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Merge pull request #11178 from TheJoeSchr/fix/orderflow_imbalance_list

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Fix:orderflow returns a list for stacked imbalances
This commit is contained in:
Matthias
2025-01-07 19:10:14 +01:00
committed by GitHub
parent b863c6830d 5f5e51326f
commit b57cedeab7
3 changed files with 62 additions and 37 deletions
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51
tests/data/test_converter_orderflow.py
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@@ -1,4 +1,3 @@
import numpy as np
import pandas as pd
import pytest
@@ -6,6 +5,7 @@ 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,
)
@@ -185,24 +185,24 @@ 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 np.isnan(results["stacked_imbalances_bid"])
assert np.isnan(results["stacked_imbalances_ask"])
assert results["stacked_imbalances_bid"] == []
assert results["stacked_imbalances_ask"] == []
# Repeat assertions for the third from last row
results = df.iloc[-2]
assert pytest.approx(results["delta"]) == -20.862
assert pytest.approx(results["min_delta"]) == -54.559999
assert 82.842 == results["max_delta"]
assert 234.99 == results["stacked_imbalances_bid"]
assert 234.96 == results["stacked_imbalances_ask"]
assert results["stacked_imbalances_bid"] == [234.97]
assert results["stacked_imbalances_ask"] == [234.94]
# Repeat assertions for the last row
results = df.iloc[-1]
assert pytest.approx(results["delta"]) == -49.302
assert results["min_delta"] == -70.222
assert pytest.approx(results["max_delta"]) == 11.213
assert np.isnan(results["stacked_imbalances_bid"])
assert np.isnan(results["stacked_imbalances_ask"])
assert results["stacked_imbalances_bid"] == []
assert results["stacked_imbalances_ask"] == []
def test_public_trades_trades_mock_populate_dataframe_with_trades__check_trades(
@@ -358,7 +358,8 @@ def test_public_trades_binned_big_sample_list(public_trades_list):
assert 197.512 == df["bid_amount"].iloc[0] # total bid amount
assert 88.98 == df["ask_amount"].iloc[0] # total ask amount
assert 26 == df["ask"].iloc[0] # ask price
assert -108.532 == pytest.approx(df["delta"].iloc[0]) # delta (bid amount - ask amount)
# delta (bid amount - ask amount)
assert -108.532 == pytest.approx(df["delta"].iloc[0])
assert 3 == df["bid"].iloc[-1] # bid price
assert 50.659 == df["bid_amount"].iloc[-1] # total bid amount
@@ -567,6 +568,40 @@ def test_analyze_with_orderflow(
assert isinstance(lastval_of2, dict)
def test_stacked_imbalances_multiple_prices():
"""Test that stacked imbalances correctly returns multiple price levels when present"""
# Test with empty result
df_no_stacks = pd.DataFrame(
{
"bid_imbalance": [False, False, True, False],
"ask_imbalance": [False, True, False, False],
},
index=[234.95, 234.96, 234.97, 234.98],
)
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],
},
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)
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)
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)
assert bid_prices_higher == [234.95]
def test_timeframe_to_DateOffset():
assert timeframe_to_DateOffset("1s") == pd.DateOffset(seconds=1)
assert timeframe_to_DateOffset("1m") == pd.DateOffset(minutes=1)