Merge pull request #5231 from nightshift2k/enhancement/range-based-volumefilter
Range based VolumeFilter
This commit is contained in:
Matthias
GitHub
@@ -6,9 +6,12 @@ Provides dynamic pair list based on trade volumes
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import logging
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from typing import Any, Dict, List
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import arrow
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from cachetools.ttl import TTLCache
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.misc import format_ms_time
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from freqtrade.plugins.pairlist.IPairList import IPairList
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@@ -36,6 +39,35 @@ class VolumePairList(IPairList):
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self._min_value = self._pairlistconfig.get('min_value', 0)
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self._refresh_period = self._pairlistconfig.get('refresh_period', 1800)
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self._pair_cache: TTLCache = TTLCache(maxsize=1, ttl=self._refresh_period)
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self._lookback_days = self._pairlistconfig.get('lookback_days', 0)
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self._lookback_timeframe = self._pairlistconfig.get('lookback_timeframe', '1d')
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self._lookback_period = self._pairlistconfig.get('lookback_period', 0)
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if (self._lookback_days > 0) & (self._lookback_period > 0):
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raise OperationalException(
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'Ambigous configuration: lookback_days and lookback_period both set in pairlist '
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'config. Please set lookback_days only or lookback_period and lookback_timeframe '
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'and restart the bot.'
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)
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# overwrite lookback timeframe and days when lookback_days is set
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if self._lookback_days > 0:
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self._lookback_timeframe = '1d'
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self._lookback_period = self._lookback_days
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# get timeframe in minutes and seconds
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self._tf_in_min = timeframe_to_minutes(self._lookback_timeframe)
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self._tf_in_sec = self._tf_in_min * 60
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# wether to use range lookback or not
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self._use_range = (self._tf_in_min > 0) & (self._lookback_period > 0)
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if self._use_range & (self._refresh_period < self._tf_in_sec):
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raise OperationalException(
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f'Refresh period of {self._refresh_period} seconds is smaller than one '
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f'timeframe of {self._lookback_timeframe}. Please adjust refresh_period '
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f'to at least {self._tf_in_sec} and restart the bot.'
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)
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if not self._exchange.exchange_has('fetchTickers'):
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raise OperationalException(
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@@ -47,6 +79,13 @@ class VolumePairList(IPairList):
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raise OperationalException(
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f'key {self._sort_key} not in {SORT_VALUES}')
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if self._lookback_period < 0:
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raise OperationalException("VolumeFilter requires lookback_period to be >= 0")
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if self._lookback_period > exchange.ohlcv_candle_limit(self._lookback_timeframe):
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raise OperationalException("VolumeFilter requires lookback_period to not "
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"exceed exchange max request size "
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f"({exchange.ohlcv_candle_limit(self._lookback_timeframe)})")
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@property
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def needstickers(self) -> bool:
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"""
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@@ -78,7 +117,6 @@ class VolumePairList(IPairList):
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# Item found - no refresh necessary
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return pairlist
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else:
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# Use fresh pairlist
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# Check if pair quote currency equals to the stake currency.
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filtered_tickers = [
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@@ -103,6 +141,60 @@ class VolumePairList(IPairList):
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# Use the incoming pairlist.
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filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
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# get lookback period in ms, for exchange ohlcv fetch
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if self._use_range:
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since_ms = int(arrow.utcnow()
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.floor('minute')
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.shift(minutes=-(self._lookback_period * self._tf_in_min)
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- self._tf_in_min)
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.int_timestamp) * 1000
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to_ms = int(arrow.utcnow()
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.floor('minute')
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.shift(minutes=-self._tf_in_min)
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.int_timestamp) * 1000
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# todo: utc date output for starting date
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self.log_once(f"Using volume range of {self._lookback_period} candles, timeframe: "
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f"{self._lookback_timeframe}, starting from {format_ms_time(since_ms)} "
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f"till {format_ms_time(to_ms)}", logger.info)
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needed_pairs = [
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(p, self._lookback_timeframe) for p in
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[
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s['symbol'] for s in filtered_tickers
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] if p not in self._pair_cache
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]
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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(
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needed_pairs, since_ms=since_ms, cache=False
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)
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for i, p in enumerate(filtered_tickers):
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pair_candles = candles[
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(p['symbol'], self._lookback_timeframe)
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] if (p['symbol'], self._lookback_timeframe) in candles else None
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# in case of candle data calculate typical price and quoteVolume for candle
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if pair_candles is not None and not pair_candles.empty:
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pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low']
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+ pair_candles['close']) / 3
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pair_candles['quoteVolume'] = (
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pair_candles['volume'] * pair_candles['typical_price']
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)
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# ensure that a rolling sum over the lookback_period is built
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# if pair_candles contains more candles than lookback_period
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quoteVolume = (pair_candles['quoteVolume']
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.rolling(self._lookback_period)
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.sum()
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.iloc[-1])
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# replace quoteVolume with range quoteVolume sum calculated above
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filtered_tickers[i]['quoteVolume'] = quoteVolume
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else:
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filtered_tickers[i]['quoteVolume'] = 0
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if self._min_value > 0:
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filtered_tickers = [
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v for v in filtered_tickers if v[self._sort_key] > self._min_value]
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