Add MarketCapPairList.
After recurring requests on #strategy-chat, this implements a pairlist based on market capitalization. Data is retrieved from the coingecko API https://www.coingecko.com/en/api
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Bernd Zeimetz
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@ -22,6 +22,7 @@ You may also use something like `.*DOWN/BTC` or `.*UP/BTC` to exclude leveraged
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* [`StaticPairList`](#static-pair-list) (default, if not configured differently)
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* [`VolumePairList`](#volume-pair-list)
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* [`MarketCapPairList`](#market-capitalization-pair-list)
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* [`AgeFilter`](#agefilter)
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* [`PerformanceFilter`](#performancefilter)
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* [`PrecisionFilter`](#precisionfilter)
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@ -79,6 +80,31 @@ Filtering instances (not the first position in the list) will not apply any cach
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!!! Note
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`VolumePairList` does not support backtesting mode.
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#### Market Capitalization Pair List
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`MarketCapPairList` employs sorting/filtering of pairs by their market capitalization. It selects `number_assets` top pairs
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When used in the chain of Pairlist Handlers in a non-leading position (after StaticPairList and other Pairlist Filters), `MarketCapPairList` considers outputs of previous Pairlist Handlers, adding its sorting/selection of the pairs by the market capitalization.
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When used on the leading position of the chain of Pairlist Handlers, it does not consider `pair_whitelist` configuration setting, but selects the top pairs based on market capitalization with matching stake-currency on the exchange.
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The `refresh_period` setting allows to define the period (in seconds), at which the pairlist will be refreshed. Defaults to 21600s (6 hours).
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The pairlist cache (`refresh_period`) on `MarketCapPairList` is only applicable to generating pairlists.
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Filtering instances (not the first position in the list) will not apply any cache and will always use up-to-date data.
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`MarketCapPairList` is based on the data from `coingecko.com`.
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```json
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"pairlists": [{
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"method": "MarketCapPairList",
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"number_assets": 20,
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"refresh_period": 1800
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}],
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```
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!!! Note
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`MarketCapPairList` does not support backtesting mode.
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#### AgeFilter
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Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`).
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@ -24,7 +24,7 @@ ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
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HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
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'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
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'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily']
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AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
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AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList', 'MarketCapPairList',
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'AgeFilter', 'PerformanceFilter', 'PrecisionFilter',
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'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter',
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'SpreadFilter', 'VolatilityFilter']
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@ -84,6 +84,8 @@ class Backtesting:
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self.timeframe_min = timeframe_to_minutes(self.timeframe)
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self.pairlists = PairListManager(self.exchange, self.config)
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if 'MarketCapPairList' in self.pairlists.name_list:
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raise OperationalException("MarketCapPairList not allowed for backtesting.")
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if 'VolumePairList' in self.pairlists.name_list:
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raise OperationalException("VolumePairList not allowed for backtesting.")
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if 'PerformanceFilter' in self.pairlists.name_list:
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263
freqtrade/plugins/pairlist/MarketCapPairList.py
Normal file
263
freqtrade/plugins/pairlist/MarketCapPairList.py
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@ -0,0 +1,263 @@
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"""
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MarketCap PairList provider
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Provides dynamic pair list based on market cap
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"""
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import logging
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from typing import Any, Dict, List
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from cachetools.ttl import TTLCache
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from pandas.core.common import flatten
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from pycoingecko import CoinGeckoAPI
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from freqtrade.exceptions import OperationalException
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from freqtrade.misc import chunks
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from freqtrade.plugins.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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class MarketCapPairList(IPairList):
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def __init__(self, exchange, pairlistmanager,
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config: Dict[str, Any], pairlistconfig: Dict[str, Any],
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pairlist_pos: int) -> None:
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super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
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if 'number_assets' not in self._pairlistconfig:
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raise OperationalException(
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'`number_assets` not specified. Please check your configuration '
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'for "pairlist.config.number_assets"')
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if (not type(self._pairlistconfig['number_assets']) is int) or (
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int(self._pairlistconfig['number_assets']) <= 0):
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raise OperationalException(
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'"number_assets" should be a positive integer. '
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'Please edit your config and restart the bot.'
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)
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self._number_pairs = int(self._pairlistconfig['number_assets'])
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self._stake_currency = config['stake_currency']
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self._refresh_period = self._pairlistconfig.get('refresh_period', 6*60*60)
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self._marketcap_cache: TTLCache = TTLCache(maxsize=1, ttl=self._refresh_period)
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self._cg = CoinGeckoAPI()
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self._marketcap_ranks: Dict[str, Any] = {}
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self._coins_list: Dict[str, str] = {}
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if not self._exchange.exchange_has('fetchTickers'):
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raise OperationalException(
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'Exchange does not support dynamic whitelist. '
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'Please edit your config and restart the bot.'
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)
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@property
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def needstickers(self) -> bool:
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"""
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Boolean property defining if tickers are necessary.
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If no Pairlist requires tickers, an empty Dict is passed
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as tickers argument to filter_pairlist
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"""
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return True
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def short_desc(self) -> str:
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"""
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Short whitelist method description - used for startup-messages
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"""
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return f"{self.name} - top {self._pairlistconfig['number_assets']} marketcap pairs."
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def _request_coins_list(self):
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"""
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Update the symbol -> coin id mapping. Coin ids are needed to request market data
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for single coins.
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"""
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coins_list = self._cg.get_coins_list()
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for x in coins_list:
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# yes, lower() is needed as there are a few uppercase symbols
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symbol = x['symbol'].lower()
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cid = x['id']
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# ignore binance-peg-
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if 'binance-peg-' in cid:
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continue
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# ignore -bsc
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if cid.endswith('-bsc'):
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continue
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# yes, not all symbols are unique.
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if symbol in self._coins_list:
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# in a few cases the id matches the symbol
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# we have that version already, keep it.
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if self._coins_list[symbol] == symbol:
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continue
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# the new one matches, use it.
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elif cid == symbol:
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self._coins_list[symbol]
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else:
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self._coins_list[symbol] = list(flatten([self._coins_list[symbol], cid]))
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else:
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self._coins_list[symbol] = cid
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def _request_marketcap_ranks(self):
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"""
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To keep the request count low, download the most common coins.
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Then update all coins that where not in the top 250 ranks.
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"""
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ids = []
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# there might be some stuff to add here..
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# probably also needs to be configurable and/or have
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# exchange specific settings
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symbol_map = {
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'acm': 'ac-milan-fan-token',
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'ant': 'aragon',
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'atm': 'atletico-madrid',
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'bat': 'basic-attention-token',
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'bts': 'bitshares',
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'comp': 'compound-governance-token',
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'dego': 'dego-finance',
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'eps': 'ellipsis',
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'grt': 'the-graph',
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'hnt': 'helium',
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'hot': 'holotoken',
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'iota': 'miota',
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'lit': 'litentry',
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'luna': 'terra-luna',
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'mask': 'mask-network',
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'mdx': 'mdex',
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'mir': 'mirror-protocol',
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'og': 'og-fan-token',
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'one': 'harmony',
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'pax': 'paxos-standard',
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'pnt': 'pnetwork',
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'rune': 'thorchain',
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'sand': 'the-sandbox',
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'stx': 'blockstack',
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'super': 'superfarm',
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'tct': 'tokenclub',
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'trb': 'tellor',
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'tru': 'truefi',
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'trx': 'tron',
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'uni': 'uniswap',
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'wing': 'wing-finance',
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}
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for symbol in self._marketcap_ranks.keys():
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# symbol needs mapping
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if symbol in symbol_map:
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ids.append(symbol_map[symbol])
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elif symbol in self._coins_list:
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_id = self._coins_list[symbol]
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# symbol is not unique (sigh!)
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if type(_id) == list:
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pair = symbol.upper() + f'/{self._stake_currency}'
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_id_text = ', '.join(_id)
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self.log_once(f'Symbol for {pair} is not unique on coingecko '
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f'({_id_text}), dropping.', logger.warning)
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continue
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ids.append(_id)
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elif symbol in self._coins_list.values():
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# try to add some symbols automatically
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symbol_map[symbol] = [k for k, v in self._coins_list.items() if v == symbol][0]
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ids.append(symbol)
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# reverse map
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rev_symbol_map = {v: k for k, v in symbol_map.items()}
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_marketcap_ranks = {}
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# seems coingecko limits the number of ids to 52, using 50.
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for _ids in chunks(ids, 50):
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base_marketkaps = self._cg.get_coins_markets(
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vs_currency='usd',
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ids=','.join(_ids),
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order='market_cap_desc',
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per_page=len(ids),
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sparkline=False,
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page=1)
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for x in base_marketkaps:
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# same here, keep symbol lowercase.
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_symbol = x['symbol'].lower()
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if _symbol in rev_symbol_map:
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_symbol = rev_symbol_map[_symbol]
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_marketcap_ranks[_symbol] = x['market_cap_rank']
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for x in self._marketcap_ranks.keys():
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if x not in _marketcap_ranks:
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_marketcap_ranks[x] = None
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self._marketcap_ranks = _marketcap_ranks
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def update_marketcap_ranks(self, symbols: List[str]):
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"""
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Updates the dict containing the marketcap ranks of the requested
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list of symbols, if needed.
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"""
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marketcaps_uptodate = self._marketcap_cache.get('marketcaps_uptodate')
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startup = not (self._marketcap_ranks and self._coins_list)
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for symbol in symbols:
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if symbol.lower() not in self._marketcap_ranks:
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marketcaps_uptodate = False
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self._marketcap_ranks[symbol.lower()] = None
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if not marketcaps_uptodate:
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try:
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self._request_coins_list()
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self._request_marketcap_ranks()
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except Exception as e:
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if startup:
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raise OperationalException(
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f'Failed to download marketcap data from coingecko: {e}'
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)
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else:
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self.log_once(
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'Failed to update marketcap data from coingecko: .'
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f'{e}. Using old data.',
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logger.warning)
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else:
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self._marketcap_cache['marketcaps_uptodate'] = True
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def gen_pairlist(self, tickers: Dict) -> List[str]:
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"""
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Generate the pairlist
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:param tickers: Tickers (from exchange.get_tickers()). May be cached.
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:return: List of pairs
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"""
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# using the pairlist from the exchange works, but if the list is long, it will create a very
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# long startup time due to coingecko rate limits. Might be worth to add an config option
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# with a big warning.
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pairlist = self._whitelist_for_active_markets(
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self.verify_whitelist(self._config['exchange']['pair_whitelist'], logger.info))
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return self.filter_pairlist(pairlist, tickers)
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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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Called on each bot iteration - please use internal caching if necessary
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:param pairlist: pairlist to filter or sort
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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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symbols = [p.replace(f'/{self._stake_currency}', '').lower() for p in pairlist]
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self.update_marketcap_ranks(symbols)
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marketcap_ranks = {}
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for symbol in symbols:
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rank = self._marketcap_ranks[symbol]
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if not rank:
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pair = symbol.upper() + f'/{self._stake_currency}'
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self.log_once(f'No known marketcap for {pair}, dropping.', logger.warning)
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continue
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marketcap_ranks[symbol] = rank
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# sort marketcaps
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pairlist = [
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k.upper() + f'/{self._stake_currency}'
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for k, v in sorted(marketcap_ranks.items(), key=lambda x: x[1])
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]
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# Validate whitelist to only have active market pairs
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pairlist = self._whitelist_for_active_markets(pairlist)
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pairlist = self.verify_blacklist(pairlist, logger.info)
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# Limit pairlist to the requested number of pairs
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pairlist = pairlist[:self._number_pairs]
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self.log_once(f"Searching {self._number_pairs} pairs: {pairlist}", logger.info)
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return pairlist
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