tests: add performance comparison

2025-11-29 00:23:07 +00:00 · 2024-10-31 01:51:54 +08:00
parent 2ceda2987c
commit 45bf046645
1 changed files with 136 additions and 0 deletions
--- a/tests/exchange/binance_ohlcv_compare.py
+++ b/tests/exchange/binance_ohlcv_compare.py
@@ -0,0 +1,136 @@
+"""
+This file is meant to test the OHLCV download performance between
+from rest API and from data.binance.vision
+
+using https://data.binance.vision:
+{Task(trading_mode='spot', pair='ETH/USDT', timeframe='1s', timerange='20240101-20240501'): 28.26517415046692,
+ Task(trading_mode='spot', pair='ETH/USDT', timeframe='1m', timerange='20180101-20240101'): 17.766807794570923,
+ Task(trading_mode='spot', pair='ETH/USDT', timeframe='5m', timerange='20180101-20240101'): 11.347743034362793,
+ Task(trading_mode='futures', pair='ETH/USDT:USDT', timeframe='1m', timerange='20200101-20240101'): 15.93356990814209,
+ Task(trading_mode='futures', pair='ETH/USDT:USDT', timeframe='5m', timerange='20200101-20240101'): 10.111769914627075}
+
+using rest API:
+{Task(trading_mode='spot', pair='ETH/USDT', timeframe='1s', timerange='20240101-20240501'): 257.9407958984375,
+ Task(trading_mode='spot', pair='ETH/USDT', timeframe='1m', timerange='20180101-20240101'): 86.42260813713074,
+ Task(trading_mode='spot', pair='ETH/USDT', timeframe='5m', timerange='20180101-20240101'): 20.111007928848267,
+ Task(trading_mode='futures', pair='ETH/USDT:USDT', timeframe='1m', timerange='20200101-20240101'): 537.5525922775269,
+ Task(trading_mode='futures', pair='ETH/USDT:USDT', timeframe='5m', timerange='20200101-20240101'): 111.13234090805054}
+
+compare:
+spot-1s: 9X
+spot-1m: 5X
+spot-5m: 2X
+futures-1m: 34X
+futures-5m: 11X
+
+Usage:
+    # first switch to the branch you want to test
+    python tests/exchange/binance_ohlcv_compare.py
+"""
+# flake8: noqa: E501
+
+import pprint
+import subprocess
+import time
+from collections import namedtuple
+from pathlib import Path
+
+
+def rm_feather(data_dir, exchange, trading_mode, pair, timeframe):
+    data_dir = Path(data_dir)
+    is_futures = trading_mode == "futures"
+    file_name = (
+        pair.replace("/", "_").replace(":", "_")
+        + "-"
+        + timeframe
+        + ("-futures" if is_futures else "")
+        + ".feather"
+    )
+    file_dir = data_dir / exchange / ("futures" if is_futures else ".")
+    file_path = file_dir / file_name
+    file_path.unlink(missing_ok=True)
+
+
+def download_data(trading_mode, exchange, pair, timeframe, timerange):
+    cmd = (
+        f"freqtrade download-data --trading-mode {trading_mode} --exchange {exchange} "
+        f"--pairs {pair} --timeframe {timeframe} --timerange {timerange}"
+    )
+    start = time.time()
+    subprocess.run(cmd, shell=True)  # noqa: S602
+    end = time.time()
+    elapsed = end - start
+
+    print("-----")
+    print(trading_mode, timeframe, timerange, elapsed)
+    print("-----")
+
+    return elapsed
+
+
+def main():
+    Task = namedtuple("Task", "trading_mode, pair, timeframe, timerange")
+    tasks = [
+        Task(
+            "spot",
+            "ETH/USDT",
+            "1s",
+            "20240101-20240501",
+        ),
+        Task(
+            "spot",
+            "ETH/USDT",
+            "1m",
+            "20180101-20240101",
+        ),
+        Task(
+            "spot",
+            "ETH/USDT",
+            "5m",
+            "20180101-20240101",
+        ),
+        Task(
+            "futures",
+            "ETH/USDT:USDT",
+            "1m",
+            "20200101-20240101",
+        ),
+        Task(
+            "futures",
+            "ETH/USDT:USDT",
+            "5m",
+            "20200101-20240101",
+        ),
+    ]
+
+    exchange = "binance"
+    data_dir = "user_data/data"
+
+    data_dir = Path(data_dir)
+    if not data_dir.exists():
+        raise FileNotFoundError(data_dir)
+
+    result = {}
+
+    for task in tasks:
+        rm_feather(
+            data_dir=data_dir,
+            exchange=exchange,
+            trading_mode=task.trading_mode,
+            pair=task.pair,
+            timeframe=task.timeframe,
+        )
+        elapsed = download_data(
+            trading_mode=task.trading_mode,
+            exchange=exchange,
+            pair=task.pair,
+            timeframe=task.timeframe,
+            timerange=task.timerange,
+        )
+        result[task] = elapsed
+
+    pprint.pp(result)
+
+
+if __name__ == "__main__":
+    main()