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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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65
freqtrade/pairlist/IPairList.py
View File

@@ -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
View File

@@ -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
View File

@@ -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
View File

@@ -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
View File

@@ -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
View File

@@ -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