133 lines
5.7 KiB
Python
133 lines
5.7 KiB
Python
"""
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Minimum age (days listed) pair list 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 pandas import DataFrame
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from freqtrade.constants import Config, ListPairsWithTimeframes
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange.types import Tickers
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from freqtrade.misc import plural
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from freqtrade.plugins.pairlist.IPairList import IPairList
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from freqtrade.util import PeriodicCache
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logger = logging.getLogger(__name__)
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class AgeFilter(IPairList):
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def __init__(self, exchange, pairlistmanager,
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config: Config, 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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# Checked symbols cache (dictionary of ticker symbol => timestamp)
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self._symbolsChecked: Dict[str, int] = {}
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self._symbolsCheckFailed = PeriodicCache(maxsize=1000, ttl=86_400)
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self._min_days_listed = pairlistconfig.get('min_days_listed', 10)
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self._max_days_listed = pairlistconfig.get('max_days_listed')
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candle_limit = exchange.ohlcv_candle_limit('1d', self._config['candle_type_def'])
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if self._min_days_listed < 1:
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raise OperationalException("AgeFilter requires min_days_listed to be >= 1")
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if self._min_days_listed > candle_limit:
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raise OperationalException("AgeFilter requires min_days_listed to not exceed "
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"exchange max request size "
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f"({candle_limit})")
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if self._max_days_listed and self._max_days_listed <= self._min_days_listed:
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raise OperationalException("AgeFilter max_days_listed <= min_days_listed not permitted")
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if self._max_days_listed and self._max_days_listed > candle_limit:
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raise OperationalException("AgeFilter requires max_days_listed to not exceed "
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"exchange max request size "
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f"({candle_limit})")
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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 Dict 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 (
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f"{self.name} - Filtering pairs with age less than "
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f"{self._min_days_listed} {plural(self._min_days_listed, 'day')}"
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) + ((
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" or more than "
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f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}"
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) if self._max_days_listed else '')
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def filter_pairlist(self, pairlist: List[str], tickers: Tickers) -> List[str]:
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"""
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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: ListPairsWithTimeframes = [
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(p, '1d', self._config['candle_type_def']) for p in pairlist
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if p not in self._symbolsChecked and p not in self._symbolsCheckFailed]
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if not needed_pairs:
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# Remove pairs that have been removed before
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return [p for p in pairlist if p not in self._symbolsCheckFailed]
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since_days = -(
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self._max_days_listed if self._max_days_listed else self._min_days_listed
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) - 1
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since_ms = int(arrow.utcnow()
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.floor('day')
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.shift(days=since_days)
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.float_timestamp) * 1000
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candles = self._exchange.refresh_latest_ohlcv(needed_pairs, since_ms=since_ms, 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', self._config['candle_type_def'])] if (
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p, '1d', self._config['candle_type_def']) 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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self.log_once(f"Validated {len(pairlist)} pairs.", logger.info)
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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 age for the ticker
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:param pair: Pair that's currently validated
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:param daily_candles: Downloaded daily candles
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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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if pair in self._symbolsChecked:
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return True
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if daily_candles is not None:
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if (
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len(daily_candles) >= self._min_days_listed
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and (not self._max_days_listed or len(daily_candles) <= self._max_days_listed)
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):
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# We have fetched at least the minimum required number of daily candles
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# Add to cache, store the time we last checked this symbol
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self._symbolsChecked[pair] = arrow.utcnow().int_timestamp * 1000
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return True
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else:
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self.log_once((
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f"Removed {pair} from whitelist, because age "
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f"{len(daily_candles)} is less than {self._min_days_listed} "
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f"{plural(self._min_days_listed, 'day')}"
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) + ((
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" or more than "
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f"{self._max_days_listed} {plural(self._max_days_listed, 'day')}"
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) if self._max_days_listed else ''), logger.info)
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self._symbolsCheckFailed[pair] = arrow.utcnow().int_timestamp * 1000
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return False
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return False
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