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freqtrade_origin/tests/data/test_datahandler.py

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# pragma pylint: disable=missing-docstring, protected-access, C0103
import re
from datetime import datetime, timezone
from pathlib import Path
from unittest.mock import MagicMock
import pytest
from pandas import DataFrame, Timestamp
from pandas.testing import assert_frame_equal
from freqtrade.configuration import TimeRange
from freqtrade.constants import AVAILABLE_DATAHANDLERS
from freqtrade.data.history.datahandlers.featherdatahandler import FeatherDataHandler
from freqtrade.data.history.datahandlers.hdf5datahandler import HDF5DataHandler
from freqtrade.data.history.datahandlers.idatahandler import (
IDataHandler,
get_datahandler,
get_datahandlerclass,
)
from freqtrade.data.history.datahandlers.jsondatahandler import JsonDataHandler, JsonGzDataHandler
from freqtrade.data.history.datahandlers.parquetdatahandler import ParquetDataHandler
from freqtrade.enums import CandleType, TradingMode
from tests.conftest import log_has, log_has_re
def test_datahandler_ohlcv_get_pairs(testdatadir):
pairs = FeatherDataHandler.ohlcv_get_pairs(testdatadir, "5m", candle_type=CandleType.SPOT)
# Convert to set to avoid failures due to sorting
assert set(pairs) == {
"UNITTEST/BTC",
"XLM/BTC",
"ETH/BTC",
"TRX/BTC",
"LTC/BTC",
"XMR/BTC",
"ZEC/BTC",
"ADA/BTC",
"ETC/BTC",
"NXT/BTC",
"DASH/BTC",
"XRP/ETH",
}
pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, "8m", candle_type=CandleType.SPOT)
assert set(pairs) == {"UNITTEST/BTC"}
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, "5m", candle_type=CandleType.SPOT)
assert set(pairs) == {"UNITTEST/BTC"}
pairs = FeatherDataHandler.ohlcv_get_pairs(testdatadir, "1h", candle_type=CandleType.MARK)
assert set(pairs) == {"UNITTEST/USDT:USDT", "XRP/USDT:USDT"}
pairs = JsonGzDataHandler.ohlcv_get_pairs(testdatadir, "1h", candle_type=CandleType.FUTURES)
assert set(pairs) == {"XRP/USDT:USDT"}
pairs = HDF5DataHandler.ohlcv_get_pairs(testdatadir, "1h", candle_type=CandleType.MARK)
assert set(pairs) == {"UNITTEST/USDT:USDT"}
@pytest.mark.parametrize(
"filename,pair,timeframe,candletype",
[
("XMR_BTC-5m.json", "XMR_BTC", "5m", ""),
("XMR_USDT-1h.h5", "XMR_USDT", "1h", ""),
("BTC-PERP-1h.h5", "BTC-PERP", "1h", ""),
("BTC_USDT-2h.jsongz", "BTC_USDT", "2h", ""),
("BTC_USDT-2h-mark.jsongz", "BTC_USDT", "2h", "mark"),
("XMR_USDT-1h-mark.h5", "XMR_USDT", "1h", "mark"),
("XMR_USDT-1h-random.h5", "XMR_USDT", "1h", "random"),
("BTC-PERP-1h-index.h5", "BTC-PERP", "1h", "index"),
("XMR_USDT_USDT-1h-mark.h5", "XMR_USDT_USDT", "1h", "mark"),
],
)
def test_datahandler_ohlcv_regex(filename, pair, timeframe, candletype):
regex = JsonDataHandler._OHLCV_REGEX
match = re.search(regex, filename)
assert len(match.groups()) > 1
assert match[1] == pair
assert match[2] == timeframe
assert match[3] == candletype
@pytest.mark.parametrize(
"pair,expected",
[
("XMR_USDT", "XMR/USDT"),
("BTC_USDT", "BTC/USDT"),
("USDT_BUSD", "USDT/BUSD"),
("BTC_USDT_USDT", "BTC/USDT:USDT"), # Futures
("XRP_USDT_USDT", "XRP/USDT:USDT"), # futures
("BTC-PERP", "BTC-PERP"),
("BTC-PERP_USDT", "BTC-PERP:USDT"),
("UNITTEST_USDT", "UNITTEST/USDT"),
],
)
def test_rebuild_pair_from_filename(pair, expected):
assert IDataHandler.rebuild_pair_from_filename(pair) == expected
def test_datahandler_ohlcv_get_available_data(testdatadir):
paircombs = FeatherDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {
("UNITTEST/BTC", "5m", CandleType.SPOT),
("ETH/BTC", "5m", CandleType.SPOT),
("XLM/BTC", "5m", CandleType.SPOT),
("TRX/BTC", "5m", CandleType.SPOT),
("LTC/BTC", "5m", CandleType.SPOT),
("XMR/BTC", "5m", CandleType.SPOT),
("ZEC/BTC", "5m", CandleType.SPOT),
("UNITTEST/BTC", "1m", CandleType.SPOT),
("ADA/BTC", "5m", CandleType.SPOT),
("ETC/BTC", "5m", CandleType.SPOT),
("NXT/BTC", "5m", CandleType.SPOT),
("DASH/BTC", "5m", CandleType.SPOT),
("XRP/ETH", "1m", CandleType.SPOT),
("XRP/ETH", "5m", CandleType.SPOT),
("UNITTEST/BTC", "30m", CandleType.SPOT),
("UNITTEST/BTC", "8m", CandleType.SPOT),
}
paircombs = FeatherDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.FUTURES)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {
("UNITTEST/USDT:USDT", "1h", "mark"),
("XRP/USDT:USDT", "5m", "futures"),
("XRP/USDT:USDT", "1h", "futures"),
("XRP/USDT:USDT", "1h", "mark"),
("XRP/USDT:USDT", "8h", "mark"),
("XRP/USDT:USDT", "8h", "funding_rate"),
}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
assert set(paircombs) == {("UNITTEST/BTC", "8m", CandleType.SPOT)}
paircombs = HDF5DataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
assert set(paircombs) == {("UNITTEST/BTC", "5m", CandleType.SPOT)}
def test_jsondatahandler_ohlcv_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = JsonGzDataHandler(testdatadir)
assert not dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", "")
assert not dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", candle_type="mark")
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", "")
assert dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", candle_type="mark")
assert unlinkmock.call_count == 2
def test_jsondatahandler_ohlcv_load(testdatadir, caplog):
dh = JsonDataHandler(testdatadir)
df = dh.ohlcv_load("UNITTEST/BTC", "1m", "spot")
assert len(df) > 0
# # Failure case (empty array)
df1 = dh.ohlcv_load("NOPAIR/XXX", "4m", "spot")
assert len(df1) == 0
assert log_has("Could not load data for NOPAIR/XXX.", caplog)
assert df.columns.equals(df1.columns)
def test_datahandler_ohlcv_data_min_max(testdatadir):
dh = JsonDataHandler(testdatadir)
min_max = dh.ohlcv_data_min_max("UNITTEST/BTC", "5m", "spot")
assert len(min_max) == 3
# Empty pair
min_max = dh.ohlcv_data_min_max("UNITTEST/BTC", "8m", "spot")
assert len(min_max) == 3
assert min_max[0] == datetime.fromtimestamp(0, tz=timezone.utc)
assert min_max[0] == min_max[1]
# Empty pair2
min_max = dh.ohlcv_data_min_max("NOPAIR/XXX", "41m", "spot")
assert len(min_max) == 3
assert min_max[0] == datetime.fromtimestamp(0, tz=timezone.utc)
assert min_max[0] == min_max[1]
# Existing pair ...
min_max = dh.ohlcv_data_min_max("UNITTEST/BTC", "1m", "spot")
assert len(min_max) == 3
assert min_max[0] == datetime(2017, 11, 4, 23, 2, tzinfo=timezone.utc)
assert min_max[1] == datetime(2017, 11, 14, 22, 59, tzinfo=timezone.utc)
def test_datahandler__check_empty_df(testdatadir, caplog):
dh = JsonDataHandler(testdatadir)
expected_text = r"Price jump in UNITTEST/USDT, 1h, spot between"
df = DataFrame(
[
[
1511686200000, # 8:50:00
8.794, # open
8.948, # high
8.794, # low
8.88, # close
2255, # volume (in quote currency)
],
[
1511686500000, # 8:55:00
8.88,
8.942,
8.88,
8.893,
9911,
],
[
1511687100000, # 9:05:00
8.891,
8.893,
8.875,
8.877,
2251,
],
[
1511687400000, # 9:10:00
8.877,
8.883,
8.895,
8.817,
123551,
],
],
columns=["date", "open", "high", "low", "close", "volume"],
)
dh._check_empty_df(df, "UNITTEST/USDT", "1h", CandleType.SPOT, True, True)
assert not log_has_re(expected_text, caplog)
df = DataFrame(
[
[
1511686200000, # 8:50:00
8.794, # open
8.948, # high
8.794, # low
8.88, # close
2255, # volume (in quote currency)
],
[
1511686500000, # 8:55:00
8.88,
8.942,
8.88,
8.893,
9911,
],
[
1511687100000, # 9:05:00
889.1, # Price jump by several decimals
889.3,
887.5,
887.7,
2251,
],
[
1511687400000, # 9:10:00
8.877,
8.883,
8.895,
8.817,
123551,
],
],
columns=["date", "open", "high", "low", "close", "volume"],
)
dh._check_empty_df(df, "UNITTEST/USDT", "1h", CandleType.SPOT, True, True)
assert log_has_re(expected_text, caplog)
# @pytest.mark.parametrize('datahandler', [])
@pytest.mark.skip("All datahandlers currently support trades data.")
def test_datahandler_trades_not_supported(
datahandler,
testdatadir,
):
# Currently disabled. Re-enable should a new provider not support trades data.
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.trades_load("UNITTEST/ETH")
with pytest.raises(NotImplementedError):
dh.trades_store("UNITTEST/ETH", MagicMock())
def test_jsondatahandler_trades_load(testdatadir, caplog):
dh = JsonGzDataHandler(testdatadir)
logmsg = "Old trades format detected - converting"
dh.trades_load("XRP/ETH", TradingMode.SPOT)
assert not log_has(logmsg, caplog)
# Test conversation is happening
dh.trades_load("XRP/OLD", TradingMode.SPOT)
assert log_has(logmsg, caplog)
@pytest.mark.parametrize("datahandler", AVAILABLE_DATAHANDLERS)
def test_datahandler_ohlcv_append(
datahandler,
testdatadir,
):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.ohlcv_append("UNITTEST/ETH", "5m", DataFrame(), CandleType.SPOT)
with pytest.raises(NotImplementedError):
dh.ohlcv_append("UNITTEST/ETH", "5m", DataFrame(), CandleType.MARK)
@pytest.mark.parametrize("datahandler", AVAILABLE_DATAHANDLERS)
def test_datahandler_trades_append(datahandler, testdatadir):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.trades_append("UNITTEST/ETH", DataFrame())
@pytest.mark.parametrize(
"datahandler,expected",
[
("jsongz", {"XRP/ETH", "XRP/OLD"}),
("hdf5", {"XRP/ETH"}),
("feather", {"XRP/ETH"}),
("parquet", {"XRP/ETH"}),
],
)
def test_datahandler_trades_get_pairs(testdatadir, datahandler, expected):
pairs = get_datahandlerclass(datahandler).trades_get_pairs(testdatadir)
# Convert to set to avoid failures due to sorting
assert set(pairs) == expected
def test_hdf5datahandler_trades_load(testdatadir):
dh = get_datahandler(testdatadir, "hdf5")
trades = dh.trades_load("XRP/ETH", TradingMode.SPOT)
assert isinstance(trades, DataFrame)
trades1 = dh.trades_load("UNITTEST/NONEXIST", TradingMode.SPOT)
assert isinstance(trades1, DataFrame)
assert trades1.empty
# data goes from 2019-10-11 - 2019-10-13
timerange = TimeRange.parse_timerange("20191011-20191012")
trades2 = dh._trades_load("XRP/ETH", TradingMode.SPOT, timerange)
assert len(trades) > len(trades2)
# Check that ID is None (If it's nan, it's wrong)
assert trades2.iloc[0]["type"] is None
# unfiltered load has trades before starttime
assert len(trades.loc[trades["timestamp"] < timerange.startts * 1000]) >= 0
# filtered list does not have trades before starttime
assert len(trades2.loc[trades2["timestamp"] < timerange.startts * 1000]) == 0
# unfiltered load has trades after endtime
assert len(trades.loc[trades["timestamp"] > timerange.stopts * 1000]) >= 0
# filtered list does not have trades after endtime
assert len(trades2.loc[trades2["timestamp"] > timerange.stopts * 1000]) == 0
# assert len([t for t in trades2 if t[0] > timerange.stopts * 1000]) == 0
@pytest.mark.parametrize(
"pair,timeframe,candle_type,candle_append,startdt,enddt",
[
# Data goes from 2018-01-10 - 2018-01-30
("UNITTEST/BTC", "5m", "spot", "", "2018-01-15", "2018-01-19"),
# Mark data goes from to 2021-11-15 2021-11-19
("UNITTEST/USDT:USDT", "1h", "mark", "-mark", "2021-11-16", "2021-11-18"),
],
)
def test_hdf5datahandler_ohlcv_load_and_resave(
testdatadir, tmp_path, pair, timeframe, candle_type, candle_append, startdt, enddt
):
tmpdir2 = tmp_path
if candle_type not in ("", "spot"):
tmpdir2 = tmp_path / "futures"
tmpdir2.mkdir()
dh = get_datahandler(testdatadir, "hdf5")
ohlcv = dh._ohlcv_load(pair, timeframe, None, candle_type=candle_type)
assert isinstance(ohlcv, DataFrame)
assert len(ohlcv) > 0
file = tmpdir2 / f"UNITTEST_NEW-{timeframe}{candle_append}.h5"
assert not file.is_file()
dh1 = get_datahandler(tmp_path, "hdf5")
dh1.ohlcv_store("UNITTEST/NEW", timeframe, ohlcv, candle_type=candle_type)
assert file.is_file()
assert not ohlcv[ohlcv["date"] < startdt].empty
timerange = TimeRange.parse_timerange(f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
# Call private function to ensure timerange is filtered in hdf5
ohlcv = dh._ohlcv_load(pair, timeframe, timerange, candle_type=candle_type)
ohlcv1 = dh1._ohlcv_load("UNITTEST/NEW", timeframe, timerange, candle_type=candle_type)
assert len(ohlcv) == len(ohlcv1)
assert ohlcv.equals(ohlcv1)
assert ohlcv[ohlcv["date"] < startdt].empty
assert ohlcv[ohlcv["date"] > enddt].empty
# Try loading inexisting file
ohlcv = dh.ohlcv_load("UNITTEST/NONEXIST", timeframe, candle_type=candle_type)
assert ohlcv.empty
@pytest.mark.parametrize(
"pair,timeframe,candle_type,candle_append,startdt,enddt",
[
# Data goes from 2018-01-10 - 2018-01-30
("UNITTEST/BTC", "5m", "spot", "", "2018-01-15", "2018-01-19"),
# Mark data goes from to 2021-11-15 2021-11-19
("UNITTEST/USDT:USDT", "1h", "mark", "-mark", "2021-11-16", "2021-11-18"),
],
)
@pytest.mark.parametrize("datahandler", ["hdf5", "feather", "parquet"])
def test_generic_datahandler_ohlcv_load_and_resave(
datahandler, testdatadir, tmp_path, pair, timeframe, candle_type, candle_append, startdt, enddt
):
tmpdir2 = tmp_path
if candle_type not in ("", "spot"):
tmpdir2 = tmp_path / "futures"
tmpdir2.mkdir()
# Load data from one common file
dhbase = get_datahandler(testdatadir, "feather")
ohlcv = dhbase._ohlcv_load(pair, timeframe, None, candle_type=candle_type)
assert isinstance(ohlcv, DataFrame)
assert len(ohlcv) > 0
# Get data to test
dh = get_datahandler(testdatadir, datahandler)
file = tmpdir2 / f"UNITTEST_NEW-{timeframe}{candle_append}.{dh._get_file_extension()}"
assert not file.is_file()
dh1 = get_datahandler(tmp_path, datahandler)
dh1.ohlcv_store("UNITTEST/NEW", timeframe, ohlcv, candle_type=candle_type)
assert file.is_file()
assert not ohlcv[ohlcv["date"] < startdt].empty
timerange = TimeRange.parse_timerange(f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
ohlcv = dhbase.ohlcv_load(pair, timeframe, timerange=timerange, candle_type=candle_type)
if datahandler == "hdf5":
ohlcv1 = dh1._ohlcv_load("UNITTEST/NEW", timeframe, timerange, candle_type=candle_type)
if candle_type == "mark":
ohlcv1["volume"] = 0.0
else:
ohlcv1 = dh1.ohlcv_load(
"UNITTEST/NEW", timeframe, timerange=timerange, candle_type=candle_type
)
assert len(ohlcv) == len(ohlcv1)
assert ohlcv.equals(ohlcv1)
assert ohlcv[ohlcv["date"] < startdt].empty
assert ohlcv[ohlcv["date"] > enddt].empty
# Try loading inexisting file
ohlcv = dh.ohlcv_load("UNITTEST/NONEXIST", timeframe, candle_type=candle_type)
assert ohlcv.empty
def test_hdf5datahandler_ohlcv_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = get_datahandler(testdatadir, "hdf5")
assert not dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", "")
assert not dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", candle_type="mark")
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", "")
assert dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", candle_type="mark")
assert unlinkmock.call_count == 2
@pytest.mark.parametrize("datahandler", ["jsongz", "hdf5", "feather", "parquet"])
def test_datahandler_trades_load(testdatadir, datahandler):
dh = get_datahandler(testdatadir, datahandler)
trades = dh.trades_load("XRP/ETH", TradingMode.SPOT)
assert isinstance(trades, DataFrame)
assert trades.iloc[0]["timestamp"] == 1570752011620
assert trades.iloc[0]["date"] == Timestamp("2019-10-11 00:00:11.620000+0000")
assert trades.iloc[-1]["cost"] == 0.1986231
trades1 = dh.trades_load("UNITTEST/NONEXIST", TradingMode.SPOT)
assert isinstance(trades, DataFrame)
assert trades1.empty
@pytest.mark.parametrize("datahandler", ["jsongz", "hdf5", "feather", "parquet"])
def test_datahandler_trades_store(testdatadir, tmp_path, datahandler):
dh = get_datahandler(testdatadir, datahandler)
trades = dh.trades_load("XRP/ETH", TradingMode.SPOT)
dh1 = get_datahandler(tmp_path, datahandler)
dh1.trades_store("XRP/NEW", trades, TradingMode.SPOT)
file = tmp_path / f"XRP_NEW-trades.{dh1._get_file_extension()}"
assert file.is_file()
# Load trades back
trades_new = dh1.trades_load("XRP/NEW", TradingMode.SPOT)
assert_frame_equal(trades, trades_new, check_exact=True)
assert len(trades_new) == len(trades)
@pytest.mark.parametrize("datahandler", ["jsongz", "hdf5", "feather", "parquet"])
def test_datahandler_trades_purge(mocker, testdatadir, datahandler):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = get_datahandler(testdatadir, datahandler)
assert not dh.trades_purge("UNITTEST/NONEXIST", TradingMode.SPOT)
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.trades_purge("UNITTEST/NONEXIST", TradingMode.SPOT)
assert unlinkmock.call_count == 1
def test_gethandlerclass():
cl = get_datahandlerclass("json")
assert cl == JsonDataHandler
assert issubclass(cl, IDataHandler)
cl = get_datahandlerclass("jsongz")
assert cl == JsonGzDataHandler
assert issubclass(cl, IDataHandler)
assert issubclass(cl, JsonDataHandler)
cl = get_datahandlerclass("hdf5")
assert cl == HDF5DataHandler
assert issubclass(cl, IDataHandler)
cl = get_datahandlerclass("feather")
assert cl == FeatherDataHandler
assert issubclass(cl, IDataHandler)
cl = get_datahandlerclass("parquet")
assert cl == ParquetDataHandler
assert issubclass(cl, IDataHandler)
with pytest.raises(ValueError, match=r"No datahandler for .*"):
get_datahandlerclass("DeadBeef")
def test_get_datahandler(testdatadir):
dh = get_datahandler(testdatadir, "json")
assert isinstance(dh, JsonDataHandler)
dh = get_datahandler(testdatadir, "jsongz")
assert isinstance(dh, JsonGzDataHandler)
dh1 = get_datahandler(testdatadir, "jsongz", dh)
assert id(dh1) == id(dh)
dh = get_datahandler(testdatadir, "hdf5")
assert isinstance(dh, HDF5DataHandler)
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