""" Functions to convert data from one format to another """ import logging from typing import Dict import numpy as np import pandas as pd from pandas import DataFrame, to_datetime from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, Config from freqtrade.enums import CandleType, TradingMode logger = logging.getLogger(__name__) def ohlcv_to_dataframe(ohlcv: list, timeframe: str, pair: str, *, fill_missing: bool = True, drop_incomplete: bool = True) -> DataFrame: """ Converts a list with candle (OHLCV) data (in format returned by ccxt.fetch_ohlcv) to a Dataframe :param ohlcv: list with candle (OHLCV) data, as returned by exchange.async_get_candle_history :param timeframe: timeframe (e.g. 5m). Used to fill up eventual missing data :param pair: Pair this data is for (used to warn if fillup was necessary) :param fill_missing: fill up missing candles with 0 candles (see ohlcv_fill_up_missing_data for details) :param drop_incomplete: Drop the last candle of the dataframe, assuming it's incomplete :return: DataFrame """ logger.debug(f"Converting candle (OHLCV) data to dataframe for pair {pair}.") cols = DEFAULT_DATAFRAME_COLUMNS df = DataFrame(ohlcv, columns=cols) df['date'] = to_datetime(df['date'], unit='ms', utc=True) # Some exchanges return int values for Volume and even for OHLC. # Convert them since TA-LIB indicators used in the strategy assume floats # and fail with exception... df = df.astype(dtype={'open': 'float', 'high': 'float', 'low': 'float', 'close': 'float', 'volume': 'float'}) return clean_ohlcv_dataframe(df, timeframe, pair, fill_missing=fill_missing, drop_incomplete=drop_incomplete) def clean_ohlcv_dataframe(data: DataFrame, timeframe: str, pair: str, *, fill_missing: bool, drop_incomplete: bool) -> DataFrame: """ Cleanse a OHLCV dataframe by * Grouping it by date (removes duplicate tics) * dropping last candles if requested * Filling up missing data (if requested) :param data: DataFrame containing candle (OHLCV) data. :param timeframe: timeframe (e.g. 5m). Used to fill up eventual missing data :param pair: Pair this data is for (used to warn if fillup was necessary) :param fill_missing: fill up missing candles with 0 candles (see ohlcv_fill_up_missing_data for details) :param drop_incomplete: Drop the last candle of the dataframe, assuming it's incomplete :return: DataFrame """ # group by index and aggregate results to eliminate duplicate ticks data = data.groupby(by='date', as_index=False, sort=True).agg({ 'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last', 'volume': 'max', }) # eliminate partial candle if drop_incomplete: data.drop(data.tail(1).index, inplace=True) logger.debug('Dropping last candle') if fill_missing: return ohlcv_fill_up_missing_data(data, timeframe, pair) else: return data def ohlcv_fill_up_missing_data(dataframe: DataFrame, timeframe: str, pair: str) -> DataFrame: """ Fills up missing data with 0 volume rows, using the previous close as price for "open", "high" "low" and "close", volume is set to 0 """ from freqtrade.exchange import timeframe_to_seconds ohlcv_dict = { 'open': 'first', 'high': 'max', 'low': 'min', 'close': 'last', 'volume': 'sum' } timeframe_seconds = timeframe_to_seconds(timeframe) timeframe_minutes = timeframe_seconds // 60 resample_interval = f'{timeframe_seconds}s' if timeframe_minutes >= 43200 and timeframe_minutes < 525600: # Monthly candles need special treatment to stick to the 1st of the month resample_interval = f'{timeframe}S' elif timeframe_minutes > 43200: resample_interval = timeframe # Resample to create "NAN" values df = dataframe.resample(resample_interval, on='date').agg(ohlcv_dict) # Forwardfill close for missing columns df['close'] = df['close'].ffill() # Use close for "open, high, low" df.loc[:, ['open', 'high', 'low']] = df[['open', 'high', 'low']].fillna( value={'open': df['close'], 'high': df['close'], 'low': df['close'], }) df.reset_index(inplace=True) len_before = len(dataframe) len_after = len(df) pct_missing = (len_after - len_before) / len_before if len_before > 0 else 0 if len_before != len_after: message = (f"Missing data fillup for {pair}, {timeframe}: " f"before: {len_before} - after: {len_after} - {pct_missing:.2%}") if pct_missing > 0.01: logger.info(message) else: # Don't be verbose if only a small amount is missing logger.debug(message) return df def trim_dataframe(df: DataFrame, timerange, *, df_date_col: str = 'date', startup_candles: int = 0) -> DataFrame: """ Trim dataframe based on given timerange :param df: Dataframe to trim :param timerange: timerange (use start and end date if available) :param df_date_col: Column in the dataframe to use as Date column :param startup_candles: When not 0, is used instead the timerange start date :return: trimmed dataframe """ if startup_candles: # Trim candles instead of timeframe in case of given startup_candle count df = df.iloc[startup_candles:, :] else: if timerange.starttype == 'date': df = df.loc[df[df_date_col] >= timerange.startdt, :] if timerange.stoptype == 'date': df = df.loc[df[df_date_col] <= timerange.stopdt, :] return df def trim_dataframes(preprocessed: Dict[str, DataFrame], timerange, startup_candles: int) -> Dict[str, DataFrame]: """ Trim startup period from analyzed dataframes :param preprocessed: Dict of pair: dataframe :param timerange: timerange (use start and end date if available) :param startup_candles: Startup-candles that should be removed :return: Dict of trimmed dataframes """ processed: Dict[str, DataFrame] = {} for pair, df in preprocessed.items(): trimed_df = trim_dataframe(df, timerange, startup_candles=startup_candles) if not trimed_df.empty: processed[pair] = trimed_df else: logger.warning(f'{pair} has no data left after adjusting for startup candles, ' f'skipping.') return processed def order_book_to_dataframe(bids: list, asks: list) -> DataFrame: """ TODO: This should get a dedicated test Gets order book list, returns dataframe with below format per suggested by creslin ------------------------------------------------------------------- b_sum b_size bids asks a_size a_sum ------------------------------------------------------------------- """ cols = ['bids', 'b_size'] bids_frame = DataFrame(bids, columns=cols) # add cumulative sum column bids_frame['b_sum'] = bids_frame['b_size'].cumsum() cols2 = ['asks', 'a_size'] asks_frame = DataFrame(asks, columns=cols2) # add cumulative sum column asks_frame['a_sum'] = asks_frame['a_size'].cumsum() frame = pd.concat([bids_frame['b_sum'], bids_frame['b_size'], bids_frame['bids'], asks_frame['asks'], asks_frame['a_size'], asks_frame['a_sum']], axis=1, keys=['b_sum', 'b_size', 'bids', 'asks', 'a_size', 'a_sum']) # logger.info('order book %s', frame ) return frame def convert_ohlcv_format( config: Config, convert_from: str, convert_to: str, erase: bool, ): """ Convert OHLCV from one format to another :param config: Config dictionary :param convert_from: Source format :param convert_to: Target format :param erase: Erase source data (does not apply if source and target format are identical) """ from freqtrade.data.history.idatahandler import get_datahandler src = get_datahandler(config['datadir'], convert_from) trg = get_datahandler(config['datadir'], convert_to) timeframes = config.get('timeframes', [config.get('timeframe')]) logger.info(f"Converting candle (OHLCV) for timeframe {timeframes}") candle_types = [CandleType.from_string(ct) for ct in config.get('candle_types', [ c.value for c in CandleType])] logger.info(candle_types) paircombs = src.ohlcv_get_available_data(config['datadir'], TradingMode.SPOT) paircombs.extend(src.ohlcv_get_available_data(config['datadir'], TradingMode.FUTURES)) if 'pairs' in config: # Filter pairs paircombs = [comb for comb in paircombs if comb[0] in config['pairs']] if 'timeframes' in config: paircombs = [comb for comb in paircombs if comb[1] in config['timeframes']] paircombs = [comb for comb in paircombs if comb[2] in candle_types] paircombs = sorted(paircombs, key=lambda x: (x[0], x[1], x[2].value)) formatted_paircombs = '\n'.join([f"{pair}, {timeframe}, {candle_type}" for pair, timeframe, candle_type in paircombs]) logger.info(f"Converting candle (OHLCV) data for the following pair combinations:\n" f"{formatted_paircombs}") for pair, timeframe, candle_type in paircombs: data = src.ohlcv_load(pair=pair, timeframe=timeframe, timerange=None, fill_missing=False, drop_incomplete=False, startup_candles=0, candle_type=candle_type) logger.info(f"Converting {len(data)} {timeframe} {candle_type} candles for {pair}") if len(data) > 0: trg.ohlcv_store( pair=pair, timeframe=timeframe, data=data, candle_type=candle_type ) if erase and convert_from != convert_to: logger.info(f"Deleting source data for {pair} / {timeframe}") src.ohlcv_purge(pair=pair, timeframe=timeframe, candle_type=candle_type) def reduce_dataframe_footprint(df: DataFrame) -> DataFrame: """ Ensure all values are float32 in the incoming dataframe. :param df: Dataframe to be converted to float/int 32s :return: Dataframe converted to float/int 32s """ logger.debug(f"Memory usage of dataframe is " f"{df.memory_usage().sum() / 1024**2:.2f} MB") df_dtypes = df.dtypes for column, dtype in df_dtypes.items(): if column in ['open', 'high', 'low', 'close', 'volume']: continue if dtype == np.float64: df_dtypes[column] = np.float32 elif dtype == np.int64: df_dtypes[column] = np.int32 df = df.astype(df_dtypes) logger.debug(f"Memory usage after optimization is: " f"{df.memory_usage().sum() / 1024**2:.2f} MB") return df