Merge pull request #7663 from freqtrade/shuffle_list_enhance

Improve ShufflePairlist to shuffle only once per candle
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Matthias 2022-11-02 19:37:48 +01:00 committed by GitHub
commit 2c3c7e1e3a
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4 changed files with 44 additions and 7 deletions

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@ -286,6 +286,18 @@ Min price precision for SHITCOIN/BTC is 8 decimals. If its price is 0.00000011 -
Shuffles (randomizes) pairs in the pairlist. It can be used for preventing the bot from trading some of the pairs more frequently then others when you want all pairs be treated with the same priority.
By default, ShuffleFilter will shuffle pairs once per candle.
To shuffle on every iteration, set `"shuffle_frequency"` to `"iteration"` instead of the default of `"candle"`.
``` json
{
"method": "ShuffleFilter",
"shuffle_frequency": "candle",
"seed": 42
}
```
!!! Tip
You may set the `seed` value for this Pairlist to obtain reproducible results, which can be useful for repeated backtesting sessions. If `seed` is not set, the pairs are shuffled in the non-repeatable random order. ShuffleFilter will automatically detect runmodes and apply the `seed` only for backtesting modes - if a `seed` value is set.

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@ -36,7 +36,6 @@ class IPairList(LoggingMixin, ABC):
self._pairlistconfig = pairlistconfig
self._pairlist_pos = pairlist_pos
self.refresh_period = self._pairlistconfig.get('refresh_period', 1800)
self._last_refresh = 0
LoggingMixin.__init__(self, logger, self.refresh_period)
@property

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@ -3,16 +3,20 @@ Shuffle pair list filter
"""
import logging
import random
from typing import Any, Dict, List
from typing import Any, Dict, List, Literal
from freqtrade.constants import Config
from freqtrade.enums import RunMode
from freqtrade.exchange import timeframe_to_seconds
from freqtrade.exchange.types import Tickers
from freqtrade.plugins.pairlist.IPairList import IPairList
from freqtrade.util.periodic_cache import PeriodicCache
logger = logging.getLogger(__name__)
ShuffleValues = Literal['candle', 'iteration']
class ShuffleFilter(IPairList):
@ -31,6 +35,9 @@ class ShuffleFilter(IPairList):
logger.info(f"Backtesting mode detected, applying seed value: {self._seed}")
self._random = random.Random(self._seed)
self._shuffle_freq: ShuffleValues = pairlistconfig.get('shuffle_frequency', 'candle')
self.__pairlist_cache = PeriodicCache(
maxsize=1000, ttl=timeframe_to_seconds(self._config['timeframe']))
@property
def needstickers(self) -> bool:
@ -45,7 +52,7 @@ class ShuffleFilter(IPairList):
"""
Short whitelist method description - used for startup-messages
"""
return (f"{self.name} - Shuffling pairs" +
return (f"{self.name} - Shuffling pairs every {self._shuffle_freq}" +
(f", seed = {self._seed}." if self._seed is not None else "."))
def filter_pairlist(self, pairlist: List[str], tickers: Tickers) -> List[str]:
@ -56,7 +63,13 @@ class ShuffleFilter(IPairList):
:param tickers: Tickers (from exchange.get_tickers). May be cached.
:return: new whitelist
"""
pairlist_bef = tuple(pairlist)
pairlist_new = self.__pairlist_cache.get(pairlist_bef)
if pairlist_new and self._shuffle_freq == 'candle':
# Use cached pairlist.
return pairlist_new
# Shuffle is done inplace
self._random.shuffle(pairlist)
self.__pairlist_cache[pairlist_bef] = pairlist
return pairlist

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@ -2,6 +2,8 @@
import logging
import time
from copy import deepcopy
from datetime import timedelta
from unittest.mock import MagicMock, PropertyMock
import pandas as pd
@ -719,15 +721,26 @@ def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
def test_ShuffleFilter_init(mocker, whitelist_conf, caplog) -> None:
whitelist_conf['pairlists'] = [
{"method": "StaticPairList"},
{"method": "ShuffleFilter", "seed": 42}
{"method": "ShuffleFilter", "seed": 43}
]
exchange = get_patched_exchange(mocker, whitelist_conf)
PairListManager(exchange, whitelist_conf)
assert log_has("Backtesting mode detected, applying seed value: 42", caplog)
plm = PairListManager(exchange, whitelist_conf)
assert log_has("Backtesting mode detected, applying seed value: 43", caplog)
with time_machine.travel("2021-09-01 05:01:00 +00:00") as t:
plm.refresh_pairlist()
pl1 = deepcopy(plm.whitelist)
plm.refresh_pairlist()
assert plm.whitelist == pl1
t.shift(timedelta(minutes=10))
plm.refresh_pairlist()
assert plm.whitelist != pl1
caplog.clear()
whitelist_conf['runmode'] = RunMode.DRY_RUN
PairListManager(exchange, whitelist_conf)
plm = PairListManager(exchange, whitelist_conf)
assert not log_has("Backtesting mode detected, applying seed value: 42", caplog)
assert log_has("Live mode detected, not applying seed.", caplog)