From 7cbd89657f1f477451d91c962f1fad260858385c Mon Sep 17 00:00:00 2001 From: Leif Segen Date: Fri, 27 Nov 2020 21:24:40 -0600 Subject: [PATCH] Initial step towards implementing proposed code --- freqtrade/constants.py | 2 +- freqtrade/pairlist/PerformanceFilter.py | 61 +++++++++++++++++++++++++ tests/pairlist/test_pairlist.py | 22 ++++++++- 3 files changed, 83 insertions(+), 2 deletions(-) create mode 100644 freqtrade/pairlist/PerformanceFilter.py diff --git a/freqtrade/constants.py b/freqtrade/constants.py index 3271dda39..f47301fa6 100644 --- a/freqtrade/constants.py +++ b/freqtrade/constants.py @@ -25,7 +25,7 @@ HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss', 'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily'] AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'AgeFilter', 'PrecisionFilter', 'PriceFilter', - 'ShuffleFilter', 'SpreadFilter'] + 'ShuffleFilter', 'SpreadFilter', 'PerformanceFilter'] AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5'] DRY_RUN_WALLET = 1000 DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S' diff --git a/freqtrade/pairlist/PerformanceFilter.py b/freqtrade/pairlist/PerformanceFilter.py new file mode 100644 index 000000000..e689ba0bc --- /dev/null +++ b/freqtrade/pairlist/PerformanceFilter.py @@ -0,0 +1,61 @@ +""" +Performance pair list filter +""" +import logging +import random +from typing import Any, Dict, List + +import pandas as pd +from pandas import DataFrame, Series + +from freqtrade.pairlist.IPairList import IPairList + +from freqtrade.persistence import Trade +from datetime import timedelta, datetime, timezone + +logger = logging.getLogger(__name__) + +class PerformanceFilter(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) + + + @property + def needstickers(self) -> bool: + """ + Boolean property defining if tickers are necessary. + If no Pairlist requries tickers, an empty List is passed + as tickers argument to filter_pairlist + """ + return False + + def short_desc(self) -> str: + """ + Short whitelist method description - used for startup-messages + """ + return f"{self.name} - Sorting pairs by performance." + + 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 + """ + + # Get the trading performance for pairs from database + perf = pd.DataFrame(Trade.get_overall_performance()) + # update pairlist with values from performance dataframe + # set initial value for pairs with no trades to 0 + # and sort the list using performance and count + list_df = pd.DataFrame({'pair':pairlist}) + sorted_df = list_df.join(perf.set_index('pair'), on='pair')\ + .fillna(0).sort_values(by=['profit', 'count'], ascending=False) + pairlist = sorted_df['pair'].tolist() + + + return pairlist \ No newline at end of file diff --git a/tests/pairlist/test_pairlist.py b/tests/pairlist/test_pairlist.py index 1f05bef1e..2643a0bd8 100644 --- a/tests/pairlist/test_pairlist.py +++ b/tests/pairlist/test_pairlist.py @@ -246,7 +246,7 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): {"method": "PrecisionFilter"}, {"method": "PriceFilter", "low_price_ratio": 0.03}, {"method": "SpreadFilter", "max_spread_ratio": 0.005}, - {"method": "ShuffleFilter"}], + {"method": "ShuffleFilter"}, {"method": "PerformanceFilter"}], "ETH", []), # AgeFilter and VolumePairList (require 2 days only, all should pass age test) ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, @@ -302,6 +302,18 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, {"method": "ShuffleFilter"}], "USDT", 3), # whitelist_result is integer -- check only length of randomized pairlist + # PerformanceFilter + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "PerformanceFilter", "seed": 77}], + "USDT", ['ADADOUBLE/USDT', 'ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT']), + # PerformanceFilter, other seed + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "PerformanceFilter", "seed": 42}], + "USDT", ['ADAHALF/USDT', 'NANO/USDT', 'ADADOUBLE/USDT', 'ETH/USDT']), + # PerformanceFilter, no seed + ([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}, + {"method": "PerformanceFilter"}], + "USDT", 3), # whitelist_result is integer -- check only length of randomized pairlist # AgeFilter only ([{"method": "AgeFilter", "min_days_listed": 2}], "BTC", 'filter_at_the_beginning'), # OperationalException expected @@ -326,6 +338,13 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf): # ShuffleFilter only ([{"method": "ShuffleFilter", "seed": 42}], "BTC", 'filter_at_the_beginning'), # OperationalException expected + # PrecisionFilter after StaticPairList + ([{"method": "StaticPairList"}, + {"method": "PrecisionFilter", "seed": 42}], + "BTC", ['TKN/BTC', 'ETH/BTC', 'HOT/BTC']), + # PrecisionFilter only + ([{"method": "PrecisionFilter", "seed": 42}], + "BTC", 'filter_at_the_beginning'), # OperationalException expected # SpreadFilter after StaticPairList ([{"method": "StaticPairList"}, {"method": "SpreadFilter", "max_spread_ratio": 0.005}], @@ -379,6 +398,7 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t assert isinstance(whitelist, list) # Verify length of pairlist matches (used for ShuffleFilter without seed) + # TBD if this applies to PerformanceFilter if type(whitelist_result) is list: assert whitelist == whitelist_result else: