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Merge pull request #2442 from freqtrade/volumeList_enhanced_filter

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Pairlists enhanced filter options
This commit is contained in:
Matthias
2019-11-19 20:19:10 +01:00
committed by GitHub
parent 67c5115b41 c92f233c15
commit 09b302abf7
26 changed files with 879 additions and 265 deletions
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133
docs/configuration.md
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@@ -82,8 +82,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `exchange.markets_refresh_interval` | 60 | The interval in minutes in which markets are reloaded.
| `edge` | false | Please refer to [edge configuration document](edge.md) for detailed explanation.
| `experimental.block_bad_exchanges` | true | Block exchanges known to not work with freqtrade. Leave on default unless you want to test if that exchange works now.
| `pairlist.method` | StaticPairList | Use static or dynamic volume-based pairlist. [More information below](#dynamic-pairlists).
| `pairlist.config` | None | Additional configuration for dynamic pairlists. [More information below](#dynamic-pairlists).
| `pairlists` | StaticPairList | Define one or more pairlists to be used. [More information below](#dynamic-pairlists).
| `telegram.enabled` | true | **Required.** Enable or not the usage of Telegram.
| `telegram.token` | token | Your Telegram bot token. Only required if `telegram.enabled` is `true`. ***Keep it in secrete, do not disclose publicly.***
| `telegram.chat_id` | chat_id | Your personal Telegram account id. Only required if `telegram.enabled` is `true`. ***Keep it in secrete, do not disclose publicly.***
@@ -362,7 +361,7 @@ For example, to test the order type `FOK` with Kraken, and modify candle_limit t
The `fiat_display_currency` configuration parameter sets the base currency to use for the
conversion from coin to fiat in the bot Telegram reports.
The valid values are:p
The valid values are:
```json
"AUD", "BRL", "CAD", "CHF", "CLP", "CNY", "CZK", "DKK", "EUR", "GBP", "HKD", "HUF", "IDR", "ILS", "INR", "JPY", "KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN", "RUB", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR", "USD"
@@ -376,6 +375,88 @@ The valid values are:
"BTC", "ETH", "XRP", "LTC", "BCH", "USDT"
```
## Pairlists
Pairlists define the list of pairs that the bot should trade.
There are [`StaticPairList`](#static-pair-list) and dynamic Whitelists available.
[`PrecisionFilter`](#precision-filter) and [`PriceFilter`](#price-pair-filter) act as filters, removing low-value pairs.
All pairlists can be chained, and a combination of all pairlists will become your new whitelist. Pairlists are executed in the sequence they are configured. You should always configure either `StaticPairList` or `DynamicPairList` as starting pairlists.
Inactive markets and blacklisted pairs are always removed from the resulting `pair_whitelist`.
### Available Pairlists
* [`StaticPairList`](#static-pair-list) (default, if not configured differently)
* [`VolumePairList`](#volume-pair-list)
* [`PrecisionFilter`](#precision-filter)
* [`PriceFilter`](#price-pair-filter)
#### Static Pair List
By default, the `StaticPairList` method is used, which uses a statically defined pair whitelist from the configuration.
It uses configuration from `exchange.pair_whitelist` and `exchange.pair_blacklist`.
```json
"pairlists": [
{"method": "StaticPairList"}
],
```
#### Volume Pair List
`VolumePairList` selects `number_assets` top pairs based on `sort_key`, which can be one of `askVolume`, `bidVolume` and `quoteVolume` and defaults to `quoteVolume`.
`VolumePairList` considers outputs of previous pairlists unless it's the first configured pairlist, it does not consider `pair_whitelist`, but selects the top assets from all available markets (with matching stake-currency) on the exchange.
`refresh_period` allows setting the period (in seconds), at which the pairlist will be refreshed. Defaults to 1800s (30 minutes).
```json
"pairlists": [{
"method": "VolumePairList",
"number_assets": 20,
"sort_key": "quoteVolume",
"refresh_period": 1800,
],
```
#### Precision Filter
Filters low-value coins which would not allow setting a stoploss.
#### Price Pair Filter
The `PriceFilter` allows filtering of pairs by price.
Currently, only `low_price_ratio` is implemented, where a raise of 1 price unit (pip) is below the `low_price_ratio` ratio.
This option is disabled by default, and will only apply if set to <> 0.
Calculation example:
Min price precision is 8 decimals. If price is 0.00000011 - one step would be 0.00000012 - which is almost 10% higher than the previous value.
These pairs are dangerous since it may be impossible to place the desired stoploss - and often result in high losses.
### Full Pairlist example
The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, sorting by `quoteVolume` and applies both [`PrecisionFilter`](#precision-filter) and [`PriceFilter`](#price-pair-filter), filtering all assets where 1 priceunit is > 1%.
```json
"exchange": {
"pair_whitelist": [],
"pair_blacklist": ["BNB/BTC"]
},
"pairlists": [
{
"method": "VolumePairList",
"number_assets": 20,
"sort_key": "quoteVolume",
},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.01}
],
```
## Switch to Dry-run mode
We recommend starting the bot in the Dry-run mode to see how your bot will
@@ -405,45 +486,6 @@ creating trades on the exchange.
Once you will be happy with your bot performance running in the Dry-run mode,
you can switch it to production mode.
### Dynamic Pairlists
Dynamic pairlists select pairs for you based on the logic configured.
The bot runs against all pairs (with that stake) on the exchange, and a number of assets
(`number_assets`) is selected based on the selected criteria.
By default, the `StaticPairList` method is used.
The Pairlist method is configured as `pair_whitelist` parameter under the `exchange`
section of the configuration.
**Available Pairlist methods:**
* `StaticPairList`
* It uses configuration from `exchange.pair_whitelist` and `exchange.pair_blacklist`.
* `VolumePairList`
* It selects `number_assets` top pairs based on `sort_key`, which can be one of
`askVolume`, `bidVolume` and `quoteVolume`, defaults to `quoteVolume`.
* There is a possibility to filter low-value coins that would not allow setting a stop loss
(set `precision_filter` parameter to `true` for this).
* `VolumePairList` does not consider `pair_whitelist`, but builds this automatically based the pairlist configuration.
* Pairs in `pair_blacklist` are not considered for VolumePairList, even if all other filters would match.
Example:
```json
"exchange": {
"pair_whitelist": [],
"pair_blacklist": ["BNB/BTC"]
},
"pairlist": {
"method": "VolumePairList",
"config": {
"number_assets": 20,
"sort_key": "quoteVolume",
"precision_filter": false
}
},
```
## Switch to production mode
In production mode, the bot will engage your money. Be careful, since a wrong
@@ -476,7 +518,7 @@ you run it in production mode.
You should also make sure to read the [Exchanges](exchanges.md) section of the documentation to be aware of potential configuration details specific to your exchange.
### Using proxy with FreqTrade
### Using proxy with Freqtrade
To use a proxy with freqtrade, add the kwarg `"aiohttp_trust_env"=true` to the `"ccxt_async_kwargs"` dict in the exchange section of the configuration.
@@ -496,14 +538,13 @@ export HTTPS_PROXY="http://addr:port"
freqtrade
```
### Embedding Strategies
## Embedding Strategies
FreqTrade provides you with with an easy way to embed the strategy into your configuration file.
This is done by utilizing BASE64 encoding and providing this string at the strategy configuration field,
in your chosen config file.
#### Encoding a string as BASE64
### Encoding a string as BASE64
This is a quick example, how to generate the BASE64 string in python

38
docs/developer.md
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@@ -46,15 +46,18 @@ def test_method_to_test(caplog):
The fastest and easiest way to start up is to use docker-compose.develop which gives developers the ability to start the bot up with all the required dependencies, *without* needing to install any freqtrade specific dependencies on your local machine.
#### Install
* [git](https://git-scm.com/book/en/v2/Getting-Started-Installing-Git)
* [docker](https://docs.docker.com/install/)
* [docker-compose](https://docs.docker.com/compose/install/)
#### Starting the bot
##### Use the develop dockerfile
``` bash
rm docker-compose.yml && mv docker-compose.develop.yml docker-compose.yml
```
#### Docker Compose
##### Starting
@@ -62,9 +65,11 @@ rm docker-compose.yml && mv docker-compose.develop.yml docker-compose.yml
``` bash
docker-compose up
```
![Docker compose up](https://user-images.githubusercontent.com/419355/65456322-47f63a80-de06-11e9-90c6-3c74d1bad0b8.png)
##### Rebuilding
``` bash
docker-compose build
```
@@ -77,8 +82,8 @@ that can be effected by `docker-compose up` or `docker-compose run freqtrade_dev
``` bash
docker-compose exec freqtrade_develop /bin/bash
```
![image](https://user-images.githubusercontent.com/419355/65456522-ba671a80-de06-11e9-9598-df9ca0d8dcac.png)
![image](https://user-images.githubusercontent.com/419355/65456522-ba671a80-de06-11e9-9598-df9ca0d8dcac.png)
## Modules
@@ -95,22 +100,22 @@ This is a simple provider, which however serves as a good example on how to star
Next, modify the classname of the provider (ideally align this with the Filename).
The base-class provides the an instance of the bot (`self._freqtrade`), as well as the configuration (`self._config`), and initiates both `_blacklist` and `_whitelist`.
The base-class provides an instance of the exchange (`self._exchange`) the pairlist manager (`self._pairlistmanager`), as well as the main configuration (`self._config`), the pairlist dedicated configuration (`self._pairlistconfig`) and the absolute position within the list of pairlists.
```python
self._freqtrade = freqtrade
self._exchange = exchange
self._pairlistmanager = pairlistmanager
self._config = config
self._whitelist = self._config['exchange']['pair_whitelist']
self._blacklist = self._config['exchange'].get('pair_blacklist', [])
self._pairlistconfig = pairlistconfig
self._pairlist_pos = pairlist_pos
```
Now, let's step through the methods which require actions:
#### configuration
#### Pairlist configuration
Configuration for PairListProvider is done in the bot configuration file in the element `"pairlist"`.
This Pairlist-object may contain a `"config"` dict with additional configurations for the configured pairlist.
This Pairlist-object may contain configurations with additional configurations for the configured pairlist.
By convention, `"number_assets"` is used to specify the maximum number of pairs to keep in the whitelist. Please follow this to ensure a consistent user experience.
Additional elements can be configured as needed. `VolumePairList` uses `"sort_key"` to specify the sorting value - however feel free to specify whatever is necessary for your great algorithm to be successfull and dynamic.
@@ -120,29 +125,30 @@ Additional elements can be configured as needed. `VolumePairList` uses `"sort_ke
Returns a description used for Telegram messages.
This should contain the name of the Provider, as well as a short description containing the number of assets. Please follow the format `"PairlistName - top/bottom X pairs"`.
#### refresh_pairlist
#### filter_pairlist
Override this method and run all calculations needed in this method.
This is called with each iteration of the bot - so consider implementing caching for compute/network heavy calculations.
Assign the resulting whiteslist to `self._whitelist` and `self._blacklist` respectively. These will then be used to run the bot in this iteration. Pairs with open trades will be added to the whitelist to have the sell-methods run correctly.
It get's passed a pairlist (which can be the result of previous pairlists) as well as `tickers`, a pre-fetched version of `get_tickers()`.
Please also run `self._validate_whitelist(pairs)` and to check and remove pairs with inactive markets. This function is available in the Parent class (`StaticPairList`) and should ideally not be overwritten.
It must return the resulting pairlist (which may then be passed into the next pairlist filter).
Validations are optional, the parent class exposes a `_verify_blacklist(pairlist)` and `_whitelist_for_active_markets(pairlist)` to do default filters. Use this if you limit your result to a certain number of pairs - so the endresult is not shorter than expected.
##### sample
``` python
def refresh_pairlist(self) -> None:
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
# Generate dynamic whitelist
pairs = self._gen_pair_whitelist(self._config['stake_currency'], self._sort_key)
# Validate whitelist to only have active market pairs
self._whitelist = self._validate_whitelist(pairs)[:self._number_pairs]
pairs = self._calculate_pairlist(pairlist, tickers)
return pairs
```
#### _gen_pair_whitelist
This is a simple method used by `VolumePairList` - however serves as a good example.
It implements caching (`@cached(TTLCache(maxsize=1, ttl=1800))`) as well as a configuration option to allow different (but similar) strategies to work with the same PairListProvider.
In VolumePairList, this implements different methods of sorting, does early validation so only the expected number of pairs is returned.
## Implement a new Exchange (WIP)