def get_candles(exchange: str, symbol: str, timeframe: str, start_date: str,
finish_date: str) -> np.ndarray:
"""
Returns candles from the database in numpy format
:param exchange: str
:param symbol: str
:param timeframe: str
:param start_date: str
:param finish_date: str
:return: np.ndarray
"""
exchange = exchange.title()
symbol = symbol.upper()
import arrow
import jesse.helpers as jh
from jesse.models import Candle
from jesse.exceptions import CandleNotFoundInDatabase
from jesse.services.candle import generate_candle_from_one_minutes
start_date = jh.arrow_to_timestamp(arrow.get(start_date, 'YYYY-MM-DD'))
finish_date = jh.arrow_to_timestamp(arrow.get(finish_date,
'YYYY-MM-DD')) - 60000
# validate
if start_date == finish_date:
raise ValueError('start_date and finish_date cannot be the same.')
if start_date > finish_date:
raise ValueError('start_date cannot be bigger than finish_date.')
if finish_date > arrow.utcnow().int_timestamp * 1000:
raise ValueError('Can\'t backtest the future!')
# fetch from database
candles_tuple = Candle.select(
Candle.timestamp, Candle.open, Candle.close, Candle.high,
Candle.low, Candle.volume).where(
Candle.timestamp.between(start_date,
finish_date), Candle.exchange == exchange,
Candle.symbol == symbol).order_by(Candle.timestamp.asc()).tuples()
candles = np.array(tuple(candles_tuple))
# validate that there are enough candles for selected period
if len(candles) == 0 or candles[-1][0] != finish_date or candles[0][
0] != start_date:
raise CandleNotFoundInDatabase(
f'Not enough candles for {symbol}. Try running "jesse import-candles"'
)
if timeframe == '1m':
return candles
generated_candles = []
for i in range(len(candles)):
num = jh.timeframe_to_one_minutes(timeframe)
if (i + 1) % num == 0:
generated_candles.append(
generate_candle_from_one_minutes(
timeframe, candles[(i - (num - 1)):(i + 1)], True))
return np.array(generated_candles)
def load_required_candles(exchange: str, symbol: str, start_date_str: str,
finish_date_str: str):
"""
loads initial candles that required before executing strategies.
210 for the biggest timeframe and more for the rest
"""
start_date = jh.arrow_to_timestamp(arrow.get(start_date_str, 'YYYY-MM-DD'))
finish_date = jh.arrow_to_timestamp(
arrow.get(finish_date_str, 'YYYY-MM-DD')) - 60000
# validate
if start_date == finish_date:
raise ValueError('start_date and finish_date cannot be the same.')
if start_date > finish_date:
raise ValueError('start_date cannot be bigger than finish_date.')
if finish_date > arrow.utcnow().int_timestamp * 1000:
raise ValueError('Can\'t backtest the future!')
max_timeframe = jh.max_timeframe(config['app']['considering_timeframes'])
short_candles_count = jh.get_config(
'env.data.warmup_candles_num',
210) * jh.timeframe_to_one_minutes(max_timeframe)
pre_finish_date = start_date - 60_000
pre_start_date = pre_finish_date - short_candles_count * 60_000
# make sure starting from the beginning of the day instead
pre_start_date = jh.get_arrow(pre_start_date).floor(
'day').int_timestamp * 1000
# update candles_count to count from the beginning of the day instead
short_candles_count = int((pre_finish_date - pre_start_date) / 60_000)
key = jh.key(exchange, symbol)
cache_key = '{}-{}-{}'.format(jh.timestamp_to_date(pre_start_date),
jh.timestamp_to_date(pre_finish_date), key)
cached_value = cache.get_value(cache_key)
# if cache exists
if cached_value:
candles_tuple = cached_value
# not cached, get and cache for later calls in the next 5 minutes
else:
# fetch from database
candles_tuple = tuple(
Candle.select(Candle.timestamp, Candle.open, Candle.close,
Candle.high, Candle.low, Candle.volume).where(
Candle.timestamp.between(pre_start_date,
pre_finish_date),
Candle.exchange == exchange,
Candle.symbol == symbol).order_by(
Candle.timestamp.asc()).tuples())
# cache it for near future calls
cache.set_value(cache_key,
candles_tuple,
expire_seconds=60 * 60 * 24 * 7)
candles = np.array(candles_tuple)
if len(candles) < short_candles_count + 1:
first_existing_candle = tuple(
Candle.select(Candle.timestamp).where(
Candle.exchange == exchange, Candle.symbol == symbol).order_by(
Candle.timestamp.asc()).limit(1).tuples())
if not len(first_existing_candle):
raise CandleNotFoundInDatabase(
'No candle for {} {} is present in the database. Try importing candles.'
.format(exchange, symbol))
first_existing_candle = first_existing_candle[0][0]
last_existing_candle = tuple(
Candle.select(Candle.timestamp).where(
Candle.exchange == exchange, Candle.symbol == symbol).order_by(
Candle.timestamp.desc()).limit(1).tuples())[0][0]
first_backtestable_timestamp = first_existing_candle + (
pre_finish_date - pre_start_date) + (60_000 * 1440)
# if first backtestable timestamp is in the future, that means we have some but not enough candles
if first_backtestable_timestamp > jh.today():
raise CandleNotFoundInDatabase(
'Not enough candle for {} {} is present in the database. Jesse requires "210 * biggest_timeframe" warm-up candles. '
'Try importing more candles from an earlier date.'.format(
exchange, symbol))
raise CandleNotFoundInDatabase(
'Not enough candles for {} {} exists to run backtest from {} => {}. \n'
'First available date is {}\n'
'Last available date is {}'.format(
exchange,
symbol,
start_date_str,
finish_date_str,
jh.timestamp_to_date(first_backtestable_timestamp),
jh.timestamp_to_date(last_existing_candle),
))
return candles