABC):
else:
raise StrategyError(f"Dataframe returned from strategy has mismatching {message}.")
def get_signal(self, pair: str, timeframe: str) -> Tuple[bool, bool]:
def get_signal(self, pair: str, timeframe: str, dataframe: DataFrame) -> Tuple[bool, bool]:
"""
Calculates current signal based based on the buy / sell columns of the dataframe.
Used by Bot to get the signal to buy or sell
:param pair: pair in format ANT/BTC
:param timeframe: timeframe to use
:param dataframe: Analyzed dataframe to get signal from.
:return: (Buy, Sell) A bool-tuple indicating buy/sell signal
"""
if not self.dp:
raise OperationalException("DataProvider not found.")
dataframe, _ = self.dp.get_analyzed_dataframe(pair, timeframe)
if not isinstance(dataframe, DataFrame) or dataframe.empty:
logger.warning(f'Empty candle (OHLCV) data for pair {pair}')
return False, False

2
tests/conftest.py
View File

@ -163,7 +163,7 @@ def patch_get_signal(freqtrade: FreqtradeBot, value=(True, False)) -> None:
:param value: which value IStrategy.get_signal() must return
:return: None
"""
freqtrade.strategy.get_signal = lambda e, s: value
freqtrade.strategy.get_signal = lambda e, s, x: value
freqtrade.exchange.refresh_latest_ohlcv = lambda p: None

43
tests/strategy/test_interface.py
View File

@ -31,40 +31,15 @@ def test_returns_latest_signal(mocker, default_conf, ohlcv_history):
mocked_history['buy'] = 0
mocked_history.loc[1, 'sell'] = 1
mocker.patch.object(
_STRATEGY.dp, 'get_analyzed_dataframe',
return_value=(mocked_history, 0)
)
assert _STRATEGY.get_signal('ETH/BTC', '5m') == (False, True)
assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, True)
mocked_history.loc[1, 'sell'] = 0
mocked_history.loc[1, 'buy'] = 1
mocker.patch.object(
_STRATEGY.dp, 'get_analyzed_dataframe',
return_value=(mocked_history, 0)
)
assert _STRATEGY.get_signal('ETH/BTC', '5m') == (True, False)
assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (True, False)
mocked_history.loc[1, 'sell'] = 0
mocked_history.loc[1, 'buy'] = 0
mocker.patch.object(
_STRATEGY.dp, 'get_analyzed_dataframe',
return_value=(mocked_history, 0)
)
assert _STRATEGY.get_signal('ETH/BTC', '5m') == (False, False)
def test_trade_no_dataprovider(default_conf, mocker, caplog):
strategy = DefaultStrategy({})
# Delete DP for sure (suffers from test leakage, as this is updated in the base class)
if strategy.dp is not None:
strategy.dp = None
with pytest.raises(OperationalException, match="DataProvider not found."):
strategy.get_signal('ETH/BTC', '5m')
with pytest.raises(OperationalException, match="DataProvider not found."):
strategy.analyze_pair('ETH/BTC')
assert _STRATEGY.get_signal('ETH/BTC', '5m', mocked_history) == (False, False)
def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history):
@ -81,18 +56,15 @@ def test_analyze_pair_empty(default_conf, mocker, caplog, ohlcv_history):
def test_get_signal_empty(default_conf, mocker, caplog):
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(DataFrame(), 0))
assert (False, False) == _STRATEGY.get_signal('foo', default_conf['timeframe'])
assert (False, False) == _STRATEGY.get_signal('foo', default_conf['timeframe'], DataFrame())
assert log_has('Empty candle (OHLCV) data for pair foo', caplog)
caplog.clear()
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(None, 0))
assert (False, False) == _STRATEGY.get_signal('bar', default_conf['timeframe'])
assert (False, False) == _STRATEGY.get_signal('bar', default_conf['timeframe'], None)
assert log_has('Empty candle (OHLCV) data for pair bar', caplog)
caplog.clear()
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(DataFrame([]), 0))
assert (False, False) == _STRATEGY.get_signal('baz', default_conf['timeframe'])
assert (False, False) == _STRATEGY.get_signal('baz', default_conf['timeframe'], DataFrame([]))
assert log_has('Empty candle (OHLCV) data for pair baz', caplog)
@ -126,10 +98,9 @@ def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
mocked_history.loc[1, 'buy'] = 1
caplog.set_level(logging.INFO)
mocker.patch.object(_STRATEGY.dp, 'get_analyzed_dataframe', return_value=(mocked_history, 0))
mocker.patch.object(_STRATEGY, 'assert_df')
assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'])
assert (False, False) == _STRATEGY.get_signal('xyz', default_conf['timeframe'], mocked_history)
assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog)