stable/freqtrade/plugins/pairlist/rangestabilityfilter.py

"""
Rate of change pairlist filter
"""
import logging
from copy import deepcopy
from typing import Any, Dict, List, Optional

import arrow
from cachetools.ttl import TTLCache
from pandas import DataFrame

from freqtrade.exceptions import OperationalException
from freqtrade.misc import plural
from freqtrade.plugins.pairlist.IPairList import IPairList


logger = logging.getLogger(__name__)


class RangeStabilityFilter(IPairList):

    def __init__(self, exchange, pairlistmanager,
                 config: Dict[str, Any], pairlistconfig: Dict[str, Any],
                 pairlist_pos: int) -> None:
        super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)

        self._days = pairlistconfig.get('lookback_days', 10)
        self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01)
        self._max_rate_of_change = pairlistconfig.get('max_rate_of_change', None)
        self._refresh_period = pairlistconfig.get('refresh_period', 1440)

        self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period)

        if self._days < 1:
            raise OperationalException("RangeStabilityFilter requires lookback_days to be >= 1")
        if self._days > exchange.ohlcv_candle_limit('1d'):
            raise OperationalException("RangeStabilityFilter requires lookback_days to not "
                                       "exceed exchange max request size "
                                       f"({exchange.ohlcv_candle_limit('1d')})")

    @property
    def needstickers(self) -> bool:
        """
        Boolean property defining if tickers are necessary.
        If no Pairlist requires tickers, an empty List is passed
        as tickers argument to filter_pairlist
        """
        return False

    def short_desc(self) -> str:
        """
        Short whitelist method description - used for startup-messages
        """
        max_rate_desc = ""
        if self._max_rate_of_change:
            max_rate_desc = (f" and above {self._max_rate_of_change}")
        return (f"{self.name} - Filtering pairs with rate of change below "
                f"{self._min_rate_of_change}{max_rate_desc} over the "
                f"last {plural(self._days, 'day')}.")

    def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
        """
        Validate trading range
        :param pairlist: pairlist to filter or sort
        :param tickers: Tickers (from exchange.get_tickers()). May be cached.
        :return: new allowlist
        """
        needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache]

        since_ms = (arrow.utcnow()
                         .floor('day')
                         .shift(days=-self._days - 1)
                         .int_timestamp) * 1000
        # Get all candles
        candles = {}
        if needed_pairs:
            candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms,
                                                          cache=False)

        if self._enabled:
            for p in deepcopy(pairlist):
                daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
                if not self._validate_pair_loc(p, daily_candles):
                    pairlist.remove(p)
        return pairlist

    def _validate_pair_loc(self, pair: str, daily_candles: Optional[DataFrame]) -> bool:
        """
        Validate trading range
        :param pair: Pair that's currently validated
        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
        :return: True if the pair can stay, false if it should be removed
        """
        # Check symbol in cache
        cached_res = self._pair_cache.get(pair, None)
        if cached_res is not None:
            return cached_res

        result = False
        if daily_candles is not None and not daily_candles.empty:
            highest_high = daily_candles['high'].max()
            lowest_low = daily_candles['low'].min()
            pct_change = ((highest_high - lowest_low) / lowest_low) if lowest_low > 0 else 0
            if pct_change >= self._min_rate_of_change:
                result = True
            else:
                self.log_once(f"Removed {pair} from whitelist, because rate of change "
                              f"over {self._days} {plural(self._days, 'day')} is {pct_change:.3f}, "
                              f"which is below the threshold of {self._min_rate_of_change}.",
                              logger.info)
                result = False
            if self._max_rate_of_change:
                if pct_change <= self._max_rate_of_change:
                    result = True
                else:
                    self.log_once(
                        f"Removed {pair} from whitelist, because rate of change "
                        f"over {self._days} {plural(self._days, 'day')} is {pct_change:.3f}, "
                        f"which is above the threshold of {self._max_rate_of_change}.",
                        logger.info)
                    result = False
            self._pair_cache[pair] = result
        else:
            self.log_once(f"Removed {pair} from whitelist, no candles found.", logger.info)
        return result