From 109824c9a80cb78c7c4ec9d6f90cb1c8c3afa640 Mon Sep 17 00:00:00 2001
From: Matthias <xmatthias@outlook.com>
Date: Sat, 21 Nov 2020 15:29:11 +0100
Subject: [PATCH] Add VolatilityFilter
---
freqtrade/constants.py | 2 +-
freqtrade/pairlist/AgeFilter.py | 2 +-
freqtrade/pairlist/volatilityfilter.py | 89 ++++++++++++++++++++++++++
3 files changed, 91 insertions(+), 2 deletions(-)
create mode 100644 freqtrade/pairlist/volatilityfilter.py
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