def test_convert_trades_to_ohlcv(mocker, default_conf, testdatadir, caplog):
pair = 'XRP/ETH'
file1 = testdatadir / 'XRP_ETH-1m.json'
file5 = testdatadir / 'XRP_ETH-5m.json'
# Compare downloaded dataset with converted dataset
dfbak_1m = load_pair_history(datadir=testdatadir,
timeframe="1m",
pair=pair)
dfbak_5m = load_pair_history(datadir=testdatadir,
timeframe="5m",
pair=pair)
_backup_file(file1, copy_file=True)
_backup_file(file5)
tr = TimeRange.parse_timerange('20191011-20191012')
convert_trades_to_ohlcv([pair],
timeframes=['1m', '5m'],
datadir=testdatadir,
timerange=tr,
erase=True)
assert log_has("Deleting existing data for pair XRP/ETH, interval 1m.",
caplog)
# Load new data
df_1m = load_pair_history(datadir=testdatadir, timeframe="1m", pair=pair)
df_5m = load_pair_history(datadir=testdatadir, timeframe="5m", pair=pair)
assert df_1m.equals(dfbak_1m)
assert df_5m.equals(dfbak_5m)
_clean_test_file(file1)
_clean_test_file(file5)
def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog,
default_conf, testdatadir) -> None:
"""
Test load_pair_history() with 1 min ticker
"""
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv',
return_value=ticker_history_list)
exchange = get_patched_exchange(mocker, default_conf)
file = testdatadir / 'MEME_BTC-1m.json'
_backup_file(file)
# do not download a new pair if refresh_pairs isn't set
load_pair_history(datadir=testdatadir, timeframe='1m', pair='MEME/BTC')
assert not file.is_file()
assert log_has(
'No history data for pair: "MEME/BTC", timeframe: 1m. '
'Use `freqtrade download-data` to download the data', caplog)
# download a new pair if refresh_pairs is set
refresh_data(datadir=testdatadir,
timeframe='1m',
pairs=['MEME/BTC'],
exchange=exchange)
load_pair_history(datadir=testdatadir, timeframe='1m', pair='MEME/BTC')
assert file.is_file()
assert log_has_re(
'Download history data for pair: "MEME/BTC", timeframe: 1m '
'and store in .*', caplog)
_clean_test_file(file)
def test_load_data_startup_candles(mocker, caplog, default_conf, testdatadir) -> None:
ltfmock = mocker.patch('freqtrade.data.history.load_tickerdata_file',
MagicMock(return_value=None))
timerange = TimeRange('date', None, 1510639620, 0)
history.load_pair_history(pair='UNITTEST/BTC', timeframe='1m',
datadir=testdatadir, timerange=timerange,
startup_candles=20,
)
assert ltfmock.call_count == 1
assert ltfmock.call_args_list[0][1]['timerange'] != timerange
# startts is 20 minutes earlier
assert ltfmock.call_args_list[0][1]['timerange'].startts == timerange.startts - 20 * 60
def test_load_data_30min_ticker(mocker, caplog, default_conf, testdatadir) -> None:
ld = history.load_pair_history(pair='UNITTEST/BTC', timeframe='30m', datadir=testdatadir)
assert isinstance(ld, DataFrame)
assert not log_has(
'Download history data for pair: "UNITTEST/BTC", timeframe: 30m '
'and store in None.', caplog
)
def test_add_indicators(default_conf, caplog):
pair = "UNITTEST/BTC"
timerange = TimeRange(None, 'line', 0, -1000)
data = history.load_pair_history(pair=pair, ticker_interval='1m',
datadir=None, timerange=timerange)
indicators1 = ["ema10"]
indicators2 = ["macd"]
# Generate buy/sell signals and indicators
strat = DefaultStrategy(default_conf)
data = strat.analyze_ticker(data, {'pair': pair})
fig = generage_empty_figure()
# Row 1
fig1 = add_indicators(fig=deepcopy(fig), row=1, indicators=indicators1, data=data)
figure = fig1.layout.figure
ema10 = find_trace_in_fig_data(figure.data, "ema10")
assert isinstance(ema10, go.Scatter)
assert ema10.yaxis == "y"
fig2 = add_indicators(fig=deepcopy(fig), row=3, indicators=indicators2, data=data)
figure = fig2.layout.figure
macd = find_trace_in_fig_data(figure.data, "macd")
assert isinstance(macd, go.Scatter)
assert macd.yaxis == "y3"
# No indicator found
fig3 = add_indicators(fig=deepcopy(fig), row=3, indicators=['no_indicator'], data=data)
assert fig == fig3
assert log_has_re(r'Indicator "no_indicator" ignored\..*', caplog)
def test_generate_candlestick_graph_no_signals_no_trades(default_conf, mocker, testdatadir, caplog):
row_mock = mocker.patch('freqtrade.plot.plotting.add_indicators',
MagicMock(side_effect=fig_generating_mock))
trades_mock = mocker.patch('freqtrade.plot.plotting.plot_trades',
MagicMock(side_effect=fig_generating_mock))
pair = "UNITTEST/BTC"
timerange = TimeRange(None, 'line', 0, -1000)
data = history.load_pair_history(pair=pair, timeframe='1m',
datadir=testdatadir, timerange=timerange)
data['buy'] = 0
data['sell'] = 0
indicators1 = []
indicators2 = []
fig = generate_candlestick_graph(pair=pair, data=data, trades=None,
indicators1=indicators1, indicators2=indicators2)
assert isinstance(fig, go.Figure)
assert fig.layout.title.text == pair
figure = fig.layout.figure
assert len(figure.data) == 2
# Candlesticks are plotted first
candles = find_trace_in_fig_data(figure.data, "Price")
assert isinstance(candles, go.Candlestick)
volume = find_trace_in_fig_data(figure.data, "Volume")
assert isinstance(volume, go.Bar)
assert row_mock.call_count == 2
assert trades_mock.call_count == 1
assert log_has("No buy-signals found.", caplog)
assert log_has("No sell-signals found.", caplog)
def test_add_indicators(default_conf, testdatadir, caplog):
pair = "UNITTEST/BTC"
timerange = TimeRange(None, 'line', 0, -1000)
data = history.load_pair_history(pair=pair, timeframe='1m',
datadir=testdatadir, timerange=timerange)
indicators1 = {"ema10": {}}
indicators2 = {"macd": {"color": "red"}}
strategy = StrategyResolver.load_strategy(default_conf)
# Generate buy/sell signals and indicators
data = strategy.analyze_ticker(data, {'pair': pair})
fig = generate_empty_figure()
# Row 1
fig1 = add_indicators(fig=deepcopy(fig), row=1, indicators=indicators1, data=data)
figure = fig1.layout.figure
ema10 = find_trace_in_fig_data(figure.data, "ema10")
assert isinstance(ema10, go.Scatter)
assert ema10.yaxis == "y"
fig2 = add_indicators(fig=deepcopy(fig), row=3, indicators=indicators2, data=data)
figure = fig2.layout.figure
macd = find_trace_in_fig_data(figure.data, "macd")
assert isinstance(macd, go.Scatter)
assert macd.yaxis == "y3"
assert macd.line.color == "red"
# No indicator found
fig3 = add_indicators(fig=deepcopy(fig), row=3, indicators={'no_indicator': {}}, data=data)
assert fig == fig3
assert log_has_re(r'Indicator "no_indicator" ignored\..*', caplog)
def load_data_test(what, testdatadir):
timerange = TimeRange.parse_timerange('1510694220-1510700340')
data = history.load_pair_history(pair='UNITTEST/BTC', datadir=testdatadir,
timeframe='1m', timerange=timerange,
drop_incomplete=False,
fill_up_missing=False)
base = 0.001
if what == 'raise':
data.loc[:, 'open'] = data.index * base
data.loc[:, 'high'] = data.index * base + 0.0001
data.loc[:, 'low'] = data.index * base - 0.0001
data.loc[:, 'close'] = data.index * base
if what == 'lower':
data.loc[:, 'open'] = 1 - data.index * base
data.loc[:, 'high'] = 1 - data.index * base + 0.0001
data.loc[:, 'low'] = 1 - data.index * base - 0.0001
data.loc[:, 'close'] = 1 - data.index * base
if what == 'sine':
hz = 0.1 # frequency
data.loc[:, 'open'] = np.sin(data.index * hz) / 1000 + base
data.loc[:, 'high'] = np.sin(data.index * hz) / 1000 + base + 0.0001
data.loc[:, 'low'] = np.sin(data.index * hz) / 1000 + base - 0.0001
data.loc[:, 'close'] = np.sin(data.index * hz) / 1000 + base
return {'UNITTEST/BTC': clean_ohlcv_dataframe(data, timeframe='1m', pair='UNITTEST/BTC',
fill_missing=True)}
def test_add_profit(testdatadir):
filename = testdatadir / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
timerange = TimeRange.parse_timerange("20180110-20180112")
df = history.load_pair_history(pair="TRX/BTC",
ticker_interval='5m',
datadir=testdatadir,
timerange=timerange)
fig = generate_empty_figure()
cum_profits = create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'TRX/BTC'],
"cum_profits",
timeframe="5m")
fig1 = add_profit(fig,
row=2,
data=cum_profits,
column='cum_profits',
name='Profits')
figure = fig1.layout.figure
profits = find_trace_in_fig_data(figure.data, "Profits")
assert isinstance(profits, go.Scatter)
assert profits.yaxis == "y2"
def test_extract_trades_of_period():
pair = "UNITTEST/BTC"
timerange = TimeRange(None, 'line', 0, -1000)
data = load_pair_history(pair=pair, ticker_interval='1m',
datadir=None, timerange=timerange)
# timerange = 2017-11-14 06:07 - 2017-11-14 22:58:00
trades = DataFrame(
{'pair': [pair, pair, pair, pair],
'profit_percent': [0.0, 0.1, -0.2, -0.5],
'profit_abs': [0.0, 1, -2, -5],
'open_time': to_datetime([Arrow(2017, 11, 13, 15, 40, 0).datetime,
Arrow(2017, 11, 14, 9, 41, 0).datetime,
Arrow(2017, 11, 14, 14, 20, 0).datetime,
Arrow(2017, 11, 15, 3, 40, 0).datetime,
], utc=True
),
'close_time': to_datetime([Arrow(2017, 11, 13, 16, 40, 0).datetime,
Arrow(2017, 11, 14, 10, 41, 0).datetime,
Arrow(2017, 11, 14, 15, 25, 0).datetime,
Arrow(2017, 11, 15, 3, 55, 0).datetime,
], utc=True)
})
trades1 = extract_trades_of_period(data, trades)
# First and last trade are dropped as they are out of range
assert len(trades1) == 2
assert trades1.iloc[0].open_time == Arrow(2017, 11, 14, 9, 41, 0).datetime
assert trades1.iloc[0].close_time == Arrow(2017, 11, 14, 10, 41, 0).datetime
assert trades1.iloc[-1].open_time == Arrow(2017, 11, 14, 14, 20, 0).datetime
assert trades1.iloc[-1].close_time == Arrow(2017, 11, 14, 15, 25, 0).datetime
def test_create_cum_profit1(testdatadir):
filename = testdatadir / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
# Move close-time to "off" the candle, to make sure the logic still works
bt_data.loc[:, 'close_date'] = bt_data.loc[:, 'close_date'] + DateOffset(
seconds=20)
timerange = TimeRange.parse_timerange("20180110-20180112")
df = load_pair_history(pair="TRX/BTC",
timeframe='5m',
datadir=testdatadir,
timerange=timerange)
cum_profits = create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'TRX/BTC'],
"cum_profits",
timeframe="5m")
assert "cum_profits" in cum_profits.columns
assert cum_profits.iloc[0]['cum_profits'] == 0
assert cum_profits.iloc[-1]['cum_profits'] == 0.0798005
with pytest.raises(ValueError, match='Trade dataframe empty.'):
create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'NOTAPAIR'],
"cum_profits",
timeframe="5m")
def test_load_data_30min_ticker(mocker, caplog, default_conf) -> None:
ld = history.load_pair_history(pair='UNITTEST/BTC',
ticker_interval='30m',
datadir=None)
assert isinstance(ld, DataFrame)
assert not log_has('Download the pair: "UNITTEST/BTC", Interval: 30m',
caplog.record_tuples)
def test_load_data_7min_ticker(mocker, caplog, default_conf) -> None:
ld = history.load_pair_history(pair='UNITTEST/BTC', ticker_interval='7m', datadir=None)
assert not isinstance(ld, DataFrame)
assert ld is None
assert log_has(
'No data for pair: "UNITTEST/BTC", Interval: 7m. '
'Use --refresh-pairs-cached to download the data', caplog.record_tuples)
def historic_ohlcv(self,
pair: str,
timeframe: str = None,
candle_type: str = '') -> DataFrame:
"""
Get stored historical candle (OHLCV) data
:param pair: pair to get the data for
:param timeframe: timeframe to get data for
:param candle_type: '', mark, index, premiumIndex, or funding_rate
"""
_candle_type = CandleType.from_string(
candle_type
) if candle_type != '' else self._config['candle_type_def']
saved_pair = (pair, str(timeframe), _candle_type)
if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange')))
# Move informative start time respecting startup_candle_count
timerange.subtract_start(
timeframe_to_seconds(str(timeframe)) *
self._config.get('startup_candle_count', 0))
self.__cached_pairs_backtesting[saved_pair] = load_pair_history(
pair=pair,
timeframe=timeframe or self._config['timeframe'],
datadir=self._config['datadir'],
timerange=timerange,
data_format=self._config.get('dataformat_ohlcv', 'json'),
candle_type=_candle_type,
)
return self.__cached_pairs_backtesting[saved_pair].copy()
def test_add_areas(default_conf, testdatadir, caplog):
pair = "UNITTEST/BTC"
timerange = TimeRange(None, 'line', 0, -1000)
data = history.load_pair_history(pair=pair,
timeframe='1m',
datadir=testdatadir,
timerange=timerange)
indicators = {
"macd": {
"color": "red",
"fill_color": "black",
"fill_to": "macdhist",
"fill_label": "MACD Fill"
}
}
ind_no_label = {"macd": {"fill_color": "red", "fill_to": "macdhist"}}
ind_plain = {"macd": {"fill_to": "macdhist"}}
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
# Generate buy/sell signals and indicators
data = strategy.analyze_ticker(data, {'pair': pair})
fig = generate_empty_figure()
# indicator mentioned in fill_to does not exist
fig1 = add_areas(fig, 1, data, {'ema10': {'fill_to': 'no_fill_indicator'}})
assert fig == fig1
assert log_has_re(r'fill_to: "no_fill_indicator" ignored\..*', caplog)
# indicator does not exist
fig2 = add_areas(fig, 1, data, {'no_indicator': {'fill_to': 'ema10'}})
assert fig == fig2
assert log_has_re(r'Indicator "no_indicator" ignored\..*', caplog)
# everythin given in plot config, row 3
fig3 = add_areas(fig, 3, data, indicators)
figure = fig3.layout.figure
fill_macd = find_trace_in_fig_data(figure.data, "MACD Fill")
assert isinstance(fill_macd, go.Scatter)
assert fill_macd.yaxis == "y3"
assert fill_macd.fillcolor == "black"
# label missing, row 1
fig4 = add_areas(fig, 1, data, ind_no_label)
figure = fig4.layout.figure
fill_macd = find_trace_in_fig_data(figure.data, "macd<>macdhist")
assert isinstance(fill_macd, go.Scatter)
assert fill_macd.yaxis == "y"
assert fill_macd.fillcolor == "red"
# fit_to only
fig5 = add_areas(fig, 1, data, ind_plain)
figure = fig5.layout.figure
fill_macd = find_trace_in_fig_data(figure.data, "macd<>macdhist")
assert isinstance(fill_macd, go.Scatter)
assert fill_macd.yaxis == "y"
def test_load_data_7min_ticker(mocker, caplog, default_conf, testdatadir) -> None:
ld = history.load_pair_history(pair='UNITTEST/BTC', timeframe='7m', datadir=testdatadir)
assert not isinstance(ld, DataFrame)
assert ld is None
assert log_has(
'No history data for pair: "UNITTEST/BTC", timeframe: 7m. '
'Use `freqtrade download-data` to download the data', caplog
)
def test_load_data_7min_ticker(mocker, caplog, default_conf) -> None:
ld = history.load_pair_history(pair='UNITTEST/BTC',
ticker_interval='7m',
datadir=None)
assert not isinstance(ld, DataFrame)
assert ld is None
assert log_has(
'No history data for pair: "UNITTEST/BTC", interval: 7m. '
'Use --refresh-pairs-cached option or `freqtrade download-data` '
'script to download the data', caplog)
def historic_ohlcv(self, pair: str, timeframe: str = None) -> DataFrame:
"""
Get stored historic ohlcv data
:param pair: pair to get the data for
:param timeframe: timeframe to get data for
"""
return load_pair_history(pair=pair,
timeframe=timeframe or self._config['ticker_interval'],
datadir=Path(self._config['datadir'])
)
def historic_ohlcv(self, pair: str, timeframe: str = None) -> DataFrame:
"""
Get stored historical candle (OHLCV) data
:param pair: pair to get the data for
:param timeframe: timeframe to get data for
"""
return load_pair_history(pair=pair,
timeframe=timeframe
or self._config['timeframe'],
datadir=self._config['datadir'])
def historic_ohlcv(self, pair: str, ticker_interval: str) -> DataFrame:
"""
get stored historic ohlcv data
:param pair: pair to get the data for
:param ticker_interval: ticker_interval to get pair for
"""
return load_pair_history(pair=pair,
ticker_interval=ticker_interval,
refresh_pairs=False,
datadir=Path(self._config['datadir'])
if self._config.get('datadir') else None)
def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog, default_conf) -> None:
"""
Test load_pair_history() with 1 min ticker
"""
mocker.patch('freqtrade.exchange.Exchange.get_history', return_value=ticker_history_list)
exchange = get_patched_exchange(mocker, default_conf)
file = os.path.join(os.path.dirname(__file__), '..', 'testdata', 'MEME_BTC-1m.json')
_backup_file(file)
# do not download a new pair if refresh_pairs isn't set
history.load_pair_history(datadir=None,
ticker_interval='1m',
refresh_pairs=False,
pair='MEME/BTC')
assert os.path.isfile(file) is False
assert log_has('No data for pair: "MEME/BTC", Interval: 1m. '
'Use --refresh-pairs-cached to download the data',
caplog.record_tuples)
# download a new pair if refresh_pairs is set
history.load_pair_history(datadir=None,
ticker_interval='1m',
refresh_pairs=True,
exchange=exchange,
pair='MEME/BTC')
assert os.path.isfile(file) is True
assert log_has('Download the pair: "MEME/BTC", Interval: 1m', caplog.record_tuples)
with pytest.raises(OperationalException, match=r'Exchange needs to be initialized when.*'):
history.load_pair_history(datadir=None,
ticker_interval='1m',
refresh_pairs=True,
exchange=None,
pair='MEME/BTC')
_clean_test_file(file)
def test_generate_candlestick_graph_no_trades(default_conf, mocker,
testdatadir):
row_mock = mocker.patch('freqtrade.plot.plotting.add_indicators',
MagicMock(side_effect=fig_generating_mock))
trades_mock = mocker.patch('freqtrade.plot.plotting.plot_trades',
MagicMock(side_effect=fig_generating_mock))
pair = 'UNITTEST/BTC'
timerange = TimeRange(None, 'line', 0, -1000)
data = history.load_pair_history(pair=pair,
timeframe='1m',
datadir=testdatadir,
timerange=timerange)
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
# Generate buy/sell signals and indicators
data = strategy.analyze_ticker(data, {'pair': pair})
indicators1 = []
indicators2 = []
fig = generate_candlestick_graph(pair=pair,
data=data,
trades=None,
indicators1=indicators1,
indicators2=indicators2)
assert isinstance(fig, go.Figure)
assert fig.layout.title.text == pair
figure = fig.layout.figure
assert len(figure.data) == 6
# Candlesticks are plotted first
candles = find_trace_in_fig_data(figure.data, "Price")
assert isinstance(candles, go.Candlestick)
volume = find_trace_in_fig_data(figure.data, "Volume")
assert isinstance(volume, go.Bar)
buy = find_trace_in_fig_data(figure.data, "buy")
assert isinstance(buy, go.Scatter)
# All buy-signals should be plotted
assert int(data.buy.sum()) == len(buy.x)
sell = find_trace_in_fig_data(figure.data, "sell")
assert isinstance(sell, go.Scatter)
# All buy-signals should be plotted
assert int(data.sell.sum()) == len(sell.x)
assert find_trace_in_fig_data(figure.data, "Bollinger Band")
assert row_mock.call_count == 2
assert trades_mock.call_count == 1
def test_create_cum_profit():
filename = make_testdata_path(None) / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
timerange = TimeRange.parse_timerange("20180110-20180112")
df = load_pair_history(pair="POWR/BTC", ticker_interval='5m',
datadir=None, timerange=timerange)
cum_profits = create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'POWR/BTC'],
"cum_profits")
assert "cum_profits" in cum_profits.columns
assert cum_profits.iloc[0]['cum_profits'] == 0
assert cum_profits.iloc[-1]['cum_profits'] == 0.0798005
def test_create_cum_profit(testdatadir):
filename = testdatadir / "backtest-result_test.json"
bt_data = load_backtest_data(filename)
timerange = TimeRange.parse_timerange("20180110-20180112")
df = load_pair_history(pair="TRX/BTC",
timeframe='5m',
datadir=testdatadir,
timerange=timerange)
cum_profits = create_cum_profit(df.set_index('date'),
bt_data[bt_data["pair"] == 'TRX/BTC'],
"cum_profits",
timeframe="5m")
assert "cum_profits" in cum_profits.columns
assert cum_profits.iloc[0]['cum_profits'] == 0
assert cum_profits.iloc[-1]['cum_profits'] == 0.0798005
def test_ohlcv_fill_up_missing_data(testdatadir, caplog):
data = load_pair_history(datadir=testdatadir,
timeframe='1m',
pair='UNITTEST/BTC',
fill_up_missing=False)
caplog.set_level(logging.DEBUG)
data2 = ohlcv_fill_up_missing_data(data, '1m', 'UNITTEST/BTC')
assert len(data2) > len(data)
# Column names should not change
assert (data.columns == data2.columns).all()
assert log_has(f"Missing data fillup for UNITTEST/BTC: before: "
f"{len(data)} - after: {len(data2)}", caplog)
# Test fillup actually fixes invalid backtest data
min_date, max_date = get_timerange({'UNITTEST/BTC': data})
assert validate_backtest_data(data, 'UNITTEST/BTC', min_date, max_date, 1)
assert not validate_backtest_data(data2, 'UNITTEST/BTC', min_date, max_date, 1)
def test_extract_trades_of_period(testdatadir):
pair = "UNITTEST/BTC"
# 2018-11-14 06:07:00
timerange = TimeRange('date', None, 1510639620, 0)
data = load_pair_history(pair=pair,
timeframe='1m',
datadir=testdatadir,
timerange=timerange)
trades = DataFrame({
'pair': [pair, pair, pair, pair],
'profit_ratio': [0.0, 0.1, -0.2, -0.5],
'profit_abs': [0.0, 1, -2, -5],
'open_date':
to_datetime([
Arrow(2017, 11, 13, 15, 40, 0).datetime,
Arrow(2017, 11, 14, 9, 41, 0).datetime,
Arrow(2017, 11, 14, 14, 20, 0).datetime,
Arrow(2017, 11, 15, 3, 40, 0).datetime,
],
utc=True),
'close_date':
to_datetime([
Arrow(2017, 11, 13, 16, 40, 0).datetime,
Arrow(2017, 11, 14, 10, 41, 0).datetime,
Arrow(2017, 11, 14, 15, 25, 0).datetime,
Arrow(2017, 11, 15, 3, 55, 0).datetime,
],
utc=True)
})
trades1 = extract_trades_of_period(data, trades)
# First and last trade are dropped as they are out of range
assert len(trades1) == 2
assert trades1.iloc[0].open_date == Arrow(2017, 11, 14, 9, 41, 0).datetime
assert trades1.iloc[0].close_date == Arrow(2017, 11, 14, 10, 41,
0).datetime
assert trades1.iloc[-1].open_date == Arrow(2017, 11, 14, 14, 20,
0).datetime
assert trades1.iloc[-1].close_date == Arrow(2017, 11, 14, 15, 25,
0).datetime
def historic_ohlcv(self, pair: str, timeframe: str = None) -> DataFrame:
"""
Get stored historical candle (OHLCV) data
:param pair: pair to get the data for
:param timeframe: timeframe to get data for
"""
saved_pair = (pair, str(timeframe))
if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange')))
# Move informative start time respecting startup_candle_count
timerange.subtract_start(
timeframe_to_seconds(str(timeframe)) *
self._config.get('startup_candle_count', 0))
self.__cached_pairs_backtesting[saved_pair] = load_pair_history(
pair=pair,
timeframe=timeframe or self._config['timeframe'],
datadir=self._config['datadir'],
timerange=timerange,
data_format=self._config.get('dataformat_ohlcv', 'json'))
return self.__cached_pairs_backtesting[saved_pair].copy()
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 process_candles_data(pairs, filter_price):
full_dataframe = pd.DataFrame()
for pair in pairs:
print(data_location)
print(config["timeframe"])
print(pair)
candles = load_pair_history(datadir=data_location,
timeframe=config["timeframe"],
pair=pair,
data_format="hdf5")
if len(candles):
# Not sure about AgeFilter
# apply price filter make price 0 to ignore this pair after calculation of quoteVolume
candles.loc[(candles.close < filter_price), 'close'] = 0
column_name = pair
candles[column_name] = candles['volume'] * candles['close']
if full_dataframe.empty:
full_dataframe = candles[['date', column_name]].copy()
else:
full_dataframe = pd.merge(full_dataframe,
candles[['date',
column_name]].copy(),
on='date',
how='left')
# print("Loaded " + str(len(candles)) + f" rows of data for {pair} from {data_location}")
# print(full_dataframe.tail(1))
print(full_dataframe.head())
full_dataframe['date'] = full_dataframe['date'].dt.tz_localize(None)
return full_dataframe
def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog,
default_conf, testdatadir) -> None:
"""
Test load_pair_history() with 1 min ticker
"""
mocker.patch('freqtrade.exchange.Exchange.get_historic_ohlcv',
return_value=ticker_history_list)
exchange = get_patched_exchange(mocker, default_conf)
file = testdatadir / 'MEME_BTC-1m.json'
_backup_file(file)
# do not download a new pair if refresh_pairs isn't set
history.load_pair_history(datadir=testdatadir,
ticker_interval='1m',
pair='MEME/BTC')
assert not file.is_file()
assert log_has(
'No history data for pair: "MEME/BTC", interval: 1m. '
'Use `freqtrade download-data` to download the data', caplog)
# download a new pair if refresh_pairs is set
history.load_pair_history(datadir=testdatadir,
ticker_interval='1m',
refresh_pairs=True,
exchange=exchange,
pair='MEME/BTC')
assert file.is_file()
assert log_has_re(
'Download history data for pair: "MEME/BTC", interval: 1m '
'and store in .*', caplog)
with pytest.raises(OperationalException,
match=r'Exchange needs to be initialized when.*'):
history.load_pair_history(datadir=testdatadir,
ticker_interval='1m',
refresh_pairs=True,
exchange=None,
pair='MEME/BTC')
_clean_test_file(file)
