Merge pull request #2606 from freqtrade/volume_tester

Subcommand: test-pairlist

docs/backtesting.md

@@ -11,14 +11,15 @@ Now you have good Buy and Sell strategies and some historic data, you want to te
 real data. This is what we call
 [backtesting](https://en.wikipedia.org/wiki/Backtesting).
 
-Backtesting will use the crypto-currencies (pairs) from your config file
+Backtesting will use the crypto-currencies (pairs) from your config file and load ticker data from `user_data/data/<exchange>` by default.
-and load ticker data from `user_data/data/<exchange>` by default.
+If no data is available for the exchange / pair / ticker interval combination, backtesting will ask you to download them first using `freqtrade download-data`.
-If no data is available for the exchange / pair / ticker interval combination, backtesting will
-ask you to download them first using `freqtrade download-data`.
 For details on downloading, please refer to the [Data Downloading](data-download.md) section in the documentation.
 
 The result of backtesting will confirm if your bot has better odds of making a profit than a loss.
 
+!!! Tip "Using dynamic pairlists for backtesting"
+    While using dynamic pairlists during backtesting is not possible, a dynamic pairlist using current data can be generated via the [`test-pairlist`](utils.md#test-pairlist) command, and needs to be specified as `"pair_whitelist"` attribute in the configuration.
+
 ### Run a backtesting against the currencies listed in your config file
 
 #### With 5 min tickers (Per default)

docs/configuration.md

@@ -405,6 +405,9 @@ Inactive markets and blacklisted pairs are always removed from the resulting `pa
 * [`PrecisionFilter`](#precision-filter)
 * [`PriceFilter`](#price-pair-filter)
 
+!!! Tip "Testing pairlists"
+    Pairlist configurations can be quite tricky to get right. Best use the [`test-pairlist`](utils.md#test-pairlist) subcommand to test your configuration quickly.
+
 #### Static Pair List
 
 By default, the `StaticPairList` method is used, which uses a statically defined pair whitelist from the configuration. 

docs/utils.md

@@ -43,20 +43,6 @@ The file will be named inline with your class name, and will not overwrite exist
 
 Results will be located in `user_data/strategies/<strategyclassname>.py`.
 
-### Sample usage of new-strategy
-
-```bash
-freqtrade new-strategy --strategy AwesomeStrategy
-```
-
-With custom user directory
-
-```bash
-freqtrade new-strategy --userdir ~/.freqtrade/ --strategy AwesomeStrategy
-```
-
-### new-strategy complete options
-
 ``` output
 usage: freqtrade new-strategy [-h] [--userdir PATH] [-s NAME]
                               [--template {full,minimal}]
@@ -75,6 +61,18 @@ optional arguments:
 
 ```
 
+### Sample usage of new-strategy
+
+```bash
+freqtrade new-strategy --strategy AwesomeStrategy
+```
+
+With custom user directory
+
+```bash
+freqtrade new-strategy --userdir ~/.freqtrade/ --strategy AwesomeStrategy
+```
+
 ## Create new hyperopt
 
 Creates a new hyperopt from a template similar to SampleHyperopt.
@@ -82,20 +80,6 @@ The file will be named inline with your class name, and will not overwrite exist
 
 Results will be located in `user_data/hyperopts/<classname>.py`.
 
-### Sample usage of new-hyperopt
-
-```bash
-freqtrade new-hyperopt --hyperopt AwesomeHyperopt
-```
-
-With custom user directory
-
-```bash
-freqtrade new-hyperopt --userdir ~/.freqtrade/ --hyperopt AwesomeHyperopt
-```
-
-### new-hyperopt complete options
-
 ``` output
 usage: freqtrade new-hyperopt [-h] [--userdir PATH] [--hyperopt NAME]
                               [--template {full,minimal}]
@@ -112,6 +96,18 @@ optional arguments:
                         `full`.
 ```
 
+### Sample usage of new-hyperopt
+
+```bash
+freqtrade new-hyperopt --hyperopt AwesomeHyperopt
+```
+
+With custom user directory
+
+```bash
+freqtrade new-hyperopt --userdir ~/.freqtrade/ --hyperopt AwesomeHyperopt
+```
+
 ## List Exchanges
 
 Use the `list-exchanges` subcommand to see the exchanges available for the bot.
@@ -234,3 +230,35 @@ $ freqtrade -c config_binance.json list-pairs --all --base BTC ETH --quote USDT
 ```
 $ freqtrade list-markets --exchange kraken --all
 ```
+
+## Test pairlist
+
+Use the `test-pairlist` subcommand to test the configuration of [dynamic pairlists](configuration.md#pairlists).
+
+Requires a configuration with specified `pairlists` attribute.
+Can be used to generate static pairlists to be used during backtesting / hyperopt.
+
+```
+usage: freqtrade test-pairlist [-h] [-c PATH]
+                               [--quote QUOTE_CURRENCY [QUOTE_CURRENCY ...]]
+                               [-1] [--print-json]
+
+optional arguments:
+  -h, --help            show this help message and exit
+  -c PATH, --config PATH
+                        Specify configuration file (default: `config.json`).
+                        Multiple --config options may be used. Can be set to
+                        `-` to read config from stdin.
+  --quote QUOTE_CURRENCY [QUOTE_CURRENCY ...]
+                        Specify quote currency(-ies). Space-separated list.
+  -1, --one-column      Print output in one column.
+  --print-json          Print list of pairs or market symbols in JSON format.
+```
+
+### Examples
+
+Show whitelist when using a [dynamic pairlist](configuration.md#pairlists).
+
+```
+freqtrade test-pairlist --config config.json --quote USDT BTC
+```

freqtrade/configuration/arguments.py

@@ -37,6 +37,8 @@ ARGS_LIST_TIMEFRAMES = ["exchange", "print_one_column"]
 ARGS_LIST_PAIRS = ["exchange", "print_list", "list_pairs_print_json", "print_one_column",
                    "print_csv", "base_currencies", "quote_currencies", "list_pairs_all"]
 
+ARGS_TEST_PAIRLIST = ["config", "quote_currencies", "print_one_column", "list_pairs_print_json"]
+
 ARGS_CREATE_USERDIR = ["user_data_dir", "reset"]
 
 ARGS_BUILD_STRATEGY = ["user_data_dir", "strategy", "template"]
@@ -63,6 +65,7 @@ class Arguments:
     """
     Arguments Class. Manage the arguments received by the cli
     """
+
     def __init__(self, args: Optional[List[str]]) -> None:
         self.args = args
         self._parsed_arg: Optional[argparse.Namespace] = None
@@ -122,7 +125,7 @@ class Arguments:
         from freqtrade.utils import (start_create_userdir, start_download_data,
                                      start_list_exchanges, start_list_markets,
                                      start_new_hyperopt, start_new_strategy,
-                                     start_list_timeframes, start_trading)
+                                     start_list_timeframes, start_test_pairlist, start_trading)
         from freqtrade.plot.plot_utils import start_plot_dataframe, start_plot_profit
 
         subparsers = self.parser.add_subparsers(dest='command',
@@ -211,6 +214,14 @@ class Arguments:
         list_pairs_cmd.set_defaults(func=partial(start_list_markets, pairs_only=True))
         self._build_args(optionlist=ARGS_LIST_PAIRS, parser=list_pairs_cmd)
 
+        # Add test-pairlist subcommand
+        test_pairlist_cmd = subparsers.add_parser(
+            'test-pairlist',
+            help='Test your pairlist configuration.',
+        )
+        test_pairlist_cmd.set_defaults(func=start_test_pairlist)
+        self._build_args(optionlist=ARGS_TEST_PAIRLIST, parser=test_pairlist_cmd)
+
         # Add download-data subcommand
         download_data_cmd = subparsers.add_parser(
             'download-data',

freqtrade/pairlist/PrecisionFilter.py

@@ -48,6 +48,7 @@ class PrecisionFilter(IPairList):
         """
         Filters and sorts pairlists and assigns and returns them again.
         """
+        stoploss = None
         if self._config.get('stoploss') is not None:
             # Precalculate sanitized stoploss value to avoid recalculation for every pair
             stoploss = 1 - abs(self._config.get('stoploss'))

freqtrade/utils.py

@@ -322,3 +322,35 @@ def start_list_markets(args: Dict[str, Any], pairs_only: bool = False) -> None:
                   args.get('list_pairs_print_json', False) or
                   args.get('print_csv', False)):
             print(f"{summary_str}.")
+
+
+def start_test_pairlist(args: Dict[str, Any]) -> None:
+    """
+    Test Pairlist configuration
+    """
+    from freqtrade.pairlist.pairlistmanager import PairListManager
+    config = setup_utils_configuration(args, RunMode.UTIL_EXCHANGE)
+
+    exchange = ExchangeResolver(config['exchange']['name'], config, validate=False).exchange
+
+    quote_currencies = args.get('quote_currencies')
+    if not quote_currencies:
+        quote_currencies = [config.get('stake_currency')]
+    results = {}
+    for curr in quote_currencies:
+        config['stake_currency'] = curr
+        # Do not use ticker_interval set in the config
+        pairlists = PairListManager(exchange, config)
+        pairlists.refresh_pairlist()
+        results[curr] = pairlists.whitelist
+
+    for curr, pairlist in results.items():
+        if not args.get('print_one_column', False):
+            print(f"Pairs for {curr}: ")
+
+        if args.get('print_one_column', False):
+            print('\n'.join(pairlist))
+        elif args.get('list_pairs_print_json', False):
+            print(rapidjson.dumps(list(pairlist), default=str))
+        else:
+            print(pairlist)

tests/test_utils.py

@@ -10,8 +10,9 @@ from freqtrade.utils import (setup_utils_configuration, start_create_userdir,
                              start_download_data, start_list_exchanges,
                              start_list_markets, start_list_timeframes,
                              start_new_hyperopt, start_new_strategy,
-                             start_trading)
+                             start_test_pairlist, start_trading)
-from tests.conftest import get_args, log_has, log_has_re, patch_exchange
+from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
+                            patched_configuration_load_config_file)
 
 
 def test_setup_utils_configuration():
@@ -623,3 +624,36 @@ def test_download_data_trades(mocker, caplog):
     assert dl_mock.call_args[1]['timerange'].starttype == "date"
     assert dl_mock.call_count == 1
     assert convert_mock.call_count == 1
+
+
+def test_start_test_pairlist(mocker, caplog, markets, tickers, default_conf, capsys):
+    mocker.patch.multiple('freqtrade.exchange.Exchange',
+                          markets=PropertyMock(return_value=markets),
+                          exchange_has=MagicMock(return_value=True),
+                          get_tickers=tickers
+                          )
+
+    default_conf['pairlists'] = [
+        {
+            "method": "VolumePairList",
+            "number_assets": 5,
+            "sort_key": "quoteVolume",
+        },
+        {"method": "PrecisionFilter"},
+        {"method": "PriceFilter", "low_price_ratio": 0.02},
+    ]
+
+    patched_configuration_load_config_file(mocker, default_conf)
+    args = [
+        'test-pairlist',
+        '-c', 'config.json.example'
+    ]
+
+    start_test_pairlist(get_args(args))
+
+    assert log_has_re(r"^Using resolved pairlist VolumePairList.*", caplog)
+    assert log_has_re(r"^Using resolved pairlist PrecisionFilter.*", caplog)
+    assert log_has_re(r"^Using resolved pairlist PriceFilter.*", caplog)
+    captured = capsys.readouterr()
+    assert re.match(r"Pairs for .*", captured.out)
+    assert re.match("['ETH/BTC', 'TKN/BTC', 'BLK/BTC', 'LTC/BTC', 'XRP/BTC']", captured.out)