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feat: implement Binance.get_historic_ohlcv detail

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Meng Xiangzhuo
2024-10-29 18:18:20 +08:00
parent 867aae868d
commit 4e585c5c34
3 changed files with 274 additions and 4 deletions
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42
freqtrade/exchange/binance.py
View File

@@ -6,14 +6,17 @@ from pathlib import Path
from typing import Optional
import ccxt
from pandas import DataFrame
from pandas import DataFrame, concat
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
from freqtrade.exchange import Exchange, binance_public_data
from freqtrade.exchange.common import retrier
from freqtrade.exchange.exchange_types import FtHas, Tickers
from freqtrade.exchange.exchange_utils_timeframe import timeframe_to_msecs
from freqtrade.misc import deep_merge_dicts, json_load
from freqtrade.util.datetime_helpers import dt_from_ts, dt_ts
logger = logging.getLogger(__name__)
@@ -124,6 +127,41 @@ class Binance(Exchange):
f"Candle-data for {pair} available starting with "
f"{datetime.fromtimestamp(since_ms // 1000, tz=timezone.utc).isoformat()}."
)
if until_ms and since_ms >= until_ms:
logger.warning(
f"No available candle-data for {pair} before"
f"{dt_from_ts(until_ms).isoformat()}"
)
return DataFrame(columns=DEFAULT_DATAFRAME_COLUMNS)
if timeframe in ["1m", "5m"] and candle_type in [CandleType.SPOT, CandleType.FUTURES]:
df = self.loop.run_until_complete(
binance_public_data.fetch_ohlcv(
candle_type=candle_type,
pair=pair,
timeframe=timeframe,
since_ms=since_ms,
until_ms=until_ms,
)
)
if df.empty:
rest_since_ms = since_ms
else:
rest_since_ms = dt_ts(df.iloc[-1].date) + timeframe_to_msecs(timeframe)
if until_ms and rest_since_ms > until_ms:
rest_df = DataFrame()
else:
rest_df = super().get_historic_ohlcv(
pair=pair,
timeframe=timeframe,
since_ms=rest_since_ms,
candle_type=candle_type,
is_new_pair=is_new_pair,
until_ms=until_ms,
)
all_df = concat([df, rest_df])
return all_df
return super().get_historic_ohlcv(
pair=pair,
timeframe=timeframe,

2
freqtrade/exchange/binance_public_data.py Normal file
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@@ -0,0 +1,2 @@
async def fetch_ohlcv(*args, **kwargs):
pass

234
tests/exchange/test_binance.py
View File

@@ -1,13 +1,15 @@
from datetime import datetime, timezone
from datetime import datetime, timedelta, timezone
from random import randint
from unittest.mock import MagicMock, PropertyMock
from unittest.mock import AsyncMock, MagicMock, PropertyMock
import ccxt
import pandas as pd
import pytest
from freqtrade.enums import CandleType, MarginMode, TradingMode
from freqtrade.exceptions import DependencyException, InvalidOrderException, OperationalException
from freqtrade.persistence import Trade
from freqtrade.util.datetime_helpers import dt_from_ts, dt_ts, dt_utc
from tests.conftest import EXMS, get_mock_coro, get_patched_exchange, log_has_re
from tests.exchange.test_exchange import ccxt_exceptionhandlers
@@ -731,6 +733,234 @@ def test__set_leverage_binance(mocker, default_conf):
)
def make_storage(start: datetime, end: datetime, timeframe: str = "1min"):
date = pd.date_range(start, end, freq=timeframe)
df = pd.DataFrame(
data=dict(date=date, open=1.0, high=1.0, low=1.0, close=1.0),
)
return df
def patch_ohlcv(mocker, start, archive_end, api_end):
archive_storage = make_storage(start, archive_end)
api_storage = make_storage(start, api_end)
ohlcv = [[dt_ts(start), 1, 1, 1, 1]]
# (pair, timeframe, candle_type, ohlcv, True)
candle_history = [None, None, None, ohlcv, None]
def get_historic_ohlcv(
# self,
pair: str,
timeframe: str,
since_ms: int,
candle_type: CandleType,
is_new_pair: bool = False,
until_ms: int | None = None,
):
since = dt_from_ts(since_ms)
until = dt_from_ts(until_ms) if until_ms else api_end + timedelta(seconds=1)
return api_storage.loc[(api_storage["date"] >= since) & (api_storage["date"] < until)]
def fetch_ohlcv(
candle_type,
pair,
timeframe,
since_ms,
until_ms,
):
since = dt_from_ts(since_ms)
until = dt_from_ts(until_ms) if until_ms else archive_end + timedelta(seconds=1)
if since < start:
pass
return archive_storage.loc[
(archive_storage["date"] >= since) & (archive_storage["date"] < until)
]
candle_mock = mocker.patch(
"freqtrade.exchange.Exchange._async_get_candle_history", return_value=candle_history
)
api_mock = mocker.patch(
"freqtrade.exchange.Exchange.get_historic_ohlcv", MagicMock(wraps=get_historic_ohlcv)
)
archive_mock = mocker.patch(
"freqtrade.exchange.binance_public_data.fetch_ohlcv", AsyncMock(wraps=fetch_ohlcv)
)
return candle_mock, api_mock, archive_mock
@pytest.mark.parametrize(
"timeframe,is_new_pair,since,until,first_date,last_date,candle_called,archive_called,"
"api_called",
[
(
"1m",
True,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59),
True,
True,
False,
),
(
"1m",
True,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 3),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 2, 23, 59),
True,
True,
True,
),
(
"1m",
True,
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 2, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 2, 0, 59),
True,
False,
True,
),
(
"1m",
False,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59),
False,
True,
False,
),
(
"1m",
True,
dt_utc(2019, 1, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59),
True,
True,
False,
),
(
"1m",
False,
dt_utc(2019, 1, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59),
False,
True,
False,
),
(
"1m",
False,
dt_utc(2019, 1, 1),
dt_utc(2019, 1, 2),
None,
None,
False,
True,
True,
),
(
"1m",
True,
dt_utc(2019, 1, 1),
dt_utc(2019, 1, 2),
None,
None,
True,
False,
False,
),
(
"1m",
False,
dt_utc(2021, 1, 1),
dt_utc(2021, 1, 2),
None,
None,
False,
False,
False,
),
(
"1m",
True,
dt_utc(2021, 1, 1),
dt_utc(2021, 1, 2),
None,
None,
True,
False,
False,
),
(
"1h",
False,
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 2),
dt_utc(2020, 1, 1),
dt_utc(2020, 1, 1, 23, 59),
False,
False,
True,
),
],
)
def test_get_historic_ohlcv_binance(
mocker,
default_conf,
timeframe,
is_new_pair,
since,
until,
first_date,
last_date,
candle_called,
archive_called,
api_called,
):
exchange = get_patched_exchange(mocker, default_conf, exchange="binance")
start = dt_utc(2020, 1, 1)
archive_end = dt_utc(2020, 1, 2)
api_end = dt_utc(2020, 1, 3)
candle_mock, api_mock, archive_mock = patch_ohlcv(
mocker, start=start, archive_end=archive_end, api_end=api_end
)
candle_type = CandleType.SPOT
pair = "BTC/USDT"
since_ms = dt_ts(since)
until_ms = dt_ts(until)
df = exchange.get_historic_ohlcv(pair, timeframe, since_ms, candle_type, is_new_pair, until_ms)
if df.empty:
assert first_date is None
assert last_date is None
else:
assert df["date"].iloc[0] == first_date
assert df["date"].iloc[-1] == last_date
if candle_called:
candle_mock.assert_called_once()
if archive_called:
archive_mock.assert_called_once()
if api_called:
api_mock.assert_called_once()
@pytest.mark.xfail(reason="Need refactor")
@pytest.mark.parametrize("candle_type", [CandleType.MARK, ""])
async def test__async_get_historic_ohlcv_binance(default_conf, mocker, caplog, candle_type):