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Fix backtest date restrictions and handle missing recent candles gracefully #526

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Fix backtest date restrictions and handle missing recent candles gracefully #526

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29 changes: 16 additions & 13 deletions jesse/services/candle.py
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Original file line number Diff line number Diff line change
Expand Up @@ -268,14 +268,8 @@ def _get_candles_from_db(
if start_date_timestamp > finish_date_timestamp:
raise InvalidDateRange(f'start_date ({jh.timestamp_to_date(start_date_timestamp)}) is greater than finish_date ({jh.timestamp_to_date(finish_date_timestamp)}).')

# validate finish_date is not in the future
current_timestamp = arrow.utcnow().int_timestamp * 1000
if finish_date_timestamp > current_timestamp:
today_str = jh.timestamp_to_date(current_timestamp)
yesterday_date = jh.timestamp_to_date(current_timestamp - 86400000)
raise InvalidDateRange(f'The finish date "{jh.timestamp_to_time(finish_date_timestamp)[:19]}" cannot be in the future. Please select a date up to "{yesterday_date}".')

# validate start_date is not in the future
current_timestamp = arrow.utcnow().int_timestamp * 1000
if start_date_timestamp > current_timestamp:
raise InvalidDateRange(f'Can\'t backtest the future! start_date ({jh.timestamp_to_date(start_date_timestamp)}) is greater than the current time ({jh.timestamp_to_date(current_timestamp)}).')

Expand Down Expand Up @@ -314,12 +308,21 @@ def _get_candles_from_db(
# before the start of the requested finish date
# Check if the latest available candle timestamp is before the required last candle
if latest_available < finish_date_timestamp:
# Missing candles at the end of the requested range
raise CandleNotFoundInDatabase(
f"Missing recent candles for \"{symbol}\" on \"{exchange}\". "
f"Requested data until \"{jh.timestamp_to_time(finish_date_timestamp)[:19]}\", "
f"but latest available candle is up to \"{jh.timestamp_to_time(latest_available)[:19]}\"."
)
# Adjust to use the last available candle instead of raising an exception
print(f"Warning: Requested data until {jh.timestamp_to_time(finish_date_timestamp)[:19]}, "
f"but latest available candle is {jh.timestamp_to_time(latest_available)[:19]}. "
f"Adjusting to backtest until last available candle.")
# Re-query with the adjusted finish date
candles_tuple = list(Candle.select(
Candle.timestamp, Candle.open, Candle.close, Candle.high, Candle.low,
Candle.volume
).where(
Candle.exchange == exchange,
Candle.symbol == symbol,
Candle.timeframe == '1m' or Candle.timeframe.is_null(),
Candle.timestamp.between(start_date_timestamp, latest_available)
).order_by(Candle.timestamp.asc()).tuples())
candles_array = np.array(candles_tuple)

if caching:
# cache for 1 week it for near future calls
Expand Down
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