Split the generation logic and filtering
This commit is contained in:
hroff-1902
parent
74056e768a
commit
8e89802b2d
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@ -8,6 +8,7 @@ from typing import Any, Dict, List
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from cachetools import TTLCache, cached
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import market_is_active
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@ -90,6 +91,16 @@ class IPairList(ABC):
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"""
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raise NotImplementedError()
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def gen_pairlist(self, cached_pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Generate the pairlist
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:param cached_pairlist: Previously generated pairlist (cached)
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:param tickers: Tickers (from exchange.get_tickers()).
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:return: List of pairs
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"""
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raise OperationalException("This Pairlist Handler should not be used "
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"at the first position in the list of Pairlist Handlers.")
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def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Filters and sorts pairlist and returns the whitelist again.
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@ -30,6 +30,15 @@ class StaticPairList(IPairList):
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"""
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return f"{self.name}"
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def gen_pairlist(self, cached_pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Generate the pairlist
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:param cached_pairlist: Previously generated pairlist (cached)
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:param tickers: Tickers (from exchange.get_tickers()).
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:return: List of pairs
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"""
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return self._whitelist_for_active_markets(self._config['exchange']['pair_whitelist'])
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def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Filters and sorts pairlist and returns the whitelist again.
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@ -38,4 +47,4 @@ class StaticPairList(IPairList):
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:param tickers: Tickers (from exchange.get_tickers()). May be cached.
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:return: new whitelist
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"""
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return self._whitelist_for_active_markets(self._config['exchange']['pair_whitelist'])
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return pairlist
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@ -68,6 +68,31 @@ class VolumePairList(IPairList):
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"""
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return f"{self.name} - top {self._pairlistconfig['number_assets']} volume pairs."
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def gen_pairlist(self, cached_pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Generate the pairlist
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:param cached_pairlist: Previously generated pairlist (cached)
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:param tickers: Tickers (from exchange.get_tickers()).
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:return: List of pairs
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"""
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# Generate dynamic whitelist
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# Must always run if this pairlist is not the first in the list.
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if self._last_refresh + self.refresh_period < datetime.now().timestamp():
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self._last_refresh = int(datetime.now().timestamp())
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# Use fresh pairlist
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# Check if pair quote currency equals to the stake currency.
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filtered_tickers = [
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v for k, v in tickers.items()
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if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
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and v[self._sort_key] is not None)]
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pairlist = [s['symbol'] for s in filtered_tickers]
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else:
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# Use the cached pairlist if it's not time yet to refresh
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pairlist = cached_pairlist
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return pairlist
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def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Filters and sorts pairlist and returns the whitelist again.
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@ -76,37 +101,8 @@ class VolumePairList(IPairList):
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:param tickers: Tickers (from exchange.get_tickers()). May be cached.
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:return: new whitelist
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"""
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# Generate dynamic whitelist
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# Must always run if this pairlist is not the first in the list.
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if (self._pairlist_pos != 0 or
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(self._last_refresh + self.refresh_period < datetime.now().timestamp())):
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self._last_refresh = int(datetime.now().timestamp())
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pairs = self._gen_pair_whitelist(pairlist, tickers)
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else:
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pairs = pairlist
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self.log_on_refresh(logger.info, f"Searching {self._number_pairs} pairs: {pairs}")
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return pairs
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def _gen_pair_whitelist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Updates the whitelist with with a dynamically generated list
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:param pairlist: pairlist to filter or sort
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:param tickers: Tickers (from exchange.get_tickers()).
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:return: List of pairs
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"""
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if self._pairlist_pos == 0:
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# If VolumePairList is the first in the list, use fresh pairlist
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# Check if pair quote currency equals to the stake currency.
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filtered_tickers = [
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v for k, v in tickers.items()
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if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
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and v[self._sort_key] is not None)]
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else:
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# If other pairlist is in front, use the incoming pairlist.
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filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
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# Use the incoming pairlist.
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filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
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if self._min_value > 0:
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filtered_tickers = [
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@ -120,4 +116,6 @@ class VolumePairList(IPairList):
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# Limit pairlist to the requested number of pairs
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pairs = pairs[:self._number_pairs]
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self.log_on_refresh(logger.info, f"Searching {self._number_pairs} pairs: {pairs}")
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return pairs
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@ -87,6 +87,9 @@ class PairListManager():
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# Adjust whitelist if filters are using tickers
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pairlist = self._prepare_whitelist(self._whitelist.copy(), tickers)
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# Generate the pairlist with first Pairlist Handler in the chain
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pairlist = self._pairlist_handlers[0].gen_pairlist(self._whitelist, tickers)
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# Process all Pairlist Handlers in the chain
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for pairlist_handler in self._pairlist_handlers:
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pairlist = pairlist_handler.filter_pairlist(pairlist, tickers)
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@ -19,7 +19,8 @@ def whitelist_conf(default_conf):
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'TKN/BTC',
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'TRST/BTC',
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'SWT/BTC',
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'BCC/BTC'
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'BCC/BTC',
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'HOT/BTC',
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]
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default_conf['exchange']['pair_blacklist'] = [
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'BLK/BTC'
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@ -201,21 +202,21 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
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assert set(whitelist) == set(pairslist)
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@pytest.mark.parametrize("pairlists,base_currency,whitelist_result", [
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@pytest.mark.parametrize("pairlists,base_currency,whitelist_result,operational_exception", [
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# VolumePairList only
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']),
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC'], False),
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# Different sorting depending on quote or bid volume
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"}],
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"BTC", ['HOT/BTC', 'FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC']),
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"BTC", ['HOT/BTC', 'FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC'], False),
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
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"USDT", ['ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT']),
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"USDT", ['ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT'], False),
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# No pair for ETH, VolumePairList
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
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"ETH", []),
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"ETH", [], False),
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# No pair for ETH, StaticPairList
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([{"method": "StaticPairList"}],
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"ETH", []),
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"ETH", [], False),
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# No pair for ETH, all handlers
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([{"method": "StaticPairList"},
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{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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@ -223,57 +224,87 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
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{"method": "PriceFilter", "low_price_ratio": 0.03},
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{"method": "SpreadFilter", "max_spread_ratio": 0.005},
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{"method": "ShuffleFilter"}],
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"ETH", []),
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"ETH", [], False),
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# Precisionfilter and quote volume
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "PrecisionFilter"}], "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
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{"method": "PrecisionFilter"}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC'], False),
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# Precisionfilter bid
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"},
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{"method": "PrecisionFilter"}], "BTC", ['FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC']),
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{"method": "PrecisionFilter"}],
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"BTC", ['FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC'], False),
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# PriceFilter and VolumePairList
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "PriceFilter", "low_price_ratio": 0.03}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC'], False),
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# PriceFilter and VolumePairList
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "PriceFilter", "low_price_ratio": 0.03}],
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"USDT", ['ETH/USDT', 'NANO/USDT']),
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"USDT", ['ETH/USDT', 'NANO/USDT'], False),
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# Hot is removed by precision_filter, Fuel by low_price_filter.
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([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
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{"method": "PrecisionFilter"},
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{"method": "PriceFilter", "low_price_ratio": 0.02}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC'], False),
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# HOT and XRP are removed because below 1250 quoteVolume
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([{"method": "VolumePairList", "number_assets": 5,
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"sort_key": "quoteVolume", "min_value": 1250}],
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
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"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC'], False),
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# StaticPairlist only
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([{"method": "StaticPairList"}],
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"BTC", ['ETH/BTC', 'TKN/BTC']),
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"BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC'], False),
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# Static Pairlist before VolumePairList - sorting changes
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([{"method": "StaticPairList"},
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{"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"}],
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"BTC", ['TKN/BTC', 'ETH/BTC']),
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"BTC", ['HOT/BTC', 'TKN/BTC', 'ETH/BTC'], False),
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# SpreadFilter
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
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"USDT", ['ETH/USDT']),
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"USDT", ['ETH/USDT'], False),
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# ShuffleFilter
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "ShuffleFilter", "seed": 77}],
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"USDT", ['ETH/USDT', 'ADAHALF/USDT', 'NANO/USDT']),
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"USDT", ['ETH/USDT', 'ADAHALF/USDT', 'NANO/USDT'], False),
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# ShuffleFilter, other seed
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "ShuffleFilter", "seed": 42}],
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"USDT", ['NANO/USDT', 'ETH/USDT', 'ADAHALF/USDT']),
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"USDT", ['NANO/USDT', 'ETH/USDT', 'ADAHALF/USDT'], False),
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# ShuffleFilter, no seed
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([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
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{"method": "ShuffleFilter"}],
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"USDT", 3),
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"USDT", 3, False),
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# PrecisionFilter after StaticPairList
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([{"method": "StaticPairList"},
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{"method": "PrecisionFilter"}],
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"BTC", ['ETH/BTC', 'TKN/BTC'], False),
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# PrecisionFilter only
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([{"method": "PrecisionFilter"}],
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"BTC", ['ETH/BTC', 'TKN/BTC'], True),
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# PriceFilter after StaticPairList
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([{"method": "StaticPairList"},
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{"method": "PriceFilter", "low_price_ratio": 0.02}],
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"BTC", ['ETH/BTC', 'TKN/BTC'], False),
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# PriceFilter only
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([{"method": "PriceFilter", "low_price_ratio": 0.02}],
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"BTC", ['ETH/BTC', 'TKN/BTC'], True),
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# ShuffleFilter after StaticPairList
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([{"method": "StaticPairList"},
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{"method": "ShuffleFilter", "seed": 42}],
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"BTC", ['TKN/BTC', 'ETH/BTC', 'HOT/BTC'], False),
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# ShuffleFilter only
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([{"method": "ShuffleFilter", "seed": 42}],
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"BTC", ['TKN/BTC', 'ETH/BTC', 'HOT/BTC'], True),
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# SpreadFilter after StaticPairList
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([{"method": "StaticPairList"},
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{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
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"BTC", ['ETH/BTC', 'TKN/BTC'], False),
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# SpreadFilter only
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([{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
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"BTC", ['ETH/BTC', 'TKN/BTC'], True),
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])
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def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
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pairlists, base_currency, whitelist_result,
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caplog) -> None:
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operational_exception, caplog) -> None:
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whitelist_conf['pairlists'] = pairlists
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whitelist_conf['stake_currency'] = base_currency
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@ -285,32 +316,38 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
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markets=PropertyMock(return_value=shitcoinmarkets),
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)
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freqtrade.pairlists.refresh_pairlist()
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whitelist = freqtrade.pairlists.whitelist
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assert isinstance(whitelist, list)
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# Verify length of pairlist matches (used for ShuffleFilter without seed)
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if type(whitelist_result) is list:
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assert whitelist == whitelist_result
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if operational_exception:
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with pytest.raises(OperationalException,
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match=r"This Pairlist Handler should not be used at the first position "
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r"in the list of Pairlist Handlers."):
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freqtrade.pairlists.refresh_pairlist()
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else:
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len(whitelist) == whitelist_result
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freqtrade.pairlists.refresh_pairlist()
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whitelist = freqtrade.pairlists.whitelist
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for pairlist in pairlists:
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if pairlist['method'] == 'PrecisionFilter' and whitelist_result:
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assert log_has_re(r'^Removed .* from whitelist, because stop price .* '
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r'would be <= stop limit.*', caplog)
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if pairlist['method'] == 'PriceFilter' and whitelist_result:
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assert (log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog) or
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log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] is empty.*",
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caplog))
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if pairlist['method'] == 'VolumePairList':
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logmsg = ("DEPRECATED: using any key other than quoteVolume for "
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"VolumePairList is deprecated.")
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if pairlist['sort_key'] != 'quoteVolume':
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assert log_has(logmsg, caplog)
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else:
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assert not log_has(logmsg, caplog)
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assert isinstance(whitelist, list)
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# Verify length of pairlist matches (used for ShuffleFilter without seed)
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if type(whitelist_result) is list:
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assert whitelist == whitelist_result
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else:
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len(whitelist) == whitelist_result
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for pairlist in pairlists:
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if pairlist['method'] == 'PrecisionFilter' and whitelist_result:
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assert log_has_re(r'^Removed .* from whitelist, because stop price .* '
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r'would be <= stop limit.*', caplog)
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if pairlist['method'] == 'PriceFilter' and whitelist_result:
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assert (log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog) or
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log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] "
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r"is empty.*", caplog))
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if pairlist['method'] == 'VolumePairList':
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logmsg = ("DEPRECATED: using any key other than quoteVolume for "
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"VolumePairList is deprecated.")
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if pairlist['sort_key'] != 'quoteVolume':
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assert log_has(logmsg, caplog)
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else:
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assert not log_has(logmsg, caplog)
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def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
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