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Candle_type to enum

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This commit is contained in:
Matthias 2021-12-03 12:23:35 +01:00
parent a87e256737
commit f9cf59bb4d
6 changed files with 53 additions and 59 deletions
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3
freqtrade/data/converter.py
View File

@ -11,6 +11,7 @@ import pandas as pd
from pandas import DataFrame, to_datetime
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TradeList
from freqtrade.enums.candletype import CandleType
logger = logging.getLogger(__name__)
@ -266,7 +267,7 @@ def convert_ohlcv_format(
convert_from: str,
convert_to: str,
erase: bool,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT_
):
"""
Convert OHLCV from one format to another

16
freqtrade/data/history/hdf5datahandler.py
View File

@ -51,7 +51,7 @@ class HDF5DataHandler(IDataHandler):
for the specified timeframe
:param datadir: Directory to search for ohlcv files
:param timeframe: Timeframe to search pairs for
:param candle_type: Any of the enum CandleType (must match your trading mode!)
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: List of Pairs
"""
candle = ""
@ -69,14 +69,14 @@ class HDF5DataHandler(IDataHandler):
pair: str,
timeframe: str,
data: pd.DataFrame,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT_
) -> None:
"""
Store data in hdf5 file.
:param pair: Pair - used to generate filename
:param timeframe: Timeframe - used to generate filename
:param data: Dataframe containing OHLCV data
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: None
"""
key = self._pair_ohlcv_key(pair, timeframe)
@ -90,7 +90,9 @@ class HDF5DataHandler(IDataHandler):
)
def _ohlcv_load(self, pair: str, timeframe: str,
timerange: Optional[TimeRange] = None, candle_type: str = '') -> pd.DataFrame:
timerange: Optional[TimeRange] = None,
candle_type: CandleType = CandleType.SPOT_
) -> pd.DataFrame:
"""
Internal method used to load data for one pair from disk.
Implements the loading and conversion to a Pandas dataframe.
@ -100,7 +102,7 @@ class HDF5DataHandler(IDataHandler):
:param timerange: Limit data to be loaded to this timerange.
Optionally implemented by subclasses to avoid loading
all data where possible.
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
key = self._pair_ohlcv_key(pair, timeframe)
@ -133,14 +135,14 @@ class HDF5DataHandler(IDataHandler):
pair: str,
timeframe: str,
data: pd.DataFrame,
candle_type: str = ''
candle_type: CandleType
) -> None:
"""
Append data to existing data structures
:param pair: Pair
:param timeframe: Timeframe this ohlcv data is for
:param data: Data to append.
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
raise NotImplementedError()

25
freqtrade/data/history/history_utils.py
View File

@ -12,6 +12,7 @@ from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS
from freqtrade.data.converter import (clean_ohlcv_dataframe, ohlcv_to_dataframe,
trades_remove_duplicates, trades_to_ohlcv)
from freqtrade.data.history.idatahandler import IDataHandler, get_datahandler
from freqtrade.enums.candletype import CandleType
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import Exchange
from freqtrade.misc import format_ms_time
@ -29,7 +30,7 @@ def load_pair_history(pair: str,
startup_candles: int = 0,
data_format: str = None,
data_handler: IDataHandler = None,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT
) -> DataFrame:
"""
Load cached ohlcv history for the given pair.
@ -44,7 +45,7 @@ def load_pair_history(pair: str,
:param startup_candles: Additional candles to load at the start of the period
:param data_handler: Initialized data-handler to use.
Will be initialized from data_format if not set
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
data_handler = get_datahandler(datadir, data_format, data_handler)
@ -67,7 +68,7 @@ def load_data(datadir: Path,
startup_candles: int = 0,
fail_without_data: bool = False,
data_format: str = 'json',
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT
) -> Dict[str, DataFrame]:
"""
Load ohlcv history data for a list of pairs.
@ -80,7 +81,7 @@ def load_data(datadir: Path,
:param startup_candles: Additional candles to load at the start of the period
:param fail_without_data: Raise OperationalException if no data is found.
:param data_format: Data format which should be used. Defaults to json
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: dict(<pair>:<Dataframe>)
"""
result: Dict[str, DataFrame] = {}
@ -111,7 +112,7 @@ def refresh_data(datadir: Path,
exchange: Exchange,
data_format: str = None,
timerange: Optional[TimeRange] = None,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT
) -> None:
"""
Refresh ohlcv history data for a list of pairs.
@ -122,7 +123,7 @@ def refresh_data(datadir: Path,
:param exchange: Exchange object
:param data_format: dataformat to use
:param timerange: Limit data to be loaded to this timerange
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
data_handler = get_datahandler(datadir, data_format)
for idx, pair in enumerate(pairs):
@ -138,7 +139,7 @@ def _load_cached_data_for_updating(
timeframe: str,
timerange: Optional[TimeRange],
data_handler: IDataHandler,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT
) -> Tuple[DataFrame, Optional[int]]:
"""
Load cached data to download more data.
@ -177,7 +178,8 @@ def _download_pair_history(pair: str, *,
new_pairs_days: int = 30,
data_handler: IDataHandler = None,
timerange: Optional[TimeRange] = None,
candle_type: str = '') -> bool:
candle_type: CandleType = CandleType.SPOT
) -> bool:
"""
Download latest candles from the exchange for the pair and timeframe passed in parameters
The data is downloaded starting from the last correct data that
@ -189,7 +191,7 @@ def _download_pair_history(pair: str, *,
:param pair: pair to download
:param timeframe: Timeframe (e.g "5m")
:param timerange: range of time to download
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: bool with success state
"""
data_handler = get_datahandler(datadir, data_handler=data_handler)
@ -249,7 +251,8 @@ def refresh_backtest_ohlcv_data(exchange: Exchange, pairs: List[str], timeframes
datadir: Path, timerange: Optional[TimeRange] = None,
new_pairs_days: int = 30, erase: bool = False,
data_format: str = None,
candle_type: str = '') -> List[str]:
candle_type: CandleType = CandleType.SPOT
) -> List[str]:
"""
Refresh stored ohlcv data for backtesting and hyperopt operations.
Used by freqtrade download-data subcommand.
@ -382,7 +385,7 @@ def convert_trades_to_ohlcv(
erase: bool = False,
data_format_ohlcv: str = 'json',
data_format_trades: str = 'jsongz',
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT
) -> None:
"""
Convert stored trades data to ohlcv data

35
freqtrade/data/history/idatahandler.py
View File

@ -59,7 +59,7 @@ class IDataHandler(ABC):
for the specified timeframe
:param datadir: Directory to search for ohlcv files
:param timeframe: Timeframe to search pairs for
:param candle_type: Any of the enum CandleType (must match your trading mode!)
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: List of Pairs
"""
@ -69,21 +69,20 @@ class IDataHandler(ABC):
pair: str,
timeframe: str,
data: DataFrame,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT_
) -> None:
"""
Store ohlcv data.
:param pair: Pair - used to generate filename
:param timeframe: Timeframe - used to generate filename
:param data: Dataframe containing OHLCV data
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: None
"""
@abstractmethod
def _ohlcv_load(self, pair: str, timeframe: str,
timerange: Optional[TimeRange] = None,
candle_type: str = ''
def _ohlcv_load(self, pair: str, timeframe: str, timerange: Optional[TimeRange] = None,
candle_type: CandleType = CandleType.SPOT_
) -> DataFrame:
"""
Internal method used to load data for one pair from disk.
@ -94,16 +93,17 @@ class IDataHandler(ABC):
:param timerange: Limit data to be loaded to this timerange.
Optionally implemented by subclasses to avoid loading
all data where possible.
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
def ohlcv_purge(self, pair: str, timeframe: str, candle_type: str = '') -> bool:
def ohlcv_purge(
self, pair: str, timeframe: str, candle_type: CandleType = CandleType.SPOT_) -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:param timeframe: Timeframe (e.g. "5m")
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
@ -118,14 +118,14 @@ class IDataHandler(ABC):
pair: str,
timeframe: str,
data: DataFrame,
candle_type: str = ''
candle_type: CandleType
) -> None:
"""
Append data to existing data structures
:param pair: Pair
:param timeframe: Timeframe this ohlcv data is for
:param data: Data to append.
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
@abstractclassmethod
@ -200,14 +200,15 @@ class IDataHandler(ABC):
datadir: Path,
pair: str,
timeframe: str,
candle_type: str = ''
candle_type: CandleType
) -> Path:
pair_s = misc.pair_to_filename(pair)
if candle_type:
candle = ""
if candle_type not in (CandleType.SPOT, CandleType.SPOT_):
datadir = datadir.joinpath('futures')
candle_type = f"-{candle_type}"
candle = f"-{candle_type}"
filename = datadir.joinpath(
f'{pair_s}-{timeframe}{candle_type}.{cls._get_file_extension()}')
f'{pair_s}-{timeframe}{candle}.{cls._get_file_extension()}')
return filename
@classmethod
@ -232,7 +233,7 @@ class IDataHandler(ABC):
drop_incomplete: bool = True,
startup_candles: int = 0,
warn_no_data: bool = True,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT_
) -> DataFrame:
"""
Load cached candle (OHLCV) data for the given pair.
@ -244,7 +245,7 @@ class IDataHandler(ABC):
:param drop_incomplete: Drop last candle assuming it may be incomplete.
:param startup_candles: Additional candles to load at the start of the period
:param warn_no_data: Log a warning message when no data is found
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
# Fix startup period

28
freqtrade/data/history/jsondatahandler.py
View File

@ -52,7 +52,7 @@ class JsonDataHandler(IDataHandler):
for the specified timeframe
:param datadir: Directory to search for ohlcv files
:param timeframe: Timeframe to search pairs for
:param candle_type: Any of the enum CandleType (must match your trading mode!)
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: List of Pairs
"""
candle = ""
@ -70,7 +70,7 @@ class JsonDataHandler(IDataHandler):
pair: str,
timeframe: str,
data: DataFrame,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT_
) -> None:
"""
Store data in json format "values".
@ -79,7 +79,7 @@ class JsonDataHandler(IDataHandler):
:param pair: Pair - used to generate filename
:param timeframe: Timeframe - used to generate filename
:param data: Dataframe containing OHLCV data
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: None
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type)
@ -95,7 +95,7 @@ class JsonDataHandler(IDataHandler):
def _ohlcv_load(self, pair: str, timeframe: str,
timerange: Optional[TimeRange] = None,
candle_type: str = ''
candle_type: CandleType = CandleType.SPOT_
) -> DataFrame:
"""
Internal method used to load data for one pair from disk.
@ -106,7 +106,7 @@ class JsonDataHandler(IDataHandler):
:param timerange: Limit data to be loaded to this timerange.
Optionally implemented by subclasses to avoid loading
all data where possible.
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
:return: DataFrame with ohlcv data, or empty DataFrame
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type=candle_type)
@ -126,33 +126,19 @@ class JsonDataHandler(IDataHandler):
infer_datetime_format=True)
return pairdata
def ohlcv_purge(self, pair: str, timeframe: str, candle_type: str = '') -> bool:
"""
Remove data for this pair
:param pair: Delete data for this pair.
:param timeframe: Timeframe (e.g. "5m")
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:return: True when deleted, false if file did not exist.
"""
filename = self._pair_data_filename(self._datadir, pair, timeframe, candle_type=candle_type)
if filename.exists():
filename.unlink()
return True
return False
def ohlcv_append(
self,
pair: str,
timeframe: str,
data: DataFrame,
candle_type: str = ''
candle_type: CandleType
) -> None:
"""
Append data to existing data structures
:param pair: Pair
:param timeframe: Timeframe this ohlcv data is for
:param data: Data to append.
:param candle_type: '', mark, index, premiumIndex, or funding_rate
:param candle_type: Any of the enum CandleType (must match trading mode!)
"""
raise NotImplementedError()

5
tests/data/test_history.py
View File

@ -24,6 +24,7 @@ from freqtrade.data.history.history_utils import (_download_pair_history, _downl
validate_backtest_data)
from freqtrade.data.history.idatahandler import IDataHandler, get_datahandler, get_datahandlerclass
from freqtrade.data.history.jsondatahandler import JsonDataHandler, JsonGzDataHandler
from freqtrade.enums.candletype import CandleType
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.misc import file_dump_json
from freqtrade.resolvers import StrategyResolver
@ -809,9 +810,9 @@ def test_jsondatahandler_trades_purge(mocker, testdatadir):
def test_datahandler_ohlcv_append(datahandler, testdatadir, ):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame())
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame(), CandleType.SPOT)
with pytest.raises(NotImplementedError):
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame(), candle_type='mark')
dh.ohlcv_append('UNITTEST/ETH', '5m', DataFrame(), CandleType.MARK)
@pytest.mark.parametrize('datahandler', AVAILABLE_DATAHANDLERS)