# pragma pylint: disable=missing-docstring, protected-access, C0103
import re
from datetime import UTC, datetime
from pathlib import Path
from unittest.mock import MagicMock
import pytest
from pandas import DataFrame, Timestamp
from pandas.testing import assert_frame_equal
from freqtrade.configuration import TimeRange
from freqtrade.constants import AVAILABLE_DATAHANDLERS
from freqtrade.data.history.datahandlers.featherdatahandler import FeatherDataHandler
from freqtrade.data.history.datahandlers.idatahandler import (
IDataHandler,
get_datahandler,
get_datahandlerclass,
)
from freqtrade.data.history.datahandlers.jsondatahandler import JsonDataHandler, JsonGzDataHandler
from freqtrade.data.history.datahandlers.parquetdatahandler import ParquetDataHandler
from freqtrade.enums import CandleType, TradingMode
from freqtrade.exceptions import OperationalException
from tests.conftest import log_has, log_has_re
@pytest.mark.parametrize(
"filename,pair,timeframe,candletype",
[
("XMR_BTC-5m.json", "XMR_BTC", "5m", ""),
("XMR_USDT-1h.h5", "XMR_USDT", "1h", ""),
("BTC-PERP-1h.h5", "BTC-PERP", "1h", ""),
("BTC_USDT-2h.jsongz", "BTC_USDT", "2h", ""),
("BTC_USDT-2h-mark.jsongz", "BTC_USDT", "2h", "mark"),
("XMR_USDT-1h-mark.h5", "XMR_USDT", "1h", "mark"),
("XMR_USDT-1h-random.h5", "XMR_USDT", "1h", "random"),
("BTC-PERP-1h-index.h5", "BTC-PERP", "1h", "index"),
("XMR_USDT_USDT-1h-mark.h5", "XMR_USDT_USDT", "1h", "mark"),
],
)
def test_datahandler_ohlcv_regex(filename, pair, timeframe, candletype):
regex = JsonDataHandler._OHLCV_REGEX
match = re.search(regex, filename)
assert len(match.groups()) > 1
assert match[1] == pair
assert match[2] == timeframe
assert match[3] == candletype
@pytest.mark.parametrize(
"pair,expected",
[
("XMR_USDT", "XMR/USDT"),
("BTC_USDT", "BTC/USDT"),
("USDT_BUSD", "USDT/BUSD"),
("BTC_USDT_USDT", "BTC/USDT:USDT"), # Futures
("XRP_USDT_USDT", "XRP/USDT:USDT"), # futures
("XYZ-XRP_USDT_USDT", "XYZ-XRP/USDT:USDT"), # hip3 futures
("UNITTEST_USDT", "UNITTEST/USDT"),
("币安人生_USDT_USDT", "币安人生/USDT:USDT"), # futures
],
)
def test_rebuild_pair_from_filename(pair, expected):
assert IDataHandler.rebuild_pair_from_filename(pair) == expected
def test_datahandler_ohlcv_get_available_data(testdatadir):
paircombs = FeatherDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {
("UNITTEST/BTC", "5m", CandleType.SPOT),
("ETH/BTC", "5m", CandleType.SPOT),
("XLM/BTC", "5m", CandleType.SPOT),
("TRX/BTC", "5m", CandleType.SPOT),
("LTC/BTC", "5m", CandleType.SPOT),
("XMR/BTC", "5m", CandleType.SPOT),
("ZEC/BTC", "5m", CandleType.SPOT),
("UNITTEST/BTC", "1m", CandleType.SPOT),
("ADA/BTC", "5m", CandleType.SPOT),
("ETC/BTC", "5m", CandleType.SPOT),
("NXT/BTC", "5m", CandleType.SPOT),
("DASH/BTC", "5m", CandleType.SPOT),
("XRP/ETH", "1m", CandleType.SPOT),
("XRP/ETH", "5m", CandleType.SPOT),
("BTC/USDT", "5m", CandleType.SPOT),
("XRP/USDT", "5m", CandleType.SPOT),
("UNITTEST/BTC", "30m", CandleType.SPOT),
("UNITTEST/BTC", "8m", CandleType.SPOT),
}
paircombs = FeatherDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.FUTURES)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {
("UNITTEST/USDT:USDT", "1h", "mark"),
("XRP/USDT:USDT", "5m", "futures"),
("XRP/USDT:USDT", "1h", "futures"),
("XRP/USDT:USDT", "1h", "mark"),
("XRP/USDT:USDT", "1h", "funding_rate"),
}
paircombs = JsonGzDataHandler.ohlcv_get_available_data(testdatadir, TradingMode.SPOT)
assert set(paircombs) == {("UNITTEST/BTC", "8m", CandleType.SPOT)}
def test_jsondatahandler_ohlcv_purge(mocker, testdatadir):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = JsonGzDataHandler(testdatadir)
assert not dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", "")
assert not dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", candle_type="mark")
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", "")
assert dh.ohlcv_purge("UNITTEST/NONEXIST", "5m", candle_type="mark")
assert unlinkmock.call_count == 2
def test_jsondatahandler_ohlcv_load(testdatadir, caplog):
dh = JsonDataHandler(testdatadir)
df = dh.ohlcv_load("UNITTEST/BTC", "1m", "spot")
assert len(df) > 0
# # Failure case (empty array)
df1 = dh.ohlcv_load("NOPAIR/XXX", "4m", "spot")
assert len(df1) == 0
assert log_has("Could not load data for NOPAIR/XXX.", caplog)
assert df.columns.equals(df1.columns)
def test_datahandler_ohlcv_data_min_max(testdatadir):
dh = JsonDataHandler(testdatadir)
min_max = dh.ohlcv_data_min_max("UNITTEST/BTC", "5m", "spot")
assert len(min_max) == 3
# Empty pair
min_max = dh.ohlcv_data_min_max("UNITTEST/BTC", "8m", "spot")
assert len(min_max) == 3
assert min_max[0] == datetime.fromtimestamp(0, tz=UTC)
assert min_max[0] == min_max[1]
# Empty pair2
min_max = dh.ohlcv_data_min_max("NOPAIR/XXX", "41m", "spot")
assert len(min_max) == 3
assert min_max[0] == datetime.fromtimestamp(0, tz=UTC)
assert min_max[0] == min_max[1]
# Existing pair ...
min_max = dh.ohlcv_data_min_max("UNITTEST/BTC", "1m", "spot")
assert len(min_max) == 3
assert min_max[0] == datetime(2017, 11, 4, 23, 2, tzinfo=UTC)
assert min_max[1] == datetime(2017, 11, 14, 22, 59, tzinfo=UTC)
def test_datahandler__check_empty_df(testdatadir, caplog):
dh = JsonDataHandler(testdatadir)
expected_text = r"Price jump in UNITTEST/USDT, 1h, spot between"
df = DataFrame(
[
[
1511686200000, # 8:50:00
8.794, # open
8.948, # high
8.794, # low
8.88, # close
2255, # volume (in quote currency)
],
[
1511686500000, # 8:55:00
8.88,
8.942,
8.88,
8.893,
9911,
],
[
1511687100000, # 9:05:00
8.891,
8.893,
8.875,
8.877,
2251,
],
[
1511687400000, # 9:10:00
8.877,
8.883,
8.895,
8.817,
123551,
],
],
columns=["date", "open", "high", "low", "close", "volume"],
)
dh._check_empty_df(df, "UNITTEST/USDT", "1h", CandleType.SPOT, True, True)
assert not log_has_re(expected_text, caplog)
df = DataFrame(
[
[
1511686200000, # 8:50:00
8.794, # open
8.948, # high
8.794, # low
8.88, # close
2255, # volume (in quote currency)
],
[
1511686500000, # 8:55:00
8.88,
8.942,
8.88,
8.893,
9911,
],
[
1511687100000, # 9:05:00
889.1, # Price jump by several decimals
889.3,
887.5,
887.7,
2251,
],
[
1511687400000, # 9:10:00
8.877,
8.883,
8.895,
8.817,
123551,
],
],
columns=["date", "open", "high", "low", "close", "volume"],
)
dh._check_empty_df(df, "UNITTEST/USDT", "1h", CandleType.SPOT, True, True)
assert log_has_re(expected_text, caplog)
# @pytest.mark.parametrize('datahandler', [])
@pytest.mark.skip("All datahandlers currently support trades data.")
def test_datahandler_trades_not_supported(
datahandler,
testdatadir,
):
# Currently disabled. Re-enable should a new provider not support trades data.
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.trades_load("UNITTEST/ETH")
with pytest.raises(NotImplementedError):
dh.trades_store("UNITTEST/ETH", MagicMock())
def test_jsondatahandler_trades_load(testdatadir, caplog):
dh = JsonGzDataHandler(testdatadir)
logmsg = "Old trades format detected - converting"
dh.trades_load("XRP/ETH", TradingMode.SPOT)
assert not log_has(logmsg, caplog)
# Test conversion is happening
dh.trades_load("XRP/OLD", TradingMode.SPOT)
assert log_has(logmsg, caplog)
@pytest.mark.parametrize("datahandler", AVAILABLE_DATAHANDLERS)
def test_datahandler_ohlcv_append(
datahandler,
testdatadir,
):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.ohlcv_append("UNITTEST/ETH", "5m", DataFrame(), CandleType.SPOT)
with pytest.raises(NotImplementedError):
dh.ohlcv_append("UNITTEST/ETH", "5m", DataFrame(), CandleType.MARK)
@pytest.mark.parametrize("datahandler", AVAILABLE_DATAHANDLERS)
def test_datahandler_trades_append(datahandler, testdatadir):
dh = get_datahandler(testdatadir, datahandler)
with pytest.raises(NotImplementedError):
dh.trades_append("UNITTEST/ETH", DataFrame())
@pytest.mark.parametrize(
"datahandler,expected",
[
("jsongz", {"XRP/ETH", "XRP/OLD"}),
("feather", {"XRP/ETH"}),
("parquet", {"XRP/ETH"}),
],
)
def test_datahandler_trades_get_pairs(testdatadir, datahandler, expected):
pairs = get_datahandlerclass(datahandler).trades_get_pairs(testdatadir)
# Convert to set to avoid failures due to sorting
assert set(pairs) == expected
def test_hdf5datahandler_deprecated(testdatadir):
with pytest.raises(
OperationalException, match=r"DEPRECATED: The hdf5 dataformat is deprecated and has.*"
):
get_datahandler(testdatadir, "hdf5")
@pytest.mark.parametrize(
"pair,timeframe,candle_type,candle_append,startdt,enddt",
[
# Data goes from 2018-01-10 - 2018-01-30
("UNITTEST/BTC", "5m", "spot", "", "2018-01-15", "2018-01-19"),
# Mark data goes from to 2021-11-15 2021-11-19
("UNITTEST/USDT:USDT", "1h", "mark", "-mark", "2021-11-16", "2021-11-18"),
],
)
@pytest.mark.parametrize("datahandler", ["feather", "parquet"])
def test_generic_datahandler_ohlcv_load_and_resave(
datahandler,
mocker,
testdatadir,
tmp_path,
pair,
timeframe,
candle_type,
candle_append,
startdt,
enddt,
caplog,
):
tmpdir2 = tmp_path
if candle_type not in ("", "spot"):
tmpdir2 = tmp_path / "futures"
tmpdir2.mkdir()
# Load data from one common file
dhbase = get_datahandler(testdatadir, "feather")
ohlcv = dhbase._ohlcv_load(pair, timeframe, None, candle_type=candle_type)
assert isinstance(ohlcv, DataFrame)
assert len(ohlcv) > 0
# Get data to test
dh = get_datahandler(testdatadir, datahandler)
file = tmpdir2 / f"UNITTEST_NEW-{timeframe}{candle_append}.{dh._get_file_extension()}"
assert not file.is_file()
dh1 = get_datahandler(tmp_path, datahandler)
dh1.ohlcv_store("UNITTEST/NEW", timeframe, ohlcv, candle_type=candle_type)
assert file.is_file()
assert not ohlcv[ohlcv["date"] < startdt].empty
timerange = TimeRange.parse_timerange(f"{startdt.replace('-', '')}-{enddt.replace('-', '')}")
ohlcv = dhbase.ohlcv_load(pair, timeframe, timerange=timerange, candle_type=candle_type)
ohlcv1 = dh1.ohlcv_load("UNITTEST/NEW", timeframe, timerange=timerange, candle_type=candle_type)
assert len(ohlcv) == len(ohlcv1)
assert ohlcv.equals(ohlcv1)
assert ohlcv[ohlcv["date"] < startdt].empty
assert ohlcv[ohlcv["date"] > enddt].empty
# Try loading inexisting file
ohlcv = dh1.ohlcv_load("UNITTEST/NONEXIST", timeframe, candle_type=candle_type)
assert ohlcv.empty
# Try loading a file that exists but errors
mocker.patch(
"freqtrade.data.history.datahandlers.featherdatahandler.read_feather",
side_effect=Exception("Test"),
)
mocker.patch(
"freqtrade.data.history.datahandlers.parquetdatahandler.read_parquet",
side_effect=Exception("Test"),
)
ohlcv_e = dh1.ohlcv_load("UNITTEST/NEW", timeframe, candle_type=candle_type)
assert ohlcv_e.empty
assert log_has_re("Error loading data from", caplog)
@pytest.mark.parametrize("datahandler", ["jsongz", "feather", "parquet"])
def test_datahandler_trades_load(testdatadir, datahandler):
dh = get_datahandler(testdatadir, datahandler)
trades = dh.trades_load("XRP/ETH", TradingMode.SPOT)
assert isinstance(trades, DataFrame)
assert trades.iloc[0]["timestamp"] == 1570752011620
assert trades.iloc[0]["date"] == Timestamp("2019-10-11 00:00:11.620000+0000")
assert trades.iloc[-1]["cost"] == 0.1986231
trades1 = dh.trades_load("UNITTEST/NONEXIST", TradingMode.SPOT)
assert isinstance(trades, DataFrame)
assert trades1.empty
@pytest.mark.parametrize("datahandler", ["jsongz", "feather", "parquet"])
def test_datahandler_trades_store(testdatadir, tmp_path, datahandler):
dh = get_datahandler(testdatadir, datahandler)
trades = dh.trades_load("XRP/ETH", TradingMode.SPOT)
dh1 = get_datahandler(tmp_path, datahandler)
dh1.trades_store("XRP/NEW", trades, TradingMode.SPOT)
file = tmp_path / f"XRP_NEW-trades.{dh1._get_file_extension()}"
assert file.is_file()
# Load trades back
trades_new = dh1.trades_load("XRP/NEW", TradingMode.SPOT)
assert_frame_equal(trades, trades_new, check_exact=True)
assert len(trades_new) == len(trades)
@pytest.mark.parametrize("datahandler", ["jsongz", "feather", "parquet"])
def test_datahandler_trades_purge(mocker, testdatadir, datahandler):
mocker.patch.object(Path, "exists", MagicMock(return_value=False))
unlinkmock = mocker.patch.object(Path, "unlink", MagicMock())
dh = get_datahandler(testdatadir, datahandler)
assert not dh.trades_purge("UNITTEST/NONEXIST", TradingMode.SPOT)
assert unlinkmock.call_count == 0
mocker.patch.object(Path, "exists", MagicMock(return_value=True))
assert dh.trades_purge("UNITTEST/NONEXIST", TradingMode.SPOT)
assert unlinkmock.call_count == 1
def test_datahandler_trades_get_available_data(testdatadir):
paircombs = FeatherDataHandler.trades_get_available_data(testdatadir, TradingMode.SPOT)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == {"XRP/ETH"}
paircombs = FeatherDataHandler.trades_get_available_data(testdatadir, TradingMode.FUTURES)
# Convert to set to avoid failures due to sorting
assert set(paircombs) == set()
paircombs = JsonGzDataHandler.trades_get_available_data(testdatadir, TradingMode.SPOT)
assert set(paircombs) == {"XRP/ETH", "XRP/OLD"}
def test_datahandler_trades_data_min_max(testdatadir):
dh = FeatherDataHandler(testdatadir)
min_max = dh.trades_data_min_max("XRP/ETH", TradingMode.SPOT)
assert len(min_max) == 3
# Empty pair
min_max = dh.trades_data_min_max("NADA/ETH", TradingMode.SPOT)
assert len(min_max) == 3
assert min_max[0] == datetime.fromtimestamp(0, tz=UTC)
assert min_max[0] == min_max[1]
# Existing pair ...
min_max = dh.trades_data_min_max("XRP/ETH", TradingMode.SPOT)
assert len(min_max) == 3
assert min_max[0] == datetime(2019, 10, 11, 0, 0, 11, 620000, tzinfo=UTC)
assert min_max[1] == datetime(2019, 10, 13, 11, 19, 28, 844000, tzinfo=UTC)
def test_gethandlerclass():
cl = get_datahandlerclass("json")
assert cl == JsonDataHandler
assert issubclass(cl, IDataHandler)
cl = get_datahandlerclass("jsongz")
assert cl == JsonGzDataHandler
assert issubclass(cl, IDataHandler)
assert issubclass(cl, JsonDataHandler)
cl = get_datahandlerclass("feather")
assert cl == FeatherDataHandler
assert issubclass(cl, IDataHandler)
cl = get_datahandlerclass("parquet")
assert cl == ParquetDataHandler
assert issubclass(cl, IDataHandler)
with pytest.raises(ValueError, match=r"No datahandler for .*"):
get_datahandlerclass("DeadBeef")
def test_get_datahandler(testdatadir):
dh = get_datahandler(testdatadir, "json")
assert isinstance(dh, JsonDataHandler)
dh = get_datahandler(testdatadir, "jsongz")
assert isinstance(dh, JsonGzDataHandler)
dh1 = get_datahandler(testdatadir, "jsongz", dh)
assert id(dh1) == id(dh)
@pytest.fixture
def feather_dh(testdatadir):
return FeatherDataHandler(testdatadir)
@pytest.fixture
def trades_full(feather_dh):
df = feather_dh.trades_load("XRP/ETH", TradingMode.SPOT)
assert not df.empty
return df
@pytest.fixture
def timerange_mid(trades_full):
# Pick a mid-range window using actual timestamps
mid_start = int(trades_full["timestamp"].iloc[len(trades_full) // 3])
mid_end = int(trades_full["timestamp"].iloc[(2 * len(trades_full)) // 3])
return TimeRange("date", "date", startts=mid_start, stopts=mid_end)
def test_feather_trades_timerange_filter_fullspan(feather_dh, trades_full):
timerange_full = TimeRange(
"date",
"date",
startts=int(trades_full["timestamp"].min()),
stopts=int(trades_full["timestamp"].max()),
)
# Full-span filter should equal unfiltered
filtered = feather_dh.trades_load("XRP/ETH", TradingMode.SPOT, timerange=timerange_full)
assert_frame_equal(
trades_full.reset_index(drop=True), filtered.reset_index(drop=True), check_exact=True
)
def test_feather_trades_timerange_filter_subset(feather_dh, trades_full, timerange_mid):
# Subset filter should be a subset of the full-span filter
subset = feather_dh.trades_load("XRP/ETH", TradingMode.SPOT, timerange=timerange_mid)
assert not subset.empty
assert subset["timestamp"].min() >= timerange_mid.startts
assert subset["timestamp"].max() <= timerange_mid.stopts
assert len(subset) < len(trades_full)
def test_feather_trades_timerange_pushdown_fallback(
feather_dh, trades_full, timerange_mid, monkeypatch, caplog
):
# Pushdown filter should fail, so fallback should load the entire file
import freqtrade.data.history.datahandlers.featherdatahandler as fdh
def raise_err(*args, **kwargs):
raise ValueError("fail")
# Mock the dataset loading to raise an error
monkeypatch.setattr(fdh.dataset, "dataset", raise_err)
with caplog.at_level("WARNING"):
out = feather_dh.trades_load("XRP/ETH", TradingMode.SPOT, timerange=timerange_mid)
assert len(out) == len(trades_full)
assert any(
"Unable to use Arrow filtering, loading entire trades file" in r.message
for r in caplog.records
)
def test_feather_trades_timerange_open_start(feather_dh, trades_full):
# Open start: stop timestamp but no start (startts=0)
stop_ts = int(trades_full["timestamp"].iloc[(2 * len(trades_full)) // 3])
tr = TimeRange(None, "date", startts=0, stopts=stop_ts)
filtered = feather_dh.trades_load("XRP/ETH", TradingMode.SPOT, timerange=tr)
assert 0 < len(filtered) < len(trades_full)
assert filtered["timestamp"].max() <= stop_ts
# First row should match full's first row
assert filtered.iloc[0]["timestamp"] == trades_full.iloc[0]["timestamp"]
def test_feather_trades_timerange_open_end(feather_dh, trades_full):
# Open end: start timestamp but no stop (stopts=0)
start_ts = int(trades_full["timestamp"].iloc[len(trades_full) // 3])
tr = TimeRange("date", None, startts=start_ts, stopts=0)
filtered = feather_dh.trades_load("XRP/ETH", TradingMode.SPOT, timerange=tr)
assert 0 < len(filtered) < len(trades_full)
assert filtered["timestamp"].min() >= start_ts
# Last row should match full's last row
assert filtered.iloc[-1]["timestamp"] == trades_full.iloc[-1]["timestamp"]
def test_feather_trades_timerange_fully_open(feather_dh, trades_full):
# Fully open: no start or stop bounds (both 0)
tr = TimeRange(None, None, startts=0, stopts=0)
filtered = feather_dh.trades_load("XRP/ETH", TradingMode.SPOT, timerange=tr)
# Should equal unfiltered load
assert_frame_equal(
trades_full.reset_index(drop=True), filtered.reset_index(drop=True), check_exact=True
)
def test_feather_build_arrow_time_filter(feather_dh):
# None timerange should return None
assert feather_dh._build_arrow_time_filter(None) is None
# Fully open (both bounds 0) should return None
tr_fully_open = TimeRange(None, None, startts=0, stopts=0)
assert feather_dh._build_arrow_time_filter(tr_fully_open) is None
# Open start (startts=0) should return stop filter only
tr_open_start = TimeRange(None, "date", startts=0, stopts=1000)
filter_open_start = feather_dh._build_arrow_time_filter(tr_open_start)
assert filter_open_start is not None
# Should be a single expression (timestamp <= stopts)
assert str(filter_open_start).count("<=") == 1
assert str(filter_open_start).count(">=") == 0
# Open end (stopts=0) should return start filter only
tr_open_end = TimeRange("date", None, startts=500, stopts=0)
filter_open_end = feather_dh._build_arrow_time_filter(tr_open_end)
assert filter_open_end is not None
# Should be a single expression (timestamp >= startts)
assert str(filter_open_end).count(">=") == 1
assert str(filter_open_end).count("<=") == 0
# Closed range should return combined filter
tr_closed = TimeRange("date", "date", startts=500, stopts=1000)
filter_closed = feather_dh._build_arrow_time_filter(tr_closed)
assert filter_closed is not None
# Should contain both >= and <= (combined with &)
filter_str = str(filter_closed)
assert ">=" in filter_str
assert "<=" in filter_str