adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Introduce chainable PairlistFilters

Browse Source
This commit is contained in:
Matthias 2019-10-30 15:59:52 +01:00
parent 44289e4c58
commit fd9c02603c
7 changed files with 203 additions and 67 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

36
freqtrade/pairlist/IPairList.py
View File

@ -6,10 +6,11 @@ Provides lists as configured in config.json
"""
import logging
from abc import ABC, abstractmethod
from typing import List
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__)
@ -21,6 +22,12 @@ class IPairList(ABC):
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
)
@property
def name(self) -> str:
@ -60,7 +67,23 @@ class IPairList(ABC):
-> Please overwrite in subclasses
"""
def _validate_whitelist(self, whitelist: List[str]) -> List[str]:
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
:param whitelist: the sorted list of pairs the user might want to trade
@ -69,7 +92,7 @@ class IPairList(ABC):
"""
markets = self._freqtrade.exchange.markets
sanitized_whitelist = set()
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
@ -83,7 +106,8 @@ class IPairList(ABC):
if not market_is_active(market):
logger.info(f"Ignoring {pair} from whitelist. Market is not active.")
continue
sanitized_whitelist.add(pair)
if pair not in sanitized_whitelist:
sanitized_whitelist.append(pair)
# We need to remove pairs that are unknown
return list(sanitized_whitelist)
return sanitized_whitelist

18
freqtrade/pairlist/IPairListFilter.py Normal file
View File

@ -0,0 +1,18 @@
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
"""

48
freqtrade/pairlist/LowPriceFilter.py Normal file
View File

@ -0,0 +1,48 @@
import logging
from copy import deepcopy
from typing import Dict, List
from freqtrade.pairlist.IPairListFilter import IPairListFilter
logger = logging.getLogger(__name__)
class LowPriceFilter(IPairListFilter):
def __init__(self, freqtrade, config: dict) -> None:
super().__init__(freqtrade, config)
self._low_price_percent = config['pairlist']['filters']['LowPriceFilter'].get(
'low_price_percent', 0)
def _validate_precision_filter_lowprice(self, ticker) -> bool:
"""
Check if if one price-step is > than a certain barrier.
:param ticker: ticker dict as returned from ccxt.load_markets()
: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']
compare = ticker['last'] + 1 / pow(10, precision)
changeperc = (compare - ticker['last']) / ticker['last']
if changeperc > self._low_price_percent:
logger.info(f"Removed {ticker['symbol']} from whitelist, "
f"because 1 unit is {changeperc * 100:.3f}%")
return False
return True
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Method doing the filtering
"""
# Copy list since we're modifying this list
for p in deepcopy(pairlist):
ticker = [t for t in tickers if t['symbol'] == p][0]
# Filter out assets which would not allow setting a stoploss
if self._low_price_percent and not self._validate_precision_filter_lowprice(ticker):
pairlist.remove(p)
return pairlist

51
freqtrade/pairlist/PrecisionFilter.py Normal file
View File

@ -0,0 +1,51 @@
import logging
from copy import deepcopy
from typing import Dict, List
from freqtrade.pairlist.IPairListFilter import IPairListFilter
logger = logging.getLogger(__name__)
class PrecisionFilter(IPairListFilter):
def __init__(self, freqtrade, config: dict) -> None:
super().__init__(freqtrade, config)
def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
"""
Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
low value pairs.
:param ticker: ticker dict as returned from ccxt.load_markets()
:param stoploss: stoploss value as set in the configuration
(already cleaned to be 1 - stoploss)
:return: True if the pair can stay, false if it should be removed
"""
stop_price = self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss
# Adjust stop-prices to precision
sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
stop_price * 0.99)
logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}")
if sp <= stop_gap_price:
logger.info(f"Removed {ticker['symbol']} from whitelist, "
f"because stop price {sp} would be <= stop limit {stop_gap_price}")
return False
return True
def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
"""
Method doing the filtering
"""
if self._freqtrade.strategy.stoploss is not None:
# Precalculate sanitized stoploss value to avoid recalculation for every pair
stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
# Copy list since we're modifying this list
for p in deepcopy(pairlist):
ticker = [t for t in tickers if t['symbol'] == p][0]
# Filter out assets which would not allow setting a stoploss
if (stoploss and not self._validate_precision_filter(ticker, stoploss)):
pairlist.remove(p)
continue
return pairlist

2
freqtrade/pairlist/StaticPairList.py
View File

@ -27,4 +27,4 @@ class StaticPairList(IPairList):
"""
Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
"""
self._whitelist = self._validate_whitelist(self._config['exchange']['pair_whitelist'])
self._whitelist = self.validate_whitelist(self._config['exchange']['pair_whitelist'])

62
freqtrade/pairlist/VolumePairList.py
View File

@ -5,7 +5,6 @@ Provides lists as configured in config.json
"""
import logging
from copy import deepcopy
from typing import List
from cachetools import TTLCache, cached
@ -30,7 +29,6 @@ class VolumePairList(IPairList):
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._low_price_percent_filter = self._whitelistconf.get('low_price_percent_filter', None)
if not self._freqtrade.exchange.exchange_has('fetchTickers'):
raise OperationalException(
@ -60,44 +58,6 @@ class VolumePairList(IPairList):
self._whitelist = self._gen_pair_whitelist(
self._config['stake_currency'], self._sort_key)
def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
"""
Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
low value pairs.
:param ticker: ticker dict as returned from ccxt.load_markets()
:param stoploss: stoploss value as set in the configuration
(already cleaned to be 1 - stoploss)
:return: True if the pair can stay, false if it should be removed
"""
stop_price = self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss
# Adjust stop-prices to precision
sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
stop_price * 0.99)
logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}")
if sp <= stop_gap_price:
logger.info(f"Removed {ticker['symbol']} from whitelist, "
f"because stop price {sp} would be <= stop limit {stop_gap_price}")
return False
return True
def _validate_precision_filter_lowprice(self, ticker) -> bool:
"""
Check if if one price-step is > than a certain barrier.
:param ticker: ticker dict as returned from ccxt.load_markets()
: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']
compare = ticker['last'] + 1 / pow(10, precision)
changeperc = (compare - ticker['last']) / ticker['last']
if changeperc > self._low_price_percent_filter:
logger.info(f"Removed {ticker['symbol']} from whitelist, "
f"because 1 unit is {changeperc * 100:.3f}%")
return False
return True
@cached(TTLCache(maxsize=1, ttl=1800))
def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
"""
@ -114,26 +74,8 @@ class VolumePairList(IPairList):
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
valid_pairs = self._validate_whitelist([s['symbol'] for s in sorted_tickers])
valid_tickers = [t for t in sorted_tickers if t["symbol"] in valid_pairs]
pairs = self.validate_whitelist([s['symbol'] for s in sorted_tickers], tickers)
stoploss = None
if self._freqtrade.strategy.stoploss is not None:
# Precalculate sanitized stoploss value to avoid recalculation for every pair
stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
# Copy list since we're modifying this list
for t in deepcopy(valid_tickers):
# Filter out assets which would not allow setting a stoploss
if (stoploss and self._precision_filter
and not self._validate_precision_filter(t, stoploss)):
valid_tickers.remove(t)
continue
if self._low_price_percent_filter and not self._validate_precision_filter_lowprice(t,):
valid_tickers.remove(t)
continue
pairs = [s['symbol'] for s in valid_tickers]
logger.info(f"Searching pairs: {pairs[:self._number_pairs]}")
logger.info(f"Searching {self._number_pairs} pairs: {pairs[:self._number_pairs]}")
return pairs

53
freqtrade/resolvers/pairlistfilter_resolver.py Normal file
View File

@ -0,0 +1,53 @@
# 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."
)