Skip to content

Fixed __maybe_resample_data freq performance #329

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
merged 3 commits into from
Aug 2, 2021
Merged

Fixed __maybe_resample_data freq performance #329

Changes from all commits
Commits
Show all changes
3 commits
Select commit Hold shift + click to select a range
f1ee2f9
Fixed __maybe_resample_data freq performance
Sean-Ker Apr 30, 2021
fdd0b6c
Fixed formatting
Sean-Ker Apr 30, 2021
7cf9041
Use more pandas
kernc Aug 2, 2021
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
22 changes: 17 additions & 5 deletions backtesting/_plotting.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -99,11 +99,23 @@ def _maybe_resample_data(resample_rule, df, indicators, equity_data, trades):
if resample_rule is False or len(df) <= _MAX_CANDLES:
return df, indicators, equity_data, trades

from_index = dict(day=-2, hour=-6, minute=1, second=0, millisecond=0,
microsecond=0, nanosecond=0)[df.index.resolution]
FREQS = ('1T', '5T', '10T', '15T', '30T', '1H', '2H', '4H', '8H', '1D', '1W', '1M')
freq = next((f for f in FREQS[from_index:]
if len(df.resample(f)) <= _MAX_CANDLES), FREQS[-1])
freq_minutes = pd.Series({
"1T": 1,
"5T": 5,
"10T": 10,
"15T": 15,
"30T": 30,
"1H": 60,
"2H": 60*2,
"4H": 60*4,
"8H": 60*8,
"1D": 60*24,
"1W": 60*24*7,
"1M": np.inf,
})
timespan = df.index[-1] - df.index[0]
require_minutes = (timespan / _MAX_CANDLES).total_seconds() // 60
freq = freq_minutes.where(freq_minutes >= require_minutes).first_valid_index()
warnings.warn(f"Data contains too many candlesticks to plot; downsampling to {freq!r}. "
"See `Backtest.plot(resample=...)`")

Expand Down