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added meaningful logging of used lookback range

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nightshift2k 2021-07-04 11:16:33 +02:00
parent 53f963dd73
commit 348dbeff3f
1 changed files with 17 additions and 6 deletions
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21
freqtrade/plugins/pairlist/VolumePairList.py
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@ -12,6 +12,7 @@ from cachetools.ttl import TTLCache
from freqtrade.exceptions import OperationalException from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes from freqtrade.exchange import timeframe_to_minutes
from freqtrade.plugins.pairlist.IPairList import IPairList from freqtrade.plugins.pairlist.IPairList import IPairList
from freqtrade.misc import format_ms_time
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -41,6 +42,12 @@ class VolumePairList(IPairList):
self._lookback_timeframe = self._pairlistconfig.get('lookback_timeframe', '1d') self._lookback_timeframe = self._pairlistconfig.get('lookback_timeframe', '1d')
self._lookback_period = self._pairlistconfig.get('lookback_period', 0) self._lookback_period = self._pairlistconfig.get('lookback_period', 0)
if (self._lookback_days > 0) & (self._lookback_period > 0):
raise OperationalException(
f'Ambigous configuration: lookback_days and lookback_period both set in pairlist config. '
f'Please set lookback_days only or lookback_period and lookback_timeframe and restart the bot.'
)
# overwrite lookback timeframe and days when lookback_days is set # overwrite lookback timeframe and days when lookback_days is set
if self._lookback_days > 0: if self._lookback_days > 0:
self._lookback_timeframe = '1d' self._lookback_timeframe = '1d'
@ -50,6 +57,7 @@ class VolumePairList(IPairList):
self._tf_in_min = timeframe_to_minutes(self._lookback_timeframe) self._tf_in_min = timeframe_to_minutes(self._lookback_timeframe)
self._tf_in_sec = self._tf_in_min * 60 self._tf_in_sec = self._tf_in_min * 60
# wether to use range lookback or not
self._use_range = (self._tf_in_min > 0) & (self._lookback_period > 0) self._use_range = (self._tf_in_min > 0) & (self._lookback_period > 0)
if self._use_range & (self._refresh_period < self._tf_in_sec): if self._use_range & (self._refresh_period < self._tf_in_sec):
@ -138,7 +146,13 @@ class VolumePairList(IPairList):
.shift(minutes=-(self._lookback_period * self._tf_in_min) - self._tf_in_min) .shift(minutes=-(self._lookback_period * self._tf_in_min) - self._tf_in_min)
.float_timestamp) * 1000 .float_timestamp) * 1000
self.log_once(f"Using volume range of {self._lookback_period} {self._lookback_timeframe} candles from {since_ms}", logger.info) to_ms = int(arrow.utcnow()
.floor('minute')
.shift(minutes=-self._tf_in_min)
.float_timestamp) * 1000
# todo: utc date output for starting date
self.log_once(f"Using volume range of {self._lookback_period} candles, timeframe: {self._lookback_timeframe}, starting from {format_ms_time(since_ms)} till {format_ms_time(to_ms)}", logger.info)
needed_pairs = [(p, self._lookback_timeframe) for p in [s['symbol'] for s in filtered_tickers] if p not in self._pair_cache] needed_pairs = [(p, self._lookback_timeframe) for p in [s['symbol'] for s in filtered_tickers] if p not in self._pair_cache]
# Get all candles # Get all candles
@ -148,18 +162,15 @@ class VolumePairList(IPairList):
for i,p in enumerate(filtered_tickers): for i,p in enumerate(filtered_tickers):
pair_candles = candles[(p['symbol'], self._lookback_timeframe)] if (p['symbol'], self._lookback_timeframe) in candles else None pair_candles = candles[(p['symbol'], self._lookback_timeframe)] if (p['symbol'], self._lookback_timeframe) in candles else None
# print(p['symbol'], " 24h quote volume = ",filtered_tickers[i]['quoteVolume'])
# in case of candle data calculate typical price and quoteVolume for candle # in case of candle data calculate typical price and quoteVolume for candle
if not pair_candles.empty: if not pair_candles.empty:
pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low'] + pair_candles['close']) / 3 pair_candles['typical_price'] = (pair_candles['high'] + pair_candles['low'] + pair_candles['close']) / 3
pair_candles['quoteVolume'] = pair_candles['volume'] * pair_candles['typical_price'] pair_candles['quoteVolume'] = pair_candles['volume'] * pair_candles['typical_price']
# replace quoteVolume with range sum # replace quoteVolume with range quoteVolume sum calculated above
filtered_tickers[i]['quoteVolume'] = pair_candles['quoteVolume'].sum() filtered_tickers[i]['quoteVolume'] = pair_candles['quoteVolume'].sum()
else: else:
filtered_tickers[i]['quoteVolume'] = 0 filtered_tickers[i]['quoteVolume'] = 0
# print(p['symbol'], " range quote volume = ",filtered_tickers[i]['quoteVolume'])
if self._min_value > 0: if self._min_value > 0:
filtered_tickers = [ filtered_tickers = [
v for v in filtered_tickers if v[self._sort_key] > self._min_value] v for v in filtered_tickers if v[self._sort_key] > self._min_value]