""" Performance pair list filter """ import logging from typing import Any, Dict, List import pandas as pd from freqtrade.persistence import Trade from freqtrade.plugins.pairlist.IPairList import IPairList logger = logging.getLogger(__name__) class PerformanceFilter(IPairList): def __init__(self, exchange, pairlistmanager, config: Dict[str, Any], pairlistconfig: Dict[str, Any], pairlist_pos: int) -> None: super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos) self._minutes = pairlistconfig.get('minutes', 0) self._min_profit = pairlistconfig.get('min_profit', None) @property def needstickers(self) -> bool: """ Boolean property defining if tickers are necessary. If no Pairlist requires tickers, an empty List is passed as tickers argument to filter_pairlist """ return False def short_desc(self) -> str: """ Short allowlist method description - used for startup-messages """ return f"{self.name} - Sorting pairs by performance." def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]: """ Filters and sorts pairlist and returns the allowlist 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 allowlist """ # Get the trading performance for pairs from database try: performance = pd.DataFrame(Trade.get_overall_performance(self._minutes)) except AttributeError: # Performancefilter does not work in backtesting. self.log_once("PerformanceFilter is not available in this mode.", logger.warning) return pairlist # Skip performance-based sorting if no performance data is available if len(performance) == 0: return pairlist # Get pairlist from performance dataframe values list_df = pd.DataFrame({'pair': pairlist}) list_df['prior_idx'] = list_df.index # Set initial value for pairs with no trades to 0 # Sort the list using: # - primarily performance (high to low) # - then count (low to high, so as to favor same performance with fewer trades) # - then pair name alphametically sorted_df = list_df.merge(performance, on='pair', how='left')\ .fillna(0).sort_values(by=['count', 'prior_idx'], ascending=True)\ .sort_values(by=['profit_ratio'], ascending=False) if self._min_profit is not None: removed = sorted_df[sorted_df['profit_ratio'] < self._min_profit] for _, row in removed.iterrows(): self.log_once( f"Removing pair {row['pair']} since {row['profit_ratio']} is " f"below {self._min_profit}", logger.info) sorted_df = sorted_df[sorted_df['profit_ratio'] >= self._min_profit] pairlist = sorted_df['pair'].tolist() return pairlist