fix tests - update code to backtest with historic_predictions

freqtrade/freqai/data_drawer.py

@@ -3,7 +3,7 @@ import logging
 import re
 import shutil
 import threading
-from datetime import datetime, timezone
+from datetime import datetime, timedelta, timezone
 from pathlib import Path
 from typing import Any, Dict, Tuple, TypedDict
 
@@ -714,3 +714,32 @@ class FreqaiDataDrawer:
                         ).reset_index(drop=True)
 
         return corr_dataframes, base_dataframes
+
+    def get_timerange_from_backtesting_live_dataframe(self) -> TimeRange:
+        """
+        Returns timerange information based on historic predictions file
+        :return: timerange calculated from saved live data
+        """
+        if not self.historic_predictions_path.is_file():
+            raise OperationalException(
+                'Historic predictions not found. Historic predictions data is required '
+                'to run backtest with the freqai-backtest-live-models option '
+                'and backtest_using_historic_predictions config option as true'
+            )
+
+        self.load_historic_predictions_from_disk()
+
+        all_pairs_end_dates = []
+        for pair in self.historic_predictions:
+            pair_historic_data = self.historic_predictions[pair]
+            all_pairs_end_dates.append(pair_historic_data.date_pred.max())
+
+        global_metadata = self.load_global_metadata_from_disk()
+        start_date = datetime.fromtimestamp(int(global_metadata["start_dry_live_date"]))
+        end_date = max(all_pairs_end_dates)
+        # add 1 day to string timerange to ensure BT module will load all dataframe data
+        end_date = end_date + timedelta(days=1)
+        backtesting_timerange = TimeRange(
+            'date', 'date', int(start_date.timestamp()), int(end_date.timestamp())
+        )
+        return backtesting_timerange

freqtrade/freqai/data_kitchen.py

@@ -1486,34 +1486,3 @@ class FreqaiDataKitchen:
             dataframe.columns = dataframe.columns.str.replace(c, "")
 
         return dataframe
-
-    def get_timerange_from_backtesting_live_dataframe(self) -> TimeRange:
-        """
-        Returns timerange information based on historic predictions file
-        :return: timerange calculated from saved live data
-        """
-        from freqtrade.freqai.data_drawer import FreqaiDataDrawer
-        dd = FreqaiDataDrawer(Path(self.full_path), self.config)
-        if not dd.historic_predictions_path.is_file():
-            raise OperationalException(
-                'Historic predictions not found. Historic predictions data is required '
-                'to run backtest with the freqai-backtest-live-models option '
-                'and backtest_using_historic_predictions config option as true'
-            )
-
-        dd.load_historic_predictions_from_disk()
-
-        all_pairs_end_dates = []
-        for pair in dd.historic_predictions:
-            pair_historic_data = dd.historic_predictions[pair]
-            all_pairs_end_dates.append(pair_historic_data.date_pred.max())
-
-        global_metadata = dd.load_global_metadata_from_disk()
-        start_date = datetime.fromtimestamp(int(global_metadata["start_dry_live_date"]))
-        end_date = max(all_pairs_end_dates)
-        # add 1 day to string timerange to ensure BT module will load all dataframe data
-        end_date = end_date + timedelta(days=1)
-        backtesting_timerange = TimeRange(
-            'date', 'date', int(start_date.timestamp()), int(end_date.timestamp())
-        )
-        return backtesting_timerange

freqtrade/freqai/utils.py

@@ -14,6 +14,7 @@ from freqtrade.data.history.history_utils import refresh_backtest_ohlcv_data
 from freqtrade.exceptions import OperationalException
 from freqtrade.exchange import timeframe_to_seconds
 from freqtrade.exchange.exchange import market_is_active
+from freqtrade.freqai.data_drawer import FreqaiDataDrawer
 from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
 from freqtrade.plugins.pairlist.pairlist_helpers import dynamic_expand_pairlist
 
@@ -233,6 +234,7 @@ def get_timerange_backtest_live_models(config: Config) -> str:
     if not config.get("freqai", {}).get("backtest_using_historic_predictions", True):
         timerange, _ = dk.get_timerange_and_assets_end_dates_from_ready_models(models_path)
     else:
-        timerange = dk.get_timerange_from_backtesting_live_dataframe()
+        dd = FreqaiDataDrawer(models_path, config)
+        timerange = dd.get_timerange_from_backtesting_live_dataframe()
 
     return timerange.timerange_str

tests/freqai/test_freqai_backtesting.py

@@ -65,6 +65,8 @@ def test_freqai_backtest_live_models_model_not_found(freqai_conf, mocker, testda
     mocker.patch('freqtrade.optimize.backtesting.history.load_data')
     mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now))
     freqai_conf["timerange"] = ""
+    freqai_conf.get("freqai", {}).update({"backtest_using_historic_predictions": False})
+
     patched_configuration_load_config_file(mocker, freqai_conf)
 
     args = [

tests/freqai/test_freqai_datadrawer.py

@@ -2,8 +2,11 @@
 import shutil
 from pathlib import Path
 
+import pytest
+
 from freqtrade.configuration import TimeRange
 from freqtrade.data.dataprovider import DataProvider
+from freqtrade.exceptions import OperationalException
 from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
 from tests.conftest import get_patched_exchange
 from tests.freqai.conftest import get_patched_freqai_strategy
@@ -93,3 +96,37 @@ def test_use_strategy_to_populate_indicators(mocker, freqai_conf):
 
     assert len(df.columns) == 33
     shutil.rmtree(Path(freqai.dk.full_path))
+
+
+def test_get_timerange_from_backtesting_live_dataframe(mocker, freqai_conf):
+    strategy = get_patched_freqai_strategy(mocker, freqai_conf)
+    exchange = get_patched_exchange(mocker, freqai_conf)
+    strategy.dp = DataProvider(freqai_conf, exchange)
+    freqai = strategy.freqai
+    freqai.live = True
+    freqai.dk = FreqaiDataKitchen(freqai_conf)
+    timerange = TimeRange.parse_timerange("20180126-20180130")
+    freqai.dd.load_all_pair_histories(timerange, freqai.dk)
+    sub_timerange = TimeRange.parse_timerange("20180128-20180130")
+    _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "ADA/BTC", freqai.dk)
+    base_df["5m"]["date_pred"] = base_df["5m"]["date"]
+    freqai.dd.historic_predictions = {}
+    freqai.dd.historic_predictions["ADA/USDT"] = base_df["5m"]
+    freqai.dd.save_historic_predictions_to_disk()
+    freqai.dd.save_global_metadata_to_disk({"start_dry_live_date": 1516406400})
+
+    timerange = freqai.dd.get_timerange_from_backtesting_live_dataframe()
+    assert timerange.startts == 1516406400
+    assert timerange.stopts == 1517356500
+
+
+def test_get_timerange_from_backtesting_live_df_pred_not_found(mocker, freqai_conf):
+    strategy = get_patched_freqai_strategy(mocker, freqai_conf)
+    exchange = get_patched_exchange(mocker, freqai_conf)
+    strategy.dp = DataProvider(freqai_conf, exchange)
+    freqai = strategy.freqai
+    with pytest.raises(
+            OperationalException,
+            match=r'Historic predictions not found.*'
+            ):
+        freqai.dd.get_timerange_from_backtesting_live_dataframe()

tests/freqai/test_freqai_datakitchen.py

@@ -190,6 +190,7 @@ def test_get_timerange_from_ready_models(mocker, freqai_conf, model):
     freqai_conf.update({"freqaimodel": model})
     freqai_conf.update({"timerange": "20180110-20180130"})
     freqai_conf.update({"strategy": "freqai_test_strat"})
+    freqai_conf.get("freqai", {}).update({"backtest_using_historic_predictions": False})
 
     strategy = get_patched_freqai_strategy(mocker, freqai_conf)
     exchange = get_patched_exchange(mocker, freqai_conf)
@@ -259,20 +260,3 @@ def test_get_full_model_path(mocker, freqai_conf, model):
 
     model_path = freqai.dk.get_full_models_path(freqai_conf)
     assert model_path.is_dir() is True
-
-
-def test_get_timerange_from_backtesting_live_dataframe(mocker, freqai_conf):
-    freqai, dataframe = make_unfiltered_dataframe(mocker, freqai_conf)
-    freqai_conf.update({"backtest_using_historic_predictions": True})
-    timerange = freqai.dk.get_timerange_from_backtesting_live_dataframe()
-    assert timerange.startts == 1516406400
-    assert timerange.stopts == 1517356500
-
-
-def test_get_timerange_from_backtesting_live_df_pred_not_found(mocker, freqai_conf):
-    freqai, _ = make_unfiltered_dataframe(mocker, freqai_conf)
-    with pytest.raises(
-            OperationalException,
-            match=r'Historic predictions not found.*'
-            ):
-        freqai.dk.get_timerange_from_backtesting_live_dataframe()