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Add volumePairList - refactor tests to correct file

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This commit is contained in:
Matthias 2018-11-30 20:08:50 +01:00
parent 58c7adae0a
commit d09dbfe2e6
5 changed files with 149 additions and 80 deletions
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48
freqtrade/freqtradebot.py
View File

@ -12,8 +12,6 @@ from typing import Any, Callable, Dict, List, Optional
import arrow
from requests.exceptions import RequestException
from cachetools import TTLCache, cached
from freqtrade import (DependencyException, OperationalException,
TemporaryError, __version__, constants, persistence)
from freqtrade.exchange import Exchange
@ -25,7 +23,8 @@ from freqtrade.resolvers import StrategyResolver
from freqtrade.state import State
from freqtrade.strategy.interface import SellType, IStrategy
from freqtrade.exchange.exchange_helpers import order_book_to_dataframe
from freqtrade.pairlist.StaticList import StaticList
from freqtrade.pairlist.StaticPairList import StaticPairList
from freqtrade.pairlist.VolumePairList import VolumePairList
logger = logging.getLogger(__name__)
@ -60,7 +59,11 @@ class FreqtradeBot(object):
self.persistence = None
self.exchange = Exchange(self.config)
self.wallets = Wallets(self.exchange)
self.pairlists = StaticList(self, self.config)
if self.config.get('dynamic_whitelist', None):
self.pairlists = VolumePairList(self, self.config)
else:
self.pairlists = StaticPairList(self, self.config)
# Initializing Edge only if enabled
self.edge = Edge(self.config, self.exchange, self.strategy) if \
@ -148,18 +151,9 @@ class FreqtradeBot(object):
"""
state_changed = False
try:
nb_assets = self.config.get('dynamic_whitelist', None)
# Refresh whitelist based on wallet maintenance
# Refresh whitelist
self.pairlists.refresh_whitelist()
sanitized_list = self.pairlists.whitelist
# sanitized_list = self._refresh_whitelist(
# self._gen_pair_whitelist(
# self.config['stake_currency']
# ) if nb_assets else self.lists.get_whitelist()
# )
# Keep only the subsets of pairs wanted (up to nb_assets)
self.active_pair_whitelist = sanitized_list[:nb_assets] if nb_assets else sanitized_list
self.active_pair_whitelist = self.pairlists.whitelist
# Calculating Edge positiong
# Should be called before refresh_tickers
@ -207,30 +201,6 @@ class FreqtradeBot(object):
self.state = State.STOPPED
return state_changed
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str = 'quoteVolume') -> List[str]:
"""
Updates the whitelist with with a dynamically generated list
:param base_currency: base currency as str
:param key: sort key (defaults to 'quoteVolume')
:return: List of pairs
"""
if not self.exchange.exchange_has('fetchTickers'):
raise OperationalException(
'Exchange does not support dynamic whitelist.'
'Please edit your config and restart the bot'
)
tickers = self.exchange.get_tickers()
# check length so that we make sure that '/' is actually in the string
tickers = [v for k, v in tickers.items()
if len(k.split('/')) == 2 and k.split('/')[1] == base_currency]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
pairs = [s['symbol'] for s in sorted_tickers]
return pairs
def get_target_bid(self, pair: str, ticker: Dict[str, float]) -> float:
"""
Calculates bid target between current ask price and last price

6
freqtrade/pairlist/StaticList.py → freqtrade/pairlist/StaticPairList.py
View File

@ -10,7 +10,7 @@ from typing import List, Optional
logger = logging.getLogger(__name__)
class StaticList(object):
class StaticPairList(object):
def __init__(self, freqtrade, config: dict) -> None:
self._freqtrade = freqtrade
@ -32,9 +32,9 @@ class StaticList(object):
"""
Refreshes whitelist and assigns it to self._whitelist
"""
self._whitelist = self.validate_whitelist(self._config['exchange']['pair_whitelist'])
self._whitelist = self._validate_whitelist(self._config['exchange']['pair_whitelist'])
def validate_whitelist(self, whitelist: List[str]) -> List[str]:
def _validate_whitelist(self, whitelist: List[str]) -> List[str]:
"""
Check available markets and remove pair from whitelist if necessary
:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to

98
freqtrade/pairlist/VolumePairList.py Normal file
View File

@ -0,0 +1,98 @@
"""
Static List provider
Provides lists as configured in config.json
"""
import logging
from typing import List
from cachetools import TTLCache, cached
from freqtrade.pairlist.StaticPairList import StaticPairList
from freqtrade import OperationalException
logger = logging.getLogger(__name__)
class VolumePairList(StaticPairList):
def __init__(self, freqtrade, config: dict) -> None:
self._freqtrade = freqtrade
self._config = config
self._whitelist = self._config['exchange']['pair_whitelist']
self._blacklist = self._config['exchange'].get('pair_blacklist', [])
self._number_pairs = self._config.get('dynamic_whitelist', None)
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
raise OperationalException(
'Exchange does not support dynamic whitelist.'
'Please edit your config and restart the bot'
)
# self.refresh_whitelist()
@property
def whitelist(self) -> List[str]:
""" Contains the current whitelist """
return self._whitelist
@property
def blacklist(self) -> List[str]:
return self._blacklist
def refresh_whitelist(self) -> None:
"""
Refreshes whitelist and assigns it to self._whitelist
"""
# Generate dynamic whitelist
pairs = self._gen_pair_whitelist(self._config['stake_currency'])
# Validate whitelist to only have active market pairs
self._whitelist = self._validate_whitelist(pairs)[:self._number_pairs]
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str = 'quoteVolume') -> List[str]:
"""
Updates the whitelist with with a dynamically generated list
:param base_currency: base currency as str
:param key: sort key (defaults to 'quoteVolume')
:return: List of pairs
"""
tickers = self._freqtrade.exchange.get_tickers()
# check length so that we make sure that '/' is actually in the string
tickers = [v for k, v in tickers.items()
if len(k.split('/')) == 2 and k.split('/')[1] == base_currency]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
pairs = [s['symbol'] for s in sorted_tickers]
return pairs
def _validate_whitelist(self, whitelist: List[str]) -> List[str]:
"""
Check available markets and remove pair from whitelist if necessary
:param whitelist: the sorted list (based on BaseVolume) of pairs the user might want to
trade
:return: the list of pairs the user wants to trade without the one unavailable or
black_listed
"""
sanitized_whitelist = whitelist
markets = self._freqtrade.exchange.get_markets()
# Filter to markets in stake currency
markets = [m for m in markets if m['quote'] == self._config['stake_currency']]
known_pairs = set()
for market in markets:
pair = market['symbol']
# pair is not int the generated dynamic market, or in the blacklist ... ignore it
if pair not in whitelist or pair in self.blacklist:
continue
# else the pair is valid
known_pairs.add(pair)
# Market is not active
if not market['active']:
sanitized_whitelist.remove(pair)
logger.info(
'Ignoring %s from whitelist. Market is not active.',
pair
)
# We need to remove pairs that are unknown
return [x for x in sanitized_whitelist if x in known_pairs]

46
freqtrade/tests/test_acl_pair.py
View File

@ -2,6 +2,7 @@
from unittest.mock import MagicMock
from freqtrade import OperationalException
from freqtrade.tests.conftest import get_patched_freqtradebot
import pytest
@ -35,7 +36,7 @@ def test_refresh_market_pair_not_in_whitelist(mocker, markets, whitelist_conf):
# List ordered by BaseVolume
whitelist = ['ETH/BTC', 'TKN/BTC']
# Ensure all except those in whitelist are removed
assert whitelist == freqtradebot.pairlists.whitelist
assert set(whitelist) == set(freqtradebot.pairlists.whitelist)
# Ensure config dict hasn't been changed
assert (whitelist_conf['exchange']['pair_whitelist'] ==
freqtradebot.config['exchange']['pair_whitelist'])
@ -49,11 +50,12 @@ def test_refresh_pairlists(mocker, markets, whitelist_conf):
# List ordered by BaseVolume
whitelist = ['ETH/BTC', 'TKN/BTC']
# Ensure all except those in whitelist are removed
assert whitelist == freqtradebot.pairlists.whitelist
assert set(whitelist)== set(freqtradebot.pairlists.whitelist)
assert whitelist_conf['exchange']['pair_blacklist'] == freqtradebot.pairlists.blacklist
def test_refresh_whitelist_dynamic(mocker, markets, tickers, whitelist_conf):
whitelist_conf['dynamic_whitelist'] = 5
freqtradebot = get_patched_freqtradebot(mocker, whitelist_conf)
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
@ -64,10 +66,7 @@ def test_refresh_whitelist_dynamic(mocker, markets, tickers, whitelist_conf):
# argument: use the whitelist dynamically by exchange-volume
whitelist = ['ETH/BTC', 'TKN/BTC']
freqtradebot._refresh_whitelist(
freqtradebot._gen_pair_whitelist(whitelist_conf['stake_currency'])
)
freqtradebot.pairlists.refresh_whitelist()
assert whitelist == freqtradebot.pairlists.whitelist
@ -79,7 +78,40 @@ def test_refresh_whitelist_dynamic_empty(mocker, markets_empty, whitelist_conf):
# argument: use the whitelist dynamically by exchange-volume
whitelist = []
whitelist_conf['exchange']['pair_whitelist'] = []
freqtradebot._refresh_whitelist(whitelist)
freqtradebot.pairlists.refresh_whitelist()
pairslist = whitelist_conf['exchange']['pair_whitelist']
assert set(whitelist) == set(pairslist)
def test_gen_pair_whitelist(mocker, default_conf, tickers) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
# Test to retrieved BTC sorted on quoteVolume (default)
freqtrade.pairlists.refresh_whitelist()
whitelist = freqtrade.pairlists.whitelist
assert whitelist == ['ETH/BTC', 'TKN/BTC', 'BLK/BTC', 'LTC/BTC']
# Test to retrieve BTC sorted on bidVolume
whitelist = freqtrade._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
assert whitelist == ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'BLK/BTC']
# Test with USDT sorted on quoteVolume (default)
whitelist = freqtrade._gen_pair_whitelist(base_currency='USDT')
assert whitelist == ['TKN/USDT', 'ETH/USDT', 'LTC/USDT', 'BLK/USDT']
# Test with ETH (our fixture does not have ETH, so result should be empty)
whitelist = freqtrade._gen_pair_whitelist(base_currency='ETH')
assert whitelist == []
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=False))
with pytest.raises(OperationalException):
freqtrade._gen_pair_whitelist(base_currency='BTC')

31
freqtrade/tests/test_freqtradebot.py
View File

@ -136,37 +136,6 @@ def test_throttle_with_assets(mocker, default_conf) -> None:
assert result == -1
def test_gen_pair_whitelist(mocker, default_conf, tickers) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
# Test to retrieved BTC sorted on quoteVolume (default)
whitelist = freqtrade._gen_pair_whitelist(base_currency='BTC')
assert whitelist == ['ETH/BTC', 'TKN/BTC', 'BLK/BTC', 'LTC/BTC']
# Test to retrieve BTC sorted on bidVolume
whitelist = freqtrade._gen_pair_whitelist(base_currency='BTC', key='bidVolume')
assert whitelist == ['LTC/BTC', 'TKN/BTC', 'ETH/BTC', 'BLK/BTC']
# Test with USDT sorted on quoteVolume (default)
whitelist = freqtrade._gen_pair_whitelist(base_currency='USDT')
assert whitelist == ['TKN/USDT', 'ETH/USDT', 'LTC/USDT', 'BLK/USDT']
# Test with ETH (our fixture does not have ETH, so result should be empty)
whitelist = freqtrade._gen_pair_whitelist(base_currency='ETH')
assert whitelist == []
def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
freqtrade = get_patched_freqtradebot(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.get_tickers', tickers)
mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=False))
with pytest.raises(OperationalException):
freqtrade._gen_pair_whitelist(base_currency='BTC')
def test_get_trade_stake_amount(default_conf, ticker, limit_buy_order, fee, mocker) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)