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chore: improve comments

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This commit is contained in:
Meng Xiangzhuo
2024-11-13 17:14:49 +08:00
parent cf7016b36d
commit 39b4263b8b
3 changed files with 47 additions and 19 deletions
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14
freqtrade/exchange/binance.py
View File

@@ -5,12 +5,13 @@ from datetime import datetime, timezone
from pathlib import Path
import ccxt
from pandas import DataFrame, concat
from pandas import DataFrame
from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS
from freqtrade.enums import CandleType, MarginMode, PriceType, TradingMode
from freqtrade.exceptions import DDosProtection, OperationalException, TemporaryError
from freqtrade.exchange import Exchange, binance_public_data
from freqtrade.exchange.binance_public_data import concat
from freqtrade.exchange.common import retrier
from freqtrade.exchange.exchange_types import FtHas, Tickers
from freqtrade.exchange.exchange_utils_timeframe import timeframe_to_msecs
@@ -162,10 +163,11 @@ class Binance(Exchange):
candle_type: CandleType,
is_new_pair: bool = False,
until_ms: int | None = None,
):
) -> DataFrame:
"""
Fetch ohlcv fast by utilizing https://data.binance.vision
Fastly fetch OHLCV data by leveraging https://data.binance.vision.
"""
# only download timeframes with significant improvements, otherwise fall back to rest API
if (candle_type == CandleType.SPOT and timeframe in ["1s", "1m", "3m", "5m"]) or (
candle_type == CandleType.FUTURES and timeframe in ["1m", "3m", "5m", "15m", "30m"]
):
@@ -179,10 +181,14 @@ class Binance(Exchange):
markets=self.markets,
)
)
# download the remaining data from rest API
if df.empty:
rest_since_ms = since_ms
else:
rest_since_ms = dt_ts(df.iloc[-1].date) + timeframe_to_msecs(timeframe)
# make sure since <= until
if until_ms and rest_since_ms > until_ms:
rest_df = DataFrame()
else:
@@ -195,6 +201,7 @@ class Binance(Exchange):
until_ms=until_ms,
)
all_df = concat([df, rest_df])
return all_df
else:
return super().get_historic_ohlcv(
pair=pair,
@@ -204,7 +211,6 @@ class Binance(Exchange):
is_new_pair=is_new_pair,
until_ms=until_ms,
)
return all_df
def funding_fee_cutoff(self, open_date: datetime):
"""

33
freqtrade/exchange/binance_public_data.py
View File

@@ -42,12 +42,22 @@ async def fetch_ohlcv(
stop_on_404: bool = True,
) -> DataFrame:
"""
Fetch OHLCV data from https://data.binance.vision/
Fetch OHLCV data from https://data.binance.vision
The function makes its best effort to download data within the time range
[`since_ms`, `until_ms`) -- including `since_ms`, but excluding `until_ms`.
If `stop_one_404` is True, this returned DataFrame is guaranteed to start from `since_ms`
with no gaps in the data.
:candle_type: Currently only spot and futures are supported
:pair: symbol name in CCXT convention
:since_ms: the start timestamp of data, including itself
:until_ms: the end timestamp of data, excluding itself
:param until_ms: `None` indicates the timestamp of the latest available data
:markets: the CCXT markets dict, when it's None, the function will load the markets data
from a new `ccxt.binance` instance
:param stop_on_404: Stop to download the following data when a 404 returned
:return: the date range is between [since_ms, until_ms),
return and empty DataFrame if no data available in the time range
:return: the date range is between [since_ms, until_ms), return an empty DataFrame if no data
available in the time range
"""
try:
if candle_type == CandleType.SPOT:
@@ -82,6 +92,7 @@ async def fetch_ohlcv(
df = DataFrame()
if not df.empty:
# only return the data within the requested time range
return df.loc[(df["date"] >= start) & (df["date"] < end)]
else:
return df
@@ -102,7 +113,9 @@ async def _fetch_ohlcv(
end: datetime.date,
stop_on_404: bool,
) -> DataFrame:
# daily dataframes
dfs: list[DataFrame | None] = []
# the current day being processing, starting at 1.
current_day = 0
connector = aiohttp.TCPConnector(limit=100)
@@ -116,8 +129,10 @@ async def _fetch_ohlcv(
current_day += 1
if isinstance(result, Http404):
if stop_on_404:
if current_day == 1:
# A 404 error on the first day indicates missing data
# on https://data.binance.vision, we provide the warning and the advice.
# https://github.com/freqtrade/freqtrade/blob/acc53065e5fa7ab5197073276306dc9dc3adbfa3/tests/exchange_online/test_binance_compare_ohlcv.py#L7
if current_day == 1:
logger.warning(
"Failed to use fast download, fall back to rest API download, this "
"can take more time. If you're downloading BTC/USDT:USDT, "
@@ -131,8 +146,7 @@ async def _fetch_ohlcv(
dfs.append(None)
elif isinstance(result, BaseException):
logger.warning(f"An exception raised: : {result}")
# Directly return the existing data, do not allow the gap
# between the data
# Directly return the existing data, do not allow the gap within the data
return concat(dfs)
else:
dfs.append(result)
@@ -175,7 +189,7 @@ async def get_daily_ohlcv(
session: aiohttp.ClientSession,
retry_count: int = 3,
retry_delay: float = 0.0,
) -> DataFrame | None | Exception:
) -> DataFrame | Exception:
"""
Get daily OHLCV from https://data.binance.vision
See https://github.com/binance/binance-public-data
@@ -225,7 +239,10 @@ async def get_daily_ohlcv(
else:
raise BadHttpStatus(f"{resp.status} - {resp.reason}")
except Exception as e:
retry += 1
if isinstance(e, Http404):
return e
else:
if retry >= retry_count:
logger.debug(f"Failed to get data from {url}: {e}")
return e
retry += 1

15
tests/exchange/test_binance_public_data.py
View File

@@ -254,43 +254,48 @@ async def test_get_daily_ohlcv(mocker, testdatadir):
async with aiohttp.ClientSession() as session:
path = testdatadir / "binance/binance_public_data/spot-klines-BTCUSDT-1h-2024-10-28.zip"
mocker.patch(
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(path.read_bytes(), 200),
)
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session)
assert get.call_count == 1
assert df["date"].iloc[0] == first_date
assert df["date"].iloc[-1] == last_date
path = (
testdatadir / "binance/binance_public_data/futures-um-klines-BTCUSDT-1h-2024-10-28.zip"
)
mocker.patch(
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(path.read_bytes(), 200),
)
df = await get_daily_ohlcv("futures/um", symbol, timeframe, date, session)
assert get.call_count == 1
assert df["date"].iloc[0] == first_date
assert df["date"].iloc[-1] == last_date
mocker.patch(
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(b"", 404),
)
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session, retry_delay=0)
assert get.call_count == 1
assert isinstance(df, Http404)
mocker.patch(
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(b"", 500),
)
mocker.patch("asyncio.sleep")
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session)
assert get.call_count == 4 # 1 + 3 default retries
assert isinstance(df, BadHttpStatus)
mocker.patch(
get = mocker.patch(
"freqtrade.exchange.binance_public_data.aiohttp.ClientSession.get",
return_value=MockResponse(b"nop", 200),
)
df = await get_daily_ohlcv("spot", symbol, timeframe, date, session)
assert get.call_count == 4 # 1 + 3 default retries
assert isinstance(df, zipfile.BadZipFile)