resolves freqtrade/freqtrade#4650
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gbojen
parent
78a84f8081
commit
142690c930
@ -1,99 +0,0 @@
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{
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"max_open_trades": 3,
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"stake_currency": "BTC",
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"stake_amount": 0.05,
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"tradable_balance_ratio": 0.99,
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"fiat_display_currency": "USD",
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"timeframe": "5m",
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"dry_run": true,
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"cancel_open_orders_on_exit": false,
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"unfilledtimeout": {
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"buy": 10,
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"sell": 30
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},
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"bid_strategy": {
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"ask_last_balance": 0.0,
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"use_order_book": false,
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"order_book_top": 1,
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"check_depth_of_market": {
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"enabled": false,
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"bids_to_ask_delta": 1
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}
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},
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"ask_strategy": {
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"use_order_book": false,
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"order_book_min": 1,
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"order_book_max": 1,
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"use_sell_signal": true,
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"sell_profit_only": false,
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"ignore_roi_if_buy_signal": false
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},
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"exchange": {
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"name": "binance",
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"key": "your_exchange_key",
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"secret": "your_exchange_secret",
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"ccxt_config": {"enableRateLimit": true},
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"ccxt_async_config": {
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"enableRateLimit": true,
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"rateLimit": 200
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},
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"pair_whitelist": [
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"ALGO/BTC",
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"ATOM/BTC",
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"BAT/BTC",
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"BCH/BTC",
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"BRD/BTC",
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"EOS/BTC",
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"ETH/BTC",
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"IOTA/BTC",
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"LINK/BTC",
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"LTC/BTC",
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"NEO/BTC",
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"NXS/BTC",
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"XMR/BTC",
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"XRP/BTC",
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"XTZ/BTC"
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],
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"pair_blacklist": [
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"BNB/BTC"
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]
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},
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"pairlists": [
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{"method": "StaticPairList"}
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],
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"edge": {
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"enabled": false,
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"process_throttle_secs": 3600,
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"calculate_since_number_of_days": 7,
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"allowed_risk": 0.01,
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"stoploss_range_min": -0.01,
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"stoploss_range_max": -0.1,
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"stoploss_range_step": -0.01,
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"minimum_winrate": 0.60,
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"minimum_expectancy": 0.20,
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"min_trade_number": 10,
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"max_trade_duration_minute": 1440,
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"remove_pumps": false
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},
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"telegram": {
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"enabled": false,
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"token": "your_telegram_token",
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"chat_id": "your_telegram_chat_id"
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},
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"api_server": {
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"enabled": false,
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"listen_ip_address": "127.0.0.1",
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"listen_port": 8080,
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"verbosity": "error",
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"jwt_secret_key": "somethingrandom",
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"CORS_origins": [],
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"username": "freqtrader",
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"password": "SuperSecurePassword"
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},
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"bot_name": "freqtrade",
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"initial_state": "running",
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"forcebuy_enable": false,
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"internals": {
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"process_throttle_secs": 5
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}
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}
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@ -25,4 +25,4 @@ services:
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--logfile /freqtrade/user_data/logs/freqtrade.log
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--db-url sqlite:////freqtrade/user_data/tradesv3.sqlite
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--config /freqtrade/user_data/config.json
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--strategy SampleStrategy
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--strategy BinHV45.py
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@ -26,7 +26,7 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
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AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
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'AgeFilter', 'PerformanceFilter', 'PrecisionFilter',
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'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter',
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'SpreadFilter']
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'SpreadFilter', 'VolatilityFilter']
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AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
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AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
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DRY_RUN_WALLET = 1000
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@ -416,4 +416,4 @@ PairWithTimeframe = Tuple[str, str]
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ListPairsWithTimeframes = List[PairWithTimeframe]
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# Type for trades list
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TradeList = List[List]
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TradeList = List[List]
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120
freqtrade/plugins/pairlist/VolatilityFilter.py
Normal file
120
freqtrade/plugins/pairlist/VolatilityFilter.py
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@ -0,0 +1,120 @@
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"""
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Rate of change pairlist filter
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"""
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import logging
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from copy import deepcopy
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from typing import Any, Dict, List, Optional
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import sys
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import arrow
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from cachetools.ttl import TTLCache
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from pandas import DataFrame
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import numpy as np
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from freqtrade.exceptions import OperationalException
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from freqtrade.misc import plural
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from freqtrade.plugins.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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class VolatilityFilter(IPairList):
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'''
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Filters pairs by volatility
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'''
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def __init__(self, exchange, pairlistmanager,
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config: Dict[str, Any], pairlistconfig: Dict[str, Any],
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pairlist_pos: int) -> None:
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super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
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self._days = pairlistconfig.get('lookback_days', 10)
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self._min_volatility = pairlistconfig.get('min_volatility', 0)
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self._max_volatility = pairlistconfig.get('max_volatility', sys.maxsize)
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self._refresh_period = pairlistconfig.get('refresh_period', 1440)
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self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period)
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if self._days < 1:
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raise OperationalException("VolatilityFilter requires lookback_days to be >= 1")
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if self._days > exchange.ohlcv_candle_limit('1d'):
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raise OperationalException("VolatilityFilter requires lookback_days to not "
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"exceed exchange max request size "
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f"({exchange.ohlcv_candle_limit('1d')})")
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@property
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def needstickers(self) -> bool:
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"""
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Boolean property defining if tickers are necessary.
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If no Pairlist requires tickers, an empty List is passed
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as tickers argument to filter_pairlist
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"""
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return False
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def short_desc(self) -> str:
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"""
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Short whitelist method description - used for startup-messages
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"""
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return (f"{self.name} - Filtering pairs with volatility range "
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f"{self._min_volatility}-{self._max_volatility} the last {self._days} {plural(self._days, 'day')}.")
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def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Validate trading range
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:param pairlist: pairlist to filter or sort
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:param tickers: Tickers (from exchange.get_tickers()). May be cached.
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:return: new allowlist
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"""
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needed_pairs = [(p, '1h') for p in pairlist if p not in self._pair_cache]
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since_ms = int(arrow.utcnow()
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.floor('day')
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.shift(days=-self._days - 1)
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.float_timestamp) * 1000
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# Get all candles
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candles = {}
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if needed_pairs:
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candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms,
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cache=False)
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if self._enabled:
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for p in deepcopy(pairlist):
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daily_candles = candles[(p, '1h')] if (p, '1h') in candles else None
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if not self._validate_pair_loc(p, daily_candles):
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pairlist.remove(p)
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return pairlist
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def _validate_pair_loc(self, pair: str, daily_candles: Optional[DataFrame]) -> bool:
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"""
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Validate trading range
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:param pair: Pair that's currently validated
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:return: True if the pair can stay, false if it should be removed
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"""
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# Check symbol in cache
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if pair in self._pair_cache:
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return self._pair_cache[pair]
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result = False
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if daily_candles is not None and not daily_candles.empty:
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returns = (np.log(daily_candles.close / daily_candles.close.shift(-1)))
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returns.fillna(0, inplace=True)
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volatility_series = returns.rolling(window=self._days*24).std()*np.sqrt(self._days*24)
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volatility_avg = volatility_series.mean()
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if self._min_volatility <= volatility_avg <= self._max_volatility:
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result = True
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else:
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self.log_once(f"Removed {pair} from whitelist, because volatility "
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f"over {self._days} {plural(self._days, 'day')} "
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f"is: {volatility_avg:.3f} "
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f"which is not in the configured range of "
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f"{self._min_volatility}-{self._max_volatility}.",
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logger.info)
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result = False
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self._pair_cache[pair] = result
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return result
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