Merge branch 'develop' into patch-4

freqtrade/pairlist/AgeFilter.py

@@ -37,7 +37,7 @@ class AgeFilter(IPairList):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
         return True
@@ -49,7 +49,7 @@ class AgeFilter(IPairList):
         return (f"{self.name} - Filtering pairs with age less than "
                 f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}.")
 
-    def _validate_pair(self, ticker: dict) -> bool:
+    def _validate_pair(self, ticker: Dict) -> bool:
         """
         Validate age for the ticker
         :param ticker: ticker dict as returned from ccxt.load_markets()

freqtrade/pairlist/IPairList.py

@@ -68,7 +68,7 @@ class IPairList(ABC):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
 

freqtrade/pairlist/PrecisionFilter.py

@@ -32,7 +32,7 @@ class PrecisionFilter(IPairList):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
         return True

freqtrade/pairlist/PriceFilter.py

@@ -35,7 +35,7 @@ class PriceFilter(IPairList):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
         return True

freqtrade/pairlist/ShuffleFilter.py

@@ -25,7 +25,7 @@ class ShuffleFilter(IPairList):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
         return False

freqtrade/pairlist/SpreadFilter.py

@@ -24,7 +24,7 @@ class SpreadFilter(IPairList):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
         return True

freqtrade/pairlist/StaticPairList.py

@@ -30,7 +30,7 @@ class StaticPairList(IPairList):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
         return False

freqtrade/pairlist/VolumePairList.py

@@ -49,7 +49,7 @@ class VolumePairList(IPairList):
     def needstickers(self) -> bool:
         """
         Boolean property defining if tickers are necessary.
-        If no Pairlist requires tickers, an empty List is passed
+        If no Pairlist requires tickers, an empty Dict is passed
         as tickers argument to filter_pairlist
         """
         return True

freqtrade/pairlist/rangestabilityfilter.py

@@ -0,0 +1,89 @@
+"""
+Rate of change pairlist filter
+"""
+import logging
+from typing import Any, Dict
+
+import arrow
+from cachetools.ttl import TTLCache
+
+from freqtrade.exceptions import OperationalException
+from freqtrade.misc import plural
+from freqtrade.pairlist.IPairList import IPairList
+
+
+logger = logging.getLogger(__name__)
+
+
+class RangeStabilityFilter(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)
+
+        self._days = pairlistconfig.get('lookback_days', 10)
+        self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01)
+        self._refresh_period = pairlistconfig.get('refresh_period', 1440)
+
+        self._pair_cache: TTLCache = TTLCache(maxsize=100, ttl=self._refresh_period)
+
+        if self._days < 1:
+            raise OperationalException("RangeStabilityFilter requires lookback_days to be >= 1")
+        if self._days > exchange.ohlcv_candle_limit:
+            raise OperationalException("RangeStabilityFilter requires lookback_days to not "
+                                       "exceed exchange max request size "
+                                       f"({exchange.ohlcv_candle_limit})")
+
+    @property
+    def needstickers(self) -> bool:
+        """
+        Boolean property defining if tickers are necessary.
+        If no Pairlist requires tickers, an empty List is passed
+        as tickers argument to filter_pairlist
+        """
+        return True
+
+    def short_desc(self) -> str:
+        """
+        Short whitelist method description - used for startup-messages
+        """
+        return (f"{self.name} - Filtering pairs with rate of change below "
+                f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.")
+
+    def _validate_pair(self, ticker: Dict) -> bool:
+        """
+        Validate trading range
+        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :return: True if the pair can stay, False if it should be removed
+        """
+        pair = ticker['symbol']
+        # Check symbol in cache
+        if pair in self._pair_cache:
+            return self._pair_cache[pair]
+
+        since_ms = int(arrow.utcnow()
+                       .floor('day')
+                       .shift(days=-self._days)
+                       .float_timestamp) * 1000
+
+        daily_candles = self._exchange.get_historic_ohlcv_as_df(pair=pair,
+                                                                timeframe='1d',
+                                                                since_ms=since_ms)
+        result = False
+        if daily_candles is not None and not daily_candles.empty:
+            highest_high = daily_candles['high'].max()
+            lowest_low = daily_candles['low'].min()
+            pct_change = ((highest_high - lowest_low) / lowest_low) if lowest_low > 0 else 0
+            if pct_change >= self._min_rate_of_change:
+                result = True
+            else:
+                self.log_on_refresh(logger.info,
+                                    f"Removed {pair} from whitelist, "
+                                    f"because rate of change over {plural(self._days, 'day')} is "
+                                    f"{pct_change:.3f}, which is below the "
+                                    f"threshold of {self._min_rate_of_change}.")
+                result = False
+            self._pair_cache[pair] = result
+
+        return result