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Implement missing_data_fillup to tests and operations

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This commit is contained in:
Matthias 2018-12-31 19:15:05 +01:00
parent ef4555735a
commit fae875f588
11 changed files with 25 additions and 29 deletions
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2
freqtrade/exchange/__init__.py
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@ -558,7 +558,7 @@ class Exchange(object):
if ticks:
self._pairs_last_refresh_time[pair] = ticks[-1][0] // 1000
# keeping parsed dataframe in cache
self._klines[pair] = parse_ticker_dataframe(ticks)
self._klines[pair] = parse_ticker_dataframe(ticks, tick_interval, fill_missing=True)
return tickers
@retrier_async

3
freqtrade/optimize/backtesting.py
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@ -19,7 +19,6 @@ from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
from freqtrade.exchange import Exchange
from freqtrade.data import history
from freqtrade.data.converter import ohlcv_fill_up_missing_data
from freqtrade.misc import file_dump_json
from freqtrade.persistence import Trade
from freqtrade.resolvers import StrategyResolver
@ -395,7 +394,7 @@ class Backtesting(object):
self._set_strategy(strat)
min_date, max_date = optimize.get_timeframe(data)
# Validate dataframe for missing values
# Validate dataframe for missing values (mainly at start and end, as fillup is called)
optimize.validate_backtest_data(data, min_date, max_date,
constants.TICKER_INTERVAL_MINUTES[self.ticker_interval])
logger.info(

4
freqtrade/tests/conftest.py
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@ -542,7 +542,7 @@ def ticker_history_list():
@pytest.fixture
def ticker_history(ticker_history_list):
return parse_ticker_dataframe(ticker_history_list)
return parse_ticker_dataframe(ticker_history_list, "5m", True)
@pytest.fixture
@ -724,7 +724,7 @@ def tickers():
@pytest.fixture
def result():
with open('freqtrade/tests/testdata/UNITTEST_BTC-1m.json') as data_file:
return parse_ticker_dataframe(json.load(data_file))
return parse_ticker_dataframe(json.load(data_file), '1m', True)
# FIX:
# Create an fixture/function

12
freqtrade/tests/data/test_converter.py
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@ -7,21 +7,16 @@ from freqtrade.optimize import validate_backtest_data, get_timeframe
from freqtrade.tests.conftest import log_has
def test_dataframe_correct_length(result):
dataframe = parse_ticker_dataframe(result)
assert len(result.index) - 1 == len(dataframe.index) # last partial candle removed
def test_dataframe_correct_columns(result):
assert result.columns.tolist() == ['date', 'open', 'high', 'low', 'close', 'volume']
def test_parse_ticker_dataframe(ticker_history, caplog):
def test_parse_ticker_dataframe(ticker_history_list, caplog):
columns = ['date', 'open', 'high', 'low', 'close', 'volume']
caplog.set_level(logging.DEBUG)
# Test file with BV data
dataframe = parse_ticker_dataframe(ticker_history)
dataframe = parse_ticker_dataframe(ticker_history_list, '5m', fill_missing=True)
assert dataframe.columns.tolist() == columns
assert log_has('Parsing tickerlist to dataframe', caplog.record_tuples)
@ -30,7 +25,8 @@ def test_ohlcv_fill_up_missing_data(caplog):
data = load_pair_history(datadir=None,
ticker_interval='1m',
refresh_pairs=False,
pair='UNITTEST/BTC')
pair='UNITTEST/BTC',
fill_up_missing=False)
caplog.set_level(logging.DEBUG)
data2 = ohlcv_fill_up_missing_data(data, '1m')
assert len(data2) > len(data)

4
freqtrade/tests/edge/test_edge.py
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@ -281,8 +281,8 @@ def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=Fals
123.45
] for x in range(0, 500)]
pairdata = {'NEO/BTC': parse_ticker_dataframe(ETHBTC),
'LTC/BTC': parse_ticker_dataframe(LTCBTC)}
pairdata = {'NEO/BTC': parse_ticker_dataframe(ETHBTC, '1h', fill_missing=True),
'LTC/BTC': parse_ticker_dataframe(LTCBTC, '1h', fill_missing=True)}
return pairdata

12
freqtrade/tests/optimize/test_backtesting.py
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@ -75,7 +75,7 @@ def load_data_test(what):
pair[x][5] # Keep old volume
] for x in range(0, datalen)
]
return {'UNITTEST/BTC': parse_ticker_dataframe(data)}
return {'UNITTEST/BTC': parse_ticker_dataframe(data, '1m', fill_missing=True)}
def simple_backtest(config, contour, num_results, mocker) -> None:
@ -104,7 +104,7 @@ def simple_backtest(config, contour, num_results, mocker) -> None:
def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=False,
timerange=None, exchange=None):
tickerdata = history.load_tickerdata_file(datadir, 'UNITTEST/BTC', '1m', timerange=timerange)
pairdata = {'UNITTEST/BTC': parse_ticker_dataframe(tickerdata)}
pairdata = {'UNITTEST/BTC': parse_ticker_dataframe(tickerdata, '1m', fill_missing=True)}
return pairdata
@ -322,15 +322,15 @@ def test_backtesting_init(mocker, default_conf) -> None:
assert backtesting.fee == 0.5
def test_tickerdata_to_dataframe(default_conf, mocker) -> None:
def test_tickerdata_to_dataframe_bt(default_conf, mocker) -> None:
patch_exchange(mocker)
timerange = TimeRange(None, 'line', 0, -100)
tick = history.load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', fill_missing=True)}
backtesting = Backtesting(default_conf)
data = backtesting.strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 99
assert len(data['UNITTEST/BTC']) == 102
# Load strategy to compare the result between Backtesting function and strategy are the same
strategy = DefaultStrategy(default_conf)
@ -593,7 +593,7 @@ def test_processed(default_conf, mocker) -> None:
def test_backtest_pricecontours(default_conf, fee, mocker) -> None:
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
tests = [['raise', 18], ['lower', 0], ['sine', 19]]
tests = [['raise', 19], ['lower', 0], ['sine', 18]]
# We need to enable sell-signal - otherwise it sells on ROI!!
default_conf['experimental'] = {"use_sell_signal": True}

4
freqtrade/tests/optimize/test_hyperopt.py
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@ -243,7 +243,7 @@ def test_has_space(hyperopt):
def test_populate_indicators(hyperopt) -> None:
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', fill_missing=True)}
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
@ -256,7 +256,7 @@ def test_populate_indicators(hyperopt) -> None:
def test_buy_strategy_generator(hyperopt) -> None:
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', fill_missing=True)}
dataframes = hyperopt.strategy.tickerdata_to_dataframe(tickerlist)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})

3
freqtrade/tests/optimize/test_optimize.py
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@ -30,7 +30,8 @@ def test_validate_backtest_data_warn(default_conf, mocker, caplog) -> None:
history.load_data(
datadir=None,
ticker_interval='1m',
pairs=['UNITTEST/BTC']
pairs=['UNITTEST/BTC'],
fill_up_missing=False
)
)
min_date, max_date = optimize.get_timeframe(data)

2
freqtrade/tests/strategy/test_default_strategy.py
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@ -10,7 +10,7 @@ from freqtrade.strategy.default_strategy import DefaultStrategy
@pytest.fixture
def result():
with open('freqtrade/tests/testdata/ETH_BTC-1m.json') as data_file:
return parse_ticker_dataframe(json.load(data_file))
return parse_ticker_dataframe(json.load(data_file), '1m', fill_missing=True)
def test_default_strategy_structure():

4
freqtrade/tests/strategy/test_interface.py
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@ -111,9 +111,9 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
timerange = TimeRange(None, 'line', 0, -100)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m', timerange=timerange)
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, '1m', True)}
data = strategy.tickerdata_to_dataframe(tickerlist)
assert len(data['UNITTEST/BTC']) == 99 # partial candle was removed
assert len(data['UNITTEST/BTC']) == 102 # partial candle was removed
def test_min_roi_reached(default_conf, fee) -> None:

4
freqtrade/tests/test_misc.py
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@ -17,7 +17,7 @@ def test_shorten_date() -> None:
def test_datesarray_to_datetimearray(ticker_history_list):
dataframes = parse_ticker_dataframe(ticker_history_list)
dataframes = parse_ticker_dataframe(ticker_history_list, "5m", fill_missing=True)
dates = datesarray_to_datetimearray(dataframes['date'])
assert isinstance(dates[0], datetime.datetime)
@ -34,7 +34,7 @@ def test_datesarray_to_datetimearray(ticker_history_list):
def test_common_datearray(default_conf) -> None:
strategy = DefaultStrategy(default_conf)
tick = load_tickerdata_file(None, 'UNITTEST/BTC', '1m')
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick)}
tickerlist = {'UNITTEST/BTC': parse_ticker_dataframe(tick, "1m", fill_missing=True)}
dataframes = strategy.tickerdata_to_dataframe(tickerlist)
dates = common_datearray(dataframes)