adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Split the generation logic and filtering

Browse Source
This commit is contained in:
hroff-1902 2020-05-22 15:03:49 +03:00
parent 74056e768a
commit 8e89802b2d
5 changed files with 135 additions and 77 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

11
freqtrade/pairlist/IPairList.py
View File

@ -8,6 +8,7 @@ from typing import Any, Dict, List
from cachetools import TTLCache, cached
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import market_is_active
@ -90,6 +91,16 @@ class IPairList(ABC):
"""
raise NotImplementedError()
def gen_pairlist(self, cached_pairlist: List[str], tickers: Dict) -> List[str]:
"""
Generate the pairlist
:param cached_pairlist: Previously generated pairlist (cached)
:param tickers: Tickers (from exchange.get_tickers()).
:return: List of pairs
"""
raise OperationalException("This Pairlist Handler should not be used "
"at the first position in the list of Pairlist Handlers.")
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Filters and sorts pairlist and returns the whitelist again.

11
freqtrade/pairlist/StaticPairList.py
View File

@ -30,6 +30,15 @@ class StaticPairList(IPairList):
"""
return f"{self.name}"
def gen_pairlist(self, cached_pairlist: List[str], tickers: Dict) -> List[str]:
"""
Generate the pairlist
:param cached_pairlist: Previously generated pairlist (cached)
:param tickers: Tickers (from exchange.get_tickers()).
:return: List of pairs
"""
return self._whitelist_for_active_markets(self._config['exchange']['pair_whitelist'])
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Filters and sorts pairlist and returns the whitelist again.
@ -38,4 +47,4 @@ class StaticPairList(IPairList):
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
return self._whitelist_for_active_markets(self._config['exchange']['pair_whitelist'])
return pairlist

58
freqtrade/pairlist/VolumePairList.py
View File

@ -68,6 +68,31 @@ class VolumePairList(IPairList):
"""
return f"{self.name} - top {self._pairlistconfig['number_assets']} volume pairs."
def gen_pairlist(self, cached_pairlist: List[str], tickers: Dict) -> List[str]:
"""
Generate the pairlist
:param cached_pairlist: Previously generated pairlist (cached)
:param tickers: Tickers (from exchange.get_tickers()).
:return: List of pairs
"""
# Generate dynamic whitelist
# Must always run if this pairlist is not the first in the list.
if self._last_refresh + self.refresh_period < datetime.now().timestamp():
self._last_refresh = int(datetime.now().timestamp())
# Use fresh pairlist
# Check if pair quote currency equals to the stake currency.
filtered_tickers = [
v for k, v in tickers.items()
if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
and v[self._sort_key] is not None)]
pairlist = [s['symbol'] for s in filtered_tickers]
else:
# Use the cached pairlist if it's not time yet to refresh
pairlist = cached_pairlist
return pairlist
def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Filters and sorts pairlist and returns the whitelist again.
@ -76,36 +101,7 @@ class VolumePairList(IPairList):
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
# Generate dynamic whitelist
# Must always run if this pairlist is not the first in the list.
if (self._pairlist_pos != 0 or
(self._last_refresh + self.refresh_period < datetime.now().timestamp())):
self._last_refresh = int(datetime.now().timestamp())
pairs = self._gen_pair_whitelist(pairlist, tickers)
else:
pairs = pairlist
self.log_on_refresh(logger.info, f"Searching {self._number_pairs} pairs: {pairs}")
return pairs
def _gen_pair_whitelist(self, pairlist: List[str], tickers: Dict) -> List[str]:
"""
Updates the whitelist with with a dynamically generated list
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()).
:return: List of pairs
"""
if self._pairlist_pos == 0:
# If VolumePairList is the first in the list, use fresh pairlist
# Check if pair quote currency equals to the stake currency.
filtered_tickers = [
v for k, v in tickers.items()
if (self._exchange.get_pair_quote_currency(k) == self._stake_currency
and v[self._sort_key] is not None)]
else:
# If other pairlist is in front, use the incoming pairlist.
# Use the incoming pairlist.
filtered_tickers = [v for k, v in tickers.items() if k in pairlist]
if self._min_value > 0:
@ -120,4 +116,6 @@ class VolumePairList(IPairList):
# Limit pairlist to the requested number of pairs
pairs = pairs[:self._number_pairs]
self.log_on_refresh(logger.info, f"Searching {self._number_pairs} pairs: {pairs}")
return pairs

3
freqtrade/pairlist/pairlistmanager.py
View File

@ -87,6 +87,9 @@ class PairListManager():
# Adjust whitelist if filters are using tickers
pairlist = self._prepare_whitelist(self._whitelist.copy(), tickers)
# Generate the pairlist with first Pairlist Handler in the chain
pairlist = self._pairlist_handlers[0].gen_pairlist(self._whitelist, tickers)
# Process all Pairlist Handlers in the chain
for pairlist_handler in self._pairlist_handlers:
pairlist = pairlist_handler.filter_pairlist(pairlist, tickers)

83
tests/pairlist/test_pairlist.py
View File

@ -19,7 +19,8 @@ def whitelist_conf(default_conf):
'TKN/BTC',
'TRST/BTC',
'SWT/BTC',
'BCC/BTC'
'BCC/BTC',
'HOT/BTC',
]
default_conf['exchange']['pair_blacklist'] = [
'BLK/BTC'
@ -201,21 +202,21 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
assert set(whitelist) == set(pairslist)
@pytest.mark.parametrize("pairlists,base_currency,whitelist_result", [
@pytest.mark.parametrize("pairlists,base_currency,whitelist_result,operational_exception", [
# VolumePairList only
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC']),
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC', 'HOT/BTC'], False),
# Different sorting depending on quote or bid volume
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"}],
"BTC", ['HOT/BTC', 'FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC']),
"BTC", ['HOT/BTC', 'FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC'], False),
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
"USDT", ['ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT']),
"USDT", ['ETH/USDT', 'NANO/USDT', 'ADAHALF/USDT'], False),
# No pair for ETH, VolumePairList
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"}],
"ETH", []),
"ETH", [], False),
# No pair for ETH, StaticPairList
([{"method": "StaticPairList"}],
"ETH", []),
"ETH", [], False),
# No pair for ETH, all handlers
([{"method": "StaticPairList"},
{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
@ -223,57 +224,87 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
{"method": "PriceFilter", "low_price_ratio": 0.03},
{"method": "SpreadFilter", "max_spread_ratio": 0.005},
{"method": "ShuffleFilter"}],
"ETH", []),
"ETH", [], False),
# Precisionfilter and quote volume
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"}], "BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
{"method": "PrecisionFilter"}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC'], False),
# Precisionfilter bid
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"},
{"method": "PrecisionFilter"}], "BTC", ['FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC']),
{"method": "PrecisionFilter"}],
"BTC", ['FUEL/BTC', 'XRP/BTC', 'LTC/BTC', 'TKN/BTC'], False),
# PriceFilter and VolumePairList
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "low_price_ratio": 0.03}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC'], False),
# PriceFilter and VolumePairList
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "PriceFilter", "low_price_ratio": 0.03}],
"USDT", ['ETH/USDT', 'NANO/USDT']),
"USDT", ['ETH/USDT', 'NANO/USDT'], False),
# Hot is removed by precision_filter, Fuel by low_price_filter.
([{"method": "VolumePairList", "number_assets": 6, "sort_key": "quoteVolume"},
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.02}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC']),
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC', 'XRP/BTC'], False),
# HOT and XRP are removed because below 1250 quoteVolume
([{"method": "VolumePairList", "number_assets": 5,
"sort_key": "quoteVolume", "min_value": 1250}],
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC']),
"BTC", ['ETH/BTC', 'TKN/BTC', 'LTC/BTC'], False),
# StaticPairlist only
([{"method": "StaticPairList"}],
"BTC", ['ETH/BTC', 'TKN/BTC']),
"BTC", ['ETH/BTC', 'TKN/BTC', 'HOT/BTC'], False),
# Static Pairlist before VolumePairList - sorting changes
([{"method": "StaticPairList"},
{"method": "VolumePairList", "number_assets": 5, "sort_key": "bidVolume"}],
"BTC", ['TKN/BTC', 'ETH/BTC']),
"BTC", ['HOT/BTC', 'TKN/BTC', 'ETH/BTC'], False),
# SpreadFilter
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
"USDT", ['ETH/USDT']),
"USDT", ['ETH/USDT'], False),
# ShuffleFilter
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "ShuffleFilter", "seed": 77}],
"USDT", ['ETH/USDT', 'ADAHALF/USDT', 'NANO/USDT']),
"USDT", ['ETH/USDT', 'ADAHALF/USDT', 'NANO/USDT'], False),
# ShuffleFilter, other seed
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "ShuffleFilter", "seed": 42}],
"USDT", ['NANO/USDT', 'ETH/USDT', 'ADAHALF/USDT']),
"USDT", ['NANO/USDT', 'ETH/USDT', 'ADAHALF/USDT'], False),
# ShuffleFilter, no seed
([{"method": "VolumePairList", "number_assets": 5, "sort_key": "quoteVolume"},
{"method": "ShuffleFilter"}],
"USDT", 3),
"USDT", 3, False),
# PrecisionFilter after StaticPairList
([{"method": "StaticPairList"},
{"method": "PrecisionFilter"}],
"BTC", ['ETH/BTC', 'TKN/BTC'], False),
# PrecisionFilter only
([{"method": "PrecisionFilter"}],
"BTC", ['ETH/BTC', 'TKN/BTC'], True),
# PriceFilter after StaticPairList
([{"method": "StaticPairList"},
{"method": "PriceFilter", "low_price_ratio": 0.02}],
"BTC", ['ETH/BTC', 'TKN/BTC'], False),
# PriceFilter only
([{"method": "PriceFilter", "low_price_ratio": 0.02}],
"BTC", ['ETH/BTC', 'TKN/BTC'], True),
# ShuffleFilter after StaticPairList
([{"method": "StaticPairList"},
{"method": "ShuffleFilter", "seed": 42}],
"BTC", ['TKN/BTC', 'ETH/BTC', 'HOT/BTC'], False),
# ShuffleFilter only
([{"method": "ShuffleFilter", "seed": 42}],
"BTC", ['TKN/BTC', 'ETH/BTC', 'HOT/BTC'], True),
# SpreadFilter after StaticPairList
([{"method": "StaticPairList"},
{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
"BTC", ['ETH/BTC', 'TKN/BTC'], False),
# SpreadFilter only
([{"method": "SpreadFilter", "max_spread_ratio": 0.005}],
"BTC", ['ETH/BTC', 'TKN/BTC'], True),
])
def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, tickers,
pairlists, base_currency, whitelist_result,
caplog) -> None:
operational_exception, caplog) -> None:
whitelist_conf['pairlists'] = pairlists
whitelist_conf['stake_currency'] = base_currency
@ -285,6 +316,12 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
markets=PropertyMock(return_value=shitcoinmarkets),
)
if operational_exception:
with pytest.raises(OperationalException,
match=r"This Pairlist Handler should not be used at the first position "
r"in the list of Pairlist Handlers."):
freqtrade.pairlists.refresh_pairlist()
else:
freqtrade.pairlists.refresh_pairlist()
whitelist = freqtrade.pairlists.whitelist
@ -302,8 +339,8 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
r'would be <= stop limit.*', caplog)
if pairlist['method'] == 'PriceFilter' and whitelist_result:
assert (log_has_re(r'^Removed .* from whitelist, because 1 unit is .*%$', caplog) or
log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] is empty.*",
caplog))
log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] "
r"is empty.*", caplog))
if pairlist['method'] == 'VolumePairList':
logmsg = ("DEPRECATED: using any key other than quoteVolume for "
"VolumePairList is deprecated.")