Introduce chainable PairlistFilters
This commit is contained in:
Matthias
parent
44289e4c58
commit
fd9c02603c
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@ -6,10 +6,11 @@ Provides lists as configured in config.json
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"""
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import logging
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from abc import ABC, abstractmethod
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from typing import List
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from typing import Dict, List
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from freqtrade.exchange import market_is_active
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from freqtrade.pairlist.IPairListFilter import IPairListFilter
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from freqtrade.resolvers.pairlistfilter_resolver import PairListFilterResolver
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logger = logging.getLogger(__name__)
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@ -21,6 +22,12 @@ class IPairList(ABC):
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self._config = config
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self._whitelist = self._config['exchange']['pair_whitelist']
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self._blacklist = self._config['exchange'].get('pair_blacklist', [])
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self._filters = self._config.get('pairlist', {}).get('filters', {})
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self._pairlistfilters: List[IPairListFilter] = []
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for pl_filter in self._filters.keys():
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self._pairlistfilters.append(
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PairListFilterResolver(pl_filter, freqtrade, self._config).pairlistfilter
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)
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@property
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def name(self) -> str:
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@ -60,7 +67,23 @@ class IPairList(ABC):
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-> Please overwrite in subclasses
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"""
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def _validate_whitelist(self, whitelist: List[str]) -> List[str]:
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def validate_whitelist(self, pairlist: List[str],
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tickers: List[Dict] = []) -> List[str]:
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"""
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Validate pairlist against active markets and blacklist.
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Run PairlistFilters if these are configured.
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"""
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pairlist = self._whitelist_for_active_markets(pairlist)
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if not tickers:
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# Refresh tickers if they are not used by the parent Pairlist
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tickers = self._freqtrade.exchange.get_tickers()
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for pl_filter in self._pairlistfilters:
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pairlist = pl_filter.filter_pairlist(pairlist, tickers)
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return pairlist
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def _whitelist_for_active_markets(self, whitelist: List[str]) -> List[str]:
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"""
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Check available markets and remove pair from whitelist if necessary
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:param whitelist: the sorted list of pairs the user might want to trade
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@ -69,7 +92,7 @@ class IPairList(ABC):
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"""
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markets = self._freqtrade.exchange.markets
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sanitized_whitelist = set()
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sanitized_whitelist: List[str] = []
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for pair in whitelist:
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# pair is not in the generated dynamic market, or in the blacklist ... ignore it
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if (pair in self.blacklist or pair not in markets
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@ -83,7 +106,8 @@ class IPairList(ABC):
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if not market_is_active(market):
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logger.info(f"Ignoring {pair} from whitelist. Market is not active.")
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continue
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sanitized_whitelist.add(pair)
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if pair not in sanitized_whitelist:
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sanitized_whitelist.append(pair)
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# We need to remove pairs that are unknown
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return list(sanitized_whitelist)
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return sanitized_whitelist
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@ -0,0 +1,18 @@
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import logging
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from abc import ABC, abstractmethod
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from typing import Dict, List
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logger = logging.getLogger(__name__)
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class IPairListFilter(ABC):
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def __init__(self, freqtrade, config: dict) -> None:
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self._freqtrade = freqtrade
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self._config = config
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@abstractmethod
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def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
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"""
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Method doing the filtering
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"""
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@ -0,0 +1,48 @@
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import logging
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from copy import deepcopy
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from typing import Dict, List
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from freqtrade.pairlist.IPairListFilter import IPairListFilter
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logger = logging.getLogger(__name__)
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class LowPriceFilter(IPairListFilter):
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def __init__(self, freqtrade, config: dict) -> None:
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super().__init__(freqtrade, config)
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self._low_price_percent = config['pairlist']['filters']['LowPriceFilter'].get(
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'low_price_percent', 0)
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def _validate_precision_filter_lowprice(self, ticker) -> bool:
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"""
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Check if if one price-step is > than a certain barrier.
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:param precision: Precision
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:return: True if the pair can stay, false if it should be removed
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"""
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precision = self._freqtrade.exchange.markets[ticker['symbol']]['precision']['price']
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compare = ticker['last'] + 1 / pow(10, precision)
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changeperc = (compare - ticker['last']) / ticker['last']
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if changeperc > self._low_price_percent:
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logger.info(f"Removed {ticker['symbol']} from whitelist, "
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f"because 1 unit is {changeperc * 100:.3f}%")
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return False
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return True
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def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
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"""
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Method doing the filtering
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"""
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# Copy list since we're modifying this list
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for p in deepcopy(pairlist):
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ticker = [t for t in tickers if t['symbol'] == p][0]
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# Filter out assets which would not allow setting a stoploss
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if self._low_price_percent and not self._validate_precision_filter_lowprice(ticker):
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pairlist.remove(p)
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return pairlist
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@ -0,0 +1,51 @@
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import logging
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from copy import deepcopy
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from typing import Dict, List
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from freqtrade.pairlist.IPairListFilter import IPairListFilter
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logger = logging.getLogger(__name__)
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class PrecisionFilter(IPairListFilter):
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def __init__(self, freqtrade, config: dict) -> None:
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super().__init__(freqtrade, config)
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def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
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"""
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Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
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low value pairs.
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:param stoploss: stoploss value as set in the configuration
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(already cleaned to be 1 - stoploss)
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:return: True if the pair can stay, false if it should be removed
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"""
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stop_price = self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss
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# Adjust stop-prices to precision
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sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
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stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
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stop_price * 0.99)
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logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}")
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if sp <= stop_gap_price:
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logger.info(f"Removed {ticker['symbol']} from whitelist, "
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f"because stop price {sp} would be <= stop limit {stop_gap_price}")
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return False
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return True
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def filter_pairlist(self, pairlist: List[str], tickers: List[Dict]) -> List[str]:
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"""
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Method doing the filtering
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"""
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if self._freqtrade.strategy.stoploss is not None:
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# Precalculate sanitized stoploss value to avoid recalculation for every pair
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stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
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# Copy list since we're modifying this list
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for p in deepcopy(pairlist):
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ticker = [t for t in tickers if t['symbol'] == p][0]
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# Filter out assets which would not allow setting a stoploss
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if (stoploss and not self._validate_precision_filter(ticker, stoploss)):
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pairlist.remove(p)
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continue
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return pairlist
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@ -27,4 +27,4 @@ class StaticPairList(IPairList):
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"""
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Refreshes pairlists and assigns them to self._whitelist and self._blacklist respectively
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"""
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self._whitelist = self._validate_whitelist(self._config['exchange']['pair_whitelist'])
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self._whitelist = self.validate_whitelist(self._config['exchange']['pair_whitelist'])
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@ -5,7 +5,6 @@ Provides lists as configured in config.json
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"""
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import logging
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from copy import deepcopy
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from typing import List
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from cachetools import TTLCache, cached
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@ -30,7 +29,6 @@ class VolumePairList(IPairList):
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self._number_pairs = self._whitelistconf['number_assets']
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self._sort_key = self._whitelistconf.get('sort_key', 'quoteVolume')
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self._precision_filter = self._whitelistconf.get('precision_filter', True)
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self._low_price_percent_filter = self._whitelistconf.get('low_price_percent_filter', None)
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if not self._freqtrade.exchange.exchange_has('fetchTickers'):
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raise OperationalException(
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@ -60,44 +58,6 @@ class VolumePairList(IPairList):
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self._whitelist = self._gen_pair_whitelist(
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self._config['stake_currency'], self._sort_key)
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def _validate_precision_filter(self, ticker: dict, stoploss: float) -> bool:
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"""
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Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
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low value pairs.
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:param stoploss: stoploss value as set in the configuration
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(already cleaned to be 1 - stoploss)
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:return: True if the pair can stay, false if it should be removed
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"""
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stop_price = self._freqtrade.get_target_bid(ticker["symbol"], ticker) * stoploss
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# Adjust stop-prices to precision
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sp = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"], stop_price)
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stop_gap_price = self._freqtrade.exchange.symbol_price_prec(ticker["symbol"],
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stop_price * 0.99)
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logger.debug(f"{ticker['symbol']} - {sp} : {stop_gap_price}")
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if sp <= stop_gap_price:
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logger.info(f"Removed {ticker['symbol']} from whitelist, "
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f"because stop price {sp} would be <= stop limit {stop_gap_price}")
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return False
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return True
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def _validate_precision_filter_lowprice(self, ticker) -> bool:
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"""
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Check if if one price-step is > than a certain barrier.
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:param ticker: ticker dict as returned from ccxt.load_markets()
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:param precision: Precision
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:return: True if the pair can stay, false if it should be removed
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"""
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precision = self._freqtrade.exchange.markets[ticker['symbol']]['precision']['price']
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compare = ticker['last'] + 1 / pow(10, precision)
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changeperc = (compare - ticker['last']) / ticker['last']
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if changeperc > self._low_price_percent_filter:
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logger.info(f"Removed {ticker['symbol']} from whitelist, "
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f"because 1 unit is {changeperc * 100:.3f}%")
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return False
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return True
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@cached(TTLCache(maxsize=1, ttl=1800))
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def _gen_pair_whitelist(self, base_currency: str, key: str) -> List[str]:
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"""
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@ -114,26 +74,8 @@ class VolumePairList(IPairList):
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and v[key] is not None)]
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sorted_tickers = sorted(tickers, reverse=True, key=lambda t: t[key])
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# Validate whitelist to only have active market pairs
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valid_pairs = self._validate_whitelist([s['symbol'] for s in sorted_tickers])
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valid_tickers = [t for t in sorted_tickers if t["symbol"] in valid_pairs]
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pairs = self.validate_whitelist([s['symbol'] for s in sorted_tickers], tickers)
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stoploss = None
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if self._freqtrade.strategy.stoploss is not None:
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# Precalculate sanitized stoploss value to avoid recalculation for every pair
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stoploss = 1 - abs(self._freqtrade.strategy.stoploss)
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# Copy list since we're modifying this list
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for t in deepcopy(valid_tickers):
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# Filter out assets which would not allow setting a stoploss
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if (stoploss and self._precision_filter
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and not self._validate_precision_filter(t, stoploss)):
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valid_tickers.remove(t)
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continue
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if self._low_price_percent_filter and not self._validate_precision_filter_lowprice(t,):
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valid_tickers.remove(t)
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continue
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pairs = [s['symbol'] for s in valid_tickers]
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logger.info(f"Searching pairs: {pairs[:self._number_pairs]}")
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logger.info(f"Searching {self._number_pairs} pairs: {pairs[:self._number_pairs]}")
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return pairs
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@ -0,0 +1,53 @@
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# pragma pylint: disable=attribute-defined-outside-init
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"""
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This module load custom pairlists
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"""
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import logging
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from pathlib import Path
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from freqtrade import OperationalException
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from freqtrade.pairlist.IPairListFilter import IPairListFilter
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from freqtrade.resolvers import IResolver
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logger = logging.getLogger(__name__)
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class PairListFilterResolver(IResolver):
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"""
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This class contains all the logic to load custom PairList class
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"""
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__slots__ = ['pairlistfilter']
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def __init__(self, pairlist_name: str, freqtrade, config: dict) -> None:
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"""
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Load the custom class from config parameter
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:param config: configuration dictionary or None
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"""
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self.pairlistfilter = self._load_pairlist(pairlist_name, config,
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kwargs={'freqtrade': freqtrade,
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'config': config})
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def _load_pairlist(
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self, pairlistfilter_name: str, config: dict, kwargs: dict) -> IPairListFilter:
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"""
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Search and loads the specified pairlist.
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:param pairlistfilter_name: name of the module to import
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:param config: configuration dictionary
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:param extra_dir: additional directory to search for the given pairlist
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:return: PairList instance or None
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"""
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current_path = Path(__file__).parent.parent.joinpath('pairlist').resolve()
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abs_paths = self.build_search_paths(config, current_path=current_path,
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user_subdir=None, extra_dir=None)
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pairlist = self._load_object(paths=abs_paths, object_type=IPairListFilter,
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object_name=pairlistfilter_name, kwargs=kwargs)
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if pairlist:
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return pairlist
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raise OperationalException(
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f"Impossible to load PairlistFilter '{pairlistfilter_name}'. This class does not exist "
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"or contains Python code errors."
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)
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