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Allow chaining of pairlists

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This commit is contained in:
Matthias 2019-11-09 06:55:16 +01:00
parent dee9b84322
commit e632720c02
10 changed files with 143 additions and 165 deletions
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7
freqtrade/freqtradebot.py
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@ -20,9 +20,9 @@ from freqtrade.data.dataprovider import DataProvider
from freqtrade.edge import Edge
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_next_date
from freqtrade.persistence import Trade
from freqtrade.resolvers import (ExchangeResolver, PairListResolver,
StrategyResolver)
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.rpc import RPCManager, RPCMessageType
from freqtrade.pairlist.pairlistmanager import PairListManager
from freqtrade.state import State
from freqtrade.strategy.interface import IStrategy, SellType
from freqtrade.wallets import Wallets
@ -70,8 +70,7 @@ class FreqtradeBot:
# Attach Wallets to Strategy baseclass
IStrategy.wallets = self.wallets
pairlistname = self.config.get('pairlist', {}).get('method', 'StaticPairList')
self.pairlists = PairListResolver(pairlistname, self, self.config).pairlist
self.pairlists = PairListManager(self.exchange, self.config)
# Initializing Edge only if enabled
self.edge = Edge(self.config, self.exchange, self.strategy) if \

65
freqtrade/pairlist/IPairList.py
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@ -9,25 +9,16 @@ from abc import ABC, abstractmethod
from typing import Dict, List
from freqtrade.exchange import market_is_active
from freqtrade.pairlist.IPairListFilter import IPairListFilter
from freqtrade.resolvers.pairlistfilter_resolver import PairListFilterResolver
logger = logging.getLogger(__name__)
class IPairList(ABC):
def __init__(self, freqtrade, config: dict) -> None:
self._freqtrade = freqtrade
def __init__(self, exchange, config, pairlistconfig: dict) -> None:
self._exchange = exchange
self._config = config
self._whitelist = self._config['exchange']['pair_whitelist']
self._blacklist = self._config['exchange'].get('pair_blacklist', [])
self._filters = self._config.get('pairlist', {}).get('filters', {})
self._pairlistfilters: List[IPairListFilter] = []
for pl_filter in self._filters.keys():
self._pairlistfilters.append(
PairListFilterResolver(pl_filter, freqtrade, self._config).pairlistfilter
)
self._pairlistconfig = pairlistconfig
@property
def name(self) -> str:
@ -37,22 +28,6 @@ class IPairList(ABC):
"""
return self.__class__.__name__
@property
def whitelist(self) -> List[str]:
"""
Has the current whitelist
-> no need to overwrite in subclasses
"""
return self._whitelist
@property
def blacklist(self) -> List[str]:
"""
Has the current blacklist
-> no need to overwrite in subclasses
"""
return self._blacklist
@abstractmethod
def short_desc(self) -> str:
"""
@ -61,28 +36,16 @@ class IPairList(ABC):
"""
@abstractmethod
def refresh_pairlist(self) -> None:
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
Filters and sorts pairlist and returns the whitelist again.
Called on each bot iteration - please use internal caching if necessary
-> Please overwrite in subclasses
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
def validate_whitelist(self, pairlist: List[str],
tickers: List[Dict] = []) -> List[str]:
"""
Validate pairlist against active markets and blacklist.
Run PairlistFilters if these are configured.
"""
pairlist = self._whitelist_for_active_markets(pairlist)
if not tickers:
# Refresh tickers if they are not used by the parent Pairlist
tickers = self._freqtrade.exchange.get_tickers()
for pl_filter in self._pairlistfilters:
pairlist = pl_filter.filter_pairlist(pairlist, tickers)
return pairlist
def _whitelist_for_active_markets(self, whitelist: List[str]) -> List[str]:
"""
Check available markets and remove pair from whitelist if necessary
@ -90,16 +53,14 @@ class IPairList(ABC):
:return: the list of pairs the user wants to trade without those unavailable or
black_listed
"""
markets = self._freqtrade.exchange.markets
markets = self._exchange.markets
sanitized_whitelist: List[str] = []
for pair in whitelist:
# pair is not in the generated dynamic market, or in the blacklist ... ignore it
if (pair in self.blacklist or pair not in markets
or not pair.endswith(self._config['stake_currency'])):
# pair is not in the generated dynamic market or has the wrong stake currency
if (pair not in markets or not pair.endswith(self._config['stake_currency'])):
logger.warning(f"Pair {pair} is not compatible with exchange "
f"{self._freqtrade.exchange.name} or contained in "
f"your blacklist. Removing it from whitelist..")
f"{self._exchange.name}. Removing it from whitelist..")
continue
# Check if market is active
market = markets[pair]

18
freqtrade/pairlist/IPairListFilter.py
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@ -1,18 +0,0 @@
import logging
from abc import ABC, abstractmethod
from typing import Dict, List
logger = logging.getLogger(__name__)
class IPairListFilter(ABC):
def __init__(self, freqtrade, config: dict) -> None:
self._freqtrade = freqtrade
self._config = config
@abstractmethod
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Method doing the filtering
"""

29
freqtrade/pairlist/LowPriceFilter.py
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@ -2,18 +2,23 @@ import logging
from copy import deepcopy
from typing import Dict, List
from freqtrade.pairlist.IPairListFilter import IPairListFilter
from freqtrade.pairlist.IPairList import IPairList
logger = logging.getLogger(__name__)
class LowPriceFilter(IPairListFilter):
class LowPriceFilter(IPairList):
def __init__(self, freqtrade, config: dict) -> None:
super().__init__(freqtrade, config)
def __init__(self, exchange, config, pairlistconfig: dict) -> None:
super().__init__(exchange, config, pairlistconfig)
self._low_price_percent = config['pairlist']['filters']['LowPriceFilter'].get(
'low_price_percent', 0)
self._low_price_percent = pairlistconfig.get('low_price_percent', 0)
def short_desc(self) -> str:
"""
Short whitelist method description - used for startup-messages
"""
return f"{self.name} - Filtering pairs priced below {self._low_price_percent * 100}%."
def _validate_ticker_lowprice(self, ticker) -> bool:
"""
@ -22,7 +27,7 @@ class LowPriceFilter(IPairListFilter):
:param precision: Precision
:return: True if the pair can stay, false if it should be removed
"""
precision = self._freqtrade.exchange.markets[ticker['symbol']]['precision']['price']
precision = self._exchange.markets[ticker['symbol']]['precision']['price']
compare = ticker['last'] + 1 / pow(10, precision)
changeperc = (compare - ticker['last']) / ticker['last']
@ -33,10 +38,14 @@ class LowPriceFilter(IPairListFilter):
return True
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Method doing the filtering
"""
"""
Filters and sorts pairlist and returns the whitelist again.
Called on each bot iteration - please use internal caching if necessary
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
# Copy list since we're modifying this list
for p in deepcopy(pairlist):
ticker = [t for t in tickers if t['symbol'] == p][0]

13
freqtrade/pairlist/PrecisionFilter.py
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@ -2,15 +2,18 @@ import logging
from copy import deepcopy
from typing import Dict, List
from freqtrade.pairlist.IPairListFilter import IPairListFilter
from freqtrade.pairlist.IPairList import IPairList
logger = logging.getLogger(__name__)
class PrecisionFilter(IPairListFilter):
class PrecisionFilter(IPairList):
def __init__(self, freqtrade, config: dict) -> None:
super().__init__(freqtrade, config)
def short_desc(self) -> str:
"""
Short whitelist method description - used for startup-messages
"""
return f"{self.name} - Filtering untradable pairs."
def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
"""
@ -35,7 +38,7 @@ class PrecisionFilter(IPairListFilter):
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Method doing the filtering
Filters and sorts pairlists and assigns and returns them again.
"""
if self._freqtrade.strategy.stoploss is not None:
# Precalculate sanitized stoploss value to avoid recalculation for every pair

15
freqtrade/pairlist/StaticPairList.py
View File

@ -5,6 +5,7 @@ Provides lists as configured in config.json
"""
import logging
from typing import List, Dict
from freqtrade.pairlist.IPairList import IPairList
@ -13,8 +14,8 @@ logger = logging.getLogger(__name__)
class StaticPairList(IPairList):
def __init__(self, freqtrade, config: dict) -> None:
super().__init__(freqtrade, config)
def __init__(self, exchange, config, pairlistconfig: dict) -> None:
super().__init__(exchange, config, pairlistconfig)
def short_desc(self) -> str:
"""
@ -23,8 +24,12 @@ class StaticPairList(IPairList):
"""
return f"{self.name}: {self.whitelist}"
def refresh_pairlist(self) -> None:
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
Filters and sorts pairlist and returns the whitelist again.
Called on each bot iteration - please use internal caching if necessary
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
self._whitelist = self.validate_whitelist(self._config['exchange']['pair_whitelist'])
return self.validate_whitelist(self._config['exchange']['pair_whitelist'])

32
freqtrade/pairlist/VolumePairList.py
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@ -5,7 +5,7 @@ Provides lists as configured in config.json
"""
import logging
from typing import List
from typing import List, Dict
from cachetools import TTLCache, cached
@ -19,18 +19,17 @@ SORT_VALUES = ['askVolume', 'bidVolume', 'quoteVolume']
class VolumePairList(IPairList):
def __init__(self, freqtrade, config: dict) -> None:
super().__init__(freqtrade, config)
self._whitelistconf = self._config.get('pairlist', {}).get('config')
if 'number_assets' not in self._whitelistconf:
def __init__(self, exchange, config, pairlistconfig: dict) -> None:
super().__init__(exchange, config, pairlistconfig)
if 'number_assets' not in self._pairlistconfig:
raise OperationalException(
f'`number_assets` not specified. Please check your configuration '
'for "pairlist.config.number_assets"')
self._number_pairs = self._whitelistconf['number_assets']
self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
self._precision_filter = self._whitelistconf.get('precision_filter', True)
self._number_pairs = self._pairlistconfig['number_assets']
self._sort_key = self._pairlistconfig.get('sort_key', 'quoteVolume')
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
if not self._exchange.exchange_has('fetchTickers'):
raise OperationalException(
'Exchange does not support dynamic whitelist.'
'Please edit your config and restart the bot'
@ -45,14 +44,16 @@ class VolumePairList(IPairList):
def short_desc(self) -> str:
"""
Short whitelist method description - used for startup-messages
-> Please overwrite in subclasses
"""
return f"{self.name} - top {self._whitelistconf['number_assets']} volume pairs."
def refresh_pairlist(self) -> None:
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
-> Please overwrite in subclasses
Filters and sorts pairlist and returns the whitelist again.
Called on each bot iteration - please use internal caching if necessary
:param pairlist: pairlist to filter or sort
:param tickers: Tickers (from exchange.get_tickers()). May be cached.
:return: new whitelist
"""
# Generate dynamic whitelist
self._whitelist = self._gen_pair_whitelist(
@ -64,17 +65,18 @@ class VolumePairList(IPairList):
Updates the whitelist with with a dynamically generated list
:param base_currency: base currency as str
:param key: sort key (defaults to 'quoteVolume')
:param tickers: Tickers (from exchange.get_tickers()).
:return: List of pairs
"""
tickers = self._freqtrade.exchange.get_tickers()
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
and v[key] is not None)]
sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
# Validate whitelist to only have active market pairs
pairs = self.validate_whitelist([s['symbol'] for s in sorted_tickers], tickers)
pairs = self._whitelist_for_active_markets([s['symbol'] for s in sorted_tickers])
logger.info(f"Searching {self._number_pairs} pairs: {pairs[:self._number_pairs]}")

68
freqtrade/pairlist/pairlistmanager.py Normal file
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@ -0,0 +1,68 @@
"""
Static List provider
Provides lists as configured in config.json
"""
import logging
from copy import deepcopy
from typing import List
from freqtrade.pairlist.IPairList import IPairList
from freqtrade.resolvers import PairListResolver
logger = logging.getLogger(__name__)
class PairListManager():
def __init__(self, exchange, config: dict) -> None:
self._exchange = exchange
self._config = config
self._whitelist = self._config['exchange'].get('pair_whitelist')
self._blacklist = self._config['exchange'].get('pair_blacklist', [])
self._pairlists: List[IPairList] = []
for pl in self._config.get('pairlists', [{'method': "StaticPairList"}]):
pairl = PairListResolver(pl.get('method'),
exchange, config,
pl.get('config')).pairlist
self._pairlists.append(pairl)
@property
def whitelist(self) -> List[str]:
"""
Has the current whitelist
"""
return self._whitelist
@property
def blacklist(self) -> List[str]:
"""
Has the current blacklist
-> no need to overwrite in subclasses
"""
return self._blacklist
def refresh_pairlist(self) -> None:
"""
Run pairlist through all pairlists.
"""
pairlist = self._whitelist.copy()
# tickers should be cached to avoid calling the exchange on each call.
tickers = self._exchange.get_tickers()
for pl in self._pairlists:
pl.filter_pairlist(pairlist, tickers)
pairlist = self._verify_blacklist(pairlist)
self._whitelist = pairlist
def _verify_blacklist(self, pairlist: List[str]) -> List[str]:
for pair in deepcopy(pairlist):
if pair in self.blacklist:
logger.warning(f"Pair {pair} in your blacklist. Removing it from whitelist...")
pairlist.remove(pair)
return pairlist

8
freqtrade/resolvers/pairlist_resolver.py
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@ -20,13 +20,15 @@ class PairListResolver(IResolver):
__slots__ = ['pairlist']
def __init__(self, pairlist_name: str, freqtrade, config: dict) -> None:
def __init__(self, pairlist_name: str, exchange, config: dict, pairlistconfig) -> None:
"""
Load the custom class from config parameter
:param config: configuration dictionary or None
"""
self.pairlist = self._load_pairlist(pairlist_name, config, kwargs={'freqtrade': freqtrade,
'config': config})
self.pairlist = self._load_pairlist(pairlist_name, config,
kwargs={'exchange': exchange,
'config': config,
'pairlistconfig': pairlistconfig})
def _load_pairlist(
self, pairlist_name: str, config: dict, kwargs: dict) -> IPairList:

53
freqtrade/resolvers/pairlistfilter_resolver.py
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@ -1,53 +0,0 @@
# pragma pylint: disable=attribute-defined-outside-init
"""
This module load custom pairlists
"""
import logging
from pathlib import Path
from freqtrade import OperationalException
from freqtrade.pairlist.IPairListFilter import IPairListFilter
from freqtrade.resolvers import IResolver
logger = logging.getLogger(__name__)
class PairListFilterResolver(IResolver):
"""
This class contains all the logic to load custom PairList class
"""
__slots__ = ['pairlistfilter']
def __init__(self, pairlist_name: str, freqtrade, config: dict) -> None:
"""
Load the custom class from config parameter
:param config: configuration dictionary or None
"""
self.pairlistfilter = self._load_pairlist(pairlist_name, config,
kwargs={'freqtrade': freqtrade,
'config': config})
def _load_pairlist(
self, pairlistfilter_name: str, config: dict, kwargs: dict) -> IPairListFilter:
"""
Search and loads the specified pairlist.
:param pairlistfilter_name: name of the module to import
:param config: configuration dictionary
:param extra_dir: additional directory to search for the given pairlist
:return: PairList instance or None
"""
current_path = Path(__file__).parent.parent.joinpath('pairlist').resolve()
abs_paths = self.build_search_paths(config, current_path=current_path,
user_subdir=None, extra_dir=None)
pairlist = self._load_object(paths=abs_paths, object_type=IPairListFilter,
object_name=pairlistfilter_name, kwargs=kwargs)
if pairlist:
return pairlist
raise OperationalException(
f"Impossible to load PairlistFilter '{pairlistfilter_name}'. This class does not exist "
"or contains Python code errors."
)