freqtrade_origin/freqtrade/tests/data/test_converter.py
2018-12-31 19:40:14 +01:00

100 lines
3.3 KiB
Python

# pragma pylint: disable=missing-docstring, C0103
import logging
from freqtrade.data.converter import parse_ticker_dataframe, ohlcv_fill_up_missing_data
from freqtrade.data.history import load_pair_history
from freqtrade.optimize import validate_backtest_data, get_timeframe
from freqtrade.tests.conftest import log_has
def test_dataframe_correct_columns(result):
assert result.columns.tolist() == ['date', 'open', 'high', 'low', 'close', 'volume']
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_list, '5m', fill_missing=True)
assert dataframe.columns.tolist() == columns
assert log_has('Parsing tickerlist to dataframe', caplog.record_tuples)
def test_ohlcv_fill_up_missing_data(caplog):
data = load_pair_history(datadir=None,
ticker_interval='1m',
refresh_pairs=False,
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)
# Column names should not change
assert (data.columns == data2.columns).all()
assert log_has(f"Missing data fillup: before: {len(data)} - after: {len(data2)}",
caplog.record_tuples)
# Test fillup actually fixes invalid backtest data
min_date, max_date = get_timeframe({'UNITTEST/BTC': data})
assert validate_backtest_data({'UNITTEST/BTC': data}, min_date, max_date, 1)
assert not validate_backtest_data({'UNITTEST/BTC': data2}, min_date, max_date, 1)
def test_ohlcv_fill_up_missing_data2(caplog):
ticker_interval = '5m'
ticks = [[
1511686200000, # 8:50:00
8.794e-05, # open
8.948e-05, # high
8.794e-05, # low
8.88e-05, # close
2255, # volume (in quote currency)
],
[
1511686500000, # 8:55:00
8.88e-05,
8.942e-05,
8.88e-05,
8.893e-05,
9911,
],
[
1511687100000, # 9:05:00
8.891e-05,
8.893e-05,
8.875e-05,
8.877e-05,
2251
],
[
1511687400000, # 9:10:00
8.877e-05,
8.883e-05,
8.895e-05,
8.817e-05,
123551
]
]
# Generate test-data without filling missing
data = parse_ticker_dataframe(ticks, ticker_interval, fill_missing=False)
assert len(data) == 3
caplog.set_level(logging.DEBUG)
data2 = ohlcv_fill_up_missing_data(data, ticker_interval)
assert len(data2) == 4
# 3rd candle has been filled
row = data2.loc[2, :]
assert row['volume'] == 0
# close shoult match close of previous candle
assert row['close'] == data.loc[1, 'close']
assert row['open'] == row['close']
assert row['high'] == row['close']
assert row['low'] == row['close']
# Column names should not change
assert (data.columns == data2.columns).all()
assert log_has(f"Missing data fillup: before: {len(data)} - after: {len(data2)}",
caplog.record_tuples)