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Dave-Vallance / bt-ccxt-store

Fork of Ed Bartosh's CCXT Store Work
MIT License
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Batched fetch ohlcv #37

Open jacopomaroli opened 3 years ago

jacopomaroli commented 3 years ago

TL;DR: fixes (notice timestamp) wrong:

2021-02-20 12:32:14.933770 - fetch_ohlcv - Attempt 0
Fetching: BTC/USDT, TF: 30m, Since: 1612024334932, Limit: 9999
2021-02-20 12:32:16.110623 - fetch_ohlcv - Attempt 0
Fetching: BTC/USDT, TF: 30m, Since: 1612024334932, Limit: 9999
***LIVE***

correct:

2021-02-20 12:37:13.208514 - fetch_ohlcv - Attempt 0
Fetching: BTC/USDT, TF: 30m, Since: 1607824633206, Limit: 9999
2021-02-20 12:37:13.983441 - fetch_ohlcv - Attempt 0
Fetching: BTC/USDT, TF: 30m, Since: 1609639200000, Limit: 9999
2021-02-20 12:37:14.750390 - fetch_ohlcv - Attempt 0
Fetching: BTC/USDT, TF: 30m, Since: 1611437400000, Limit: 9999
2021-02-20 12:37:15.520330 - fetch_ohlcv - Attempt 0
Fetching: BTC/USDT, TF: 30m, Since: 1613239200000, Limit: 9999
2021-02-20 12:37:16.267332 - fetch_ohlcv - Attempt 0
Fetching: BTC/USDT, TF: 30m, Since: 1613824200000, Limit: 9999
***LIVE***

Longer explanation: in some broker such as binance you can't fetch more than 1000 OHLCV records at the same time. You therefore need to fetch them in batches. Without this fix, the second time the while True loop in _fetch_ohlcv will fetch again the same batch, not add it to the main data pool and break the loop thinking no new data has been added. This results in old data delivered in the strategy as live ones.

This fix allows you to walk through the data until the current point in time resulting in correct LIVE data delivered to the strategy