Merge pull request #11681 from JamesLinxun/develop

skip trade-related columns

freqtrade/constants.py

@@ -71,6 +71,19 @@ DEFAULT_DATAFRAME_COLUMNS = ["date", "open", "high", "low", "close", "volume"]
 # it has wide consequences for stored trades files
 DEFAULT_TRADES_COLUMNS = ["timestamp", "id", "type", "side", "price", "amount", "cost"]
 DEFAULT_ORDERFLOW_COLUMNS = ["level", "bid", "ask", "delta"]
+ORDERFLOW_ADDED_COLUMNS = [
+    "trades",
+    "orderflow",
+    "imbalances",
+    "stacked_imbalances_bid",
+    "stacked_imbalances_ask",
+    "max_delta",
+    "min_delta",
+    "bid",
+    "ask",
+    "delta",
+    "total_trades",
+]
 TRADES_DTYPES = {
     "timestamp": "int64",
     "id": "str",

freqtrade/data/converter/orderflow.py

@@ -9,26 +9,12 @@ from datetime import datetime
 import numpy as np
 import pandas as pd
 
-from freqtrade.constants import DEFAULT_ORDERFLOW_COLUMNS, Config
+from freqtrade.constants import DEFAULT_ORDERFLOW_COLUMNS, ORDERFLOW_ADDED_COLUMNS, Config
 from freqtrade.exceptions import DependencyException
 
 
 logger = logging.getLogger(__name__)
 
-ORDERFLOW_ADDED_COLUMNS = [
-    "trades",
-    "orderflow",
-    "imbalances",
-    "stacked_imbalances_bid",
-    "stacked_imbalances_ask",
-    "max_delta",
-    "min_delta",
-    "bid",
-    "ask",
-    "delta",
-    "total_trades",
-]
-
 
 def _init_dataframe_with_trades_columns(dataframe: pd.DataFrame):
     """

freqtrade/freqai/data_kitchen.py

@@ -16,7 +16,7 @@ from pandas import DataFrame
 from sklearn.model_selection import train_test_split
 
 from freqtrade.configuration import TimeRange
-from freqtrade.constants import DOCS_LINK, Config
+from freqtrade.constants import DOCS_LINK, ORDERFLOW_ADDED_COLUMNS, Config
 from freqtrade.data.converter import reduce_dataframe_footprint
 from freqtrade.exceptions import OperationalException
 from freqtrade.exchange import timeframe_to_seconds
@@ -709,6 +709,11 @@ class FreqaiDataKitchen:
         skip_columns = [
             (f"{s}_{suffix}") for s in ["date", "open", "high", "low", "close", "volume"]
         ]
+
+        for s in ORDERFLOW_ADDED_COLUMNS:
+            if s in dataframe.columns and f"{s}_{suffix}" in dataframe.columns:
+                skip_columns.append(f"{s}_{suffix}")
+
         dataframe = dataframe.drop(columns=skip_columns)
         return dataframe