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fix: don't sort stacked imbalances, return empty list if no found...

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... also removes helper functions `stacked_imbalance_bid` & `stacked_imbalance_ask`
This commit is contained in:
Joe Schr
2025-01-03 18:23:36 +01:00
parent 11976f11b0
commit 12adbeb7f3
2 changed files with 31 additions and 47 deletions
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41
tests/data/test_converter_orderflow.py
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@@ -5,9 +5,9 @@ from freqtrade.constants import DEFAULT_TRADES_COLUMNS
from freqtrade.data.converter import populate_dataframe_with_trades
from freqtrade.data.converter.orderflow import (
ORDERFLOW_ADDED_COLUMNS,
stacked_imbalance,
timeframe_to_DateOffset,
trades_to_volumeprofile_with_total_delta_bid_ask,
stacked_imbalance,
)
from freqtrade.data.converter.trade_converter import trades_list_to_df
from freqtrade.data.dataprovider import DataProvider
@@ -185,8 +185,8 @@ def test_public_trades_mock_populate_dataframe_with_trades__check_orderflow(
assert results["max_delta"] == 17.298
# Assert that stacked imbalances are NaN (not applicable in this test)
assert results["stacked_imbalances_bid"] == [np.nan]
assert results["stacked_imbalances_ask"] == [np.nan]
assert results["stacked_imbalances_bid"] == []
assert results["stacked_imbalances_ask"] == []
# Repeat assertions for the third from last row
results = df.iloc[-2]
@@ -201,8 +201,8 @@ def test_public_trades_mock_populate_dataframe_with_trades__check_orderflow(
assert pytest.approx(results["delta"]) == -49.302
assert results["min_delta"] == -70.222
assert pytest.approx(results["max_delta"]) == 11.213
assert results["stacked_imbalances_bid"] == [np.nan]
assert results["stacked_imbalances_ask"] == [np.nan]
assert results["stacked_imbalances_bid"] == []
assert results["stacked_imbalances_ask"] == []
def test_public_trades_trades_mock_populate_dataframe_with_trades__check_trades(
@@ -575,34 +575,33 @@ def test_stacked_imbalances_multiple_prices():
# Test with empty result
df_no_stacks = pd.DataFrame(
{
'bid_imbalance': [False, False, True, False],
'ask_imbalance': [False, True, False, False]
"bid_imbalance": [False, False, True, False],
"ask_imbalance": [False, True, False, False],
},
index=[234.95, 234.96, 234.97, 234.98]
index=[234.95, 234.96, 234.97, 234.98],
)
no_stacks = stacked_imbalance(df_no_stacks, "bid", stacked_imbalance_range=2, should_reverse=False)
assert no_stacks == [np.nan]
no_stacks = stacked_imbalance(df_no_stacks, "bid", stacked_imbalance_range=2)
assert no_stacks == []
# Create a sample DataFrame with known imbalances
df = pd.DataFrame(
{
'bid_imbalance': [True, True, True, False, False, True, True, False, True],
'ask_imbalance': [False, False, True, True, True, False, False, True, True]
"bid_imbalance": [True, True, True, False, False, True, True, False, True],
"ask_imbalance": [False, False, True, True, True, False, False, True, True],
},
index=[234.95, 234.96, 234.97, 234.98, 234.99, 235.00, 235.01, 235.02, 235.03]
index=[234.95, 234.96, 234.97, 234.98, 234.99, 235.00, 235.01, 235.02, 235.03],
)
# Test bid imbalances (should return prices in ascending order)
bid_prices = stacked_imbalance(df, "bid", stacked_imbalance_range=2, should_reverse=False)
bid_prices = stacked_imbalance(df, "bid", stacked_imbalance_range=2)
assert bid_prices == [234.95, 234.96, 235.00]
# Test ask imbalances (should return prices in descending order)
ask_prices = stacked_imbalance(df, "ask", stacked_imbalance_range=2, should_reverse=True)
assert ask_prices == [235.02, 234.98, 234.97]
ask_prices = stacked_imbalance(df, "ask", stacked_imbalance_range=2)
assert ask_prices == [234.97, 234.98, 235.02]
# Test with higher stacked_imbalance_range
bid_prices_higher = stacked_imbalance(df, "bid", stacked_imbalance_range=3, should_reverse=False)
bid_prices_higher = stacked_imbalance(df, "bid", stacked_imbalance_range=3)
assert bid_prices_higher == [234.95]
def test_timeframe_to_DateOffset():