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Use async to get candle data for pairlists

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This commit is contained in:
Matthias 2020-12-15 20:38:26 +01:00
parent c8dde63227
commit 3c85d5201f
3 changed files with 55 additions and 40 deletions
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46
freqtrade/pairlist/AgeFilter.py
View File

@ -2,7 +2,7 @@
Minimum age (days listed) pair list filter
"""
import logging
from typing import Any, Dict
from typing import Any, Dict, List
import arrow
@ -49,36 +49,32 @@ class AgeFilter(IPairList):
return (f"{self.name} - Filtering pairs with age less than "
f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.")
def _validate_pair(self, pair: str, ticker: Dict[str, Any]) -> bool:
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Validate age for the ticker
:param pair: Pair that's currently validated
:param ticker: ticker dict as returned from ccxt.load_markets()
:return: True if the pair can stay, false if it should be removed
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist
"""
# Check symbol in cache
if ticker['symbol'] in self._symbolsChecked:
return True
needed_pairs = [(p, '1d') for p in pairlist if p not in self._symbolsChecked]
if not needed_pairs:
return pairlist
since_ms = int(arrow.utcnow()
.floor('day')
.shift(days=-self._min_days_listed)
.shift(days=-self._min_days_listed - 1)
.float_timestamp) * 1000
candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, cache=False)
pairlist_new = []
if self._enabled:
for p, _ in needed_pairs:
daily_candles = self._exchange.get_historic_ohlcv(pair=ticker['symbol'],
timeframe='1d',
since_ms=since_ms)
if daily_candles is not None:
if len(daily_candles) > self._min_days_listed:
# We have fetched at least the minimum required number of daily candles
# Add to cache, store the time we last checked this symbol
self._symbolsChecked[ticker['symbol']] = int(arrow.utcnow().float_timestamp) * 1000
return True
age = len(candles[(p, '1d')]) if (p, '1d') in candles else 0
if age > self._min_days_listed:
pairlist_new.append(p)
self._symbolsChecked[p] = int(arrow.utcnow().float_timestamp) * 1000
else:
self.log_once(f"Removed {ticker['symbol']} from whitelist, because age "
f"{len(daily_candles)} is less than {self._min_days_listed} "
self.log_once(f"Removed {p} from whitelist, because age "
f"{age} is less than {self._min_days_listed} "
f"{plural(self._min_days_listed, 'day')}", logger.info)
return False
return False
logger.info(f"Validated {len(pairlist_new)} pairs.")
return pairlist_new

4
freqtrade/pairlist/pairlistmanager.py
View File

@ -3,7 +3,7 @@ PairList manager class
"""
import logging
from copy import deepcopy
from typing import Dict, List
from typing import Any, Dict, List
from cachetools import TTLCache, cached
@ -97,7 +97,7 @@ class PairListManager():
self._whitelist = pairlist
def _prepare_whitelist(self, pairlist: List[str], tickers) -> List[str]:
def _prepare_whitelist(self, pairlist: List[str], tickers: Dict[str, Any]) -> List[str]:
"""
Prepare sanitized pairlist for Pairlist Handlers that use tickers data - remove
pairs that do not have ticker available

41
freqtrade/pairlist/rangestabilityfilter.py
View File

@ -1,8 +1,9 @@
"""
Rate of change pairlist filter
"""
from copy import deepcopy
import logging
from typing import Any, Dict
from typing import Any, Dict, List
import arrow
from cachetools.ttl import TTLCache
@ -51,7 +52,33 @@ class RangeStabilityFilter(IPairList):
return (f"{self.name} - Filtering pairs with rate of change below "
f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.")
def _validate_pair(self, pair: str, ticker: Dict[str, Any]) -> bool:
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Validate trading range
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new allowlist
"""
needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache]
since_ms = int(arrow.utcnow()
.floor('day')
.shift(days=-self._days - 1)
.float_timestamp) * 1000
# Get all candles
candles = {}
if needed_pairs:
candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms,
cache=False)
if self._enabled:
for p in deepcopy(pairlist):
daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
if not self._validate_pair_loc(p, daily_candles):
pairlist.remove(p)
return pairlist
def _validate_pair_loc(self, pair: str, daily_candles: Dict[str, Any]) -> bool:
"""
Validate trading range
:param pair: Pair that's currently validated
@ -62,14 +89,6 @@ class RangeStabilityFilter(IPairList):
if pair in self._pair_cache:
return self._pair_cache[pair]
since_ms = int(arrow.utcnow()
.floor('day')
.shift(days=-self._days)
.float_timestamp) * 1000
daily_candles = self._exchange.get_historic_ohlcv_as_df(pair=pair,
timeframe='1d',
since_ms=since_ms)
result = False
if daily_candles is not None and not daily_candles.empty:
highest_high = daily_candles['high'].max()
@ -79,7 +98,7 @@ class RangeStabilityFilter(IPairList):
result = True
else:
self.log_once(f"Removed {pair} from whitelist, because rate of change "
f"over {plural(self._days, 'day')} is {pct_change:.3f}, "
f"over {self._days} {plural(self._days, 'day')} is {pct_change:.3f}, "
f"which is below the threshold of {self._min_rate_of_change}.",
logger.info)
result = False