diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 3271dda39..55d802587 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -25,7 +25,7 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss', 'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily'] AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'AgeFilter', 'PrecisionFilter', 'PriceFilter', - 'ShuffleFilter', 'SpreadFilter'] + 'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter'] AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5'] DRY_RUN_WALLET = 1000 DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S' diff --git a/freqtrade/pairlist/AgeFilter.py b/freqtrade/pairlist/AgeFilter.py index 19cf1c090..352fff082 100644 --- a/freqtrade/pairlist/AgeFilter.py +++ b/freqtrade/pairlist/AgeFilter.py @@ -49,7 +49,7 @@ class AgeFilter(IPairList): return (f"{self.name} - Filtering pairs with age less than " f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.") - def _validate_pair(self, ticker: dict) -> bool: + def _validate_pair(self, ticker: Dict) -> bool: """ Validate age for the ticker :param ticker: ticker dict as returned from ccxt.load_markets() diff --git a/freqtrade/pairlist/volatilityfilter.py b/freqtrade/pairlist/volatilityfilter.py new file mode 100644 index 000000000..6039f6f69 --- /dev/null +++ b/freqtrade/pairlist/volatilityfilter.py @@ -0,0 +1,89 @@ +""" +Minimum age (days listed) pair list filter +""" +import logging +from typing import Any, Dict + +import arrow +from cachetools.ttl import TTLCache + +from freqtrade.exceptions import OperationalException +from freqtrade.misc import plural +from freqtrade.pairlist.IPairList import IPairList + + +logger = logging.getLogger(__name__) + + +class VolatilityFilter(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('volatility_over_days', 10) + self._min_volatility = pairlistconfig.get('min_volatility', 0.01) + self._refresh_period = pairlistconfig.get('refresh_period', 1440) + + self._pair_cache: TTLCache = TTLCache(maxsize=100, ttl=self._refresh_period) + + if self._days < 1: + raise OperationalException("VolatilityFilter requires min_days_listed to be >= 1") + if self._days > exchange.ohlcv_candle_limit: + raise OperationalException("VolatilityFilter requires min_days_listed to not exceed " + "exchange max request size " + f"({exchange.ohlcv_candle_limit})") + + @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 True + + def short_desc(self) -> str: + """ + Short whitelist method description - used for startup-messages + """ + return (f"{self.name} - Filtering pairs with volatility below {self._min_volatility} " + f"over the last {plural(self._days, 'day')}.") + + def _validate_pair(self, ticker: Dict) -> bool: + """ + Validate volatility + :param ticker: ticker dict as returned from ccxt.load_markets() + :return: True if the pair can stay, False if it should be removed + """ + pair = ticker['symbol'] + # Check symbol in cache + if pair in self._pair_cache: + return self._pair_cache[pair] + + since_ms = int(arrow.utcnow() + .floor('day') + .shift(days=-self._days) + .float_timestamp) * 1000 + + daily_candles = self._exchange.get_historic_ohlcv_as_df(pair=pair, + timeframe='1d', + since_ms=since_ms) + result = False + if daily_candles is not None: + highest_high = daily_candles['high'].max() + lowest_low = daily_candles['low'].min() + pct_change = (highest_high - lowest_low) / lowest_low + if pct_change >= self._min_volatility: + result = True + else: + self.log_on_refresh(logger.info, + f"Removed {pair} from whitelist, " + f"because volatility over {plural(self._days, 'day')} is " + f"{pct_change:.3f}, which is below the " + f"threshold of {self._min_volatility}.") + result = False + self._pair_cache[pair] = result + + return result