110 lines
4.3 KiB
Python
110 lines
4.3 KiB
Python
"""
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Rate of change pairlist filter
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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 Any, Dict, List, Optional
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import arrow
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from cachetools.ttl import TTLCache
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from pandas import DataFrame
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from freqtrade.exceptions import OperationalException
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from freqtrade.misc import plural
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from freqtrade.plugins.pairlist.IPairList import IPairList
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logger = logging.getLogger(__name__)
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class RangeStabilityFilter(IPairList):
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def __init__(self, exchange, pairlistmanager,
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config: Dict[str, Any], pairlistconfig: Dict[str, Any],
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pairlist_pos: int) -> None:
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super().__init__(exchange, pairlistmanager, config, pairlistconfig, pairlist_pos)
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self._days = pairlistconfig.get('lookback_days', 10)
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self._min_rate_of_change = pairlistconfig.get('min_rate_of_change', 0.01)
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self._refresh_period = pairlistconfig.get('refresh_period', 1440)
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self._pair_cache: TTLCache = TTLCache(maxsize=1000, ttl=self._refresh_period)
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if self._days < 1:
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raise OperationalException("RangeStabilityFilter requires lookback_days to be >= 1")
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if self._days > exchange.ohlcv_candle_limit('1d'):
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raise OperationalException("RangeStabilityFilter requires lookback_days to not "
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"exceed exchange max request size "
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f"({exchange.ohlcv_candle_limit('1d')})")
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@property
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def needstickers(self) -> bool:
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"""
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Boolean property defining if tickers are necessary.
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If no Pairlist requires tickers, an empty List is passed
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as tickers argument to filter_pairlist
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"""
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return False
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def short_desc(self) -> str:
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"""
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Short whitelist method description - used for startup-messages
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"""
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return (f"{self.name} - Filtering pairs with rate of change below "
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f"{self._min_rate_of_change} over the last {plural(self._days, 'day')}.")
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def filter_pairlist(self, pairlist: List[str], tickers: Dict) -> List[str]:
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"""
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Validate trading range
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:param pairlist: pairlist to filter or sort
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:param tickers: Tickers (from exchange.get_tickers()). May be cached.
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:return: new allowlist
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"""
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needed_pairs = [(p, '1d') for p in pairlist if p not in self._pair_cache]
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since_ms = int(arrow.utcnow()
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.floor('day')
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.shift(days=-self._days - 1)
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.float_timestamp) * 1000
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# Get all candles
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candles = {}
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if needed_pairs:
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candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms,
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cache=False)
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if self._enabled:
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for p in deepcopy(pairlist):
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daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None
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if not self._validate_pair_loc(p, daily_candles):
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pairlist.remove(p)
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return pairlist
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def _validate_pair_loc(self, pair: str, daily_candles: Optional[DataFrame]) -> bool:
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"""
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Validate trading range
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:param pair: Pair that's currently validated
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:param ticker: ticker dict as returned from ccxt.fetch_tickers()
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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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# Check symbol in cache
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cached_res = self._pair_cache.get(pair, None)
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if cached_res is not None:
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return cached_res
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result = False
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if daily_candles is not None and not daily_candles.empty:
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highest_high = daily_candles['high'].max()
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lowest_low = daily_candles['low'].min()
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pct_change = ((highest_high - lowest_low) / lowest_low) if lowest_low > 0 else 0
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if pct_change >= self._min_rate_of_change:
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result = True
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else:
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self.log_once(f"Removed {pair} from whitelist, because rate of change "
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f"over {self._days} {plural(self._days, 'day')} is {pct_change:.3f}, "
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f"which is below the threshold of {self._min_rate_of_change}.",
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logger.info)
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result = False
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self._pair_cache[pair] = result
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return result
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