CTYPTO/freqtrade
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2026-02-19 10:50:50 +00:00
Code Issues Packages Projects Releases Wiki Activity

Update converters for trades dataframe handling

Browse Source
This commit is contained in:
Matthias
2023-08-17 09:47:58 +02:00
parent 46882406be
commit ac80a69142
1 changed files with 9 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files

22
freqtrade/data/converter.py
View File

@@ -195,15 +195,14 @@ def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
return frame
def trades_remove_duplicates(trades: List[List]) -> List[List]:
def trades_remove_duplicates(trades: pd.DataFrame) -> pd.DataFrame:
"""
Removes duplicates from the trades list.
Uses itertools.groupby to avoid converting to pandas.
Tests show it as being pretty efficient on lists of 4M Lists.
:param trades: List of Lists with constants.DEFAULT_TRADES_COLUMNS as columns
:return: same format as above, but with duplicates removed
Removes duplicates from the trades DataFrame.
Uses pandas.DataFrame.drop_duplicates to remove duplicates based on the 'timestamp' column.
:param trades: DataFrame with the columns constants.DEFAULT_TRADES_COLUMNS
:return: DataFrame with duplicates removed based on the 'timestamp' column
"""
return [i for i, _ in itertools.groupby(sorted(trades, key=itemgetter(0)))]
return trades.drop_duplicates(subset=['timestamp'])
def trades_dict_to_list(trades: List[Dict]) -> TradeList:
@@ -215,7 +214,7 @@ def trades_dict_to_list(trades: List[Dict]) -> TradeList:
return [[t[col] for col in DEFAULT_TRADES_COLUMNS] for t in trades]
def trades_to_ohlcv(trades: TradeList, timeframe: str) -> DataFrame:
def trades_to_ohlcv(trades: DataFrame, timeframe: str) -> DataFrame:
"""
Converts trades list to OHLCV list
:param trades: List of trades, as returned by ccxt.fetch_trades.
@@ -225,12 +224,9 @@ def trades_to_ohlcv(trades: TradeList, timeframe: str) -> DataFrame:
"""
from freqtrade.exchange import timeframe_to_minutes
timeframe_minutes = timeframe_to_minutes(timeframe)
if not trades:
if trades.empty:
raise ValueError('Trade-list empty.')
df = pd.DataFrame(trades, columns=DEFAULT_TRADES_COLUMNS)
df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms',
utc=True,)
df = df.set_index('timestamp')
df = trades.set_index('timestamp')
df_new = df['price'].resample(f'{timeframe_minutes}min').ohlc()
df_new['volume'] = df['amount'].resample(f'{timeframe_minutes}min').sum()