mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 18:23:55 +00:00
126 lines
4.9 KiB
Python
126 lines
4.9 KiB
Python
"""
|
|
Abstract datahandler interface.
|
|
It's subclasses handle and storing data from disk.
|
|
|
|
"""
|
|
import logging
|
|
from abc import ABC, abstractclassmethod, abstractmethod
|
|
from copy import deepcopy
|
|
from datetime import datetime, timezone
|
|
from pathlib import Path
|
|
from typing import Dict, List, Optional, Type
|
|
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.configuration import TimeRange
|
|
from freqtrade.data.converter import clean_ohlcv_dataframe, trim_dataframe
|
|
from freqtrade.exchange import timeframe_to_seconds
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
class IDataHandler(ABC):
|
|
|
|
def __init__(self, datadir: Path) -> None:
|
|
self._datadir = datadir
|
|
|
|
# TODO: create abstract interface
|
|
|
|
def ohlcv_load(self, pair, timeframe: str,
|
|
timerange: Optional[TimeRange] = None,
|
|
fill_missing: bool = True,
|
|
drop_incomplete: bool = True,
|
|
startup_candles: int = 0,
|
|
warn_no_data: bool = True
|
|
) -> DataFrame:
|
|
"""
|
|
Load cached ticker history for the given pair.
|
|
|
|
:param pair: Pair to load data for
|
|
:param timeframe: Ticker timeframe (e.g. "5m")
|
|
:param timerange: Limit data to be loaded to this timerange
|
|
:param fill_missing: Fill missing values with "No action"-candles
|
|
: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
|
|
:return: DataFrame with ohlcv data, or empty DataFrame
|
|
"""
|
|
# Fix startup period
|
|
timerange_startup = deepcopy(timerange)
|
|
if startup_candles > 0 and timerange_startup:
|
|
timerange_startup.subtract_start(timeframe_to_seconds(timeframe) * startup_candles)
|
|
|
|
pairdf = self._ohlcv_load(pair, timeframe,
|
|
timerange=timerange_startup)
|
|
if pairdf.empty:
|
|
if warn_no_data:
|
|
logger.warning(
|
|
f'No history data for pair: "{pair}", timeframe: {timeframe}. '
|
|
'Use `freqtrade download-data` to download the data'
|
|
)
|
|
return pairdf
|
|
else:
|
|
enddate = pairdf.iloc[-1]['date']
|
|
|
|
if timerange_startup:
|
|
self._validate_pairdata(pair, pairdf, timerange_startup)
|
|
pairdf = trim_dataframe(pairdf, timerange_startup)
|
|
|
|
# incomplete candles should only be dropped if we didn't trim the end beforehand.
|
|
return clean_ohlcv_dataframe(pairdf, timeframe,
|
|
pair=pair,
|
|
fill_missing=fill_missing,
|
|
drop_incomplete=(drop_incomplete and
|
|
enddate == pairdf.iloc[-1]['date']))
|
|
|
|
def _validate_pairdata(self, pair, pairdata: DataFrame, timerange: TimeRange):
|
|
"""
|
|
Validates pairdata for missing data at start end end and logs warnings.
|
|
:param pairdata: Dataframe to validate
|
|
:param timerange: Timerange specified for start and end dates
|
|
"""
|
|
|
|
if timerange.starttype == 'date':
|
|
start = datetime.fromtimestamp(timerange.startts, tz=timezone.utc)
|
|
if pairdata.iloc[0]['date'] > start:
|
|
logger.warning(f"Missing data at start for pair {pair}, "
|
|
f"data starts at {pairdata.iloc[0]['date']:%Y-%m-%d %H:%M:%S}")
|
|
if timerange.stoptype == 'date':
|
|
stop = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc)
|
|
if pairdata.iloc[-1]['date'] < stop:
|
|
logger.warning(f"Missing data at end for pair {pair}, "
|
|
f"data ends at {pairdata.iloc[-1]['date']:%Y-%m-%d %H:%M:%S}")
|
|
|
|
|
|
def get_datahandlerclass(datatype: str) -> Type[IDataHandler]:
|
|
"""
|
|
Get datahandler class.
|
|
Could be done using Resolvers, but since this may be called often and resolvers
|
|
are rather expensive, doing this directly should improve performance.
|
|
:param datatype: datatype to use.
|
|
:return: Datahandler class
|
|
"""
|
|
|
|
if datatype == 'json':
|
|
from .jsondatahandler import JsonDataHandler
|
|
return JsonDataHandler
|
|
elif datatype == 'jsongz':
|
|
from .jsondatahandler import JsonGzDataHandler
|
|
return JsonGzDataHandler
|
|
else:
|
|
raise ValueError(f"No datahandler for datatype {datatype} available.")
|
|
|
|
|
|
def get_datahandler(datadir: Path, data_format: str = None,
|
|
data_handler: IDataHandler = None) -> IDataHandler:
|
|
"""
|
|
:param datadir: Folder to save data
|
|
:data_format: dataformat to use
|
|
:data_handler: returns this datahandler if it exists or initializes a new one
|
|
"""
|
|
|
|
if not data_handler:
|
|
HandlerClass = get_datahandlerclass(data_format or 'json')
|
|
data_handler = HandlerClass(datadir)
|
|
return data_handler
|