Merge b65a04dd90 into dec523eef0
This commit is contained in:
Bernd Zeimetz
GitHub
commit
1626ec7770
@ -22,6 +22,7 @@ You may also use something like `.*DOWN/BTC` or `.*UP/BTC` to exclude leveraged
|
||||
|
||||
* [`StaticPairList`](#static-pair-list) (default, if not configured differently)
|
||||
* [`VolumePairList`](#volume-pair-list)
|
||||
* [`MarketCapPairList`](#market-capitalization-pair-list)
|
||||
* [`AgeFilter`](#agefilter)
|
||||
* [`PerformanceFilter`](#performancefilter)
|
||||
* [`PrecisionFilter`](#precisionfilter)
|
||||
@ -79,6 +80,31 @@ Filtering instances (not the first position in the list) will not apply any cach
|
||||
!!! Note
|
||||
`VolumePairList` does not support backtesting mode.
|
||||
|
||||
#### Market Capitalization Pair List
|
||||
|
||||
`MarketCapPairList` employs sorting/filtering of pairs by their market capitalization. It selects `number_assets` top pairs
|
||||
|
||||
When used in the chain of Pairlist Handlers in a non-leading position (after StaticPairList and other Pairlist Filters), `MarketCapPairList` considers outputs of previous Pairlist Handlers, adding its sorting/selection of the pairs by the market capitalization.
|
||||
|
||||
When used on the leading position of the chain of Pairlist Handlers, it does not consider `pair_whitelist` configuration setting, but selects the top pairs based on market capitalization with matching stake-currency on the exchange.
|
||||
|
||||
The `refresh_period` setting allows to define the period (in seconds), at which the pairlist will be refreshed. Defaults to 21600s (6 hours).
|
||||
The pairlist cache (`refresh_period`) on `MarketCapPairList` is only applicable to generating pairlists.
|
||||
Filtering instances (not the first position in the list) will not apply any cache and will always use up-to-date data.
|
||||
|
||||
`MarketCapPairList` is based on the data from `coingecko.com`.
|
||||
|
||||
```json
|
||||
"pairlists": [{
|
||||
"method": "MarketCapPairList",
|
||||
"number_assets": 20,
|
||||
"refresh_period": 1800
|
||||
}],
|
||||
```
|
||||
|
||||
!!! Note
|
||||
`MarketCapPairList` does not support backtesting mode.
|
||||
|
||||
#### AgeFilter
|
||||
|
||||
Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`).
|
||||
|
||||
@ -25,7 +25,7 @@ ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
|
||||
HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
|
||||
'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
|
||||
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily']
|
||||
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
|
||||
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'MarketCapPairList',
|
||||
'AgeFilter', 'PerformanceFilter', 'PrecisionFilter',
|
||||
'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter',
|
||||
'SpreadFilter', 'VolatilityFilter']
|
||||
|
||||
@ -85,6 +85,8 @@ class Backtesting:
|
||||
self.timeframe_min = timeframe_to_minutes(self.timeframe)
|
||||
|
||||
self.pairlists = PairListManager(self.exchange, self.config)
|
||||
if 'MarketCapPairList' in self.pairlists.name_list:
|
||||
raise OperationalException("MarketCapPairList not allowed for backtesting.")
|
||||
if 'VolumePairList' in self.pairlists.name_list:
|
||||
raise OperationalException("VolumePairList not allowed for backtesting.")
|
||||
if 'PerformanceFilter' in self.pairlists.name_list:
|
||||
|
||||
263
freqtrade/plugins/pairlist/MarketCapPairList.py
Normal file
263
freqtrade/plugins/pairlist/MarketCapPairList.py
Normal file
@ -0,0 +1,263 @@
|
||||
"""
|
||||
MarketCap PairList provider
|
||||
|
||||
Provides dynamic pair list based on market cap
|
||||
"""
|
||||
import logging
|
||||
from typing import Any, Dict, List
|
||||
|
||||
from cachetools.ttl import TTLCache
|
||||
from pandas.core.common import flatten
|
||||
from pycoingecko import CoinGeckoAPI
|
||||
|
||||
from freqtrade.exceptions import OperationalException
|
||||
from freqtrade.misc import chunks
|
||||
from freqtrade.plugins.pairlist.IPairList import IPairList
|
||||
|
||||
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
|
||||
class MarketCapPairList(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)
|
||||
|
||||
if 'number_assets' not in self._pairlistconfig:
|
||||
raise OperationalException(
|
||||
'`number_assets` not specified. Please check your configuration '
|
||||
'for "pairlist.config.number_assets"')
|
||||
if (not type(self._pairlistconfig['number_assets']) is int) or (
|
||||
int(self._pairlistconfig['number_assets']) <= 0):
|
||||
raise OperationalException(
|
||||
'"number_assets" should be a positive integer. '
|
||||
'Please edit your config and restart the bot.'
|
||||
)
|
||||
self._number_pairs = int(self._pairlistconfig['number_assets'])
|
||||
|
||||
self._stake_currency = config['stake_currency']
|
||||
self._refresh_period = self._pairlistconfig.get('refresh_period', 6*60*60)
|
||||
self._marketcap_cache: TTLCache = TTLCache(maxsize=1, ttl=self._refresh_period)
|
||||
self._cg = CoinGeckoAPI()
|
||||
self._marketcap_ranks: Dict[str, Any] = {}
|
||||
self._coins_list: Dict[str, str] = {}
|
||||
|
||||
if not self._exchange.exchange_has('fetchTickers'):
|
||||
raise OperationalException(
|
||||
'Exchange does not support dynamic whitelist. '
|
||||
'Please edit your config and restart the bot.'
|
||||
)
|
||||
|
||||
@property
|
||||
def needstickers(self) -> bool:
|
||||
"""
|
||||
Boolean property defining if tickers are necessary.
|
||||
If no Pairlist requires tickers, an empty Dict 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} - top {self._pairlistconfig['number_assets']} marketcap pairs."
|
||||
|
||||
def _request_coins_list(self):
|
||||
"""
|
||||
Update the symbol -> coin id mapping. Coin ids are needed to request market data
|
||||
for single coins.
|
||||
"""
|
||||
coins_list = self._cg.get_coins_list()
|
||||
for x in coins_list:
|
||||
# yes, lower() is needed as there are a few uppercase symbols
|
||||
symbol = x['symbol'].lower()
|
||||
cid = x['id']
|
||||
|
||||
# ignore binance-peg-
|
||||
if 'binance-peg-' in cid:
|
||||
continue
|
||||
# ignore -bsc
|
||||
if cid.endswith('-bsc'):
|
||||
continue
|
||||
# yes, not all symbols are unique.
|
||||
if symbol in self._coins_list:
|
||||
# in a few cases the id matches the symbol
|
||||
# we have that version already, keep it.
|
||||
if self._coins_list[symbol] == symbol:
|
||||
continue
|
||||
# the new one matches, use it.
|
||||
elif cid == symbol:
|
||||
self._coins_list[symbol]
|
||||
else:
|
||||
self._coins_list[symbol] = list(flatten([self._coins_list[symbol], cid]))
|
||||
else:
|
||||
self._coins_list[symbol] = cid
|
||||
|
||||
def _request_marketcap_ranks(self):
|
||||
"""
|
||||
To keep the request count low, download the most common coins.
|
||||
Then update all coins that where not in the top 250 ranks.
|
||||
"""
|
||||
ids = []
|
||||
|
||||
# there might be some stuff to add here..
|
||||
# probably also needs to be configurable and/or have
|
||||
# exchange specific settings
|
||||
symbol_map = {
|
||||
'acm': 'ac-milan-fan-token',
|
||||
'ant': 'aragon',
|
||||
'atm': 'atletico-madrid',
|
||||
'bat': 'basic-attention-token',
|
||||
'bts': 'bitshares',
|
||||
'comp': 'compound-governance-token',
|
||||
'dego': 'dego-finance',
|
||||
'eps': 'ellipsis',
|
||||
'grt': 'the-graph',
|
||||
'hnt': 'helium',
|
||||
'hot': 'holotoken',
|
||||
'iota': 'miota',
|
||||
'lit': 'litentry',
|
||||
'luna': 'terra-luna',
|
||||
'mask': 'mask-network',
|
||||
'mdx': 'mdex',
|
||||
'mir': 'mirror-protocol',
|
||||
'og': 'og-fan-token',
|
||||
'one': 'harmony',
|
||||
'pax': 'paxos-standard',
|
||||
'pnt': 'pnetwork',
|
||||
'rune': 'thorchain',
|
||||
'sand': 'the-sandbox',
|
||||
'stx': 'blockstack',
|
||||
'super': 'superfarm',
|
||||
'tct': 'tokenclub',
|
||||
'trb': 'tellor',
|
||||
'tru': 'truefi',
|
||||
'trx': 'tron',
|
||||
'uni': 'uniswap',
|
||||
'wing': 'wing-finance',
|
||||
}
|
||||
|
||||
for symbol in self._marketcap_ranks.keys():
|
||||
# symbol needs mapping
|
||||
if symbol in symbol_map:
|
||||
ids.append(symbol_map[symbol])
|
||||
elif symbol in self._coins_list:
|
||||
_id = self._coins_list[symbol]
|
||||
# symbol is not unique (sigh!)
|
||||
if type(_id) == list:
|
||||
pair = symbol.upper() + f'/{self._stake_currency}'
|
||||
_id_text = ', '.join(_id)
|
||||
self.log_once(f'Symbol for {pair} is not unique on coingecko '
|
||||
f'({_id_text}), dropping.', logger.warning)
|
||||
continue
|
||||
ids.append(_id)
|
||||
elif symbol in self._coins_list.values():
|
||||
# try to add some symbols automatically
|
||||
symbol_map[symbol] = [k for k, v in self._coins_list.items() if v == symbol][0]
|
||||
ids.append(symbol)
|
||||
|
||||
# reverse map
|
||||
rev_symbol_map = {v: k for k, v in symbol_map.items()}
|
||||
|
||||
_marketcap_ranks = {}
|
||||
|
||||
# seems coingecko limits the number of ids to 52, using 50.
|
||||
for _ids in chunks(ids, 50):
|
||||
base_marketkaps = self._cg.get_coins_markets(
|
||||
vs_currency='usd',
|
||||
ids=','.join(_ids),
|
||||
order='market_cap_desc',
|
||||
per_page=len(ids),
|
||||
sparkline=False,
|
||||
page=1)
|
||||
for x in base_marketkaps:
|
||||
# same here, keep symbol lowercase.
|
||||
_symbol = x['symbol'].lower()
|
||||
if _symbol in rev_symbol_map:
|
||||
_symbol = rev_symbol_map[_symbol]
|
||||
_marketcap_ranks[_symbol] = x['market_cap_rank']
|
||||
|
||||
for x in self._marketcap_ranks.keys():
|
||||
if x not in _marketcap_ranks:
|
||||
_marketcap_ranks[x] = None
|
||||
self._marketcap_ranks = _marketcap_ranks
|
||||
|
||||
def update_marketcap_ranks(self, symbols: List[str]):
|
||||
"""
|
||||
Updates the dict containing the marketcap ranks of the requested
|
||||
list of symbols, if needed.
|
||||
"""
|
||||
marketcaps_uptodate = self._marketcap_cache.get('marketcaps_uptodate')
|
||||
startup = not (self._marketcap_ranks and self._coins_list)
|
||||
|
||||
for symbol in symbols:
|
||||
if symbol.lower() not in self._marketcap_ranks:
|
||||
marketcaps_uptodate = False
|
||||
self._marketcap_ranks[symbol.lower()] = None
|
||||
if not marketcaps_uptodate:
|
||||
try:
|
||||
self._request_coins_list()
|
||||
self._request_marketcap_ranks()
|
||||
except Exception as e:
|
||||
if startup:
|
||||
raise OperationalException(
|
||||
f'Failed to download marketcap data from coingecko: {e}'
|
||||
)
|
||||
else:
|
||||
self.log_once(
|
||||
'Failed to update marketcap data from coingecko: .'
|
||||
f'{e}. Using old data.',
|
||||
logger.warning)
|
||||
else:
|
||||
self._marketcap_cache['marketcaps_uptodate'] = True
|
||||
|
||||
def gen_pairlist(self, tickers: Dict) -> List[str]:
|
||||
"""
|
||||
Generate the pairlist
|
||||
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
|
||||
:return: List of pairs
|
||||
"""
|
||||
|
||||
# using the pairlist from the exchange works, but if the list is long, it will create a very
|
||||
# long startup time due to coingecko rate limits. Might be worth to add an config option
|
||||
# with a big warning.
|
||||
pairlist = self._whitelist_for_active_markets(
|
||||
self.verify_whitelist(self._config['exchange']['pair_whitelist'], logger.info))
|
||||
return self.filter_pairlist(pairlist, tickers)
|
||||
|
||||
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
|
||||
"""
|
||||
Filters and sorts pairlist and returns the whitelist again.
|
||||
Called on each bot iteration - please use internal caching if necessary
|
||||
:param pairlist: pairlist to filter or sort
|
||||
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
|
||||
:return: new whitelist
|
||||
"""
|
||||
symbols = [p.replace(f'/{self._stake_currency}', '').lower() for p in pairlist]
|
||||
self.update_marketcap_ranks(symbols)
|
||||
|
||||
marketcap_ranks = {}
|
||||
for symbol in symbols:
|
||||
rank = self._marketcap_ranks[symbol]
|
||||
if not rank:
|
||||
pair = symbol.upper() + f'/{self._stake_currency}'
|
||||
self.log_once(f'No known marketcap for {pair}, dropping.', logger.warning)
|
||||
continue
|
||||
marketcap_ranks[symbol] = rank
|
||||
|
||||
# sort marketcaps
|
||||
pairlist = [
|
||||
k.upper() + f'/{self._stake_currency}'
|
||||
for k, v in sorted(marketcap_ranks.items(), key=lambda x: x[1])
|
||||
]
|
||||
|
||||
# Validate whitelist to only have active market pairs
|
||||
pairlist = self._whitelist_for_active_markets(pairlist)
|
||||
pairlist = self.verify_blacklist(pairlist, logger.info)
|
||||
# Limit pairlist to the requested number of pairs
|
||||
pairlist = pairlist[:self._number_pairs]
|
||||
self.log_once(f"Searching {self._number_pairs} pairs: {pairlist}", logger.info)
|
||||
|
||||
return pairlist
|
||||
Loading…
Reference in New Issue
Block a user